Parameterizing Unconditional Skewness in Models for Financial Time Series

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution exhibits skewness and nonzero third-order autocovariance structure. In this respect, an asymmetric or nonlinear specification of the conditional mean is found to be of greater importance than the properties of the conditional variance. Several examples are discussed and, whenever possible, explicit analytical expressions provided for all third-order moments and cross-moments. Finally, we introduce a new tool, the shock impact curve, for investigating the impact of shocks on the conditional mean squared error of return series.

Time dependence of effective slip on textured hydrophobic surfaces

In this paper, we present results on water flow past randomly textured hydrophobic surfaces with relatively large surface features of the order of 50 µm. Direct shear stress measurements are made on these surfaces in a channel configuration. The measurements indicate that the flow rates required to maintain a shear stress value vary substantially with water immersion time. At small times after filling the channel with water, the flow rates are up to 30% higher compared with the reference hydrophilic surface. With time, the flow rate gradually decreases and in a few hours reaches a value that is nearly the same as the hydrophilic case. Calculations of the effective slip lengths indicate that it varies from about 50 µm at small times to nearly zero or “no slip” after a few hours. Large effective slip lengths on such hydrophobic surfaces are known to be caused by trapped air pockets in the crevices of the surface. In order to understand the time dependent effective slip length, direct visualization of trapped air pockets is made in stationary water using the principle of total internal reflection of light at the water-air interface of the air pockets. These visualizations indicate that the number of bright spots corresponding to the air pockets decreases with time. This type of gradual disappearance of the trapped air pockets is possibly the reason for the decrease in effective slip length with time in the flow experiments. From the practical point of usage of such surfaces to reduce pressure drop, say, in microchannels, this time scale of the order of 1 h for the reduction in slip length would be very crucial. It would ultimately decide the time over which the surface can usefully provide pressure drop reductions. ©2009 American Institute of Physics

Modelling the impact of traffic incidents on travel time reliability

Traffic incidents are recognised as one of the key sources of non-recurrent congestion that often leads to reduction in travel time reliability (TTR), a key metric of roadway performance. A method is proposed here to quantify the impacts of traffic incidents on TTR on freeways. The method uses historical data to establish recurrent speed profiles and identifies non-recurrent congestion based on their negative impacts on speeds. The locations and times of incidents are used to identify incidents among non-recurrent congestion events. Buffer time is employed to measure TTR. Extra buffer time is defined as the extra delay caused by traffic incidents. This reliability measure indicates how much extra travel time is required by travellers to arrive at their destination on time with 95% certainty in the case of an incident, over and above the travel time that would have been required under recurrent conditions. An extra buffer time index (EBTI) is defined as the ratio of extra buffer time to recurrent travel time, with zero being the best case (no delay). A Tobit model is used to identify and quantify factors that affect EBTI using a selected freeway segment in the Southeast Queensland, Australia network. Both fixed and random parameter Tobit specifications are tested. The estimation results reveal that models with random parameters offer a superior statistical fit for all types of incidents, suggesting the presence of unobserved heterogeneity across segments. What factors influence EBTI depends on the type of incident. In addition, changes in TTR as a result of traffic incidents are related to the characteristics of the incidents (multiple vehicles involved, incident duration, major incidents, etc.) and traffic characteristics.

How effective are broad-scale nutrient mass balances for determining the sustainability of lot-feed manure application?

Nutrient mass balances have been used to assess a variety of land resource scenarios, at various scales. They are widely used as a simple basis for policy, planning, and regulatory decisions but it is not clear how accurately they reflect reality. This study provides a critique of broad-scale nutrient mass balances, with particular application to the fertiliser use of beef lot-feeding manure in Queensland. Mass balances completed at the district and farm scale were found to misrepresent actual manure management behaviour and potentially the risk of nutrient contamination of water resources. The difficulties of handling stockpile manure and concerns about soil compaction mean that manure is spread thickly over a few paddocks at a time and not evenly across a whole farm. Consequently, higher nutrient loads were applied to a single paddock less frequently than annually. This resulted in years with excess nitrogen, phosphorus, and potassium remaining in the soil profile. This conclusion was supported by evidence of significant nutrient movement in several of the soil profiles studied. Spreading manure is profitable, but maximum returns can be associated with increased risk of nutrient leaching relative to conventional inorganic fertiliser practices. Bio-economic simulations found this increased risk where manure was applied to supply crop nitrogen requirements (the practice of the case study farms, 200-5000 head lot-feeders). Thus, the use of broad-scale mass balances can be misleading because paddock management is spatially heterogeneous and this leads to increased local potential for nutrient loss. In response to the effect of spatial heterogeneity policy makers who intend to use mass balance techniques to estimate potential for nutrient contamination should apply these techniques conservatively.

