Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Substructuring approache in state space models for dynamic system parameters identification

In the recent decade, the request for structural health monitoring expertise increased exponentially in the United States. The aging issues that most of the transportation structures are experiencing can put in serious jeopardy the economic system of a region as well as of a country. At the same time, the monitoring of structures is a central topic of discussion in Europe, where the preservation of historical buildings has been addressed over the last four centuries. More recently, various concerns arose about security performance of civil structures after tragic events such the 9/11 or the 2011 Japan earthquake: engineers looks for a design able to resist exceptional loadings due to earthquakes, hurricanes and terrorist attacks. After events of such a kind, the assessment of the remaining life of the structure is at least as important as the initial performance design. Consequently, it appears very clear that the introduction of reliable and accessible damage assessment techniques is crucial for the localization of issues and for a correct and immediate rehabilitation. The System Identification is a branch of the more general Control Theory. In Civil Engineering, this field addresses the techniques needed to find mechanical characteristics as the stiffness or the mass starting from the signals captured by sensors. The objective of the Dynamic Structural Identification (DSI) is to define, starting from experimental measurements, the modal fundamental parameters of a generic structure in order to characterize, via a mathematical model, the dynamic behavior. The knowledge of these parameters is helpful in the Model Updating procedure, that permits to define corrected theoretical models through experimental validation. The main aim of this technique is to minimize the differences between the theoretical model results and in situ measurements of dynamic data. Therefore, the new model becomes a very effective control practice when it comes to rehabilitation of structures or damage assessment. The instrumentation of a whole structure is an unfeasible procedure sometimes because of the high cost involved or, sometimes, because it’s not possible to physically reach each point of the structure. Therefore, numerous scholars have been trying to address this problem. In general two are the main involved methods. Since the limited number of sensors, in a first case, it’s possible to gather time histories only for some locations, then to move the instruments to another location and replay the procedure. Otherwise, if the number of sensors is enough and the structure does not present a complicate geometry, it’s usually sufficient to detect only the principal first modes. This two problems are well presented in the works of Balsamo [1] for the application to a simple system and Jun [2] for the analysis of system with a limited number of sensors. Once the system identification has been carried, it is possible to access the actual system characteristics. A frequent practice is to create an updated FEM model and assess whether the structure fulfills or not the requested functions. Once again the objective of this work is to present a general methodology to analyze big structure using a limited number of instrumentation and at the same time, obtaining the most information about an identified structure without recalling methodologies of difficult interpretation. A general framework of the state space identification procedure via OKID/ERA algorithm is developed and implemented in Matlab. Then, some simple examples are proposed to highlight the principal characteristics and advantage of this methodology. A new algebraic manipulation for a prolific use of substructuring results is developed and implemented.

Multidimensional item response theory models with general and specific latent traits for ordinal data

The aim of the thesis is to propose a Bayesian estimation through Markov chain Monte Carlo of multidimensional item response theory models for graded responses with complex structures and correlated traits. In particular, this work focuses on the multiunidimensional and the additive underlying latent structures, considering that the first one is widely used and represents a classical approach in multidimensional item response analysis, while the second one is able to reflect the complexity of real interactions between items and respondents. A simulation study is conducted to evaluate the parameter recovery for the proposed models under different conditions (sample size, test and subtest length, number of response categories, and correlation structure). The results show that the parameter recovery is particularly sensitive to the sample size, due to the model complexity and the high number of parameters to be estimated. For a sufficiently large sample size the parameters of the multiunidimensional and additive graded response models are well reproduced. The results are also affected by the trade-off between the number of items constituting the test and the number of item categories. An application of the proposed models on response data collected to investigate Romagna and San Marino residents' perceptions and attitudes towards the tourism industry is also presented.

