Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

Structural identification of hindered amine light stabilisers in coil coatings using electrospray ionisation tandem mass spectrometry

Hindered amine light stabilisers (HALS) are the most effective antioxidants currently available for polymer systems in post-production, in-service applications, yet the mechanism of their action is still not fully understood. Structural characterisation of HALS in polymer matrices, particularly the identification of structural modifications brought about by oxidative conditions, is critical to aid mechanistic understanding of the prophylactic effects of these molecules. In this work, electrospray ionisation tandem mass spectrometry (ESI-MS/MS) was applied to the analysis of a suite of commercially available 2,2,6,6-tetramethylpiperidine-based HALS. Fragmentation mechanisms for the \[M + H](+) ions are proposed, which provide a rationale for the product ions observed in the MS/MS and MS(3) mass spectra of N-H, N-CH(3), N-C(O)CH(3) and N-OR containing HALS (where R is an alkyl substituent). A common product ion at m/z 123 was identified for the group of antioxidants containing N-H, N-CH3 or N-C(0)CH3 functionality, and this product ion was employed in precursor ion scans on a triple quadrupole mass spectrometer to identify the HALS species present in a crude extract from of a polyester-based coil coating. Using MS/MS, two degradation products were unambiguously identified. This technique provides a simple and selective approach to monitoring HALS structures within complex matrices. Copyright (C) 2010 John Wiley & Sons, Ltd.

Identification of double bond position in lipids : From GC to OzID

Recent developments in mass spectrometry and chromatography provide new possibilities for the identification and in some instances quantification of a wide range of lipids in complex matrices. These advances in analytical technologies have provided a tantalizing glimpse of the true structural diversity of lipids in nature and have reinvigorated interest in the role of lipids in biology. While technological advances have been impressive, difficulties in the ready identification of sites of unsaturation (i.e., double bond position) within these molecules presents a significant impediment to understanding lipid biochemistry. This is of particular importance given the growing body of literature suggesting that the presence of naturally occurring lipid double bond isomers can have a significant influence, both positive and negative, on the development of pathologies such as cancer, cardiovascular disease and type 2 diabetes. This article provides a critical review of the Current suite of analytical approaches to the challenge of identification of the position of carbon-carbon double bonds in intact lipids. Crown Copyright (C) 2009 Published by Elsevier B.V. All rights reserved.

Identification and Validity of Accelerometer Cut-Points for Toddlers

The purpose of this study was to derive ActiGraph cut-points for sedentary (SED), light-intensity physical activity (LPA), and moderate-to-vigorous physical activity (MVPA) in toddlers and evaluate their validity in an independent sample. The predictive validity of established preschool cut-points were also evaluated and compared. Twenty-two toddlers (mean age = 2.1 years ± 0.4 years) wore an ActiGraph accelerometer during a videotaped 20-min play period. Videos were subsequently coded for physical activity (PA) intensity using the modified Children's Activity Rating Scale (CARS). Receiver operating characteristic (ROC) curve analyses were conducted to determine cut-points. Predictive validity was assessed in an independent sample of 18 toddlers (mean age = 2.3 ± 0.4 years). From the ROC curve analyses, the 15-s count ranges corresponding to SED, LPA, and MVPA were 0–48, 49–418, and >418 counts/15 s, respectively. Classification accuracy was fair for the SED threshold (ROC-AUC = 0.74, 95% confidence interval = 0.71–0.76) and excellent for MVPA threshold (ROC-AUC = 0.90, 95% confidence interval = 0.88–0.92). In the cross-validation sample, the toddler cut-point and established preschool cut-points significantly overestimated time spent in SED and underestimated time in spent in LPA. For MVPA, mean differences between observed and predicted values for the toddler and Pate cut-points were not significantly different from zero. In summary, the ActiGraph accelerometer can provide useful group-level estimates of MVPA in toddlers. The results support the use of the Pate cut-point of 420 counts/15 s for MVPA.

An acute growth factor treatment that preserves function after spinal cord contusion injury

