957 resultados para Multivariate volatility models


Relevância:

80.00% 80.00%

Publicador:

Resumo:

Multivariate predictive models are widely used tools for assessment of aquatic ecosystem health and models have been successfully developed for the prediction and assessment of aquatic macroinvertebrates, diatoms, local stream habitat features and fish. We evaluated the ability of a modelling method based on the River InVertebrate Prediction and Classification System (RIVPACS) to accurately predict freshwater fish assemblage composition and assess aquatic ecosystem health in rivers and streams of south-eastern Queensland, Australia. The predictive model was developed, validated and tested in a region of comparatively high environmental variability due to the unpredictable nature of rainfall and river discharge. The model was concluded to provide sufficiently accurate and precise predictions of species composition and was sensitive enough to distinguish test sites impacted by several common types of human disturbance (particularly impacts associated with catchment land use and associated local riparian, in-stream habitat and water quality degradation). The total number of fish species available for prediction was low in comparison to similar applications of multivariate predictive models based on other indicator groups, yet the accuracy and precision of our model was comparable to outcomes from such studies. In addition, our model developed for sites sampled on one occasion and in one season only (winter), was able to accurately predict fish assemblage composition at sites sampled during other seasons and years, provided that they were not subject to unusually extreme environmental conditions (e.g. extended periods of low flow that restricted fish movement or resulted in habitat desiccation and local fish extinctions).

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Purpose – The purpose of this paper is to examine the effect of superstars (and other factors) on football fans’ attraction to competition (i.e. disloyal behavior). Design/methodology/approach – A proprietary data set including archival data on professional German football players and clubs as well as survey data of more than 900 football fans is used. The hypotheses are tested with two-sample mean-comparison t-tests and multivariate probit models. Findings – This study provides evidence that superstars both attract new fans and contribute to the retention of existing fans. While the presence of superstars, team loyalty and team identification prevent football fans from being attracted to competition, the team's recent performance seems to have no effect. Fans who select their favorite player from a competing team rather choose superstars, young players, players who are known for exemplary behavior and defenders. Originality/value – This paper contributes to existing research by expanding the list of antecedents of disloyalty and by being the first to employ independent, quantitative data for the assessment of superstar characteristics in the context of team loyalty.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

