957 resultados para Multivariate volatility models


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This paper presents a discussion on the use of MIMO and SISO techniques for identification of the radiation force terms in models for surface vessels. We compare and discuss two techniques recently proposed in literature for this application: time domain identification and frequency domain identification. We compare the methods in terms of estimates model order, accuracy of the fit, use of the available information, and ease of use and implementation.

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Recent years have seen global food prices rise and become more volatile. Price surges in 2008 and 2011 held devastating consequences for hundreds of millions of people and negatively impacted many more. Today one billion people are hungry. The issue is a high priority for many international agencies and national governments. At the Cannes Summit in November 2011, the G20 leaders agreed to implement five objectives aiming to mitigate food price volatility and protect vulnerable persons. To succeed, the global community must now translate these high level policy objectives into practical actions. In this paper, we describe challenges and unresolved dilemmas before the global community in implementing these five objectives. The paper describes recent food price volatility trends and an evaluation of possible causes. Special attention is given to climate change and water scarcity, which have the potential to impact food prices to a much greater extent in coming decades. We conclude the world needs an improved knowledge base and new analytical capabilities, developed in parallel with the implementation of practical policy actions, to manage food price volatility and reduce hunger and malnutrition. This requires major innovations and paradigm shifts by the global community.

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In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM–test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in the S&P 500 stock index completes the paper.

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Mobile robots and animals alike must effectively navigate their environments in order to achieve their goals. For animals goal-directed navigation facilitates finding food, seeking shelter or migration; similarly robots perform goal-directed navigation to find a charging station, get out of the rain or guide a person to a destination. This similarity in tasks extends to the environment as well; increasingly, mobile robots are operating in the same underwater, ground and aerial environments that animals do. Yet despite these similarities, goal-directed navigation research in robotics and biology has proceeded largely in parallel, linked only by a small amount of interdisciplinary research spanning both areas. Most state-of-the-art robotic navigation systems employ a range of sensors, world representations and navigation algorithms that seem far removed from what we know of how animals navigate; their navigation systems are shaped by key principles of navigation in ‘real-world’ environments including dealing with uncertainty in sensing, landmark observation and world modelling. By contrast, biomimetic animal navigation models produce plausible animal navigation behaviour in a range of laboratory experimental navigation paradigms, typically without addressing many of these robotic navigation principles. In this paper, we attempt to link robotics and biology by reviewing the current state of the art in conventional and biomimetic goal-directed navigation models, focusing on the key principles of goal-oriented robotic navigation and the extent to which these principles have been adapted by biomimetic navigation models and why.

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PURPOSE The purpose of this study was to demonstrate the potential of near infrared (NIR) spectroscopy for characterizing the health and degenerative state of articular cartilage based on the components of the Mankin score. METHODS Three models of osteoarthritic degeneration induced in laboratory rats by anterior cruciate ligament (ACL) transection, meniscectomy (MSX), and intra-articular injection of monoiodoacetate (1 mg) (MIA) were used in this study. Degeneration was induced in the right knee joint; each model group consisted of 12 rats (N = 36). After 8 weeks, the animals were euthanized and knee joints were collected. A custom-made diffuse reflectance NIR probe of 5-mm diameter was placed on the tibial and femoral surfaces, and spectral data were acquired from each specimen in the wave number range of 4,000 to 12,500 cm(-1). After spectral data acquisition, the specimens were fixed and safranin O staining (SOS) was performed to assess disease severity based on the Mankin scoring system. Using multivariate statistical analysis, with spectral preprocessing and wavelength selection technique, the spectral data were then correlated to the structural integrity (SI), cellularity (CEL), and matrix staining (SOS) components of the Mankin score for all the samples tested. RESULTS ACL models showed mild cartilage degeneration, MSX models had moderate degeneration, and MIA models showed severe cartilage degenerative changes both morphologically and histologically. Our results reveal significant linear correlations between the NIR absorption spectra and SI (R(2) = 94.78%), CEL (R(2) = 88.03%), and SOS (R(2) = 96.39%) parameters of all samples in the models. In addition, clustering of the samples according to their level of degeneration, with respect to the Mankin components, was also observed. CONCLUSIONS NIR spectroscopic probing of articular cartilage can potentially provide critical information about the health of articular cartilage matrix in early and advanced stages of osteoarthritis (OA). CLINICAL RELEVANCE This rapid nondestructive method can facilitate clinical appraisal of articular cartilage integrity during arthroscopic surgery.

