The SEIQS stochastic epidemic model with external source of infection

This paper deals with a stochastic epidemic model for computer viruses with latent and quarantine periods, and two sources of infection: internal and external. All sojourn times are considered random variables which are assumed to be independent and exponentially distributed. For this model extinction and hazard times are analyzed, giving results for their Laplace transforms and moments. The transient behavior is considered by studying the number of times that computers are susceptible, exposed, infectious and quarantined during a period of time (0, t] and results for their joint and marginal distributions, moments and cross moments are presented. In order to give light this analysis, some numerical examples are showed.

The Relationship of Built Environment and Weather with Bike Share –Evidence from the Pronto Bike Share System in Seattle

Thesis (Master's)--University of Washington, 2016-06

Nonparametric Identication and Structural Estimation of Auction Models

Thesis (Ph.D.)--University of Washington, 2016-06

Forecasting with serially correlated regression models

In this article we investigate the asymptotic and finite-sample properties of predictors of regression models with autocorrelated errors. We prove new theorems associated with the predictive efficiency of generalized least squares (GLS) and incorrectly structured GLS predictors. We also establish the form associated with their predictive mean squared errors as well as the magnitude of these errors relative to each other and to those generated from the ordinary least squares (OLS) predictor. A large simulation study is used to evaluate the finite-sample performance of forecasts generated from models using different corrections for the serial correlation.

Modelling financial time series with switching state space models

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

On a distinction between casual and formative variable models:theoretical issues and practical implications for organizational researchers

Formative measurement has seen increasing acceptance in organizational research since the turn of the 21st Century. However, in more recent times, a number of criticisms of the formative approach have appeared. Such work argues that formatively-measured constructs are empirically ambiguous and thus flawed in a theory-testing context. The aim of the present paper is to examine the underpinnings of formative measurement theory in light of theories of causality and ontology in measurement in general. In doing so, a thesis is advanced which draws a distinction between reflective, formative, and causal theories of latent variables. This distinction is shown to be advantageous in that it clarifies the ontological status of each type of latent variable, and thus provides advice on appropriate conceptualization and application. The distinction also reconciles in part both recent supportive and critical perspectives on formative measurement. In light of this, advice is given on how most appropriately to model formative composites in theory-testing applications, placing the onus on the researcher to make clear their conceptualization and operationalisation.

Forecasting the UK/US exchange rate with divisia monetary models and neural networks

This paper compares the UK/US exchange rate forecasting performance of linear and nonlinear models based on monetary fundamentals, to a random walk (RW) model. Structural breaks are identified and taken into account. The exchange rate forecasting framework is also used for assessing the relative merits of the official Simple Sum and the weighted Divisia measures of money. Overall, there are four main findings. First, the majority of the models with fundamentals are able to beat the RW model in forecasting the UK/US exchange rate. Second, the most accurate forecasts of the UK/US exchange rate are obtained with a nonlinear model. Third, taking into account structural breaks reveals that the Divisia aggregate performs better than its Simple Sum counterpart. Finally, Divisia-based models provide more accurate forecasts than Simple Sum-based models provided they are constructed within a nonlinear framework.

Deconstructing phonological tasks:the contribution of stimulus and response type to the prediction of early decoding skills

Abstract Phonological tasks are highly predictive of reading development but their complexity obscures the underlying mechanisms driving this association. There are three key components hypothesised to drive the relationship between phonological tasks and reading; (a) the linguistic nature of the stimuli, (b) the phonological complexity of the stimuli, and (c) the production of a verbal response. We isolated the contribution of the stimulus and response components separately through the creation of latent variables to represent specially designed tasks that were matched for procedure. These tasks were administered to 570 6 to 7-year-old children along with standardised tests of regular word and non-word reading. A structural equation model, where tasks were grouped according to stimulus, revealed that the linguistic nature and the phonological complexity of the stimulus predicted unique variance in decoding, over and above matched comparison tasks without these components. An alternative model, grouped according to response mode, showed that the production of a verbal response was a unique predictor of decoding beyond matched tasks without a verbal response. In summary, we found that multiple factors contributed to reading development, supporting multivariate models over those that prioritize single factors. More broadly, we demonstrate the value of combining matched task designs with latent variable modelling to deconstruct the components of complex tasks.