Inflammation of the spinal cord after traumatic spinal cord injury leads to destruction of healthy tissue. This “secondary degeneration” is more damaging than the initial physical damage and is the major contributor to permanent loss of functions. In our previous study we showed that combined delivery of two growth factors, vascular endothelial growth factor (VEGF) and platelet-derived growth factor (PDGF), significantly reduced secondary degeneration after hemi-section injury of the spinal cord in the rat. Growth factor treatment reduced the size of the lesion cavity at 30d compared to control animals and further reduced the cavity at 90d in treated animals while in control animals the lesion cavity continued to increase in size. Growth factor treatment also reduced astrogliosis and reduced macroglia/macrophage activation around the injury site. Treatment with individual growth factors alone had similar effects to control treatments. The present study investigated whether growth factor treatment would improve locomotor behaviour after spinal contusion injury, a more relevant preclinical model of spinal cord injury. The growth factors were delivered for the first 7d to the injury site via osmotic minipump. Locomotor behaviour was monitored at 1-28d after injury using the BBB score and at 30d using automated gait analysis. Treated animals had BBB scores of 18; Control animals scored 10. Treated animals had significantly reduced lesion cavities and reduced macroglia/macrophage activation around the injury site. We conclude that growth factor treatment preserved spinal cord tissues after contusion injury, thereby allowing functional recovery. This treatment has the potential to significantly reduce the severity of human spinal cord injuries.

Methodology for developing real-time motorway traffic risk identification models using individual-vehicle data

Most of existing motorway traffic safety studies using disaggregate traffic flow data aim at developing models for identifying real-time traffic risks by comparing pre-crash and non-crash conditions. One of serious shortcomings in those studies is that non-crash conditions are arbitrarily selected and hence, not representative, i.e. selected non-crash data might not be the right data comparable with pre-crash data; the non-crash/pre-crash ratio is arbitrarily decided and neglects the abundance of non-crash over pre-crash conditions; etc. Here, we present a methodology for developing a real-time MotorwaY Traffic Risk Identification Model (MyTRIM) using individual vehicle data, meteorological data, and crash data. Non-crash data are clustered into groups called traffic regimes. Thereafter, pre-crash data are classified into regimes to match with relevant non-crash data. Among totally eight traffic regimes obtained, four highly risky regimes were identified; three regime-based Risk Identification Models (RIM) with sufficient pre-crash data were developed. MyTRIM memorizes the latest risk evolution identified by RIM to predict near future risks. Traffic practitioners can decide MyTRIM’s memory size based on the trade-off between detection and false alarm rates. Decreasing the memory size from 5 to 1 precipitates the increase of detection rate from 65.0% to 100.0% and of false alarm rate from 0.21% to 3.68%. Moreover, critical factors in differentiating pre-crash and non-crash conditions are recognized and usable for developing preventive measures. MyTRIM can be used by practitioners in real-time as an independent tool to make online decision or integrated with existing traffic management systems.

Two-photon fluorescence spectroscopy for identification of healthy and malignant biological tissues

Two-photon fluorescence spectroscopy has been performed on rat skeletal muscles to investigate the effect of fixation processes on the micro-environments of the endogenous fluorophors in rat skeletal muscles. The two-photon fluorescence spectra measured for different fixation periods show a differential among those samples that were fixed in water, formalin and methanol, respectively. The results imply that two-photon fluorescence spectroscopy can be a potential technique for identification of healthy and malignant biological tissues.

A novel identification method for ultra trace detection of biomolecules using functionalised Surface Enhanced Raman Spectroscopy (SERS)

This thesis developed a new method for measuring extremely low amounts of organic and biological molecules, using Surface enhanced Raman Spectroscopy. This method has many potential applications, e.g. medical diagnosis, public health, food provenance, antidoping, forensics and homeland security. The method development used caffeine as the small molecule example, and erythropoietin (EPO) as the large molecule. This method is much more sensitive and specific than currently used methods; rapid, simple and cost effective. The method can be used to detect target molecules in beverages and biological fluids without the usual preparation steps.

Field validation of controlled Monte Carlo data generation for statistical damage identification employing Mahalanobis squared distance

This article presents the field applications and validations for the controlled Monte Carlo data generation scheme. This scheme was previously derived to assist the Mahalanobis squared distance–based damage identification method to cope with data-shortage problems which often cause inadequate data multinormality and unreliable identification outcome. To do so, real-vibration datasets from two actual civil engineering structures with such data (and identification) problems are selected as the test objects which are then shown to be in need of enhancement to consolidate their conditions. By utilizing the robust probability measures of the data condition indices in controlled Monte Carlo data generation and statistical sensitivity analysis of the Mahalanobis squared distance computational system, well-conditioned synthetic data generated by an optimal controlled Monte Carlo data generation configurations can be unbiasedly evaluated against those generated by other set-ups and against the original data. The analysis results reconfirm that controlled Monte Carlo data generation is able to overcome the shortage of observations, improve the data multinormality and enhance the reliability of the Mahalanobis squared distance–based damage identification method particularly with respect to false-positive errors. The results also highlight the dynamic structure of controlled Monte Carlo data generation that makes this scheme well adaptive to any type of input data with any (original) distributional condition.

