815 resultados para Volatility clustering
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The spatial pattern of cellular neurofibrillary tangles (NFT) was studied in the supra- and infragranular layers of various cortical regions in cases of Alzheimer's disease (AD). The objective was to test the hypothesis that NFT formation was associated with the cells of origin of specific cortico-cortical projections. The novel feature of the study was that pattern analysis enabled the dimension and spacing of NFT clusters along the cortical ribbon to be estimated. In the majority of brain regions studied, NFT occurred in clusters of neurons which were regularly spaced along the cortical strip. This pattern is consistent with the predicted distribution of the cells of origin of specific cortico-cortico projections. Mean NFT cluster size varied from 250 to > 12800 microns in different cortical tissues suggesting either variation in the size of the cell clusters or a dynamic process in the development of NFT in relation to these cell clusters. The formation of NFT in cell clusters which may give rise to the feed-forward and feed-back cortico-cortical projections suggests a possible route of spread of NFT pathology in AD between cortical regions and from the cortex to subcortical areas.
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The spatial distribution patterns of the diffuse, primitive, and classic beta-amyloid (Abeta) deposits were studied in areas of the medial temporal lobe in 12 cases of Down's Syndrome (DS) 35 to 67 years of age. Large clusters of diffuse deposits were present in the youngest patients; cluster size then declined with patient age but increased again in the oldest patients. By contrast, the cluster sizes of the primitive and classic deposits increased with age to a maximum in patients 45 to 55 and 60 years of age respectively and declined in size in the oldest patients. In the parahippocampal gyrus (PHG), the clusters of the primitive deposits were most highly clustered in cases of intermediate age. The data suggest a developmental sequence in DS in which Abeta is deposited initially in the form of large clusters of diffuse deposits that are then gradually replaced by clusters of primitive and classic deposits. The oldest patients were an exception to this sequence in that the pattern of clustering resembled that of the youngest patients.
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Clustering of cellular neurofibrillary tangles (NFT) was studied in the cerebral cortex and hippocampus in cases of Alzheimer’s disease (AD) using a regression method. The objective of the study was to test the hypothesis that clustering of NFTs reflects the degeneration of the cortico-cortical pathways. In 25/38 (66%) of analyses of individual brain areas, a significant peak to trough and peak to peak distance was obtained suggesting that the clusters of NFTs were regularly distributed in bands parallel to the tissue boundary. In analyses of cortical tissues with regularly distributed clusters, peak to peak distance was between 1000 and 1600 microns in 13/24 (54%) of analyses, >1600 microns in 10/24 (42%) and <1000 microns in 1/24 (4%) of analyses. A regular distribution of NFT clusters was less evident in the CA sectors of the hippocampus than in the cortex. Hence, in a significant proportion of brain areas, the spacing of NFT clusters along the cerebral cortex was consistent with the predicted distribution of the cells of origin of specific cortico-cortical projections. However, in many brain regions, the sizes of the NFT clusters were larger than predicted which may be attributable to the spread of NFTs to adjacent groups of cells as the disease progresses.
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Analyzing geographical patterns by collocating events, objects or their attributes has a long history in surveillance and monitoring, and is particularly applied in environmental contexts, such as ecology or epidemiology. The identification of patterns or structures at some scales can be addressed using spatial statistics, particularly marked point processes methodologies. Classification and regression trees are also related to this goal of finding "patterns" by deducing the hierarchy of influence of variables on a dependent outcome. Such variable selection methods have been applied to spatial data, but, often without explicitly acknowledging the spatial dependence. Many methods routinely used in exploratory point pattern analysis are2nd-order statistics, used in a univariate context, though there is also a wide literature on modelling methods for multivariate point pattern processes. This paper proposes an exploratory approach for multivariate spatial data using higher-order statistics built from co-occurrences of events or marks given by the point processes. A spatial entropy measure, derived from these multinomial distributions of co-occurrences at a given order, constitutes the basis of the proposed exploratory methods. © 2010 Elsevier Ltd.
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We investigate the sensitivity of a Markov model with states and transition probabilities obtained from clustering a molecular dynamics trajectory. We have examined a 500 ns molecular dynamics trajectory of the peptide valine-proline-alanine-leucine in explicit water. The sensitivity is quantified by varying the boundaries of the clusters and investigating the resulting variation in transition probabilities and the average transition time between states. In this way, we represent the effect of clustering using different clustering algorithms. It is found that in terms of the investigated quantities, the peptide dynamics described by the Markov model is sensitive to the clustering; in particular, the average transition times are found to vary up to 46%. Moreover, inclusion of nonphysical sparsely populated clusters can lead to serious errors of up to 814%. In the investigation, the time step used in the transition matrix is determined by the minimum time scale on which the system behaves approximately Markovian. This time step is found to be about 100 ps. It is concluded that the description of peptide dynamics with transition matrices should be performed with care, and that using standard clustering algorithms to obtain states and transition probabilities may not always produce reliable results.
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We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France. © 2013 Elsevier B.V.