The MIMIC model and formative variables:problems and solutions

The use of the multiple indicators, multiple causes model to operationalize formative variables (the formative MIMIC model) is advocated in the methodological literature. Yet, contrary to popular belief, the formative MIMIC model does not provide a valid method of integrating formative variables into empirical studies and we recommend discarding it from formative models. Our arguments rest on the following observations. First, much formative variable literature appears to conceptualize a causal structure between the formative variable and its indicators which can be tested or estimated. We demonstrate that this assumption is illogical, that a formative variable is simply a researcher-defined composite of sub-dimensions, and that such tests and estimates are unnecessary. Second, despite this, researchers often use the formative MIMIC model as a means to include formative variables in their models and to estimate the magnitude of linkages between formative variables and their indicators. However, the formative MIMIC model cannot provide this information since it is simply a model in which a common factor is predicted by some exogenous variables—the model does not integrate within it a formative variable. Empirical results from such studies need reassessing, since their interpretation may lead to inaccurate theoretical insights and the development of untested recommendations to managers. Finally, the use of the formative MIMIC model can foster fuzzy conceptualizations of variables, particularly since it can erroneously encourage the view that a single focal variable is measured with formative and reflective indicators. We explain these interlinked arguments in more detail and provide a set of recommendations for researchers to consider when dealing with formative variables.

A Critical Review of the Implied Cost of Equity: A New Way to Estimate the Expected Return

For the last three decades, the Capital Asset Pricing Model (CAPM) has been a dominant model to calculate expected return. In early 1990% Fama and French (1992) developed the Fama and French Three Factor model by adding two additional factors to the CAPM. However even with these present models, it has been found that estimates of the expected return are not accurate (Elton, 1999; Fama &French, 1997). Botosan (1997) introduced a new approach to estimate the expected return. This approach employs an equity valuation model to calculate the internal rate of return (IRR) which is often called, 'implied cost of equity capital" as a proxy of the expected return. This approach has been gaining in popularity among researchers. A critical review of the literature will help inform hospitality researchers regarding the issue and encourage them to implement the new approach into their own studies.

Out-of-equilibrium dynamical fluctuations in glassy systems

"In this paper we extend the earlier treatment of out-of-equilibrium mesoscopic fluctuations in glassy systems in several significant ways. First, via extensive simulations, we demonstrate that models of glassy behavior without quenched disorder display scalings of the probability of local two-time correlators that are qualitatively similar to that of models with short-ranged quenched interactions. The key ingredient for such scaling properties is shown to be the development of a criticallike dynamical correlation length, and not other microscopic details. This robust data collapse may be described in terms of a time-evolving "extreme value" distribution. We develop a theory to describe both the form and evolution of these distributions based on a effective sigma model approach."

Linking environmental variables with regional- scale variability in ecological structure and standing stock of carbon within UK kelp forests

Kelp forests represent some of the most productive and diverse habitats on Earth. Understanding drivers of ecological patterns at large spatial scales is critical for effective management and conservation of marine habitats. We surveyed kelp forests dominated by Laminaria hyperborea (Gunnerus) Foslie 1884 across 9° latitude and >1000 km of coastline and measured a number of physical parameters at multiple scales to link ecological structure and standing stock of carbon with environmental variables. Kelp density, biomass, morphology and age were generally greater in exposed sites within regions, highlighting the importance of wave exposure in structuring L. hyperborea populations. At the regional scale, wave-exposed kelp canopies in the cooler regions (the north and west of Scotland) were greater in biomass, height and age than in warmer regions (southwest Wales and England). The range and maximal values of estimated standing stock of carbon contained within kelp forests was greater than in historical studies, suggesting that this ecosystem property may have been previously undervalued. Kelp canopy density was positively correlated with large-scale wave fetch and fine-scale water motion, whereas kelp canopy biomass and the standing stock of carbon were positively correlated with large-scale wave fetch and light levels and negatively correlated with temperature. As light availability and summer temperature were important drivers of kelp forest biomass, effective management of human activities that may affect coastal water quality is necessary to maintain ecosystem functioning, while increased temperatures related to anthropogenic climate change may impact the structure of kelp forests and the ecosystem services they provide.