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Designed for undergraduate and postgraduate students, academic researchers and industrial practitioners, this book provides comprehensive case studies on numerical computing of industrial processes and step-by-step procedures for conducting industrial computing. It assumes minimal knowledge in numerical computing and computer programming, making it easy to read, understand and follow. Topics discussed include fundamentals of industrial computing, finite difference methods, the Wavelet-Collocation Method, the Wavelet-Galerkin Method, High Resolution Methods, and comparative studies of various methods. These are discussed using examples of carefully selected models from real processes of industrial significance. The step-by-step procedures in all these case studies can be easily applied to other industrial processes without a need for major changes and thus provide readers with useful frameworks for the applications of engineering computing in fundamental research problems and practical development scenarios.

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Gaining invariance to camera and illumination variations has been a well investigated topic in Active Appearance Model (AAM) fitting literature. The major problem lies in the inability of the appearance parameters of the AAM to generalize to unseen conditions. An attractive approach for gaining invariance is to fit an AAM to a multiple filter response (e.g. Gabor) representation of the input image. Naively applying this concept with a traditional AAM is computationally prohibitive, especially as the number of filter responses increase. In this paper, we present a computationally efficient AAM fitting algorithm based on the Lucas-Kanade (LK) algorithm posed in the Fourier domain that affords invariance to both expression and illumination. We refer to this as a Fourier AAM (FAAM), and show that this method gives substantial improvement in person specific AAM fitting performance over traditional AAM fitting methods.

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Rodent (mouse and rat) models have been crucial in developing our understanding of human neurogenesis and neural stem cell (NSC) biology. The study of neurogenesis in rodents has allowed us to begin to understand adult human neurogenesis and in particular, protocols established for isolation and in vitro propagation of rodent NSCs have successfully been applied to the expansion of human NSCs. Furthermore, rodent models have played a central role in studying NSC function in vivo and in the development of NSC transplantation strategies for cell therapy applications. Rodents and humans share many similarities in the process of neurogenesis and NSC biology however distinct species differences are important considerations for the development of more efficient human NSC therapeutic applications. Here we review the important contributions rodent studies have had to our understanding of human neurogenesis and to the development of in vitro and in vivo NSC research. Species differences will be discussed to identify key areas in need of further development for human NSC therapy applications.

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Angiogenesis is indispensable for solid tumor expansion, and thus it has become a major target of cancer research and anti-cancer therapies. Deciphering the arcane actions of various cell populations during tumor angiogenesis requires sophisticated research models, which could capture the dynamics and complexity of the process. There is a continuous need for improvement of existing research models, which engages interdisciplinary approaches of tissue engineering with life sciences. Tireless efforts to develop a new model to study tumor angiogenesis result in innovative solutions, which bring us one step closer to decipher the dubious nature of cancer. This review aims to overview the recent developments, current limitations and future challenges in three-dimensional tissue-engineered models for the study of tumor angiogenesis and for the purpose of elucidating novel targets aimed at anti-cancer drug discovery.

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The type of contract model may have a significant influence on achieving project objectives, including environmental and climate change goals. This research investigates non-standard contract models impacting greenhouse gas emissions (GHG) in transport infrastructure construction in Australia. The research is based on the analysis of two case studies: an Early Contractor Involvement (ECI) contract and a Design and Construct (D&C) contract with GHG reduction requirements embedded in the contractor selection. Main findings support the use of ECIs for better integrating decisions made during the planning phase with the construction activities, and improve environmental outcomes while achieving financial and time savings. Key words: greenhouse gases reduction; road construction; contracting; ECI; D&C

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Introduction Risk factor analyses for nosocomial infections (NIs) are complex. First, due to competing events for NI, the association between risk factors of NI as measured using hazard rates may not coincide with the association using cumulative probability (risk). Second, patients from the same intensive care unit (ICU) who share the same environmental exposure are likely to be more similar with regard to risk factors predisposing to a NI than patients from different ICUs. We aimed to develop an analytical approach to account for both features and to use it to evaluate associations between patient- and ICU-level characteristics with both rates of NI and competing risks and with the cumulative probability of infection. Methods We considered a multicenter database of 159 intensive care units containing 109,216 admissions (813,739 admission-days) from the Spanish HELICS-ENVIN ICU network. We analyzed the data using two models: an etiologic model (rate based) and a predictive model (risk based). In both models, random effects (shared frailties) were introduced to assess heterogeneity. Death and discharge without NI are treated as competing events for NI. Results There was a large heterogeneity across ICUs in NI hazard rates, which remained after accounting for multilevel risk factors, meaning that there are remaining unobserved ICU-specific factors that influence NI occurrence. Heterogeneity across ICUs in terms of cumulative probability of NI was even more pronounced. Several risk factors had markedly different associations in the rate-based and risk-based models. For some, the associations differed in magnitude. For example, high Acute Physiology and Chronic Health Evaluation II (APACHE II) scores were associated with modest increases in the rate of nosocomial bacteremia, but large increases in the risk. Others differed in sign, for example respiratory vs cardiovascular diagnostic categories were associated with a reduced rate of nosocomial bacteremia, but an increased risk. Conclusions A combination of competing risks and multilevel models is required to understand direct and indirect risk factors for NI and distinguish patient-level from ICU-level factors.

