Improving real-time estimates of output and inflation gaps with multiple-vintage models

Real-time estimates of output gaps and inflation gaps differ from the values that are obtained using data available long after the event. Part of the problem is that the data on which the real-time estimates are based is subsequently revised. We show that vector-autoregressive models of data vintages provide forecasts of post-revision values of future observations and of already-released observations capable of improving estimates of output and inflation gaps in real time. Our findings indicate that annual revisions to output and inflation data are in part predictable based on their past vintages.

PERSiST: a flexible rainfall-runoff modelling toolkit for use with the INCA family of models

Runoff generation processes and pathways vary widely between catchments. Credible simulations of solute and pollutant transport in surface waters are dependent on models which facilitate appropriate, catchment-specific representations of perceptual models of the runoff generation process. Here, we present a flexible, semi-distributed landscape-scale rainfall-runoff modelling toolkit suitable for simulating a broad range of user-specified perceptual models of runoff generation and stream flow occurring in different climatic regions and landscape types. PERSiST (the Precipitation, Evapotranspiration and Runoff Simulator for Solute Transport) is designed for simulating present-day hydrology; projecting possible future effects of climate or land use change on runoff and catchment water storage; and generating hydrologic inputs for the Integrated Catchments (INCA) family of models. PERSiST has limited data requirements and is calibrated using observed time series of precipitation, air temperature and runoff at one or more points in a river network. Here, we apply PERSiST to the river Thames in the UK and describe a Monte Carlo tool for model calibration, sensitivity and uncertainty analysis

Behaviour models clarify definitions of affordance and capability

There is ongoing work on conceptual modelling of such busi- ness notions as Affordance and Capability. We have found that such business notions as Affordance and Capability are constructively defned using elements and properties of exe- cutable behaviour models. In this paper, we clarify the def- initions of Affordance and Capability using Coloured Petri Nets and Protocol models.The illustrating case is the process of drug injection. We show that different behaviour modelling techniques provide different precision for definition of Affordance and Capability and clarify the conceptual models of these notions. We generalise that the behaviour models can be used to improve the precision of conceptualization.

Evaluating adjusted forcing and model spread for historical and future scenarios in the CMIP5 generation of climate models

We utilize energy budget diagnostics from the Coupled Model Intercomparison Project phase 5 (CMIP5) to evaluate the models' climate forcing since preindustrial times employing an established regression technique. The climate forcing evaluated this way, termed the adjusted forcing (AF), includes a rapid adjustment term associated with cloud changes and other tropospheric and land-surface changes. We estimate a 2010 total anthropogenic and natural AF from CMIP5 models of 1.9 ± 0.9 W m−2 (5–95% range). The projected AF of the Representative Concentration Pathway simulations are lower than their expected radiative forcing (RF) in 2095 but agree well with efficacy weighted forcings from integrated assessment models. The smaller AF, compared to RF, is likely due to cloud adjustment. Multimodel time series of temperature change and AF from 1850 to 2100 have large intermodel spreads throughout the period. The intermodel spread of temperature change is principally driven by forcing differences in the present day and climate feedback differences in 2095, although forcing differences are still important for model spread at 2095. We find no significant relationship between the equilibrium climate sensitivity (ECS) of a model and its 2003 AF, in contrast to that found in older models where higher ECS models generally had less forcing. Given the large present-day model spread, there is no indication of any tendency by modelling groups to adjust their aerosol forcing in order to produce observed trends. Instead, some CMIP5 models have a relatively large positive forcing and overestimate the observed temperature change.

An evaluation of decadal probability forecasts from state-of-the-art climate models

While state-of-the-art models of Earth's climate system have improved tremendously over the last 20 years, nontrivial structural flaws still hinder their ability to forecast the decadal dynamics of the Earth system realistically. Contrasting the skill of these models not only with each other but also with empirical models can reveal the space and time scales on which simulation models exploit their physical basis effectively and quantify their ability to add information to operational forecasts. The skill of decadal probabilistic hindcasts for annual global-mean and regional-mean temperatures from the EU Ensemble-Based Predictions of Climate Changes and Their Impacts (ENSEMBLES) project is contrasted with several empirical models. Both the ENSEMBLES models and a “dynamic climatology” empirical model show probabilistic skill above that of a static climatology for global-mean temperature. The dynamic climatology model, however, often outperforms the ENSEMBLES models. The fact that empirical models display skill similar to that of today's state-of-the-art simulation models suggests that empirical forecasts can improve decadal forecasts for climate services, just as in weather, medium-range, and seasonal forecasting. It is suggested that the direct comparison of simulation models with empirical models becomes a regular component of large model forecast evaluations. Doing so would clarify the extent to which state-of-the-art simulation models provide information beyond that available from simpler empirical models and clarify current limitations in using simulation forecasting for decision support. Ultimately, the skill of simulation models based on physical principles is expected to surpass that of empirical models in a changing climate; their direct comparison provides information on progress toward that goal, which is not available in model–model intercomparisons.

