Essential Cover and Closure

2000 Mathematics Subject Classification: 16N80, 16S70, 16D25, 13G05.

Characterizations of Exponential Distribution via Conditional Expectations of Record Values

2000 Mathematics Subject Classification: 62G30, 62E10.

Strong Consistency of the Conditional Least Squares Estimator for a Nonstationary Process. Example of the Garch Model

2000 Mathematics Subject Classification: Primary: 62M10, 62J02, 62F12, 62M05, 62P05, 62P10; secondary: 60G46, 60F15.

A solution of the trigonometric moment problem via Tagamlitzki's "Theorem of the Cones"

In 1952 Y. Tagamlitzki gave an elegant proof of the classical Bochner’s theorem on the positively definite functions. Unfortunately, he never published his proof. In this paper we consider a related but simpler problem, the trigonometric moment problem, by using Tagamlitzki’s approach.

Age differences in associative and strategic processes in human conditional learning

Research indicates associative and strategic deficits mediate age related deficits in memory, whereas simple associative processes are independent of strategic processing and strategic processes mediate resistance to interference. The present study showed age-related deficits in a contingency learning task, although older participants' resistance to interference was not disproportionately affected. Recognition memory predicted discrimination, whereas general cognitive ability predicted resistance to interference, suggesting differentiation between associative and strategic processes in learning and memory, and age declines in associative processes. Older participants' generalisation of associative strength from existing to novel stimulus-response associations was consistent with elemental learning theories, whereas configural models predicted younger participants' responses. This is consistent with associative deficits and reliance on item-level representations in memory during later life. © 2011 Psychology Press Ltd.

Is pregnancy a teachable moment for diet and physical activity behaviour change? An interpretative phenomenological analysis of the experiences of women during their first pregnancy

OBJECTIVES: Pregnancy may provide a 'teachable moment' for positive health behaviour change, as a time when women are both motivated towards health and in regular contact with health care professionals. This study aimed to investigate whether women's experiences of pregnancy indicate that they would be receptive to behaviour change during this period. DESIGN: Qualitative interview study. METHODS: Using interpretative phenomenological analysis, this study details how seven women made decisions about their physical activity and dietary behaviour during their first pregnancy. RESULTS: Two women had required fertility treatment to conceive. Their behaviour was driven by anxiety and a drive to minimize potential risks to the pregnancy. This included detailed information seeking and strict adherence to diet and physical activity recommendations. However, the majority of women described behaviour change as 'automatic', adopting a new lifestyle immediately upon discovering their pregnancy. Diet and physical activity were influenced by what these women perceived to be normal or acceptable during pregnancy (largely based on observations of others) and internal drivers, including bodily signals and a desire to retain some of their pre-pregnancy self-identity. More reasoned assessments regarding benefits for them and their baby were less prevalent and influential. CONCLUSIONS: Findings suggest that for women who conceived relatively easily, diet and physical activity behaviour during pregnancy is primarily based upon a combination of automatic judgements, physical sensations, and perceptions of what pregnant women are supposed to do. Health professionals and other credible sources appear to exert less influence. As such, pregnancy alone may not create a 'teachable moment'. Statement of contribution What is already known on this subject? Significant life events can be cues to action with relation to health behaviour change. However, much of the empirical research in this area has focused on negative health experiences such as receiving a false-positive screening result and hospitalization, and in relation to unequivocally negative behaviours such as smoking. It is often suggested that pregnancy, as a major life event, is a 'teachable moment' (TM) for lifestyle behaviour change due to an increase in motivation towards health and regular contact with health professionals. However, there is limited evidence for the utility of the TM model in predicting or promoting behaviour change. What does this study add? Two groups of women emerged from our study: the women who had experienced difficulties in conceiving and had received fertility treatment, and those who had conceived without intervention. The former group's experience of pregnancy was characterized by a sense of vulnerability and anxiety over sustaining the pregnancy which influenced every choice they made about their diet and physical activity. For the latter group, decisions about diet and physical activity were made immediately upon discovering their pregnancy, based upon a combination of automatic judgements, physical sensations, and perceptions of what is normal or 'good' for pregnancy. Among women with relatively trouble-free conception and pregnancy experiences, the necessary conditions may not be present to create a 'teachable moment'. This is due to a combination of a reliance on non-reflective decision-making, perception of low risk, and little change in affective response or self-concept.

