A note on the use of spreadsheet optimisers in real estate analysis

Modern Portfolio Theory (MPT) has been advocated as a more rational approach to the construction of real estate portfolios. The application of MPT can now be achieved with relative ease using the powerful facilities of modern spreadsheet, and does not necessarily need specialist software. This capability is to be found in the use of an add-in Tool now found in several spreadsheets, called an Optimiser or Solver. The value in using this kind of more sophisticated analysis feature of spreadsheets is increasingly difficult to ignore. This paper examines the use of the spreadsheet Optimiser in handling asset allocation problems. Using the Markowitz Mean-Variance approach, the paper introduces the necessary calculations, and shows, by means of an elementary example implemented in Microsoft's Excel, how the Optimiser may be used. Emphasis is placed on understanding the inputs and outputs from the portfolio optimisation process, and the danger of treating the Optimiser as a Black Box is discussed.

Polynomial-based noise variance estimation for MIMO-SCBT systems

In this paper, we present a polynomial-based noise variance estimator for multiple-input multiple-output single-carrier block transmission (MIMO-SCBT) systems. It is shown that the optimal pilots for noise variance estimation satisfy the same condition as that for channel estimation. Theoretical analysis indicates that the proposed estimator is statistically more efficient than the conventional sum of squared residuals (SSR) based estimator. Furthermore, we obtain an efficient implementation of the estimator by exploiting its special structure. Numerical results confirm our theoretical analysis.

Determinants of biosecurity behaviour of British cattle and sheep farmers: a behavioural economics analysis

The paper analyses the impact of a priori determinants of biosecurity behaviour of farmers in Great Britain. We use a dataset collected through a stratified telephone survey of 900 cattle and sheep farmers in Great Britain (400 in England and a further 250 in Wales and Scotland respectively) which took place between 25 March 2010 and 18 June 2010. The survey was stratified by farm type, farm size and region. To test the influence of a priori determinants on biosecurity behaviour we used a behavioural economics method, structural equation modelling (SEM) with observed and latent variables. SEM is a statistical technique for testing and estimating causal relationships amongst variables, some of which may be latent using a combination of statistical data and qualitative causal assumptions. Thirteen latent variables were identified and extracted, expressing the behaviour and the underlying determining factors. The variables were: experience, economic factors, organic certification of farm, membership in a cattle/sheep health scheme, perceived usefulness of biosecurity information sources, knowledge about biosecurity measures, perceived importance of specific biosecurity strategies, perceived effect (on farm business in the past five years) of welfare/health regulation, perceived effect of severe outbreaks of animal diseases, attitudes towards livestock biosecurity, attitudes towards animal welfare, influence on decision to apply biosecurity measures and biosecurity behaviour. The SEM model applied on the Great Britain sample has an adequate fit according to the measures of absolute, incremental and parsimonious fit. The results suggest that farmers’ perceived importance of specific biosecurity strategies, organic certification of farm, knowledge about biosecurity measures, attitudes towards animal welfare, perceived usefulness of biosecurity information sources, perceived effect on business during the past five years of severe outbreaks of animal diseases, membership in a cattle/sheep health scheme, attitudes towards livestock biosecurity, influence on decision to apply biosecurity measures, experience and economic factors are significantly influencing behaviour (overall explaining 64% of the variance in behaviour).

Comparative analysis of performance and stability among composite cross populations, variety mixtures and pure lines of winter wheat in organic and conventional cropping systems

This study investigated the effects of increased genetic diversity in winter wheat (Triticum aestivum L.), either from hybridization across genotypes or from physical mixing of lines, on grain yield, grain quality, and yield stability in different cropping environments. Sets of pure lines (no diversity), chosen for high yielding ability or high quality, were compared with line mixtures (intermediate level of diversity), and lines crossed with each other in composite cross populations (CCPn, high diversity). Additional populations containing male sterility genes (CCPms) to increase outcrossing rates were also tested. Grain yield, grain protein content, and protein yield were measured at four sites (two organically-managed and two conventionally-managed) over three years, using seed harvested locally in each preceding year. CCPn and mixtures out-yielded the mean of the parents by 2.4% and 3.6%, respectively. These yield differences were consistent across genetic backgrounds but partly inconsistent across cropping environments and years. Yield stability measured by environmental variance was higher in CCPn and CCPms than the mean of the parents. An index of yield reliability tended to be higher in CCPn, CCPms and mixtures than the mean of the parents. Lin and Binns’ superiority values of yield and protein yield were consistently and significantly lower (i.e. better) in the CCPs than in the mean of the parents, but not different between CCPs and mixtures. However, CCPs showed greater early ground cover and plant height than mixtures. When compared with the (locally non-predictable) best-yielding pure line, CCPs and mixtures exhibited lower mean yield and somewhat lower yield reliability but comparable superiority values. Thus, establishing CCPs from smaller sets of high-performing parent lines might optimize their yielding ability. On the whole, the results demonstrate that using increased within-crop genetic diversity can produce wheat crops with improved yield stability and good yield reliability across variable and unpredictable cropping environments.