Assessment and improvement of biotransfer models to cow’s milk and beef used in exposure assessment tools for organic pollutants

The aim of this study was to assess and improve the accuracy of biotransfer models for the organic pollutants (PCBs, PCDD/Fs, PBDEs, PFCAs, and pesticides) into cow’s milk and beef used in human exposure assessment. Metabolic rate in cattle is known as a key parameter for this biotransfer, however few experimental data and no simulation methods are currently available. In this research, metabolic rate was estimated using existing QSAR biodegradation models of microorganisms (BioWIN) and fish (EPI-HL and IFS-HL). This simulated metabolic rate was then incorporated into the mechanistic cattle biotransfer models (RAIDAR, ACC-HUMAN, OMEGA, and CKow). The goodness of fit tests showed that RAIDAR, ACC-HUMAN, OMEGA model performances were significantly improved using either of the QSARs when comparing the new model outputs to observed data. The CKow model is the only one that separates the processes in the gut and liver. This model showed the lowest residual error of all the models tested when the BioWIN model was used to represent the ruminant metabolic process in the gut and the two fish QSARs were used to represent the metabolic process in the liver. Our testing included EUSES and CalTOX which are KOW-regression models that are widely used in regulatory assessment. New regressions based on the simulated rate of the two metabolic processes are also proposed as an alternative to KOW-regression models for a screening risk assessment. The modified CKow model is more physiologically realistic, but has equivalent usability to existing KOW-regression models for estimating cattle biotransfer of organic pollutants.

Upper-mantle seismic anisotropy from SKS splitting in the South American stable platform: A test of asthenospheric flow models beneath the lithosphere

Upper-mantle seismic anisotropy has been extensively used to infer both present and past deformation processes at lithospheric and asthenospheric depths. Analysis of shear-wave splitting (mainly from core-refracted SKS phases) provides information regarding upper-mantle anisotropy. We present average measurements of fast-polarization directions at 21 new sites in poorly sampled regions of intra-plate South America, such as northern and northeastern Brazil. Despite sparse data coverage for the South American stable platform, consistent orientations are observed over hundreds of kilometers. Over most of the continent, the fast-polarization direction tends to be close to the absolute plate motion direction given by the hotspot reference model HS3-NUVEL-1A. A previous global comparison of the SKS fast-polarization directions with flow models of the upper mantle showed relatively poor correlation on the continents, which was interpreted as evidence for a large contribution of ""frozen"" anisotropy in the lithosphere. For the South American plate, our data indicate that one of the reasons for the poor correlation may have been the relatively coarse model of lithospheric thicknesses. We suggest that improved models of upper-mantle flow that are based on more detailed lithospheric thicknesses in South America may help to explain most of the observed anisotropy patterns.

Exact Search Directions for Optimization of Linear and Nonlinear Models Based on Generalized Orthonormal Functions

A novel technique for selecting the poles of orthonormal basis functions (OBF) in Volterra models of any order is presented. It is well-known that the usual large number of parameters required to describe the Volterra kernels can be significantly reduced by representing each kernel using an appropriate basis of orthonormal functions. Such a representation results in the so-called OBF Volterra model, which has a Wiener structure consisting of a linear dynamic generated by the orthonormal basis followed by a nonlinear static mapping given by the Volterra polynomial series. Aiming at optimizing the poles that fully parameterize the orthonormal bases, the exact gradients of the outputs of the orthonormal filters with respect to their poles are computed analytically by using a back-propagation-through-time technique. The expressions relative to the Kautz basis and to generalized orthonormal bases of functions (GOBF) are addressed; the ones related to the Laguerre basis follow straightforwardly as a particular case. The main innovation here is that the dynamic nature of the OBF filters is fully considered in the gradient computations. These gradients provide exact search directions for optimizing the poles of a given orthonormal basis. Such search directions can, in turn, be used as part of an optimization procedure to locate the minimum of a cost-function that takes into account the error of estimation of the system output. The Levenberg-Marquardt algorithm is adopted here as the optimization procedure. Unlike previous related work, the proposed approach relies solely on input-output data measured from the system to be modeled, i.e., no information about the Volterra kernels is required. Examples are presented to illustrate the application of this approach to the modeling of dynamic systems, including a real magnetic levitation system with nonlinear oscillatory behavior.

Predictability of equity models

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the “stepwise regression” model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs.

Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1)

Estimation of random coefficients logit demand models: an application to the Brazilian fixed income fund market

Estimation of demand and supply in differentiated products markets is a central issue in Empirical Industrial Organization and has been used to study the effects of taxes, merges, introduction of new goods, market power, among others. Logit and Random Coefficients Logit are examples of demand models used to study these effects. For the supply side it is generally supposed a Nash equilibrium in prices. This work presents a detailed discussion of these models of demand and supply as well as the procedure for estimation. Lastly, is made an application to the Brazilian fixed income fund market.