The MG Rover closure and policy response: an evaluation of the Task Force model in the UK

In recent years there have been a number of high-profile plant closures in the UK. In several cases, the policy response has included setting up a task force to deal with the impacts of the closure. It can be hypothesised that task force involving multi-level working across territorial boundaries and tiers of government is crucial to devising a policy response tailored to people's needs and to ensuring success in dealing with the immediate impacts of a closure. This suggests that leadership, and vision, partnership working and community engagement, and delivery of high quality services are important. This paper looks at the case of the MG Rover closure in 2005, to examine the extent to which the policy response to the closure at the national, regional and local levels dealt effectively with the immediate impacts of the closure, and the lessons that can be learned from the experience. Such lessons are of particular relevance given the closure of the LDV van plant in Birmingham in 2009 and more broadly – such as in the case of the downsizing of the Opel operation in Europe following its takeover by Magna.

An asymptotic test for the Conditional Value-at-Risk

Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditional Expectation in the case of continuous probability distributions) is an increasingly popular risk measure in the fields of actuarial science, banking and finance, and arguably a more suitable alternative to the currently widespread Value-at-Risk. In my paper, I present a brief literature survey, and propose a statistical test of the location of the CVaR, which may be applied by practising actuaries to test whether CVaR-based capital levels are in line with observed data. Finally, I conclude with numerical experiments and some questions for future research.

Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data. ^ The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity. ^ Overall, this dissertation shows that a liquidity premium exists in the stock market and that liquidity is a distinct effect, and is not influenced by the presence of non-market factors, market factors and other stock characteristics.^

An autoregressive conditional filtering process to remove intraday seasonal volatility and its application to testing the noisy rational expectations model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

Risk based post closure care analysis for Florida landfills

Subtitle D of the Resource Conservation and Recovery Act (RCRA) requires a post closure period of 30 years for non hazardous wastes in landfills. Post closure care (PCC) activities under Subtitle D include leachate collection and treatment, groundwater monitoring, inspection and maintenance of the final cover, and monitoring to ensure that landfill gas does not migrate off site or into on site buildings. The decision to reduce PCC duration requires exploration of a performance based methodology to Florida landfills. PCC should be based on whether the landfill is a threat to human health or the environment. Historically no risk based procedure has been available to establish an early end to PCC. Landfill stability depends on a number of factors that include variables that relate to operations both before and after the closure of a landfill cell. Therefore, PCC decisions should be based on location specific factors, operational factors, design factors, post closure performance, end use, and risk analysis. The question of appropriate PCC period for Florida’s landfills requires in depth case studies focusing on the analysis of the performance data from closed landfills in Florida. Based on data availability, Davie Landfill was identified as case study site for a case by case analysis of landfill stability. The performance based PCC decision system developed by Geosyntec Consultants was used for the assessment of site conditions to project PCC needs. The available data for leachate and gas quantity and quality, ground water quality, and cap conditions were evaluated. The quality and quantity data for leachate and gas were analyzed to project the levels of pollutants in leachate and groundwater in reference to maximum contaminant level (MCL). In addition, the projected amount of gas quantity was estimated. A set of contaminants (including metals and organics) were identified as contaminants detected in groundwater for health risk assessment. These contaminants were selected based on their detection frequency and levels in leachate and ground water; and their historical and projected trends. During the evaluations a range of discrepancies and problems that related to the collection and documentation were encountered and possible solutions made. Based on the results of PCC performance integrated with risk assessment, projection of future PCC monitoring needs and sustainable waste management options were identified. According to these results, landfill gas monitoring can be terminated, leachate and groundwater monitoring for parameters above MCL and surveying of the cap integrity should be continued. The parameters which cause longer monitoring periods can be eliminated for the future sustainable landfills. As a conclusion, 30 year PCC period can be reduced for some of the landfill components based on their potential impacts to human health and environment (HH&E).