The robustness of multivariate calibration models, based on near infrared spectroscopy, for the assessment of total soluble solids (TSS) and dry matter (DM) of intact mandarin fruit (Citrus reticulata cv. Imperial) was assessed. TSS calibration model performance was validated in terms of prediction of populations of fruit not in the original population (different harvest days from a single tree, different harvest localities, different harvest seasons). Of these, calibration performance was most affected by validation across seasons (signal to noise statistic on root mean squared error of prediction of 3.8, compared with 20 and 13 for locality and harvest day, respectively). Procedures for sample selection from the validation population for addition to the calibration population (‘model updating’) were considered for both TSS and DM models. Random selection from the validation group worked as well as more sophisticated selection procedures, with approximately 20 samples required. Models that were developed using samples at a range of temperatures were robust in validation for TSS and DM.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Near infrared spectroscopy (NIRS) can be used for the on-line, non-invasive assessment of fruit for eating quality attributes such as total soluble solids (TSS). The robustness of multivariate calibration models, based on NIRS in a partial transmittance optical geometry, for the assessment of TSS of intact rockmelons (Cucumis melo) was assessed. The mesocarp TSS was highest around the fruit equator and increased towards the seed cavity. Inner mesocarp TSS levels decreased towards both the proximal and distal ends of the fruit, but more so towards the proximal end. The equatorial region of the fruit was chosen as representative of the fruit for near infrared assessment of TSS. The spectral window for model development was optimised at 695-1045 nm, and the data pre-treatment procedure was optimised to second-derivative absorbance without scatter correction. The 'global' modified partial least squares (MPLS) regression modelling procedure of WINISI (ver. 1.04) was found to be superior with respect to root mean squared error of prediction (RMSEP) and bias for model predictions of TSS across seasons, compared with the 'local' MPLS regression procedure. Updating of the model with samples selected randomly from the independent validation population demonstrated improvement in both RMSEP and bias with addition of approximately 15 samples.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Open-pollinated progeny of Corymbia citriodora established in replicated field trials were assessed for stem diameter, wood density, and pulp yield prior to genotyping single nucleotide polymorphisms (SNP) and testing the significance of associations between markers and assessment traits. Multiple individuals within each family were genotyped and phenotyped, which facilitated a comparison of standard association testing methods and an alternative method developed to relate markers to additive genetic effects. Narrow-sense heritability estimates indicated there was significant additive genetic variance within this population for assessment traits ( h ˆ 2 =0.28to0.44 ) and genetic correlations between the three traits were negligible to moderate (r G = 0.08 to 0.50). The significance of association tests (p values) were compared for four different analyses based on two different approaches: (1) two software packages were used to fit standard univariate mixed models that include SNP-fixed effects, (2) bivariate and multivariate mixed models including each SNP as an additional selection trait were used. Within either the univariate or multivariate approach, correlations between the tests of significance approached +1; however, correspondence between the two approaches was less strong, although between-approach correlations remained significantly positive. Similar SNP markers would be selected using multivariate analyses and standard marker-trait association methods, where the former facilitates integration into the existing genetic analysis systems of applied breeding programs and may be used with either single markers or indices of markers created with genomic selection processes.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Frictions are factors that hinder trading of securities in financial markets. Typical frictions include limited market depth, transaction costs, lack of infinite divisibility of securities, and taxes. Conventional models used in mathematical finance often gloss over these issues, which affect almost all financial markets, by arguing that the impact of frictions is negligible and, consequently, the frictionless models are valid approximations. This dissertation consists of three research papers, which are related to the study of the validity of such approximations in two distinct modeling problems. Models of price dynamics that are based on diffusion processes, i.e., continuous strong Markov processes, are widely used in the frictionless scenario. The first paper establishes that diffusion models can indeed be understood as approximations of price dynamics in markets with frictions. This is achieved by introducing an agent-based model of a financial market where finitely many agents trade a financial security, the price of which evolves according to price impacts generated by trades. It is shown that, if the number of agents is large, then under certain assumptions the price process of security, which is a pure-jump process, can be approximated by a one-dimensional diffusion process. In a slightly extended model, in which agents may exhibit herd behavior, the approximating diffusion model turns out to be a stochastic volatility model. Finally, it is shown that when agents' tendency to herd is strong, logarithmic returns in the approximating stochastic volatility model are heavy-tailed. The remaining papers are related to no-arbitrage criteria and superhedging in continuous-time option pricing models under small-transaction-cost asymptotics. Guasoni, Rásonyi, and Schachermayer have recently shown that, in such a setting, any financial security admits no arbitrage opportunities and there exist no feasible superhedging strategies for European call and put options written on it, as long as its price process is continuous and has the so-called conditional full support (CFS) property. Motivated by this result, CFS is established for certain stochastic integrals and a subclass of Brownian semistationary processes in the two papers. As a consequence, a wide range of possibly non-Markovian local and stochastic volatility models have the CFS property.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Este artículo tiene como principal objetivo estudiar los determinantes de la autopercepción de felicidad en la Argentina entre 2005 y 2007, utilizando información de la Encuesta de la Deuda Social Argentina (EDSA) relevada por la Universidad Católica Argentina (UCA). El estudio se lleva a cabo mediante un análisis estadístico descriptivo y una serie de modelos econométricos multivariados de tipo logit ordenado que permitieron identificar la percepción de suficientes determinantes que afectan la autopercepción de felicidad de manera positiva y estadísticamente significativa: el ingreso; el estado de salud autopercibido; el empleo y su calidad; el estado civil; la cantidad de hijos en el hogar; la menor discriminación percibida; estar en comunión con Dios; y el tiempo libre.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Single nucleotide polymorphisms (SNPs) in the promoter region of FAS and FASLG may alter their transcriptional activity. Thus, we determined the associations between four FAS and FASLG promoter variants (FAS1377G>A, rs2234767; 670A>G, rs1800682; FASLG844T>C, rs763110 and 124A>G, rs5030772) and the risk of recurrence of squamous cell carcinoma of the oropharynx (SCCOP). We evaluated the associations between FAS and FASLG genetic variants and the risk of recurrence in a cohort of 1,008 patients. The log-rank test and multivariate Cox models were used to evaluate the associations. Compared with patients with common homozygous genotypes of FAS670 and FASLG844 polymorphisms, patients with variant genotypes had lower disease-free survival rates (log-rank p < 0.0001 and p < 0.0001, respectively) and an approximately threefold higher risk of SCCOP recurrence (HR, 3.2;95% CI, 2.2-4.6; and HR, 3.1; 95% CI, 2.2-4.4, respectively) after multivariate adjustment. Furthermore, among patients with HPV16-positive tumors, those with variant genotypes of these two polymorphisms had lower disease-free survival rates (log-rank, p < 0.0001 and p < 0.0001, respectively) and a higher recurrence risk than did patients with common homozygous genotypes (HR, 12.9; 95% CI, 3.8-43.6; and HR, 8.1; 95% CI, 3.6-18.6, respectively), whereas no significant associations were found for FAS1377 and FASLG124 polymorphisms. Our findings suggest that FAS670 and FASLG844 polymorphisms modulate the risk of recurrence of SCCOP, particularly in patients with HPV16-positive tumors. Larger studies are needed to validate these results.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