The renormalization group and the implicit function theorem for amplitude equations

This article lays down the foundations of the renormalization group (RG) approach for differential equations characterized by multiple scales. The renormalization of constants through an elimination process and the subsequent derivation of the amplitude equation [Chen, Phys. Rev. E 54, 376 (1996)] are given a rigorous but not abstract mathematical form whose justification is based on the implicit function theorem. Developing the theoretical framework that underlies the RG approach leads to a systematization of the renormalization process and to the derivation of explicit closed-form expressions for the amplitude equations that can be carried out with symbolic computation for both linear and nonlinear scalar differential equations and first order systems but independently of their particular forms. Certain nonlinear singular perturbation problems are considered that illustrate the formalism and recover well-known results from the literature as special cases. © 2008 American Institute of Physics.

Extending FORK-256 attack to the full hash function

In a paper published in FSE 2007, a way of obtaining near-collisions and in theory also collisions for the FORK-256 hash function was presented [8]. The paper contained examples of near-collisions for the compression function, but in practice the attack could not be extended to the full function due to large memory requirements and computation time. In this paper we improve the attack and show that it is possible to find near-collisions in practice for any given value of IV. In particular, this means that the full hash function with the prespecified IV is vulnerable in practice, not just in theory. We exhibit an example near-collision for the complete hash function.

Executive function and postural instability in people with Parkinson’s disease

The specific aspects of cognition contributing to balance and gait have not been clarified in people with Parkinson’s disease (PD). Twenty PD participants and twenty age- and gender-matched healthy controls were assessed on cognition and clinical mobility tests. General cognition was assessed with the Mini Mental State Exam and the Addenbrooke’s Cognitive Exam. Executive function was evaluated using the Trail Making Tests (TMT-A and TMT-B) and a computerized cognitive battery which included a series of choice reaction time (CRT) tests. Clinical gait and balance measures included the Tinetti, Timed Up & Go, Berg Balance and Functional Reach tests. PD participants performed significantly worse than the controls on the tests of cognitive and executive function, balance and gait. PD participants took longer on Trail Making Tests, CRT-Location and CRT-Colour (inhibition response). Furthermore, executive function, particularly longer times on CRT-Distracter and greater errors on the TMT-B were associated with worse balance and gait performance in the PD group. Measures of general cognition were not associated with balance and gait measures in either group. For PD participants, attention and executive function were impaired. Components of executive function, particularly those involving inhibition response and distracters, were associated with poorer balance and gait performance in PD.

Electron energy distribution function in low-pressure complex plasmas

The effect of density and size of dust grains on the electron energy distribution function (EEDF) in low-temperature complex plasmas is studied. It is found that the EEDF depends strongly on the dust density and size. The behavior of the electron temperature can differ significantly from that of a pristine plasma. For low-pressure argon glow discharge, the Druyvesteyn-like EEDF often found in pristine plasmas can become nearly Maxwellian if the dust density and/or sizes are large. One can thus control the plasma parameters by the dust grains.

Unbalance identification in large steam turbo-generator unit using a model-based method

Fault identification in industrial machine is a topic of major importance under engineering point of view. In fact, the possibility to identify not only the type, but also the severity and the position of a fault occurred along a shaft-line allows quick maintenance and shorten the downtime. This is really important in the power generation industry where the units are often of several tenths of meters long and where the rotors are enclosed by heavy and pressure-sealed casings. In this paper, an industrial experimental case is presented related to the identification of the unbalance on a large size steam turbine of about 1.3 GW, belonging to a nuclear power plant. The case history is analyzed by considering the vibrations measured by the condition monitoring system of the unit. A model-based method in the frequency domain, developed by the authors, is introduced in detail and it is then used to identify the position of the fault and its severity along the shaft-line. The complete model of the unit (rotor – modeled by means of finite elements, bearings – modeled by linearized damping and stiffness coefficients and foundation – modeled by means of pedestals) is analyzed and discussed before being used for the fault identification. The assessment of the actual fault was done by inspection during a scheduled maintenance and excellent correspondence was found with the identified one by means of authors’ proposed method. Finally a complete discussion is presented about the effectiveness of the method, even in presence of a not fine tuned machine model and considering only few measuring planes for the machine vibration.

Delivery of nitric oxide for analysis of the function of cytochrome c'

On delivery of nitric oxide (NO) to protein samples (e.g., cytochrome c'), for spectroscopic experiments it is important to avoid exposure to oxygen and to remove contaminants from the NO gas. We describe a number of techniques for steady-state UV/Vis spectrophotometry and pre-steady-state stopped-flow spectrophotometry analysis of cytochrome c'.