Correlation postprocessing-based method for the detection of de focused images

We present a method to detect patterns in defocused scenes by means of a joint transform correlator. We describe analytically the correlation plane, and we also introduce an original procedure to recognize the target by postprocessing the correlation plane. The performance of the methodology when the defocused images are corrupted by additive noise is also considered.

Self-selection and risk selection on the Swiss health insurance market

Abstract This thesis presents three empirical studies in the field of health insurance in Switzerland. First we investigate the link between health insurance coverage and health care expenditures. We use claims data for over 60 000 adult individuals covered by a major Swiss Health Insurance Fund, followed for four years; the data show a strong positive correlation between coverage and expenditures. Two methods are developed and estimated in order to separate selection effects (due to individual choice of coverage) and incentive effects ("ex post moral hazard"). The first method uses the comparison between inpatient and outpatient expenditures to identify both effects and we conclude that both selection and incentive effects are significantly present in our data. The second method is based on a structural model of joint demand of health care and health insurance and makes the most of the change in the marginal cost of health care to identify selection and incentive effects. We conclude that the correlation between insurance coverage and health care expenditures may be decomposed into the two effects: 75% may be attributed to selection, and 25 % to incentive effects. Moreover, we estimate that a decrease in the coinsurance rate from 100% to 10% increases the marginal demand for health care by about 90% and from 100% to 0% by about 150%. Secondly, having shown that selection and incentive effects exist in the Swiss health insurance market, we present the consequence of this result in the context of risk adjustment. We show that if individuals choose their insurance coverage in function of their health status (selection effect), the optimal compensations should be function of the se- lection and incentive effects. Therefore, a risk adjustment mechanism which ignores these effects, as it is the case presently in Switzerland, will miss his main goal to eliminate incentives for sickness funds to select risks. Using a simplified model, we show that the optimal compensations have to take into account the distribution of risks through the insurance plans in case of self-selection in order to avoid incentives to select risks.Then, we apply our propositions to Swiss data and propose a simple econometric procedure to control for self-selection in the estimation of the risk adjustment formula in order to compute the optimal compensations.

Scaling and data collapse for the mean exit time of asset prices

We study theoretical and empirical aspects of the mean exit time (MET) of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a prefactor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both two-state and three-state Markov chain models. The analytical results obtained with the two-state Markov chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.

SPATIAL CORRELATION BETWEEN PHYSICAL PROPERTIES OF SOIL AND WEEDS IN TWO MANAGEMENT SYSTEMS

The spatial correlation between soil properties and weeds is relevant in agronomic and environmental terms. The analysis of this correlation is crucial for the interpretation of its meaning, for influencing factors such as dispersal mechanisms, seed production and survival, and the range of influence of soil management techniques. This study aimed to evaluate the spatial correlation between the physical properties of soil and weeds in no-tillage (NT) and conventional tillage (CT) systems. The following physical properties of soil and weeds were analyzed: soil bulk density, macroporosity, microporosity, total porosity, aeration capacity of soil matrix, soil water content at field capacity, weed shoot biomass, weed density, Commelina benghalensis density, and Bidens pilosa density. Generally, the ranges of the spatial correlations were higher in NT than in CT. The cross-variograms showed that many variables have a structure of combined spatial variation and can therefore be mapped from one another by co-kriging. This combined variation also allows inferences about the physical and biological meanings of the study variables. Results also showed that soil management systems influence the spatial dependence structure significantly.

Finite-size effects in nonequilibrium correlation functions

We have shown that finite-size effects in the correlation functions away from equilibrium may be introduced through dimensionless numbers: the Nusselt numbers, accounting for both the nature of the boundaries and the size of the system. From an analysis based on fluctuating hydrodynamics, we conclude that the mean-square fluctuations satisfy scaling laws, since they depend only on the dimensionless numbers in addition to reduced variables. We focus on the case of diffusion modes and describe some physical situations in which finite-size effects may be relevant.

Self and cross-velocity correlation functions and diffusion coefficients in liquids: a molecular dynamics study of binary mixtures of soft spheres

Molecular dynamics simulation is applied to the study of the diffusion properties in binary liquid mixtures made up of soft-sphere particles with different sizes and masses. Self- and distinct velocity correlation functions and related diffusion coefficients have been calculated. Special attention has been paid to the dynamic cross correlations which have been computed through recently introduced relative mean molecular velocity correlation functions which are independent on the reference frame. The differences between the distinct velocity correlations and diffusion coefficients in different reference frames (mass-fixed, number-fixed, and solvent-fixed) are discussed.