Advanced multivariate analysis to assess remediation of hydrocarbons in soils

Accurate monitoring of degradation levels in soils is essential in order to understand and achieve complete degradation of petroleum hydrocarbons in contaminated soils. We aimed to develop the use of multivariate methods for the monitoring of biodegradation of diesel in soils and to determine if diesel contaminated soils could be remediated to a chemical composition similar to that of an uncontaminated soil. An incubation experiment was set up with three contrasting soil types. Each soil was exposed to diesel at varying stages of degradation and then analysed for key hydrocarbons throughout 161 days of incubation. Hydrocarbon distributions were analysed by Principal Coordinate Analysis and similar samples grouped by cluster analysis. Variation and differences between samples were determined using permutational multivariate analysis of variance. It was found that all soils followed trajectories approaching the chemical composition of the unpolluted soil. Some contaminated soils were no longer significantly different to that of uncontaminated soil after 161 days of incubation. The use of cluster analysis allows the assignment of a percentage chemical similarity of a diesel contaminated soil to an uncontaminated soil sample. This will aid in the monitoring of hydrocarbon contaminated sites and the establishment of potential endpoints for successful remediation.

Theoretical insight into diagnosing observation error correlations using observation-minus-background and observation-minus-analysis statistics

To improve the quantity and impact of observations used in data assimilation it is necessary to take into account the full, potentially correlated, observation error statistics. A number of methods for estimating correlated observation errors exist, but a popular method is a diagnostic that makes use of statistical averages of observation-minus-background and observation-minus-analysis residuals. The accuracy of the results it yields is unknown as the diagnostic is sensitive to the difference between the exact background and exact observation error covariances and those that are chosen for use within the assimilation. It has often been stated in the literature that the results using this diagnostic are only valid when the background and observation error correlation length scales are well separated. Here we develop new theory relating to the diagnostic. For observations on a 1D periodic domain we are able to the show the effect of changes in the assumed error statistics used in the assimilation on the estimated observation error covariance matrix. We also provide bounds for the estimated observation error variance and eigenvalues of the estimated observation error correlation matrix. We demonstrate that it is still possible to obtain useful results from the diagnostic when the background and observation error length scales are similar. In general, our results suggest that when correlated observation errors are treated as uncorrelated in the assimilation, the diagnostic will underestimate the correlation length scale. We support our theoretical results with simple illustrative examples. These results have potential use for interpreting the derived covariances estimated using an operational system.

A Variance-Minimizing Filter for Large-Scale Applications

A truly variance-minimizing filter is introduced and its per for mance is demonstrated with the Korteweg– DeV ries (KdV) equation and with a multilayer quasigeostrophic model of the ocean area around South Africa. It is recalled that Kalman-like filters are not variance minimizing for nonlinear model dynamics and that four - dimensional variational data assimilation (4DV AR)-like methods relying on per fect model dynamics have dif- ficulty with providing error estimates. The new method does not have these drawbacks. In fact, it combines advantages from both methods in that it does provide error estimates while automatically having balanced states after analysis, without extra computations. It is based on ensemble or Monte Carlo integrations to simulate the probability density of the model evolution. When obser vations are available, the so-called importance resampling algorithm is applied. From Bayes’ s theorem it follows that each ensemble member receives a new weight dependent on its ‘ ‘distance’ ’ t o the obser vations. Because the weights are strongly var ying, a resampling of the ensemble is necessar y. This resampling is done such that members with high weights are duplicated according to their weights, while low-weight members are largely ignored. In passing, it is noted that data assimilation is not an inverse problem by nature, although it can be for mulated that way . Also, it is shown that the posterior variance can be larger than the prior if the usual Gaussian framework is set aside. However , i n the examples presented here, the entropy of the probability densities is decreasing. The application to the ocean area around South Africa, gover ned by strongly nonlinear dynamics, shows that the method is working satisfactorily . The strong and weak points of the method are discussed and possible improvements are proposed.