Characterisation of chicken Campylobacter jejuni isolates using resolution optimised single nucleotide polymorphisms and binary gene markers

The principal objective of this study was to determine if Campylobacter jejuni genotyping methods based upon resolution optimised sets of single nucleotide polymorphisms (SNPs) and binary genetic markers were capable of identifying epidemiologically linked clusters of chicken-derived isolates. Eighty-eight C. jejuni isolates of known flaA RFLP type were included in the study. They encompassed three groups of ten isolates that were obtained at the same time and place and possessed the same flaA type. These were regarded as being epidemiologically linked. Twenty-six unlinked C. jejuni flaA type I isolates were included to test the ability of SNP and binary typing to resolve isolates that were not resolved by flaA RFLP. The remaining isolates were of different flaA types. All isolates were typed by real-time PCR interrogation of the resolution optimised sets of SNPs and binary markers. According to each typing method, the three epidemiologically linked clusters were three different clones that were well resolved from the other isolates. The 26 unlinked C. jejuni flaA type I isolates were resolved into 14 SNP-binary types, indicating that flaA typing can be unreliable for revealing epidemiological linkage. Comparison of the data with data from a fully typed set of isolates associated with human infection revealed that abundant lineages in the chicken isolates that were also found in the human isolates belonged to clonal complex (CC) -21 and CC-353, with the usually rare C-353 member ST-524 being especially abundant in the chicken collection. The chicken isolates selected to be diverse according to flaA were also diverse according to SNP and binary typing. It was observed that CC-48 was absent in the chicken isolates, despite being very common in Australian human infection isolates, indicating that this may be a major cause of human disease that is not chicken associated.

Multi Pattern Dynamic Time Warping For Automatic Speech Recognition

We are addressing the problem of jointly using multiple noisy speech patterns for automatic speech recognition (ASR), given that they come from the same class. If the user utters a word K times, the ASR system should try to use the information content in all the K patterns of the word simultaneously and improve its speech recognition accuracy compared to that of the single pattern based speech recognition. T address this problem, recently we proposed a Multi Pattern Dynamic Time Warping (MPDTW) algorithm to align the K patterns by finding the least distortion path between them. A Constrained Multi Pattern Viterbi algorithm was used on this aligned path for isolated word recognition (IWR). In this paper, we explore the possibility of using only the MPDTW algorithm for IWR. We also study the properties of the MPDTW algorithm. We show that using only 2 noisy test patterns (10 percent burst noise at -5 dB SNR) reduces the noisy speech recognition error rate by 37.66 percent when compared to the single pattern recognition using the Dynamic Time Warping algorithm.

Responses in carcass lean pH at 24 hours post-mortem in lines of Large White pigs selected for growth rate on a fixed ration over a set time

A restricted maximum likelihood analysis applied to an animal model showed no significant differences (P > 0.05) in pH value of the longissimus dorsi measured at 24 h post-mortem (pH24) between high and low lines of Large White pigs selected over 4 years for post-weaning growth rate on restricted feeding. Genetic and phenotypic correlations between pH24 and production and carcass traits were estimated using all performance testing records combined with the pH24 measurements (5.05-7.02) on slaughtered animals. The estimate of heritability for pH24 was moderate (0.29 ± 0.18). Genetic correlations between pH24 and production or carcass composition traits, except for ultrasonic backfat (UBF), were not significantly different from zero. UBF had a moderate, positive genetic correlation with pH24 (0.24 ± 0.33). These estimates of genetic correlations affirmed that selection for increased growth rate on restricted feeding is likely to result in limited changes in pH24 and pork quality since the selection does not put a high emphasis on reduced fatness.

Time-dependent instantaneous mortality rates from multiple tagging experiments with exact times of release and recovery

Instantaneous natural mortality rates and a nonparametric hunting mortality function are estimated from a multiple-year tagging experiment with arbitrary, time-dependent fishing or hunting mortality. Our theory allows animals to be tagged over a range of times in each year, and to take time to mix into the population. Animals are recovered by hunting or fishing, and death events from natural causes occur but are not observed. We combine a long-standing approach based on yearly totals, described by Brownie et al. (1985, Statistical Inference from Band Recovery Data: A Handbook, Second edition, United States Fish and Wildlife Service, Washington, Resource Publication, 156), with an exact-time-of-recovery approach originated by Hearn, Sandland and Hampton (1987, Journal du Conseil International pour l'Exploration de la Mer, 43, 107-117), who modeled times at liberty without regard to time of tagging. Our model allows for exact times of release and recovery, incomplete reporting of recoveries, and potential tag shedding. We apply our methods to data on the heavily exploited southern bluefin tuna (Thunnus maccoyii).