According to Marshall’s agglomeration theory, Krugman’s New Economic Geography models, and Porter’s cluster policies, firms should receive increasing returns from a trinity of agglomeration economies: a local pool of skilled labour, local supplier linkages, and local knowledge spillovers. Recent evolutionary theories suggest that whether agglomeration economies generate increasing returns or diminishing returns depends on time, and especially the evolution of the industry life cycle. At the start of the twenty-first century, we re-examine Marshall’s trinity of agglomeration economies in the city-region where he discovered them. The econometric results from our multivariate regression models are the polar opposite of Marshall’s. During the later stages of the industry life cycle, Marshall’s agglomeration economies decrease the economic performance of firms and create widespread diminishing returns for the economic development of the city-region, which has evolved to become one of the poorest city-regions in Europe.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Objective

To examine whether students’ school engagement, relationships with teachers, educational aspirations and involvement in fights at school are associated with various measures of subsequent substance use.
Methods

Data were drawn from the Belfast Youth Development Study (n = 2968). Multivariate logistic models examined associations between school-related factors (age 13/14) and substance use (age 15/16).
Results

The two factors which were consistently and independently associated with regular substance use among both males and females were student–teacher relationships and fighting at school: positive teacher-relationships reduced the risk of daily smoking by 48%, weekly drunkenness by 25%, and weekly cannabis use by 52%; being in a fight increased the risk of daily smoking by 54%, weekly drunkenness by 31%, and weekly cannabis use by 43%. School disengagement increased the likelihood of smoking and cannabis use among females only.
Conclusion

Further research should focus on public health interventions promoting positive relationships and safety at school.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Aim: To determine if serum pigment epithelium-derived factor (PEDF) levels in Type 2 diabetes are related to vascular risk factors and renal function. Methods: PEDF was quantified by ELISA in a cross-sectional study of 857 male Veterans Affairs Diabetes Trial (VADT) subjects, and associations with cardiovascular risk factors and renal function were determined. In a subset (n = 246) in whom serum was obtained early in the VADT (2.0 ± 0.3 years post-randomization), PEDF was related to longitudinal changes in renal function over 3.1 years. Results: Cross-sectional study: In multivariate regression models, PEDF was positively associated with serum triglycerides, waist-to-hip ratio, serum creatinine, use of ACE inhibitors or angiotensin receptor blockers, and use of lipid-lowering agents; it was negatively associated with HDL-C (all p < 0.05). Longitudinal study: PEDF was not associated with changes in renal function over 3.1 years (p > 0.09). Conclusions: Serum PEDF in Type 2 diabetic men was cross-sectionally associated with dyslipidemia, body habitus, use of common drugs for blood pressure and dyslipidemia, and indices of renal function; however, PEDF was not associated with renal decline over 3.1 years.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Purpose: To study associations between strabismus and alcohol use, anxiety, and depression among 10- to 17-year-old children in Guangdong, southern China. Design: Cross-sectional, population-based study. Methods: Among 7537 children aged 6-17 years from 9 randomly selected primary and middle schools, ocular alignment was assessed with the Hirschberg light reflex, cover-uncover testing, and alternate cover testing at distance (6 m) and near (40 cm). Additionally, 4000 children (53.1%) aged 10+ years received self-administered questionnaires containing screening questions on alcohol use, anxiety, and depression. Results: Examinations were completed on 7464 of 7537 subjects (99.0%), including 3928 boys (52.6%), with a mean age of 11.1 ± 1.8 years. The prevalence of any strabismus, including exotropia (2.7%), esotropia (0.2%), and intermittent exotropia (3.9%), was 6.8%. Strabismus was more prevalent in urban students (7.3%) and female subjects (7.4%) compared to rural students (6.0%) and male subjects (6.2%) (all P <.05). In multivariate regression models, any strabismus was associated with older age and rural vs urban residence. Among 3903 children (97.6%) answering questionnaires, history of alcohol use (62.3% vs 36.3%) and positive screening responses for depression (26.0% vs 11.6%) and anxiety (10.3% vs 4.9%) were significantly (P <.01 for all) more common among children with strabismus. Conclusion: These Chinese children with strabismus had a significantly higher prevalence of alcohol use and possible markers of emotional problems than children without strabismus. Further research should focus on the appropriateness of classifying surgical treatment for strabismus as "cosmetic" (ineligible for reimbursement) under China's rural health insurance.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