Linking environmental variables with regional- scale variability in ecological structure and standing stock of carbon within UK kelp forests

Kelp forests represent some of the most productive and diverse habitats on Earth. Understanding drivers of ecological patterns at large spatial scales is critical for effective management and conservation of marine habitats. We surveyed kelp forests dominated by Laminaria hyperborea (Gunnerus) Foslie 1884 across 9° latitude and >1000 km of coastline and measured a number of physical parameters at multiple scales to link ecological structure and standing stock of carbon with environmental variables. Kelp density, biomass, morphology and age were generally greater in exposed sites within regions, highlighting the importance of wave exposure in structuring L. hyperborea populations. At the regional scale, wave-exposed kelp canopies in the cooler regions (the north and west of Scotland) were greater in biomass, height and age than in warmer regions (southwest Wales and England). The range and maximal values of estimated standing stock of carbon contained within kelp forests was greater than in historical studies, suggesting that this ecosystem property may have been previously undervalued. Kelp canopy density was positively correlated with large-scale wave fetch and fine-scale water motion, whereas kelp canopy biomass and the standing stock of carbon were positively correlated with large-scale wave fetch and light levels and negatively correlated with temperature. As light availability and summer temperature were important drivers of kelp forest biomass, effective management of human activities that may affect coastal water quality is necessary to maintain ecosystem functioning, while increased temperatures related to anthropogenic climate change may impact the structure of kelp forests and the ecosystem services they provide.

Cross-section and panel estimates of peer effects in early adolescent cannabis use: With a little help from my ‘friends once removed’

Peer effects in adolescent cannabis are difficult to estimate, due in part to the lack of appropriate data on behaviour and social ties. This paper exploits survey data that have many desirable properties and have not previously been used for this purpose. The data set, collected from teenagers in three annual waves from 2002-2004 contains longitudinal information about friendship networks within schools (N = 5,020). We exploit these data on network structure to estimate peer effects on adolescents from their nominated friends within school using two alternative approaches to identification. First, we present a cross-sectional instrumental variable (IV) estimate of peer effects that exploits network structure at the second degree, i.e. using information on friends of friends who are not themselves ego’s friends to instrument for the cannabis use of friends. Second, we present an individual fixed effects estimate of peer effects using the full longitudinal structure of the data. Both innovations allow a greater degree of control for correlated effects than is commonly the case in the substance-use peer effects literature, improving our chances of obtaining estimates of peer effects than can be plausibly interpreted as causal. Both estimates suggest positive peer effects of non-trivial magnitude, although the IV estimate is imprecise. Furthermore, when we specify identical models with behaviour and characteristics of randomly selected school peers in place of friends’, we find effectively zero effect from these ‘placebo’ peers, lending credence to our main estimates. We conclude that cross-sectional data can be used to estimate plausible positive peer effects on cannabis use where network structure information is available and appropriately exploited.

FX modelling under collateralization

We present the market practice for interest rate yield curves construction and pricing interest rate derivatives. Then we give a brief description of the Vasicek and the Hull-White models, with an example of calibration to market data. We generalize the classical Black-Scholes-Merton pricing formulas, considering more general cases such as perfect or partial collateral, derivatives on a dividend paying asset subject to repo funding, and multiple currencies. Finally we derive generic pricing formulae for different combinations of cash flow and collateral currencies, and we apply the results to the pricing of FX swaps and CCS, and we discuss curve bootstrapping.