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We learn from the past that invasive species have caused tremendous damage to native species and serious disruption to agricultural industries. It is crucial for us to prevent this in the future. The first step of this process is to identify correctly an invasive species from native ones. Current identification methods, relying on mainly 2D images, can result in low accuracy and be time consuming. Such methods provide little help to a quarantine officer who has time constraints to response when on duty. To deal with this problem, we propose new solutions using 3D virtual models of insects. We explain how working with insects in the 3D domain can be much better than the 2D domain. We also describe how to create true-color 3D models of insects using an image-based 3D reconstruction method. This method is ideal for quarantine control and inspection tasks that involve the verification of a physical specimen against known invasive species. Finally we show that these insect models provide valuable material for other applications such as research, education, arts and entertainment. © 2013 IEEE.

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Collections of biological specimens are fundamental to scientific understanding and characterization of natural diversity - past, present and future. This paper presents a system for liberating useful information from physical collections by bringing specimens into the digital domain so they can be more readily shared, analyzed, annotated and compared. It focuses on insects and is strongly motivated by the desire to accelerate and augment current practices in insect taxonomy which predominantly use text, 2D diagrams and images to describe and characterize species. While these traditional kinds of descriptions are informative and useful, they cannot cover insect specimens "from all angles" and precious specimens are still exchanged between researchers and collections for this reason. Furthermore, insects can be complex in structure and pose many challenges to computer vision systems. We present a new prototype for a practical, cost-effective system of off-the-shelf components to acquire natural-colour 3D models of insects from around 3 mm to 30 mm in length. ("Natural-colour" is used to contrast with "false-colour", i.e., colour generated from, or applied to, gray-scale data post-acquisition.) Colour images are captured from different angles and focal depths using a digital single lens reflex (DSLR) camera rig and two-axis turntable. These 2D images are processed into 3D reconstructions using software based on a visual hull algorithm. The resulting models are compact (around 10 megabytes), afford excellent optical resolution, and can be readily embedded into documents and web pages, as well as viewed on mobile devices. The system is portable, safe, relatively affordable, and complements the sort of volumetric data that can be acquired by computed tomography. This system provides a new way to augment the description and documentation of insect species holotypes, reducing the need to handle or ship specimens. It opens up new opportunities to collect data for research, education, art, entertainment, biodiversity assessment and biosecurity control. © 2014 Nguyen et al.

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Due to its ability to represent intricate systems with material nonlinearities as well as irregular loading, boundary, geometrical and material domains, the finite element (FE) method has been recognized as an important computational tool in spinal biomechanics. Current FE models generally account for a single distinct spinal geometry with one set of material properties despite inherently large inter-subject variability. The uncertainty and high variability in tissue material properties, geometry, loading and boundary conditions has cast doubt on the reliability of their predictions and comparability with reported in vitro and in vivo values. A multicenter study was undertaken to compare the results of eight well-established models of the lumbar spine that have been developed, validated and applied for many years. Models were subjected to pure and combined loading modes and their predictions were compared to in vitro and in vivo measurements for intervertebral rotations, disc pressures and facet joint forces. Under pure moment loading, the predicted L1-5 rotations of almost all models fell within the reported in vitro ranges; their median values differed on average by only 2° for flexion-extension, 1° for lateral bending and 5° for axial rotation. Predicted median facet joint forces and disc pressures were also in good agreement with previously published median in vitro values. However, the ranges of predictions were larger and exceeded the in vitro ranges, especially for facet joint forces. For all combined loading modes, except for flexion, predicted median segmental intervertebral rotations and disc pressures were in good agreement with in vivo values. The simulations yielded median facet joint forces of 0 N in flexion, 38 N in extension, 14 N in lateral bending and 60 N in axial rotation that could not be validated due to the paucity of in vivo facet joint forces. In light of high inter-subject variability, one must be cautious when generalizing predictions obtained from one deterministic model. This study demonstrates however that the predictive power increases when FE models are combined together. The median of individual numerical results can hence be used as an improved tool in order to estimate the response of the lumbar spine.