Theoretical analysis of hidden photon searches in high-precision experiments

Although the Standard Model of particle physics (SM) provides an extremely successful description of the ordinary matter, one knows from astronomical observations that it accounts only for around 5% of the total energy density of the Universe, whereas around 30% are contributed by the dark matter. Motivated by anomalies in cosmic ray observations and by attempts to solve questions of the SM like the (g-2)_mu discrepancy, proposed U(1) extensions of the SM gauge group have raised attention in recent years. In the considered U(1) extensions a new, light messenger particle, the hidden photon, couples to the hidden sector as well as to the electromagnetic current of the SM by kinetic mixing. This allows for a search for this particle in laboratory experiments exploring the electromagnetic interaction. Various experimental programs have been started to search for hidden photons, such as in electron-scattering experiments, which are a versatile tool to explore various physics phenomena. One approach is the dedicated search in fixed-target experiments at modest energies as performed at MAMI or at JLAB. In these experiments the scattering of an electron beam off a hadronic target e+(A,Z)->e+(A,Z)+l^+l^- is investigated and a search for a very narrow resonance in the invariant mass distribution of the lepton pair is performed. This requires an accurate understanding of the theoretical basis of the underlying processes. For this purpose it is demonstrated in the first part of this work, in which way the hidden photon can be motivated from existing puzzles encountered at the precision frontier of the SM. The main part of this thesis deals with the analysis of the theoretical framework for electron scattering fixed-target experiments searching for hidden photons. As a first step, the cross section for the bremsstrahlung emission of hidden photons in such experiments is studied. Based on these results, the applicability of the Weizsäcker-Williams approximation to calculate the signal cross section of the process, which is widely used to design such experimental setups, is investigated. In a next step, the reaction e+(A,Z)->e+(A,Z)+l^+l^- is analyzed as signal and background process in order to describe existing data obtained by the A1 experiment at MAMI with the aim to give accurate predictions of exclusion limits for the hidden photon parameter space. Finally, the derived methods are used to find predictions for future experiments, e.g., at MESA or at JLAB, allowing for a comprehensive study of the discovery potential of the complementary experiments. In the last part, a feasibility study for probing the hidden photon model by rare kaon decays is performed. For this purpose, invisible as well as visible decays of the hidden photon are considered within different classes of models. This allows one to find bounds for the parameter space from existing data and to estimate the reach of future experiments.

Axion-like particles and the 3.5 keV line in 4D string models

This work is focused on axions and axion like particles (ALPs) and their possible relation with the 3.55 keV photon line detected, in recent years, from galaxy clusters and other astrophysical objects. We focus on axions that come from string compactification and we study the vacuum structure of the resulting low energy 4D N=1 supergravity effective field theory. We then provide a model which might explain the 3.55 keV line through the following processes. A 7.1 keV dark matter axion decays in two light axions, which, in turn, are transformed into photons thanks to the Primakoff effect and the existence of a kinetic mixing between two U(1)s gauge symmetries belonging respectively to the hidden and the visible sector. We present two models, the first one gives an outcome inconsistent with experimental data, while the second can yield the desired result.

Endoscopic Image Overlay for the Targeting of Hidden Anatomy in Laparoscopic Visceral Surgery

Limitations associated with the visual information provided to surgeons during laparoscopic surgery increases the difficulty of procedures and thus, reduces clinical indications and increases training time. This work presents a novel augmented reality visualization approach that aims to improve visual data supplied for the targeting of non visible anatomical structures in laparoscopic visceral surgery. The approach aims to facilitate the localisation of hidden structures with minimal damage to surrounding structures and with minimal training requirements. The proposed augmented reality visualization approach incorporates endoscopic images overlaid with virtual 3D models of underlying critical structures in addition to targeting and depth information pertaining to targeted structures. Image overlay was achieved through the implementation of camera calibration techniques and integration of the optically tracked endoscope into an existing image guidance system for liver surgery. The approach was validated in accuracy, clinical integration and targeting experiments. Accuracy of the overlay was found to have a mean value of 3.5 mm ± 1.9 mm and 92.7% of targets within a liver phantom were successfully located laparoscopically by non trained subjects using the approach.

Semiparametric Latent Variable Regression Models for Spatio-temporal Modeling of Mobile Source Particles in the Greater Boston Area

Traffic particle concentrations show considerable spatial variability within a metropolitan area. We consider latent variable semiparametric regression models for modeling the spatial and temporal variability of black carbon and elemental carbon concentrations in the greater Boston area. Measurements of these pollutants, which are markers of traffic particles, were obtained from several individual exposure studies conducted at specific household locations as well as 15 ambient monitoring sites in the city. The models allow for both flexible, nonlinear effects of covariates and for unexplained spatial and temporal variability in exposure. In addition, the different individual exposure studies recorded different surrogates of traffic particles, with some recording only outdoor concentrations of black or elemental carbon, some recording indoor concentrations of black carbon, and others recording both indoor and outdoor concentrations of black carbon. A joint model for outdoor and indoor exposure that specifies a spatially varying latent variable provides greater spatial coverage in the area of interest. We propose a penalised spline formation of the model that relates to generalised kringing of the latent traffic pollution variable and leads to a natural Bayesian Markov Chain Monte Carlo algorithm for model fitting. We propose methods that allow us to control the degress of freedom of the smoother in a Bayesian framework. Finally, we present results from an analysis that applies the model to data from summer and winter separately

