957 resultados para Multivariate volatility models


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This paper develops a semiparametric estimation approach for mixed count regression models based on series expansion for the unknown density of the unobserved heterogeneity. We use the generalized Laguerre series expansion around a gamma baseline density to model unobserved heterogeneity in a Poisson mixture model. We establish the consistency of the estimator and present a computational strategy to implement the proposed estimation techniques in the standard count model as well as in truncated, censored, and zero-inflated count regression models. Monte Carlo evidence shows that the finite sample behavior of the estimator is quite good. The paper applies the method to a model of individual shopping behavior. © 1999 Elsevier Science S.A. All rights reserved.

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Objective: To examine the effects of personal and community characteristics, specifically race and rurality, on lengths of state psychiatric hospital and community stays using maximum likelihood survival analysis with a special emphasis on change over a ten year period of time. Data Sources: We used the administrative data of the Virginia Department of Mental Health, Mental Retardation, and Substance Abuse Services (DMHMRSAS) from 1982-1991 and the Area Resources File (ARF). Given these two sources, we constructed a history file for each individual who entered the state psychiatric system over the ten year period. Histories included demographic, treatment, and community characteristics. Study Design: We used a longitudinal, population-based design with maximum likelihood estimation of survival models. We presented a random effects model with unobserved heterogeneity that was independent of observed covariates. The key dependent variables were lengths of inpatient stay and subsequent length of community stay. Explanatory variables measured personal, diagnostic, and community characteristics, as well as controls for calendar time. Data Collection: This study used secondary, administrative, and health planning data. Principal Findings: African-American clients leave the community more quickly than whites. After controlling for other characteristics, however, race does not affect hospital length of stay. Rurality does not affect length of community stays once other personal and community characteristics are controlled for. However, people from rural areas have longer hospital stays even after controlling for personal and community characteristics. The effects of time are significantly smaller than expected. Diagnostic composition effects and a decrease in the rate of first inpatient admissions explain part of this reduced impact of time. We also find strong evidence for the existence of unobserved heterogeneity in both types of stays and adjust for this in our final models. Conclusions: Our results show that information on client characteristics available from inpatient stay records is useful in predicting not only the length of inpatient stay but also the length of the subsequent community stay. This information can be used to target increased discharge planning for those at risk of more rapid readmission to inpatient care. Correlation across observed and unobserved factors affecting length of stay has significant effects on the measurement of relationships between individual factors and lengths of stay. Thus, it is important to control for both observed and unobserved factors in estimation.

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This paper addresses the problem of determining optimal designs for biological process models with intractable likelihoods, with the goal of parameter inference. The Bayesian approach is to choose a design that maximises the mean of a utility, and the utility is a function of the posterior distribution. Therefore, its estimation requires likelihood evaluations. However, many problems in experimental design involve models with intractable likelihoods, that is, likelihoods that are neither analytic nor can be computed in a reasonable amount of time. We propose a novel solution using indirect inference (II), a well established method in the literature, and the Markov chain Monte Carlo (MCMC) algorithm of Müller et al. (2004). Indirect inference employs an auxiliary model with a tractable likelihood in conjunction with the generative model, the assumed true model of interest, which has an intractable likelihood. Our approach is to estimate a map between the parameters of the generative and auxiliary models, using simulations from the generative model. An II posterior distribution is formed to expedite utility estimation. We also present a modification to the utility that allows the Müller algorithm to sample from a substantially sharpened utility surface, with little computational effort. Unlike competing methods, the II approach can handle complex design problems for models with intractable likelihoods on a continuous design space, with possible extension to many observations. The methodology is demonstrated using two stochastic models; a simple tractable death process used to validate the approach, and a motivating stochastic model for the population evolution of macroparasites.

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During the early design stages of construction projects, accurate and timely cost feedback is critical to design decision making. This is particularly challenging for cost estimators, as they must quickly and accurately estimate the cost of the building when the design is still incomplete and evolving. State-of-the-art software tools typically use a rule-based approach to generate detailed quantities from the design details present in a building model and relate them to the cost items in a cost estimating database. In this paper, we propose a generic approach for creating and maintaining a cost estimate using flexible mappings between a building model and a cost estimate. The approach uses queries on the building design that are used to populate views, and each view is then associated with one or more cost items. The benefit of this approach is that the flexibility of modern query languages allows the estimator to encode a broad variety of relationships between the design and estimate. It also avoids the use of a common standard to which both designers and estimators must conform, allowing the estimator added flexibility and functionality to their work.