Analysis Scheme in the Ensemble Kalman Filter

This paper discusses an important issue related to the implementation and interpretation of the analysis scheme in the ensemble Kalman filter . I t i s shown that the obser vations must be treated as random variables at the analysis steps. That is, one should add random perturbations with the correct statistics to the obser vations and generate an ensemble of obser vations that then is used in updating the ensemble of model states. T raditionally , this has not been done in previous applications of the ensemble Kalman filter and, as will be shown, this has resulted in an updated ensemble with a variance that is too low . This simple modification of the analysis scheme results in a completely consistent approach if the covariance of the ensemble of model states is interpreted as the prediction error covariance, and there are no further requirements on the ensemble Kalman filter method, except for the use of an ensemble of sufficient size. Thus, there is a unique correspondence between the error statistics from the ensemble Kalman filter and the standard Kalman filter approach

A Prospective Follow-up Study of 44 Mandibular Immediately Loaded Implants Using Resonance Frequency Analysis: Preliminary 1-Year Results

Purpose: This clinical study aimed to evaluate initial, 4-months, and 1-year stability of immediately loaded dental implants inserted according to a protocol of lower rehabilitation with prefabricated bars. Materials and Methods: The sample was composed of 11 edentulous patients. In each patient, 4 interforaminal implants were inserted. Immediately after implant installation, resonance frequency analysis (RFA) for each fixation was registered as well as after 4 months and 1 year with the prosthetic bar removed as it is a screwed system. Results: The clinical implant survival rate was 100%. The RFA showed an increase in stability after 4 months from 64.09 +/- 648 to 64.31 +/- 4.96 and I year, 67.11 +/- 4.37. The analysis of variance showed a statistically significant result (P = 0.015) among implant stability quotient values for the different periods evaluated. Tukey test results showed statistically significant differences between 1-year results and the initial periods but there was no statistically significant difference between initial and 4-month results (P > 0.05). Conclusion: These preliminary 1-year results indicate that immediate loading of mandibular dental implants using the studied prefabricated bars protocol is a reliable treatment as it is in accordance with the results described in the literature for other similar techniques. (Implant Dent 2009; 18:530-538)

Exploratory factor analysis of the Brazilian OHIP for edentulous subjects

P>The use of seven domains for the Oral Health Impact Profile (OHIP)-EDENT was not supported for its Brazilian version, making data interpretation in clinical settings difficult. Thus, the aim of this study was to assess patients` responses for the translated OHIP-EDENT in a group of edentulous subjects and to develop factor scales for application in future studies. Data from 103 conventional and implant-retained complete denture wearers (36 men, mean age of 69 center dot 1 +/- 10 center dot 3 years) were assessed using the Brazilian version of the OHIP-EDENT. Oral health-related quality of life domains were identified by factor analysis using principal component analysis as the extraction method, followed by varimax rotation. Factor analysis identified four factors that accounted for 63% of the 19 items total variance, named masticatory discomfort and disability (four items), psychological discomfort and disability (five items), social disability (five items) and oral pain and discomfort (five items). Four factors/domains of the Brazilian OHIP-EDENT version represent patient-important aspects of oral health-related quality of life.

Numerical analysis of an incremented statistical sampling procedure in MCNP

MCNP has stood so far as one of the main Monte Carlo radiation transport codes. Its use, as any other Monte Carlo based code, has increased as computers perform calculations faster and become more affordable along time. However, the use of Monte Carlo method to tally events in volumes which represent a small fraction of the whole system may turn to be unfeasible, if a straight analogue transport procedure (no use of variance reduction techniques) is employed and precise results are demanded. Calculations of reaction rates in activation foils placed in critical systems turn to be one of the mentioned cases. The present work takes advantage of the fixed source representation from MCNP to perform the above mentioned task in a more effective sampling way (characterizing neutron population in the vicinity of the tallying region and using it in a geometric reduced coupled simulation). An extended analysis of source dependent parameters is studied in order to understand their influence on simulation performance and on validity of results. Although discrepant results have been observed for small enveloping regions, the procedure presents itself as very efficient, giving adequate and precise results in shorter times than the standard analogue procedure. (C) 2007 Elsevier Ltd. All rights reserved.

Leverage analysis for linear mixed models

We consider a generalized leverage matrix useful for the identification of influential units and observations in linear mixed models and show how a decomposition of this matrix may be employed to identify high leverage points for both the marginal fitted values and the random effect component of the conditional fitted values. We illustrate the different uses of the two components of the decomposition with a simulated example as well as with a real data set.