Topology of the world trade web

Economy, and consequently trade, is a fundamental part of human social organization which, until now, has not been studied within the network modeling framework. Here we present the first, to the best of our knowledge, empirical characterization of the world trade web, that is, the network built upon the trade relationships between different countries in the world. This network displays the typical properties of complex networks, namely, scale-free degree distribution, the small-world property, a high clustering coefficient, and, in addition, degree-degree correlation between different vertices. All these properties make the world trade web a complex network, which is far from being well described through a classical random network description.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

DEA does not like positive discrimination : a comparison of alternative models based on empirical data

Due to the existence of free software and pedagogical guides, the use of data envelopment analysis (DEA) has been further democratized in recent years. Nowadays, it is quite usual for practitioners and decision makers with no or little knowledge in operational research to run themselves their own efficiency analysis. Within DEA, several alternative models allow for an environment adjustment. Five alternative models, each of them easily accessible to and achievable by practitioners and decision makers, are performed using the empirical case of the 90 primary schools of the State of Geneva, Switzerland. As the State of Geneva practices an upstream positive discrimination policy towards schools, this empirical case is particularly appropriate for an environment adjustment. The alternative of the majority of DEA models deliver divergent results. It is a matter of concern for applied researchers and a matter of confusion for practitioners and decision makers. From a political standpoint, these diverging results could lead to potentially opposite decisions. Grâce à l'existence de logiciels en libre accès et de guides pédagogiques, la méthode data envelopment analysis (DEA) s'est démocratisée ces dernières années. Aujourd'hui, il n'est pas rare que les décideurs avec peu ou pas de connaissances en recherche opérationnelle réalisent eux-mêmes leur propre analyse d'efficience. A l'intérieur de la méthode DEA, plusieurs modèles permettent de tenir compte des conditions plus ou moins favorables de l'environnement. Cinq de ces modèles, facilement accessibles et applicables par les décideurs, sont utilisés pour mesurer l'efficience des 90 écoles primaires du canton de Genève, Suisse. Le canton de Genève pratiquant une politique de discrimination positive envers les écoles défavorisées, ce cas pratique est particulièrement adapté pour un ajustement à l'environnement. La majorité des modèles DEA génèrent des résultats divergents. Ce constat est préoccupant pour les chercheurs appliqués et perturbant pour les décideurs. D'un point de vue politique, ces résultats divergents conduisent à des prises de décision différentes selon le modèle sur lequel elles sont fondées.

From Empirical Bayes to Full Bayes: Methods for Analysing Traffice Safety Data, October 25, 2004

Traffic safety engineers are among the early adopters of Bayesian statistical tools for analyzing crash data. As in many other areas of application, empirical Bayes methods were their first choice, perhaps because they represent an intuitively appealing, yet relatively easy to implement alternative to purely classical approaches. With the enormous progress in numerical methods made in recent years and with the availability of free, easy to use software that permits implementing a fully Bayesian approach, however, there is now ample justification to progress towards fully Bayesian analyses of crash data. The fully Bayesian approach, in particular as implemented via multi-level hierarchical models, has many advantages over the empirical Bayes approach. In a full Bayesian analysis, prior information and all available data are seamlessly integrated into posterior distributions on which practitioners can base their inferences. All uncertainties are thus accounted for in the analyses and there is no need to pre-process data to obtain Safety Performance Functions and other such prior estimates of the effect of covariates on the outcome of interest. In this slight, fully Bayesian methods may well be less costly to implement and may result in safety estimates with more realistic standard errors. In this manuscript, we present the full Bayesian approach to analyzing traffic safety data and focus on highlighting the differences between the empirical Bayes and the full Bayes approaches. We use an illustrative example to discuss a step-by-step Bayesian analysis of the data and to show some of the types of inferences that are possible within the full Bayesian framework.

From Empirical Bayes to Full Bayes: Methods for Analyzubg Traffic Safey Data, October 25, 2004

Traffic safety engineers are among the early adopters of Bayesian statistical tools for analyzing crash data. As in many other areas of application, empirical Bayes methods were their first choice, perhaps because they represent an intuitively appealing, yet relatively easy to implement alternative to purely classical approaches. With the enormous progress in numerical methods made in recent years and with the availability of free, easy to use software that permits implementing a fully Bayesian approach, however, there is now ample justification to progress towards fully Bayesian analyses of crash data. The fully Bayesian approach, in particular as implemented via multi-level hierarchical models, has many advantages over the empirical Bayes approach. In a full Bayesian analysis, prior information and all available data are seamlessly integrated into posterior distributions on which practitioners can base their inferences. All uncertainties are thus accounted for in the analyses and there is no need to pre-process data to obtain Safety Performance Functions and other such prior estimates of the effect of covariates on the outcome of interest. In this light, fully Bayesian methods may well be less costly to implement and may result in safety estimates with more realistic standard errors. In this manuscript, we present the full Bayesian approach to analyzing traffic safety data and focus on highlighting the differences between the empirical Bayes and the full Bayes approaches. We use an illustrative example to discuss a step-by-step Bayesian analysis of the data and to show some of the types of inferences that are possible within the full Bayesian framework.