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A catchment-scale multivariate statistical analysis of hydrochemistry enabled assessment of interactions between alluvial groundwater and Cressbrook Creek, an intermittent drainage system in southeast Queensland, Australia. Hierarchical cluster analyses and principal component analysis were applied to time-series data to evaluate the hydrochemical evolution of groundwater during periods of extreme drought and severe flooding. A simple three-dimensional geological model was developed to conceptualise the catchment morphology and the stratigraphic framework of the alluvium. The alluvium forms a two-layer system with a basal coarse-grained layer overlain by a clay-rich low-permeability unit. In the upper and middle catchment, alluvial groundwater is chemically similar to streamwater, particularly near the creek (reflected by high HCO3/Cl and K/Na ratios and low salinities), indicating a high degree of connectivity. In the lower catchment, groundwater is more saline with lower HCO3/Cl and K/Na ratios, notably during dry periods. Groundwater salinity substantially decreased following severe flooding in 2011, notably in the lower catchment, confirming that flooding is an important mechanism for both recharge and maintaining groundwater quality. The integrated approach used in this study enabled effective interpretation of hydrological processes and can be applied to a variety of hydrological settings to synthesise and evaluate large hydrochemical datasets.

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We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low market returns. In Japan both the level and the change in consumer confidence boost the market return in the next month. Further, shifts in sentiment significantly move conditional volatility in most of the countries, and in Italy such impacts lead to an increase in returns by 4.7% in the next month.

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This paper investigates compressed sensing using hidden Markov models (HMMs) and hence provides an extension of recent single frame, bounded error sparse decoding problems into a class of sparse estimation problems containing both temporal evolution and stochastic aspects. This paper presents two optimal estimators for compressed HMMs. The impact of measurement compression on HMM filtering performance is experimentally examined in the context of an important image based aircraft target tracking application. Surprisingly, tracking of dim small-sized targets (as small as 5-10 pixels, with local detectability/SNR as low as − 1.05 dB) was only mildly impacted by compressed sensing down to 15% of original image size.

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Recent natural disasters such as the Haitian earthquake 2011, the South East Queensland floods 2011, the Japanese earthquake and tsunami 2011 and Hurricane Sandy in the United States of America in 2012, have seen social media platforms changing the face of emergency management communications, not only in times of crisis and also during business-as-usual operations. With social media being such an important and powerful communication tool, especially for emergency management organisations, the question arises as to whether the use of social media in these organisations emerged by considered strategic design or more as a reactive response to a new and popular communication channel. This paper provides insight into how the social media function has been positioned, staffed and managed in organisations throughout the world, with a particular focus on how these factors influence the style of communication used on social media platforms. This study has identified that the social media function falls on a continuum between two polarised models, namely the authoritative one-way communication approach and the more interactive approach that seeks to network and engage with the community through multi-way communication. Factors such the size of the organisation; dedicated resourcing of the social media function; organisational culture and mission statement; the presence of a social media champion within the organisation; management style and knowledge about social media play a key role in determining where on the continuum organisations sit in relation to their social media capability. This review, together with a forthcoming survey of Australian emergency management organisations and local governments, will fill a gap in the current body of knowledge about the evolution, positioning and usage of social media in organisations working in the emergency management field in Australia. These findings will be fed back to Industry for potential inclusion in future strategies and practices.

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In this paper, a novel data-driven approach to monitoring of systems operating under variable operating conditions is described. The method is based on characterizing the degradation process via a set of operation-specific hidden Markov models (HMMs), whose hidden states represent the unobservable degradation states of the monitored system while its observable symbols represent the sensor readings. Using the HMM framework, modeling, identification and monitoring methods are detailed that allow one to identify a HMM of degradation for each operation from mixed-operation data and perform operation-specific monitoring of the system. Using a large data set provided by a major manufacturer, the new methods are applied to a semiconductor manufacturing process running multiple operations in a production environment.