Novel Statistical Methods in Quantitative Genetics : Modeling Genetic Variance for Quantitative Trait Loci Mapping and Genomic Evaluation

This thesis develops and evaluates statistical methods for different types of genetic analyses, including quantitative trait loci (QTL) analysis, genome-wide association study (GWAS), and genomic evaluation. The main contribution of the thesis is to provide novel insights in modeling genetic variance, especially via random effects models. In variance component QTL analysis, a full likelihood model accounting for uncertainty in the identity-by-descent (IBD) matrix was developed. It was found to be able to correctly adjust the bias in genetic variance component estimation and gain power in QTL mapping in terms of precision.  Double hierarchical generalized linear models, and a non-iterative simplified version, were implemented and applied to fit data of an entire genome. These whole genome models were shown to have good performance in both QTL mapping and genomic prediction. A re-analysis of a publicly available GWAS data set identified significant loci in Arabidopsis that control phenotypic variance instead of mean, which validated the idea of variance-controlling genes.  The works in the thesis are accompanied by R packages available online, including a general statistical tool for fitting random effects models (hglm), an efficient generalized ridge regression for high-dimensional data (bigRR), a double-layer mixed model for genomic data analysis (iQTL), a stochastic IBD matrix calculator (MCIBD), a computational interface for QTL mapping (qtl.outbred), and a GWAS analysis tool for mapping variance-controlling loci (vGWAS).

Genetic heterogeneity of within-family variance of body weight in Atlantic salmon (Salmo salar)

BACKGROUND: Canalization is defined as the stability of a genotype against minor variations in both environment and genetics. Genetic variation in degree of canalization causes heterogeneity of within-family variance. The aims of this study are twofold: (1) quantify genetic heterogeneity of (within-family) residual variance in Atlantic salmon and (2) test whether the observed heterogeneity of (within-family) residual variance can be explained by simple scaling effects. RESULTS: Analysis of body weight in Atlantic salmon using a double hierarchical generalized linear model (DHGLM) revealed substantial heterogeneity of within-family variance. The 95% prediction interval for within-family variance ranged from ~0.4 to 1.2 kg2, implying that the within-family variance of the most extreme high families is expected to be approximately three times larger than the extreme low families. For cross-sectional data, DHGLM with an animal mean sub-model resulted in severe bias, while a corresponding sire-dam model was appropriate. Heterogeneity of variance was not sensitive to Box-Cox transformations of phenotypes, which implies that heterogeneity of variance exists beyond what would be expected from simple scaling effects. CONCLUSIONS: Substantial heterogeneity of within-family variance was found for body weight in Atlantic salmon. A tendency towards higher variance with higher means (scaling effects) was observed, but heterogeneity of within-family variance existed beyond what could be explained by simple scaling effects. For cross-sectional data, using the animal mean sub-model in the DHGLM resulted in biased estimates of variance components, which differed substantially both from a standard linear mean animal model and a sire-dam DHGLM model. Although genetic differences in canalization were observed, selection for increased canalization is difficult, because there is limited individual information for the variance sub-model, especially when based on cross-sectional data. Furthermore, potential macro-environmental changes (diet, climatic region, etc.) may make genetic heterogeneity of variance a less stable trait over time and space.

Modelling dominance in a flexible intercross analysis

The aim of this paper is to develop a flexible model for analysis of quantitative trait loci (QTL) in outbred line crosses, which includes both additive and dominance effects. Our flexible intercross analysis (FIA) model accounts for QTL that are not fixed within founder lines and is based on the variance component framework. Genome scans with FIA are performed using a score statistic, which does not require variance component estimation. RESULTS: Simulations of a pedigree with 800 F2 individuals showed that the power of FIA including both additive and dominance effects was almost 50% for a QTL with equal allele frequencies in both lines with complete dominance and a moderate effect, whereas the power of a traditional regression model was equal to the chosen significance value of 5%. The power of FIA without dominance effects included in the model was close to those obtained for FIA with dominance for all simulated cases except for QTL with overdominant effects. A genome-wide linkage analysis of experimental data from an F2 intercross between Red Jungle Fowl and White Leghorn was performed with both additive and dominance effects included in FIA. The score values for chicken body weight at 200 days of age were similar to those obtained in FIA analysis without dominance. CONCLUSION: We have extended FIA to include QTL dominance effects. The power of FIA was superior, or similar, to standard regression methods for QTL effects with dominance. The difference in power for FIA with or without dominance is expected to be small as long as the QTL effects are not overdominant. We suggest that FIA with only additive effects should be the standard model to be used, especially since it is more computationally efficient.