Task 4: Testing Iowa Portland Cement Concrete Mixtures for the AASHTO Mechanistic-Empirical Pavement Design Procedure, May 2008

The present research project was designed to identify the typical Iowa material input values that are required by the Mechanistic-Empirical Pavement Design Guide (MEPDG) for the Level 3 concrete pavement design. It was also designed to investigate the existing equations that might be used to predict Iowa pavement concrete for the Level 2 pavement design. In this project, over 20,000 data were collected from the Iowa Department of Transportation (DOT) and other sources. These data, most of which were concrete compressive strength, slump, air content, and unit weight data, were synthesized and their statistical parameters (such as the mean values and standard variations) were analyzed. Based on the analyses, the typical input values of Iowa pavement concrete, such as 28-day compressive strength (f’c), splitting tensile strength (fsp), elastic modulus (Ec), and modulus of rupture (MOR), were evaluated. The study indicates that the 28-day MOR of Iowa concrete is 646 + 51 psi, very close to the MEPDG default value (650 psi). The 28-day Ec of Iowa concrete (based only on two available data of the Iowa Curling and Warping project) is 4.82 + 0.28x106 psi, which is quite different from the MEPDG default value (3.93 x106 psi); therefore, the researchers recommend re-evaluating after more Iowa test data become available. The drying shrinkage (εc) of a typical Iowa concrete (C-3WR-C20 mix) was tested at Concrete Technology Laboratory (CTL). The test results show that the ultimate shrinkage of the concrete is about 454 microstrain and the time for the concrete to reach 50% of ultimate shrinkage is at 32 days; both of these values are very close to the MEPDG default values. The comparison of the Iowa test data and the MEPDG default values, as well as the recommendations on the input values to be used in MEPDG for Iowa PCC pavement design, are summarized in Table 20 of this report. The available equations for predicting the above-mentioned concrete properties were also assembled. The validity of these equations for Iowa concrete materials was examined. Multiple-parameters nonlinear regression analyses, along with the artificial neural network (ANN) method, were employed to investigate the relationships among Iowa concrete material properties and to modify the existing equations so as to be suitable for Iowa concrete materials. However, due to lack of necessary data sets, the relationships between Iowa concrete properties were established based on the limited data from CP Tech Center’s projects and ISU classes only. The researchers suggest that the resulting relationships be used by Iowa pavement design engineers as references only. The present study furthermore indicates that appropriately documenting concrete properties, including flexural strength, elastic modulus, and information on concrete mix design, is essential for updating the typical Iowa material input values and providing rational prediction equations for concrete pavement design in the future.

Tumors of the caruncle: a clinicopathologic correlation

PURPOSE: To determine the types and incidence of caruncular lesions and to investigate the correlation between clinical and histologic diagnosis. DESIGN: Retrospective, observational case series. METHODS: Records of patients with a lesion of the caruncle that was excised and submitted to our ocular pathology department between January 1979 and May 2005 were reviewed. Lesions were classified by histologic type and correlated with patient age, gender, and preoperative clinical diagnosis. RESULTS: A total of 195 consecutive caruncular lesions from 191 patients were identified. Twenty-four different types of lesions were identified; the most common were nevi (n = 92, 47%) and papillomas (n = 29, 15%). One keratoacanthoma was identified. One hundred eighty-three lesions (93.8%) were benign, six (3.1%) were premalignant, and five (2.6%) were malignant. Preoperative clinical diagnosis corresponded to postexcision histologic diagnosis in 73 cases (37.4%). Suspected malignancy was a common reason for excision (61 cases, 31.3%), but malignancy was confirmed in only three (4.9%) of 61 cases. Two of the five malignant lesions were clinically thought to be benign. CONCLUSIONS: We hereby report the first caruncular keratoacanthoma. The rarity and variety of caruncular lesions make clinical diagnosis difficult. Malignancy is clinically overestimated, and some malignant lesions can take a benign aspect, justifying close photographic follow-up of all lesions. Because caruncular malignant melanoma is associated with poor prognosis, pigmented lesions should be monitored carefully. In the absence of clear criteria for malignancy, any change in color, size, or vascularization of a caruncular lesion should hasten excision.

Empirical antifungal therapy in neutropaenic cancer patients with persistent fever

Invasive fungal infections are frequent and severe complications in leukaemic patients with prolonged neutropaenia. Empirical antifungal therapy has become the standard of care in patients with persistent fever despite treatment with broad-spectrum antibiotics. For decades amphotericin B deoxycholate has been the sole option for empirical antifungal therapy. Recently, several new antifungal agents became available. The choice of the most appropriate drug should be guided by efficacy and safety criteria. The recommendations from the First European Conference on Infections in Leukaemia (ECIL-1) on empirical antifungal therapy in neutropaenic cancer patients with persistent fever have been developed by an expert panel after assessment of clinical practices in Europe and evidence-based review of the literature. Many antifungal regimens can now be recommended for empirical therapy in neutropaenic cancer patients. However, persistent fever lacks specificity for initiation of therapy. Development of empirical and pre-emptive strategies using new clinical parameters, laboratory markers and imaging techniques for early diagnosis of invasive mycoses are needed.