COVARIATE-ADJUSTED NONPARAMETRIC ANALYSIS OF MAGNETIC RESONANCE IMAGES USING MARKOV CHAIN MONTE CARLO

Permutation tests are useful for drawing inferences from imaging data because of their flexibility and ability to capture features of the brain that are difficult to capture parametrically. However, most implementations of permutation tests ignore important confounding covariates. To employ covariate control in a nonparametric setting we have developed a Markov chain Monte Carlo (MCMC) algorithm for conditional permutation testing using propensity scores. We present the first use of this methodology for imaging data. Our MCMC algorithm is an extension of algorithms developed to approximate exact conditional probabilities in contingency tables, logit, and log-linear models. An application of our non-parametric method to remove potential bias due to the observed covariates is presented.

Time-domain models for power system stability and unbalance

It is an important and difficult challenge to protect modern interconnected power system from blackouts. Applying advanced power system protection techniques and increasing power system stability are ways to improve the reliability and security of power systems. Phasor-domain software packages such as Power System Simulator for Engineers (PSS/E) can be used to study large power systems but cannot be used for transient analysis. In order to observe both power system stability and transient behavior of the system during disturbances, modeling has to be done in the time-domain. This work focuses on modeling of power systems and various control systems in the Alternative Transients Program (ATP). ATP is a time-domain power system modeling software in which all the power system components can be modeled in detail. Models are implemented with attention to component representation and parameters. The synchronous machine model includes the saturation characteristics and control interface. Transient Analysis Control System is used to model the excitation control system, power system stabilizer and the turbine governor system of the synchronous machine. Several base cases of a single machine system are modeled and benchmarked against PSS/E. A two area system is modeled and inter-area and intra-area oscillations are observed. The two area system is reduced to a two machine system using reduced dynamic equivalencing. The original and the reduced systems are benchmarked against PSS/E. This work also includes the simulation of single-pole tripping using one of the base case models. Advantages of single-pole tripping and comparison of system behavior against three-pole tripping are studied. Results indicate that the built-in control system models in PSS/E can be effectively reproduced in ATP. The benchmarked models correctly simulate the power system dynamics. The successful implementation of a dynamically reduced system in ATP shows promise for studying a small sub-system of a large system without losing the dynamic behaviors. Other aspects such as relaying can be investigated using the benchmarked models. It is expected that this work will provide guidance in modeling different control systems for the synchronous machine and in representing dynamic equivalents of large power systems.

Impact of synchronous metastasis distribution on cancer specific survival in renal cell carcinoma after radical nephrectomy with tumor thrombectomy

PURPOSE Metastatic renal cell carcinoma can be clinically diverse in terms of the pattern of metastatic disease and response to treatment. We studied the impact of metastasis and location on cancer specific survival. MATERIALS AND METHODS The records of 2,017 patients with renal cell cancer and tumor thrombus who underwent radical nephrectomy and tumor thrombectomy from 1971 to 2012 at 22 centers in the United States and Europe were analyzed. Number and location of synchronous metastases were compared with respect to patient cancer specific survival. Multivariable Cox regression models were used to quantify the impact of covariates. RESULTS Lymph node metastasis (155) or distant metastasis (725) was present in 880 (44%) patients. Of the patients with distant disease 385 (53%) had an isolated metastasis. The 5-year cancer specific survival was 51.3% (95% CI 48.6-53.9) for the entire group. On univariable analysis patients with isolated lymph node metastasis had a significantly worse cancer specific survival than those with a solitary distant metastasis. The location of distant metastasis did not have any significant effect on cancer specific survival. On multivariable analysis the presence of lymph node metastasis, isolated distant metastasis and multiple distant metastases were independently associated with cancer specific survival. Moreover higher tumor thrombus level, papillary histology and the use of postoperative systemic therapy were independently associated with worse cancer specific survival. CONCLUSIONS In our multi-institutional series of patients with renal cell cancer who underwent radical nephrectomy and tumor thrombectomy, almost half of the patients had synchronous lymph node or distant organ metastasis. Survival was superior in patients with solitary distant metastasis compared to isolated lymph node disease.

