Modelling Housing Prices using a Present Value State Space Model

This paper introduces a State Space approach to explain the dynamics of rent growth, expected returns and Price-Rent ratio in housing markets. According to the present value model, movements in price to rent ratio should be matched by movements in expected returns and expected rent growth. The state space framework assume that both variables follow an autoregression process of order one. The model is applied to the US and UK housing market, which yields series of the latent variables given the behaviour of the Price-Rent ratio. Resampling techniques and bootstrapped likelihood ratios show that expected returns tend to be highly persistent compared to rent growth. The filtered expected returns is considered in a simple predictability of excess returns model with high statistical predictability evidence for the UK. Overall, it is found that the present value model tends to have strong statistical predictability in the UK housing markets.

Chemical profiling of different hashish seizures by gas chromatography-mass spectrometry and statistical methodology: a case report

Limited information is available regarding the methodology required to characterize hashish seizures for assessing the presence or the absence of a chemical link between two seizures. This casework report presents the methodology applied for assessing that two different police seizures were coming from the same block before this latter one was split. The chemical signature was extracted using GC-MS analysis and the implemented methodology consists in a study of intra- and inter-variability distributions based on the measurement of the chemical profiles similarity using a number of hashish seizures and the calculation of the Pearson correlation coefficient. Different statistical scenarios (i.e., a combination of data pretreatment techniques and selection of target compounds) were tested to find the most discriminating one. Seven compounds showing high discrimination capabilities were selected on which a specific statistical data pretreatment was applied. Based on the results, the statistical model built for comparing the hashish seizures leads to low error rates. Therefore, the implemented methodology is suitable for the chemical profiling of hashish seizures.

A qualitative response model of thermal comfort

A sound statistical methodology is presented for modelling the correspondence between the characteristics of individuals, their thermal environment, and their thermal sensation. The proposed methodology substantially improves that developed by P.O. Fanger, by formulating a more general and precise model of thermal comfort. It enables us to estimate the model from a sample of data where all the parameters of comfort vary at the same time, which is not possible with that adopted by Fanger. Moreover, the present model is still valid when thermal conditions are far from optimum. (C) 1997 Elsevier Science Ltd.

Statistical tests for scaling in the inter-event times of earthquakes in California

We explore in depth the validity of a recently proposed scaling law for earthquake inter-event time distributions in the case of the Southern California, using the waveform cross-correlation catalog of Shearer et al. Two statistical tests are used: on the one hand, the standard two-sample Kolmogorov-Smirnov test is in agreement with the scaling of the distributions. On the other hand, the one-sample Kolmogorov-Smirnov statistic complemented with Monte Carlo simulation of the inter-event times, as done by Clauset et al., supports the validity of the gamma distribution as a simple model of the scaling function appearing on the scaling law, for rescaled inter-event times above 0.01, except for the largest data set (magnitude greater than 2). A discussion of these results is provided.

How Low Can We Go in Contrast-Enhanced CT Imaging of the Chest?: A Dose-Finding Cadaver Study Using the Model-based Iterative Image Reconstruction Approach.

RATIONALE AND OBJECTIVES: Dose reduction may compromise patients because of a decrease of image quality. Therefore, the amount of dose savings in new dose-reduction techniques needs to be thoroughly assessed. To avoid repeated studies in one patient, chest computed tomography (CT) scans with different dose levels were performed in corpses comparing model-based iterative reconstruction (MBIR) as a tool to enhance image quality with current standard full-dose imaging. MATERIALS AND METHODS: Twenty-five human cadavers were scanned (CT HD750) after contrast medium injection at different, decreasing dose levels D0-D5 and respectively reconstructed with MBIR. The data at full-dose level, D0, have been additionally reconstructed with standard adaptive statistical iterative reconstruction (ASIR), which represented the full-dose baseline reference (FDBR). Two radiologists independently compared image quality (IQ) in 3-mm multiplanar reformations for soft-tissue evaluation of D0-D5 to FDBR (-2, diagnostically inferior; -1, inferior; 0, equal; +1, superior; and +2, diagnostically superior). For statistical analysis, the intraclass correlation coefficient (ICC) and the Wilcoxon test were used. RESULTS: Mean CT dose index values (mGy) were as follows: D0/FDBR = 10.1 ± 1.7, D1 = 6.2 ± 2.8, D2 = 5.7 ± 2.7, D3 = 3.5 ± 1.9, D4 = 1.8 ± 1.0, and D5 = 0.9 ± 0.5. Mean IQ ratings were as follows: D0 = +1.8 ± 0.2, D1 = +1.5 ± 0.3, D2 = +1.1 ± 0.3, D3 = +0.7 ± 0.5, D4 = +0.1 ± 0.5, and D5 = -1.2 ± 0.5. All values demonstrated a significant difference to baseline (P < .05), except mean IQ for D4 (P = .61). ICC was 0.91. CONCLUSIONS: Compared to ASIR, MBIR allowed for a significant dose reduction of 82% without impairment of IQ. This resulted in a calculated mean effective dose below 1 mSv.