Absolute quantitation of Marek's disease virus and Herpesvirus of turkeys in chicken lymphocyte, feather tip and dust samples using real-time PCR

The further development of Taqman quantitative real-time PCR (qPCR) assays for the absolute quantitation of Marek's disease virus serotype 1 (MDV1) and Herpesvirus of turkeys (HVT) viruses is described and the sensitivity and reproducibility of each assay reported. Using plasmid DNA copies, the lower limit of detection was determined to be 5 copies for the MDV1 assay and 75 copies for the HVT assay. Both assays were found to be highly reproducible for Ct values and calculated copy numbers with mean intra- and inter-assay coefficients of variation being less than 5% for Ct and 20% for calculated copy number. The genome copy number of MDV1 and HVT viruses was quantified in PBL and feather tips from experimentally infected chickens, and field poultry dust samples. Parallelism was demonstrated between the plasmid-based standard curves, and standard curves derived from infected spleen material containing both viral and host DNA, allowing the latter to be used for absolute quantification. These methods should prove useful for the reliable differentiation and absolute quantitation of MDV1 and HVT viruses in a wide range of samples.

Testing the simulation capability of APSIM-ORYZA under different levels of nitrogen fertiliser and transplanting time regimes in Korea

APSIM-ORYZA is a new functionality developed in the APSIM framework to simulate rice production while addressing management issues such as fertilisation and transplanting, which are particularly important in Korean agriculture. To validate the model for Korean rice varieties and field conditions, the measured yields and flowering times from three field experiments conducted by the Gyeonggi Agricultural Research and Extension Services (GARES) in Korea were compared against the simulated outputs for different management practices and rice varieties. Simulated yields of early-, mid- and mid-to-late-maturing varieties of rice grown in a continuous rice cropping system from 1997 to 2004 showed close agreement with the measured data. Similar results were also found for yields simulated under seven levels of nitrogen application. When different transplanting times were modelled, simulated flowering times ranged from within 3 days of the measured values for the early-maturing varieties, to up to 9 days after the measured dates for the mid- and especially mid-to-late-maturing varieties. This was associated with highly variable simulated yields which correlated poorly with the measured data. This suggests the need to accurately calibrate the photoperiod sensitivity parameters of the model for the photoperiod-sensitive rice varieties in Korea.

Methodological and Empirical Advances in the Quantitative Analysis of Spontaneous Responses in Psychophysiological Time Series

The aim of the present study was to advance the methodology and use of time series analysis to quantify dynamic structures in psychophysiological processes and thereby to produce information on spontaneously coupled physiological responses and their behavioral and experiential correlates. Series of analyses using both simulated and empirical cardiac (IBI), electrodermal (EDA), and facial electromyographic (EMG) data indicated that, despite potential autocorrelated structures, smoothing increased the reliability of detecting response coupling from an interindividual distribution of intraindividual measures and that especially the measures of covariance produced accurate information on the extent of coupled responses. This methodology was applied to analyze spontaneously coupled IBI, EDA, and facial EMG responses and vagal activity in their relation to emotional experience and personality characteristics in a group of middle-aged men (n = 37) during the administration of the Rorschach testing protocol. The results revealed new characteristics in the relationship between phasic end-organ synchronization and vagal activity, on the one hand, and individual differences in emotional adjustment to novel situations on the other. Specifically, it appeared that the vagal system is intimately related to emotional and social responsivity. It was also found that the lack of spontaneously synchronized responses is related to decreased energetic arousal (e.g., depression, mood). These findings indicate that the present process analysis approach has many advantages for use in both experimental and applied research, and that it is a useful new paradigm in psychophysiological research. Keywords: Autonomic Nervous System; Emotion; Facial Electromyography; Individual Differences; Spontaneous Responses; Time Series Analysis; Vagal System

Analysis of randomly time varying systems by gaussian closure technique

The Gaussian probability closure technique is applied to study the random response of multidegree of freedom stochastically time varying systems under non-Gaussian excitations. Under the assumption that the response, the coefficient and the excitation processes are jointly Gaussian, deterministic equations are derived for the first two response moments. It is further shown that this technique leads to the best Gaussian estimate in a minimum mean square error sense. An example problem is solved which demonstrates the capability of this technique for handling non-linearity, stochastic system parameters and amplitude limited responses in a unified manner. Numerical results obtained through the Gaussian closure technique compare well with the exact solutions.