Analysis and design of tall concrete buildings : an investigation regarding the use of cracked versus un-cracked moment of inertia

A debate is currently prevalent among the structural engineers regarding the use of cracked versus un-cracked moment of inertia of the structural elements in analyzing and designing tall concrete buildings. (The basic definition of a tall building, according to the Journal of Structural Design of Tall Buildings Vol. 13. No. 5, 2004 is a structure that is equal to or greater than 160 feet in height, or 6 stories or greater.) The controversy is the result of differing interpretations of certain ACI (American Concrete Institute) code provisions. The issue is whether designers should use cracked moment of inertia in order to estimate lateral deflection and whether the computed lateral deflection should be used to carry out subsequent second-order analysis (analysis considering the effect of first order lateral deflections on bending moment and shear stresses). On one hand, bending moments and shear forces estimated based on un-cracked moment of inertia of the sections may result in conservative designs by overestimating moments and shears. On the other hand, lateral deflections may be underestimated due to the same analyses resulting in unsafe designs.

Risk Based Post Closure Care Analysis for Florida Landfills

Subtitle D of the Resource Conservation and Recovery Act (RCRA) requires a post closure period of 30 years for non hazardous wastes in landfills. Post closure care (PCC) activities under Subtitle D include leachate collection and treatment, groundwater monitoring, inspection and maintenance of the final cover, and monitoring to ensure that landfill gas does not migrate off site or into on site buildings. The decision to reduce PCC duration requires exploration of a performance based methodology to Florida landfills. PCC should be based on whether the landfill is a threat to human health or the environment. Historically no risk based procedure has been available to establish an early end to PCC. Landfill stability depends on a number of factors that include variables that relate to operations both before and after the closure of a landfill cell. Therefore, PCC decisions should be based on location specific factors, operational factors, design factors, post closure performance, end use, and risk analysis. The question of appropriate PCC period for Florida’s landfills requires in depth case studies focusing on the analysis of the performance data from closed landfills in Florida. Based on data availability, Davie Landfill was identified as case study site for a case by case analysis of landfill stability. The performance based PCC decision system developed by Geosyntec Consultants was used for the assessment of site conditions to project PCC needs. The available data for leachate and gas quantity and quality, ground water quality, and cap conditions were evaluated. The quality and quantity data for leachate and gas were analyzed to project the levels of pollutants in leachate and groundwater in reference to maximum contaminant level (MCL). In addition, the projected amount of gas quantity was estimated. A set of contaminants (including metals and organics) were identified as contaminants detected in groundwater for health risk assessment. These contaminants were selected based on their detection frequency and levels in leachate and ground water; and their historical and projected trends. During the evaluations a range of discrepancies and problems that related to the collection and documentation were encountered and possible solutions made. Based on the results of PCC performance integrated with risk assessment, projection of future PCC monitoring needs and sustainable waste management options were identified. According to these results, landfill gas monitoring can be terminated, leachate and groundwater monitoring for parameters above MCL and surveying of the cap integrity should be continued. The parameters which cause longer monitoring periods can be eliminated for the future sustainable landfills. As a conclusion, 30 year PCC period can be reduced for some of the landfill components based on their potential impacts to human health and environment (HH&E).

An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

The issue of macroeconomic closure revisited and extended

Léon Walras (1874) already had realized that his neo-classical general equilibrium model could not accommodate autonomous investment. Sen analysed the same issue in a simple, one-sector macroeconomic model of a closed economy. He showed that fixing investment in the model, built strictly on neo-classical assumptions, would make the system overdetermined, thus, one should loosen some neo-classical condition of competitive equilibrium. He analysed three not neo-classical “closure options”, which could make the model well determined in the case of fixed investment. Others later extended his list and it showed that the closure dilemma arises in the more complex computable general equilibrium (CGE) models as well, as does the choice of adjustment mechanism assumed to bring about equilibrium at the macro level. By means of numerical models, it was also illustrated that the adopted closure rule can significantly affect the results of policy simulations based on a CGE model. Despite these warnings, the issue of macro closure is often neglected in policy simulations. It is, therefore, worth revisiting the issue and demonstrating by further examples its importance, as well as pointing out that the closure problem in the CGE models extends well beyond the problem of how to incorporate autonomous investment into a CGE model. Several closure rules are discussed in this paper and their diverse outcomes are illustrated by numerical models calibrated on statistical data. First, the analyses is done in a one-sector model, similar to Sen’s, but extended into a model of an open economy. Next, the same analyses are repeated using a fully-fledged multisectoral CGE model, calibrated on the same statistical data. Comparing the results obtained by the two models it is shown that although, using the same closure option, they generate quite similar results in terms of the direction and – to a somewhat lesser extent – of the magnitude of change in the main macro variables, the predictions of the multi-sectoral CGE model are clearly more realistic and balanced.