Evaluation of respiratory model employing conventional NIH mice to access the immunity induced by cellular and acellular pertussis vaccines

The increasing number of pertussis cases reported on the last twenty years and the existence of new acellular vaccines reinforce the need of research for experimental models to assure the quality of available pertussis vaccines. In this study, allotments of whole-cell and acellular pertussis vaccines were tested through the Intranasal Challenge Model (INM) using conventional NIH mice. The results have been compared to those achieved by the "Gold standard" Intracerebral Challenge Model (ICM). In contrast to ICM, INM results did not show intralaboratorial variations. Statistical analysis by Anova and Ancova tests revealed that the INM presented reproducibility and allowed identification and separation of different products, including three-component and four-component accellular pertussis vaccines. INM revealed differences between pertussis vaccines. INM provides lower distress to the mice allowing the reduction of mice number including the possibility of using conventional mice (less expensive) under non-aseptic environment. Thus, INM may be used as an alternative method of verifying the consistence of allotment production, including acellular pertussis vaccines.

Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Uncertainty Quantification Of A Semi-Supervised Support Vector Regression Reservoir Model

Uncertainty quantification of petroleum reservoir models is one of the present challenges, which is usually approached with a wide range of geostatistical tools linked with statistical optimisation or/and inference algorithms. Recent advances in machine learning offer a novel approach to model spatial distribution of petrophysical properties in complex reservoirs alternative to geostatistics. The approach is based of semisupervised learning, which handles both ?labelled? observed data and ?unlabelled? data, which have no measured value but describe prior knowledge and other relevant data in forms of manifolds in the input space where the modelled property is continuous. Proposed semi-supervised Support Vector Regression (SVR) model has demonstrated its capability to represent realistic geological features and describe stochastic variability and non-uniqueness of spatial properties. On the other hand, it is able to capture and preserve key spatial dependencies such as connectivity of high permeability geo-bodies, which is often difficult in contemporary petroleum reservoir studies. Semi-supervised SVR as a data driven algorithm is designed to integrate various kind of conditioning information and learn dependences from it. The semi-supervised SVR model is able to balance signal/noise levels and control the prior belief in available data. In this work, stochastic semi-supervised SVR geomodel is integrated into Bayesian framework to quantify uncertainty of reservoir production with multiple models fitted to past dynamic observations (production history). Multiple history matched models are obtained using stochastic sampling and/or MCMC-based inference algorithms, which evaluate posterior probability distribution. Uncertainty of the model is described by posterior probability of the model parameters that represent key geological properties: spatial correlation size, continuity strength, smoothness/variability of spatial property distribution. The developed approach is illustrated with a fluvial reservoir case. The resulting probabilistic production forecasts are described by uncertainty envelopes. The paper compares the performance of the models with different combinations of unknown parameters and discusses sensitivity issues.

Use of DNA profiles for investigation using a simulated national DNA database: Part II. Statistical and ethical considerations on familial searching.

Familial searching consists of searching for a full profile left at a crime scene in a National DNA Database (NDNAD). In this paper we are interested in the circumstance where no full match is returned, but a partial match is found between a database member's profile and the crime stain. Because close relatives share more of their DNA than unrelated persons, this partial match may indicate that the crime stain was left by a close relative of the person with whom the partial match was found. This approach has successfully solved important crimes in the UK and the USA. In a previous paper, a model, which takes into account substructure and siblings, was used to simulate a NDNAD. In this paper, we have used this model to test the usefulness of familial searching and offer guidelines for pre-assessment of the cases based on the likelihood ratio. Siblings of "persons" present in the simulated Swiss NDNAD were created. These profiles (N=10,000) were used as traces and were then compared to the whole database (N=100,000). The statistical results obtained show that the technique has great potential confirming the findings of previous studies. However, effectiveness of the technique is only one part of the story. Familial searching has juridical and ethical aspects that should not be ignored. In Switzerland for example, there are no specific guidelines to the legality or otherwise of familial searching. This article both presents statistical results, and addresses criminological and civil liberties aspects to take into account risks and benefits of familial searching.

Statistical discrimination of steroid profiles in doping control with support vector machines.