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BACKGROUND: To develop evidence-based approaches for reducing sedentary behavior, there is a need to identify the specific settings where prolonged sitting occurs, associated factors, and variations. PURPOSE: To examine the sociodemographic and health factors associated with mid-aged adults' sitting time in three contexts and variations between weekdays and weekend days. METHODS: A mail survey was sent to 17,000 adults (aged 40-65 years) in 2007; 11,037 responses were received (68.5%); and 7719 were analyzed in 2010. Respondents indicated time spent sitting on a usual weekday and weekend day for watching TV, general leisure, and home computer use. Multivariate linear mixed models with area-level random intercepts were used to examine (1) associations between sociodemographic and health variables and sitting time, and (2) interaction effects of weekday/weekend day with each of gender, age, education, and employment status, on sitting time. RESULTS: For each context, longer sitting times were reported by those single and living alone, and those whose health restricted activity. For watching TV, longer sitting times were reported by men; smokers; and those with high school or lower education, not in paid employment, in poor health, and with BMI ≥25. For general leisure, longer sitting times were reported by women, smokers, and those not employed full-time. For home computer use, longer sitting times were reported by men; and those aged 40-44 years, with university qualifications; in the mid-income range; and with BMI ≥30. Sitting times tended to be longer on weekend days than weekdays, although the extent of this differed among sociodemographic groups. CONCLUSIONS: Sociodemographic and health factors associated with sitting time differ by context and between weekdays and weekend days.

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Adolescent idiopathic scoliosis (AIS) is a spinal deformity, which may require surgical correction by attaching rods to the patient’s spine using screws inserted into the vertebrae. Complication rates for deformity correction surgery are unacceptably high. Determining an achievable correction without overloading the adjacent spinal tissues or implants requires an understanding of the mechanical interaction between these components. We have developed novel patient specific modelling software to create individualized finite element models (FEM) representing the thoracolumbar spine and ribcage of scoliosis patients. We are using these models to better understand the biomechanics of spinal deformity correction.

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Objective To describe women’s reports of the model of care options General Practitioners (GPs) discussed with them at the first pregnancy consultation and women’s self-reported role in decisionmaking about model of care. Methods Women who had recently given birth responded to survey items about the models of care GPs discussed, their role in final decision-making, and socio-demographic, obstetric history, and early pregnancy characteristics. Results The proportion of women with whom each model of care was discussed varied between 8.2% (for private midwifery care with home birth) and 64.4% (GP shared care). Only 7.7% of women reported that all seven models were discussed. Exclusive discussion about private obstetric care and about all public models was common, and women’s health insurance status was the strongest predictor of the presence of discussions about each model. Most women (82.6%) reported active involvement in final decision-making about model of care. Conclusion Although most women report involvement in maternity model of care decisions, they remain largely uninformed about the breadth of available model of care options. Practical implications Strategies that facilitate women’s access to information on the differentiating features and outcomes for all models of care should be prioritized to better ensure equitable and quality decisions.

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Background  Models of service provision and professional training differ between countries. This study aims to investigate a specialist intellectual disabilities model and a generic mental health model, specifically comparing psychiatrists’ knowledge and competencies, and service quality and accessibility in meeting the mental health needs of people with intellectual disabilities. Method  Data were collected from consultant and trainee psychiatrists within a specialist intellectual disabilities model (UK) and a generic mental health model (Australia). Results  The sample sizes were 294 (UK) and 205 (Australia). Statistically significant differences were found, with UK participants having positive views about the specialist intellectual disabilities service model they worked within, demonstrating flexible and accessible working practices and service provision, responsive to the range of mental health needs of the population with intellectual disabilities, and providing a wide range of treatments and supports. The UK participants were knowledgeable, well trained and confident in their work. They wanted to work with people with intellectual disabilities. In all of these areas, the converse was found from the Australian generic mental health service model. Conclusions  The specialist intellectual disabilities model of service provision and training has advantages over the generic mental health model.

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Channels are becoming an increasingly important area for companies to innovate, specifically as they provide direct points of contact with their customers. However, little is known in regards to multi-channel strategies that embody strategic brand values and how customers experience these channels collectively. The purpose of this paper is to investigate how organisations configure multi- channel strategies to communicate their brand value and experience to their customers. Data was collated from sixty companies through a content analysis methodology within the retail sector. Results uncovered commonalities through the identification of four meta-models surrounding common brand values, intended emotive experience, individual channels and the customer segment. These meta-models are titled: High Quality, Trust, Convenience and Community. This research also presents implications of a multi-channel design tool based on findings from this study to help reinforce company brand values and design an overall connected customer experience.