950 resultados para Multivariate GARCH


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Mango is an important horticultural fruit crop and breeding is a key strategy to improve ongoing sustainability. Knowledge of breeding values of potential parents is important for maximising progress from breeding. This study successfully employed a mixed linear model methods incorporating a pedigree to predict breeding values for average fruit weight from highly unbalanced data for genotypes planted over three field trials and assessed over several harvest seasons. Average fruit weight was found to be under strong additive genetic control. There was high correlation between hybrids propagated as seedlings and hybrids propagated as scions grafted onto rootstocks. Estimates of additive genetic correlation among trials ranged from 0.69 to 0.88 with correlations among harvest seasons within trials greater than 0.96. These results suggest that progress from selection for broad adaptation can be achieved, particularly as no repeatable environmental factor that could be used to predict G x E could be identified. Predicted breeding values for 35 known cultivars are presented for use in ongoing breeding programs.

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The family of location and scale mixtures of Gaussians has the ability to generate a number of flexible distributional forms. The family nests as particular cases several important asymmetric distributions like the Generalized Hyperbolic distribution. The Generalized Hyperbolic distribution in turn nests many other well known distributions such as the Normal Inverse Gaussian. In a multivariate setting, an extension of the standard location and scale mixture concept is proposed into a so called multiple scaled framework which has the advantage of allowing different tail and skewness behaviours in each dimension with arbitrary correlation between dimensions. Estimation of the parameters is provided via an EM algorithm and extended to cover the case of mixtures of such multiple scaled distributions for application to clustering. Assessments on simulated and real data confirm the gain in degrees of freedom and flexibility in modelling data of varying tail behaviour and directional shape.

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We propose a family of multivariate heavy-tailed distributions that allow variable marginal amounts of tailweight. The originality comes from introducing multidimensional instead of univariate scale variables for the mixture of scaled Gaussian family of distributions. In contrast to most existing approaches, the derived distributions can account for a variety of shapes and have a simple tractable form with a closed-form probability density function whatever the dimension. We examine a number of properties of these distributions and illustrate them in the particular case of Pearson type VII and t tails. For these latter cases, we provide maximum likelihood estimation of the parameters and illustrate their modelling flexibility on simulated and real data clustering examples.

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BACKGROUND: In order to rapidly and efficiently screen potential biofuel feedstock candidates for quintessential traits, robust high-throughput analytical techniques must be developed and honed. The traditional methods of measuring lignin syringyl/guaiacyl (S/G) ratio can be laborious, involve hazardous reagents, and/or be destructive. Vibrational spectroscopy can furnish high-throughput instrumentation without the limitations of the traditional techniques. Spectral data from mid-infrared, near-infrared, and Raman spectroscopies was combined with S/G ratios, obtained using pyrolysis molecular beam mass spectrometry, from 245 different eucalypt and Acacia trees across 17 species. Iterations of spectral processing allowed the assembly of robust predictive models using partial least squares (PLS). RESULTS: The PLS models were rigorously evaluated using three different randomly generated calibration and validation sets for each spectral processing approach. Root mean standard errors of prediction for validation sets were lowest for models comprised of Raman (0.13 to 0.16) and mid-infrared (0.13 to 0.15) spectral data, while near-infrared spectroscopy led to more erroneous predictions (0.18 to 0.21). Correlation coefficients (r) for the validation sets followed a similar pattern: Raman (0.89 to 0.91), mid-infrared (0.87 to 0.91), and near-infrared (0.79 to 0.82). These statistics signify that Raman and mid-infrared spectroscopy led to the most accurate predictions of S/G ratio in a diverse consortium of feedstocks. CONCLUSION: Eucalypts present an attractive option for biofuel and biochemical production. Given the assortment of over 900 different species of Eucalyptus and Corymbia, in addition to various species of Acacia, it is necessary to isolate those possessing ideal biofuel traits. This research has demonstrated the validity of vibrational spectroscopy to efficiently partition different potential biofuel feedstocks according to lignin S/G ratio, significantly reducing experiment and analysis time and expense while providing non-destructive, accurate, global, predictive models encompassing a diverse array of feedstocks.

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This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

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Close to one half of the LHC events are expected to be due to elastic or inelastic diffractive scattering. Still, predictions based on extrapolations of experimental data at lower energies differ by large factors in estimating the relative rate of diffractive event categories at the LHC energies. By identifying diffractive events, detailed studies on proton structure can be carried out. The combined forward physics objects: rapidity gaps, forward multiplicity and transverse energy flows can be used to efficiently classify proton-proton collisions. Data samples recorded by the forward detectors, with a simple extension, will allow first estimates of the single diffractive (SD), double diffractive (DD), central diffractive (CD), and non-diffractive (ND) cross sections. The approach, which uses the measurement of inelastic activity in forward and central detector systems, is complementary to the detection and measurement of leading beam-like protons. In this investigation, three different multivariate analysis approaches are assessed in classifying forward physics processes at the LHC. It is shown that with gene expression programming, neural networks and support vector machines, diffraction can be efficiently identified within a large sample of simulated proton-proton scattering events. The event characteristics are visualized by using the self-organizing map algorithm.