Due to their performance enhancing properties, use of anabolic steroids (e.g. testosterone, nandrolone, etc.) is banned in elite sports. Therefore, doping control laboratories accredited by the World Anti-Doping Agency (WADA) screen among others for these prohibited substances in urine. It is particularly challenging to detect misuse with naturally occurring anabolic steroids such as testosterone (T), which is a popular ergogenic agent in sports and society. To screen for misuse with these compounds, drug testing laboratories monitor the urinary concentrations of endogenous steroid metabolites and their ratios, which constitute the steroid profile and compare them with reference ranges to detect unnaturally high values. However, the interpretation of the steroid profile is difficult due to large inter-individual variances, various confounding factors and different endogenous steroids marketed that influence the steroid profile in various ways. A support vector machine (SVM) algorithm was developed to statistically evaluate urinary steroid profiles composed of an extended range of steroid profile metabolites. This model makes the interpretation of the analytical data in the quest for deviating steroid profiles feasible and shows its versatility towards different kinds of misused endogenous steroids. The SVM model outperforms the current biomarkers with respect to detection sensitivity and accuracy, particularly when it is coupled to individual data as stored in the Athlete Biological Passport.

Experimental infection with the Toxoplasma gondii ME-49 strain in the Brazilian BR-1 mini pig is a suitable animal model for human toxoplasmosis

Toxoplasma gondii causes toxoplasmosis, a worldwide disease. Experimentation with pigs is necessary for the development of new therapeutic approaches to human diseases. BR-1 mini pigs were intramuscularly infected with T. gondii with tachyzoites (RH strain) or orally infected with cysts (ME-49 strain). Haematology and serum biochemistry were analysed and buffy coat cells were inoculated in mice to determine tachyzoite circulation. No alterations were observed in erythrocyte and platelet values; however, band neutrophils increased seven days after infection with ME-49. Serology of the mice inoculated with pig blood leucocytes revealed circulating ME-49 or RH strain tachyzoites in the pigs' peripheral blood at two and seven or nine days post-infection. The tachyzoites were also directly observed in blood smears from the infected pigs outside and inside leucocytes for longer periods. Alanine-aminotransferase was high at days 21 and 32 in the RH infected pigs. After 90 days, the pigs were euthanised and their tissue samples were processed and inoculated into mice. The mice serology revealed the presence of parasites in the hearts, ileums and mesenteric lymph nodes of the pigs. Additionally, cysts in the mice were only observed after pig heart tissue inoculation. The infected pigs presented similar human outcomes with relatively low pathogenicity and the BR-1 mini pig model infected with ME-49 is suitable to monitor experimental toxoplasmosis.

Assessment of statistical iterative reconstructions to optimize CT examination protocols for children and young adults