Hedging options in a garch environment: testing the term structure of stochastic volatility models

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ability of volatility models to hedge and value term structure dependent option positions, we fmd that hedging tests support the Black-Scholes delta and gamma hedges, but not the simple vega hedge when there is no model of the term structure of volatility. With various models, it is difficult to improve on a simple gamma hedge assuming constant volatility. Ofthe volatility models, the GARCH components estimate of term structure is preferred. Valuation tests indicate that all the models contain term structure information not incorporated in market prices.

Improving the GNSS positioning stochastic model in the presence of ionospheric scintillation

Ionospheric scintillations are caused by time-varying electron density irregularities in the ionosphere, occurring more often at equatorial and high latitudes. This paper focuses exclusively on experiments undertaken in Europe, at geographic latitudes between similar to 50 degrees N and similar to 80 degrees N, where a network of GPS receivers capable of monitoring Total Electron Content and ionospheric scintillation parameters was deployed. The widely used ionospheric scintillation indices S4 and sigma(phi) represent a practical measure of the intensity of amplitude and phase scintillation affecting GNSS receivers. However, they do not provide sufficient information regarding the actual tracking errors that degrade GNSS receiver performance. Suitable receiver tracking models, sensitive to ionospheric scintillation, allow the computation of the variance of the output error of the receiver PLL (Phase Locked Loop) and DLL (Delay Locked Loop), which expresses the quality of the range measurements used by the receiver to calculate user position. The ability of such models of incorporating phase and amplitude scintillation effects into the variance of these tracking errors underpins our proposed method of applying relative weights to measurements from different satellites. That gives the least squares stochastic model used for position computation a more realistic representation, vis-a-vis the otherwise 'equal weights' model. For pseudorange processing, relative weights were computed, so that a 'scintillation-mitigated' solution could be performed and compared to the (non-mitigated) 'equal weights' solution. An improvement between 17 and 38% in height accuracy was achieved when an epoch by epoch differential solution was computed over baselines ranging from 1 to 750 km. The method was then compared with alternative approaches that can be used to improve the least squares stochastic model such as weighting according to satellite elevation angle and by the inverse of the square of the standard deviation of the code/carrier divergence (sigma CCDiv). The influence of multipath effects on the proposed mitigation approach is also discussed. With the use of high rate scintillation data in addition to the scintillation indices a carrier phase based mitigated solution was also implemented and compared with the conventional solution. During a period of occurrence of high phase scintillation it was observed that problems related to ambiguity resolution can be reduced by the use of the proposed mitigated solution.

Effects of two chronic stress models on ligature-induced periodontitis in Wistar rats

Objectives: The present study aims at comparing the effects of physical and variable chronic stress on ligature-induced periodontitis in rats.Design: Forty-eight adult Wistar rats were randomly assigned to four groups (n = 12): physical stress, variable stress, positive control and negative control. The models of physical stress were immobilization and immobilization associated with exposure to cold. The models of variable stress were exposure to intermittent light, 24 h isolation, oral cavity examination, crowded environment, smell of blood and noise. After 10 days of physical or variable stress animals underwent experimental induction of periodontal disease in one oral side. Positive control also underwent experimental induction of periodontal disease on the 10th day. Negative control did not receive any type of intervention. At the end of the experimental period (60 days), all animals were euthanized. After routine laboratory processing, images of the histological sections were digitised and submitted to histometric measurement using two parameters: histologic attachment loss and bone loss.Results: Histological attachment loss and bone loss were greater (p < 0.05) in the physical stress group than in the other groups (variable stress, positive and negative control groups). on the non-periodontitis side, these same histological parameters did not significantly differ amongst groups.Conclusions: Physical stress negatively modulated the response pattern to experimentally induced periodontitis in rats. (C) 2011 Elsevier Ltd. All rights reserved.

Molecular models for shikimate pathway enzymes of Xylella fastidiosa

The Xylella fastidiosa is a bacterium that is the cause of citrus variegated chlorosis (CVC). The shikimate pathway is of pivotal importance for production of a plethora of aromatic compounds in plants, bacteria, and fungi. Putative structural differences in the enzymes from the shikimate pathway, between the proteins of bacterial origin and those of plants, could be used for the development of a drug for the control of CVC. However, inhibitors for shikimate pathway enzymes should have high specificity for X. fastidiosa enzymes, since they are also present in plants. In order to pave the way for structural and functional efforts towards antimicrobial agent development, here we describe the molecular modeling of seven enzymes of the shikimate pathway of X. fastidiosa. The structural models of shikimate pathway enzymes, complexed with inhibitors, strongly indicate that the previously identified inhibitors may also inhibit the X. fastidiosa enzymes. (C) 2004 Elsevier B.V. All rights reserved.