gems: An R Package for Simulating from Disease Progression Models

Mathematical models of disease progression predict disease outcomes and are useful epidemiological tools for planners and evaluators of health interventions. The R package gems is a tool that simulates disease progression in patients and predicts the effect of different interventions on patient outcome. Disease progression is represented by a series of events (e.g., diagnosis, treatment and death), displayed in a directed acyclic graph. The vertices correspond to disease states and the directed edges represent events. The package gems allows simulations based on a generalized multistate model that can be described by a directed acyclic graph with continuous transition-specific hazard functions. The user can specify an arbitrary hazard function and its parameters. The model includes parameter uncertainty, does not need to be a Markov model, and may take the history of previous events into account. Applications are not limited to the medical field and extend to other areas where multistate simulation is of interest. We provide a technical explanation of the multistate models used by gems, explain the functions of gems and their arguments, and show a sample application.

Isotone Recursive Methods for Overlapping Generation Models with Stochastic Nonclassical Production

Based on an order-theoretic approach, we derive sufficient conditions for the existence, characterization, and computation of Markovian equilibrium decision processes and stationary Markov equilibrium on minimal state spaces for a large class of stochastic overlapping generations models. In contrast to all previous work, we consider reduced-form stochastic production technologies that allow for a broad set of equilibrium distortions such as public policy distortions, social security, monetary equilibrium, and production nonconvexities. Our order-based methods are constructive, and we provide monotone iterative algorithms for computing extremal stationary Markov equilibrium decision processes and equilibrium invariant distributions, while avoiding many of the problems associated with the existence of indeterminacies that have been well-documented in previous work. We provide important results for existence of Markov equilibria for the case where capital income is not increasing in the aggregate stock. Finally, we conclude with examples common in macroeconomics such as models with fiat money and social security. We also show how some of our results extend to settings with unbounded state spaces.

Stationary Markovian Equilibrium in Overlapping Generation Models with Stochastic Nonclassical Production

This paper provides new sufficient conditions for the existence, computation via successive approximations, and stability of Markovian equilibrium decision processes for a large class of OLG models with stochastic nonclassical production. Our notion of stability is existence of stationary Markovian equilibrium. With a nonclassical production, our economies encompass a large class of OLG models with public policy, valued fiat money, production externalities, and Markov shocks to production. Our approach combines aspects of both topological and order theoretic fixed point theory, and provides the basis of globally stable numerical iteration procedures for computing extremal Markovian equilibrium objects. In addition to new theoretical results on existence and computation, we provide some monotone comparative statics results on the space of economies.

Bayesian generalized linear models for meta-analysis of diagnostic tests

With the recognition of the importance of evidence-based medicine, there is an emerging need for methods to systematically synthesize available data. Specifically, methods to provide accurate estimates of test characteristics for diagnostic tests are needed to help physicians make better clinical decisions. To provide more flexible approaches for meta-analysis of diagnostic tests, we developed three Bayesian generalized linear models. Two of these models, a bivariate normal and a binomial model, analyzed pairs of sensitivity and specificity values while incorporating the correlation between these two outcome variables. Noninformative independent uniform priors were used for the variance of sensitivity, specificity and correlation. We also applied an inverse Wishart prior to check the sensitivity of the results. The third model was a multinomial model where the test results were modeled as multinomial random variables. All three models can include specific imaging techniques as covariates in order to compare performance. Vague normal priors were assigned to the coefficients of the covariates. The computations were carried out using the 'Bayesian inference using Gibbs sampling' implementation of Markov chain Monte Carlo techniques. We investigated the properties of the three proposed models through extensive simulation studies. We also applied these models to a previously published meta-analysis dataset on cervical cancer as well as to an unpublished melanoma dataset. In general, our findings show that the point estimates of sensitivity and specificity were consistent among Bayesian and frequentist bivariate normal and binomial models. However, in the simulation studies, the estimates of the correlation coefficient from Bayesian bivariate models are not as good as those obtained from frequentist estimation regardless of which prior distribution was used for the covariance matrix. The Bayesian multinomial model consistently underestimated the sensitivity and specificity regardless of the sample size and correlation coefficient. In conclusion, the Bayesian bivariate binomial model provides the most flexible framework for future applications because of its following strengths: (1) it facilitates direct comparison between different tests; (2) it captures the variability in both sensitivity and specificity simultaneously as well as the intercorrelation between the two; and (3) it can be directly applied to sparse data without ad hoc correction. ^