La tomodensitométrie (CT) est une technique d'imagerie dont l'intérêt n'a cessé de croître depuis son apparition dans le début des années 70. Dans le domaine médical, son utilisation est incontournable à tel point que ce système d'imagerie pourrait être amené à devenir victime de son succès si son impact au niveau de l'exposition de la population ne fait pas l'objet d'une attention particulière. Bien évidemment, l'augmentation du nombre d'examens CT a permis d'améliorer la prise en charge des patients ou a rendu certaines procédures moins invasives. Toutefois, pour assurer que le compromis risque - bénéfice soit toujours en faveur du patient, il est nécessaire d'éviter de délivrer des doses non utiles au diagnostic.¦Si cette action est importante chez l'adulte elle doit être une priorité lorsque les examens se font chez l'enfant, en particulier lorsque l'on suit des pathologies qui nécessitent plusieurs examens CT au cours de la vie du patient. En effet, les enfants et jeunes adultes sont plus radiosensibles. De plus, leur espérance de vie étant supérieure à celle de l'adulte, ils présentent un risque accru de développer un cancer radio-induit dont la phase de latence peut être supérieure à vingt ans. Partant du principe que chaque examen radiologique est justifié, il devient dès lors nécessaire d'optimiser les protocoles d'acquisitions pour s'assurer que le patient ne soit pas irradié inutilement. L'avancée technologique au niveau du CT est très rapide et depuis 2009, de nouvelles techniques de reconstructions d'images, dites itératives, ont été introduites afin de réduire la dose et améliorer la qualité d'image.¦Le présent travail a pour objectif de déterminer le potentiel des reconstructions itératives statistiques pour réduire au minimum les doses délivrées lors d'examens CT chez l'enfant et le jeune adulte tout en conservant une qualité d'image permettant le diagnostic, ceci afin de proposer des protocoles optimisés.¦L'optimisation d'un protocole d'examen CT nécessite de pouvoir évaluer la dose délivrée et la qualité d'image utile au diagnostic. Alors que la dose est estimée au moyen d'indices CT (CTDIV0| et DLP), ce travail a la particularité d'utiliser deux approches radicalement différentes pour évaluer la qualité d'image. La première approche dite « physique », se base sur le calcul de métriques physiques (SD, MTF, NPS, etc.) mesurées dans des conditions bien définies, le plus souvent sur fantômes. Bien que cette démarche soit limitée car elle n'intègre pas la perception des radiologues, elle permet de caractériser de manière rapide et simple certaines propriétés d'une image. La seconde approche, dite « clinique », est basée sur l'évaluation de structures anatomiques (critères diagnostiques) présentes sur les images de patients. Des radiologues, impliqués dans l'étape d'évaluation, doivent qualifier la qualité des structures d'un point de vue diagnostique en utilisant une échelle de notation simple. Cette approche, lourde à mettre en place, a l'avantage d'être proche du travail du radiologue et peut être considérée comme méthode de référence.¦Parmi les principaux résultats de ce travail, il a été montré que les algorithmes itératifs statistiques étudiés en clinique (ASIR?, VEO?) ont un important potentiel pour réduire la dose au CT (jusqu'à-90%). Cependant, par leur fonctionnement, ils modifient l'apparence de l'image en entraînant un changement de texture qui pourrait affecter la qualité du diagnostic. En comparant les résultats fournis par les approches « clinique » et « physique », il a été montré que ce changement de texture se traduit par une modification du spectre fréquentiel du bruit dont l'analyse permet d'anticiper ou d'éviter une perte diagnostique. Ce travail montre également que l'intégration de ces nouvelles techniques de reconstruction en clinique ne peut se faire de manière simple sur la base de protocoles utilisant des reconstructions classiques. Les conclusions de ce travail ainsi que les outils développés pourront également guider de futures études dans le domaine de la qualité d'image, comme par exemple, l'analyse de textures ou la modélisation d'observateurs pour le CT.¦-¦Computed tomography (CT) is an imaging technique in which interest has been growing since it first began to be used in the early 1970s. In the clinical environment, this imaging system has emerged as the gold standard modality because of its high sensitivity in producing accurate diagnostic images. However, even if a direct benefit to patient healthcare is attributed to CT, the dramatic increase of the number of CT examinations performed has raised concerns about the potential negative effects of ionizing radiation on the population. To insure a benefit - risk that works in favor of a patient, it is important to balance image quality and dose in order to avoid unnecessary patient exposure.¦If this balance is important for adults, it should be an absolute priority for children undergoing CT examinations, especially for patients suffering from diseases requiring several follow-up examinations over the patient's lifetime. Indeed, children and young adults are more sensitive to ionizing radiation and have an extended life span in comparison to adults. For this population, the risk of developing cancer, whose latency period exceeds 20 years, is significantly higher than for adults. Assuming that each patient examination is justified, it then becomes a priority to optimize CT acquisition protocols in order to minimize the delivered dose to the patient. Over the past few years, CT advances have been developing at a rapid pace. Since 2009, new iterative image reconstruction techniques, called statistical iterative reconstructions, have been introduced in order to decrease patient exposure and improve image quality.¦The goal of the present work was to determine the potential of statistical iterative reconstructions to reduce dose as much as possible without compromising image quality and maintain diagnosis of children and young adult examinations.¦The optimization step requires the evaluation of the delivered dose and image quality useful to perform diagnosis. While the dose is estimated using CT indices (CTDIV0| and DLP), the particularity of this research was to use two radically different approaches to evaluate image quality. The first approach, called the "physical approach", computed physical metrics (SD, MTF, NPS, etc.) measured on phantoms in well-known conditions. Although this technique has some limitations because it does not take radiologist perspective into account, it enables the physical characterization of image properties in a simple and timely way. The second approach, called the "clinical approach", was based on the evaluation of anatomical structures (diagnostic criteria) present on patient images. Radiologists, involved in the assessment step, were asked to score image quality of structures for diagnostic purposes using a simple rating scale. This approach is relatively complicated to implement and also time-consuming. Nevertheless, it has the advantage of being very close to the practice of radiologists and is considered as a reference method.¦Primarily, this work revealed that the statistical iterative reconstructions studied in clinic (ASIR? and VECO have a strong potential to reduce CT dose (up to -90%). However, by their mechanisms, they lead to a modification of the image appearance with a change in image texture which may then effect the quality of the diagnosis. By comparing the results of the "clinical" and "physical" approach, it was showed that a change in texture is related to a modification of the noise spectrum bandwidth. The NPS analysis makes possible to anticipate or avoid a decrease in image quality. This project demonstrated that integrating these new statistical iterative reconstruction techniques can be complex and cannot be made on the basis of protocols using conventional reconstructions. The conclusions of this work and the image quality tools developed will be able to guide future studies in the field of image quality as texture analysis or model observers dedicated to CT.

Proposta d'un model predictiu del risc d'ingrés hospitalari amb l'ús d'algoritmes bayesians

Model predictiu basat en xarxes bayesianes que permet identificar els pacients amb major risc d'ingrés a un hospital segons una sèrie d'atributs de dades demogràfiques i clíniques.