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Magnetoencephalography (MEG), a non-invasive technique for characterizing brain electrical activity, is gaining popularity as a tool for assessing group-level differences between experimental conditions. One method for assessing task-condition effects involves beamforming, where a weighted sum of field measurements is used to tune activity on a voxel-by-voxel basis. However, this method has been shown to produce inhomogeneous smoothness differences as a function of signal-to-noise across a volumetric image, which can then produce false positives at the group level. Here we describe a novel method for group-level analysis with MEG beamformer images that utilizes the peak locations within each participant's volumetric image to assess group-level effects. We compared our peak-clustering algorithm with SnPM using simulated data. We found that our method was immune to artefactual group effects that can arise as a result of inhomogeneous smoothness differences across a volumetric image. We also used our peak-clustering algorithm on experimental data and found that regions were identified that corresponded with task-related regions identified in the literature. These findings suggest that our technique is a robust method for group-level analysis with MEG beamformer images.
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This article examines the relationship between financial liberalization and stock market volatility in Indonesia. By looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which coincide with the timing of major policy events. Our main findings are (i) a significant decrease in volatility after the 'official' opening of the stock market to foreign participation; (ii) a significant increase in volatility in the year before market opening following reforms that eased entry requirements and the issuance of brokerage licenses and (iii) a significant increase in volatility at the time of the Asian crisis followed by a significant decrease in the second and sixth years after the crisis.
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This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances in the econometrics of structural change, it compares the distribution of the returns of five East Asian emerging markets when breaks in the mean and variance are either (i) imposed using certain official liberalisation dates or (ii) detected non-parametrically using a data-driven procedure. The results suggest that measuring deviations from normality of stock returns with no provision for potentially existing breaks incorporates substantial bias. This is likely to severely affect any inference based on the corresponding descriptive or test statistics.
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Web document cluster analysis plays an important role in information retrieval by organizing large amounts of documents into a small number of meaningful clusters. Traditional web document clustering is based on the Vector Space Model (VSM), which takes into account only two-level (document and term) knowledge granularity but ignores the bridging paragraph granularity. However, this two-level granularity may lead to unsatisfactory clustering results with “false correlation”. In order to deal with the problem, a Hierarchical Representation Model with Multi-granularity (HRMM), which consists of five-layer representation of data and a twophase clustering process is proposed based on granular computing and article structure theory. To deal with the zero-valued similarity problemresulted from the sparse term-paragraphmatrix, an ontology based strategy and a tolerance-rough-set based strategy are introduced into HRMM. By using granular computing, structural knowledge hidden in documents can be more efficiently and effectively captured in HRMM and thus web document clusters with higher quality can be generated. Extensive experiments show that HRMM, HRMM with tolerancerough-set strategy, and HRMM with ontology all outperform VSM and a representative non VSM-based algorithm, WFP, significantly in terms of the F-Score.
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Emerging vehicular comfort applications pose a host of completely new set of requirements such as maintaining end-to-end connectivity, packet routing, and reliable communication for internet access while on the move. One of the biggest challenges is to provide good quality of service (QoS) such as low packet delay while coping with the fast topological changes. In this paper, we propose a clustering algorithm based on minimal path loss ratio (MPLR) which should help in spectrum efficiency and reduce data congestion in the network. The vehicular nodes which experience minimal path loss are selected as the cluster heads. The performance of the MPLR clustering algorithm is calculated by rate of change of cluster heads, average number of clusters and average cluster size. Vehicular traffic models derived from the Traffic Wales data are fed as input to the motorway simulator. A mathematical analysis for the rate of change of cluster head is derived which validates the MPLR algorithm and is compared with the simulated results. The mathematical and simulated results are in good agreement indicating the stability of the algorithm and the accuracy of the simulator. The MPLR system is also compared with V2R system with MPLR system performing better. © 2013 IEEE.
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Energy price is related to more than half of the total life cycle cost of asphalt pavements. Furthermore, the fluctuation related to price of energy has been much higher than the general inflation and interest rate. This makes the energy price inflation an important variable that should be addressed when performing life cycle cost (LCC) studies re- garding asphalt pavements. The present value of future costs is highly sensitive to the selected discount rate. Therefore, the choice of the discount rate is the most critical element in LCC analysis during the life time of a project. The objective of the paper is to present a discount rate for asphalt pavement projects as a function of interest rate, general inflation and energy price inflation. The discount rate is defined based on the portion of the energy related costs during the life time of the pavement. Consequently, it can reflect the financial risks related to the energy price in asphalt pavement projects. It is suggested that a discount rate sensitivity analysis for asphalt pavements in Sweden should range between –20 and 30%.
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This paper clarifies the role of alternative optimal solutions in the clustering of multidimensional observations using data envelopment analysis (DEA). The paper shows that alternative optimal solutions corresponding to several units produce different groups with different sizes and different decision making units (DMUs) at each class. This implies that a specific DMU may be grouped into different clusters when the corresponding DEA model has multiple optimal solutions. © 2011 Elsevier B.V. All rights reserved.
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