Effects of increasing neuromuscular electrical stimulation current intensity on cortical sensorimotor network activation: A time domain fNIRS study

Neuroimaging studies have shown neuromuscular electrical stimulation (NMES)-evoked movements activate regions of the cortical sensorimotor network, including the primary sensorimotor cortex (SMC), premotor cortex (PMC), supplementary motor area (SMA), and secondary somatosensory area (S2), as well as regions of the prefrontal cortex (PFC) known to be involved in pain processing. The aim of this study, on nine healthy subjects, was to compare the cortical network activation profile and pain ratings during NMES of the right forearm wrist extensor muscles at increasing current intensities up to and slightly over the individual maximal tolerated intensity (MTI), and with reference to voluntary (VOL) wrist extension movements. By exploiting the capability of the multi-channel time domain functional near-infrared spectroscopy technique to relate depth information to the photon time-of-flight, the cortical and superficial oxygenated (O₂Hb) and deoxygenated (HHb) hemoglobin concentrations were estimated. The O₂Hb and HHb maps obtained using the General Linear Model (NIRS-SPM) analysis method, showed that the VOL and NMES-evoked movements significantly increased activation (i.e., increase in O₂Hb and corresponding decrease in HHb) in the cortical layer of the contralateral sensorimotor network (SMC, PMC/SMA, and S2). However, the level and area of contralateral sensorimotor network (including PFC) activation was significantly greater for NMES than VOL. Furthermore, there was greater bilateral sensorimotor network activation with the high NMES current intensities which corresponded with increased pain ratings. In conclusion, our findings suggest that greater bilateral sensorimotor network activation profile with high NMES current intensities could be in part attributable to increased attentional/pain processing and to increased bilateral sensorimotor integration in these cortical regions.

The effects of sliding velocity and sliding time on nanocrystalline tribolayer development and properties in copper

The growth of the nanocrystalline tribolayer produced in oxygen free high conductivity copper after sliding against 440C stainless steel was studied. Tests were conducted on a pin-on-disk tribometer at sliding velocities of 0.05 and 1.0 m/s and sliding times of 0.1 to 10,000 s. Subsurface deformation and the growth of the tribolayer as a function of time were studied with the use of transmission electron microscopy and ion induced secondary electron microscopy. A continuous nanocrystalline tribolayer was produced after as little as 10 s of sliding at both sliding velocities. The tribolayer produced by sliding at 0.05 m/s continued to grow at sliding times up to 10,000 s and developed texture. Dynamic recrystallization of the tribolayer at a sliding velocity of 1.0 m/s inhibited the growth of a continuous anocrystalline tribolayer.

Estimating crop area using seasonal time series of enhanced vegetation index from MODIS satellite imagery

Cereal grain is one of the main export commodities of Australian agriculture. Over the past decade, crop yield forecasts for wheat and sorghum have shown appreciable utility for industry planning at shire, state, and national scales. There is now an increasing drive from industry for more accurate and cost-effective crop production forecasts. In order to generate production estimates, accurate crop area estimates are needed by the end of the cropping season. Multivariate methods for analysing remotely sensed Enhanced Vegetation Index (EVI) from 16-day Moderate Resolution Imaging Spectroradiometer (MODIS) satellite imagery within the cropping period (i.e. April-November) were investigated to estimate crop area for wheat, barley, chickpea, and total winter cropped area for a case study region in NE Australia. Each pixel classification method was trained on ground truth data collected from the study region. Three approaches to pixel classification were examined: (i) cluster analysis of trajectories of EVI values from consecutive multi-date imagery during the crop growth period; (ii) harmonic analysis of the time series (HANTS) of the EVI values; and (iii) principal component analysis (PCA) of the time series of EVI values. Images classified using these three approaches were compared with each other, and with a classification based on the single MODIS image taken at peak EVI. Imagery for the 2003 and 2004 seasons was used to assess the ability of the methods to determine wheat, barley, chickpea, and total cropped area estimates. The accuracy at pixel scale was determined by the percent correct classification metric by contrasting all pixel scale samples with independent pixel observations. At a shire level, aggregated total crop area estimates were compared with surveyed estimates. All multi-temporal methods showed significant overall capability to estimate total winter crop area. There was high accuracy at pixel scale (>98% correct classification) for identifying overall winter cropping. However, discrimination among crops was less accurate. Although the use of single-date EVI data produced high accuracy for estimates of wheat area at shire scale, the result contradicted the poor pixel-scale accuracy associated with this approach, due to fortuitous compensating errors. Further studies are needed to extrapolate the multi-temporal approaches to other geographical areas and to improve the lead time for deriving cropped-area estimates before harvest.