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The basic characteristic of a chaotic system is its sensitivity to the infinitesimal changes in its initial conditions. A limit to predictability in chaotic system arises mainly due to this sensitivity and also due to the ineffectiveness of the model to reveal the underlying dynamics of the system. In the present study, an attempt is made to quantify these uncertainties involved and thereby improve the predictability by adopting a multivariate nonlinear ensemble prediction. Daily rainfall data of Malaprabha basin, India for the period 1955-2000 is used for the study. It is found to exhibit a low dimensional chaotic nature with the dimension varying from 5 to 7. A multivariate phase space is generated, considering a climate data set of 16 variables. The chaotic nature of each of these variables is confirmed using false nearest neighbor method. The redundancy, if any, of this atmospheric data set is further removed by employing principal component analysis (PCA) method and thereby reducing it to eight principal components (PCs). This multivariate series (rainfall along with eight PCs) is found to exhibit a low dimensional chaotic nature with dimension 10. Nonlinear prediction employing local approximation method is done using univariate series (rainfall alone) and multivariate series for different combinations of embedding dimensions and delay times. The uncertainty in initial conditions is thus addressed by reconstructing the phase space using different combinations of parameters. The ensembles generated from multivariate predictions are found to be better than those from univariate predictions. The uncertainty in predictions is decreased or in other words predictability is increased by adopting multivariate nonlinear ensemble prediction. The restriction on predictability of a chaotic series can thus be altered by quantifying the uncertainty in the initial conditions and also by including other possible variables, which may influence the system. (C) 2011 Elsevier B.V. All rights reserved.

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Granger causality is increasingly being applied to multi-electrode neurophysiological and functional imaging data to characterize directional interactions between neurons and brain regions. For a multivariate dataset, one might be interested in different subsets of the recorded neurons or brain regions. According to the current estimation framework, for each subset, one conducts a separate autoregressive model fitting process, introducing the potential for unwanted variability and uncertainty. In this paper, we propose a multivariate framework for estimating Granger causality. It is based on spectral density matrix factorization and offers the advantage that the estimation of such a matrix needs to be done only once for the entire multivariate dataset. For any subset of recorded data, Granger causality can be calculated through factorizing the appropriate submatrix of the overall spectral density matrix.

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We consider refined versions of Markov chains related to juggling introduced by Warrington. We further generalize the construction to juggling with arbitrary heights as well as infinitely many balls, which are expressed more succinctly in terms of Markov chains on integer partitions. In all cases, we give explicit product formulas for the stationary probabilities. The normalization factor in one case can be explicitly written as a homogeneous symmetric polynomial. We also refine and generalize enriched Markov chains on set partitions. Lastly, we prove that in one case, the stationary distribution is attained in bounded time.

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Biomolecular recognition underlying drug-target interactions is determined by both binding affinity and specificity. Whilst, quantification of binding efficacy is possible, determining specificity remains a challenge, as it requires affinity data for multiple targets with the same ligand dataset. Thus, understanding the interaction space by mapping the target space to model its complementary chemical space through computational techniques are desirable. In this study, active site architecture of FabD drug target in two apicomplexan parasites viz. Plasmodium falciparum (PfFabD) and Toxoplasma gondii (TgFabD) is explored, followed by consensus docking calculations and identification of fifteen best hit compounds, most of which are found to be derivatives of natural products. Subsequently, machine learning techniques were applied on molecular descriptors of six FabD homologs and sixty ligands to induce distinct multivariate partial-least square models. The biological space of FabD mapped by the various chemical entities explain their interaction space in general. It also highlights the selective variations in FabD of apicomplexan parasites with that of the host. Furthermore, chemometric models revealed the principal chemical scaffolds in PfFabD and TgFabD as pyrrolidines and imidazoles, respectively, which render target specificity and improve binding affinity in combination with other functional descriptors conducive for the design and optimization of the leads.

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Climate change in response to a change in external forcing can be understood in terms of fast response to the imposed forcing and slow feedback associated with surface temperature change. Previous studies have investigated the characteristics of fast response and slow feedback for different forcing agents. Here we examine to what extent that fast response and slow feedback derived from time-mean results of climate model simulations can be used to infer total climate change. To achieve this goal, we develop a multivariate regression model of climate change, in which the change in a climate variable is represented by a linear combination of its sensitivity to CO2 forcing, solar forcing, and change in global mean surface temperature. We derive the parameters of the regression model using time-mean results from a set of HadCM3L climate model step-forcing simulations, and then use the regression model to emulate HadCM3L-simulated transient climate change. Our results show that the regression model emulates well HadCM3L-simulated temporal evolution and spatial distribution of climate change, including surface temperature, precipitation, runoff, soil moisture, cloudiness, and radiative fluxes under transient CO2 and/or solar forcing scenarios. Our findings suggest that temporal and spatial patterns of total change for the climate variables considered here can be represented well by the sum of fast response and slow feedback. Furthermore, by using a simple 1-D heat-diffusion climate model, we show that the temporal and spatial characteristics of climate change under transient forcing scenarios can be emulated well using information from step-forcing simulations alone.