PURPOSE: To study the prevalence and determinants of compliance with spectacle wear among school-age children in Oaxaca, Mexico, who were provided spectacles free of charge. METHODS: A cohort of 493 children aged 5 to 18 years chosen by random cluster sampling from primary and secondary schools in Oaxaca, Mexico, all of whom had received free spectacles through a local program, underwent unannounced, direct examination to determine compliance with spectacle wear within 18 months after initial provision of spectacles. Potential determinants of spectacle wear including age, gender, urban versus rural residence, presenting visual acuity, refractive error, and time since dispensing of the spectacles were examined in univariate and multivariate regression models. Children not currently wearing their spectacles were asked to select the reason from a list of possibilities, and reasons for noncompliance were analyzed within different demographic groups. RESULTS: Among this sample of children with a mean age of 10.4 +/- 2.6 years, the majority (74.5%) of whom were myopic (spherical equivalent [SE] < or = -0.50 D), 13.4% (66/493) were wearing their spectacles at the time of examination. An additional 34% (169/493) had the spectacles with them but were not wearing them. In regression models, the odds of spectacle wear were significantly higher among younger (OR = 1.19 per year of age; 95% CI, 1.05-1.33) rural (OR = 10.6; 95% CI, 5.3-21.0) children and those with myopia < or = -1.25 D (OR = 3.97; 95% CI, 1.98-7.94). The oldest children and children in urban-suburban areas were significantly more likely to list concerns about the appearance of the glasses or about being teased than were younger, rurally resident children. CONCLUSIONS: Compliance with spectacle wear may be very low, even when spectacles are provided free of charge, particularly among older, urban children, who have been shown in many populations to have the highest prevalence of myopia. As screening programs for refractive error become increasingly common throughout the world, new strategies are needed to improve compliance if program resources are to be maximized.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

Chapter 1 introduces the scope of the work by identifying the clinically relevant prenatal disorders and presently available diagnostic methods. The methodology followed in this work is presented, along with a brief account of the principles of the analytical and statistical tools employed. A thorough description of the state of the art of metabolomics in prenatal research concludes the chapter, highlighting the merit of this novel strategy to identify robust disease biomarkers. The scarce use of maternal and newborn urine in previous reports enlightens the relevance of this work. Chapter 2 presents a description of all the experimental details involved in the work performed, comprising sampling, sample collection and preparation issues, data acquisition protocols and data analysis procedures. The proton Nuclear Magnetic Resonance (NMR) characterization of maternal urine composition in healthy pregnancies is presented in Chapter 3. The urinary metabolic profile characteristic of each pregnancy trimester was defined and a 21-metabolite signature found descriptive of the metabolic adaptations occurring throughout pregnancy. 8 metabolites were found, for the first time to our knowledge, to vary in connection to pregnancy, while known metabolic effects were confirmed. This chapter includes a study of the effects of non-fasting (used in this work) as a possible confounder. Chapter 4 describes the metabolomic study of 2nd trimester maternal urine for the diagnosis of fetal disorders and prediction of later-developing complications. This was achieved by applying a novel variable selection method developed in the context of this work. It was found that fetal malformations (FM) (and, specifically those of the central nervous system, CNS) and chromosomal disorders (CD) (and, specifically, trisomy 21, T21) are accompanied by changes in energy, amino acids, lipids and nucleotides metabolic pathways, with CD causing a further deregulation in sugars metabolism, urea cycle and/or creatinine biosynthesis. Multivariate analysis models´ validation revealed classification rates (CR) of 84% for FM (87%, CNS) and 85% for CD (94%, T21). For later-diagnosed preterm delivery (PTD), preeclampsia (PE) and intrauterine growth restriction (IUGR), it is found that urinary NMR profiles have early predictive value, with CRs ranging from 84% for PTD (11-20 gestational weeks, g.w., prior to diagnosis), 94% for PE (18-24 g.w. pre-diagnosis) and 94% for IUGR (2-22 g.w. pre-diagnosis). This chapter includes results obtained for an ultraperformance liquid chromatography-mass spectrometry (UPLC-MS) study of pre-PTD samples and correlation with NMR data. One possible marker was detected, although its identification was not possible. Chapter 5 relates to the NMR metabolomic study of gestational diabetes mellitus (GDM), establishing a potentially predictive urinary metabolic profile for GDM, 2-21 g.w. prior to diagnosis (CR 83%). Furthermore, the NMR spectrum was shown to carry information on individual phenotypes, able to predict future insulin treatment requirement (CR 94%). Chapter 6 describes results that demonstrate the impact of delivery mode (CR 88%) and gender (CR 76%) on newborn urinary profile. It was also found that newborn prematurity, respiratory depression, large for gestational age growth and malformations induce relevant metabolic perturbations (CR 82-92%), as well as maternal conditions, namely GDM (CR 82%) and maternal psychiatric disorders (CR 91%). Finally, the main conclusions of this thesis are presented in Chapter 7, highlighting the value of maternal or newborn urine metabolomics for pregnancy monitoring and disease prediction, towards the development of new early and non-invasive diagnostic methods.

Relevância:

80.00% 80.00%

Publicador:

Resumo:

We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models.