997 resultados para Stochastic discount factor


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This work aims to take advantage of recent developments in joint factor analysis (JFA) in the context of a phonetically conditioned GMM speaker verification system. Previous work has shown performance advantages through phonetic conditioning, but this has not been shown to date with the JFA framework. Our focus is particularly on strategies for combining the phone-conditioned systems. We show that the classic fusion of the scores is suboptimal when using multiple GMM systems. We investigate several combination strategies in the model space, and demonstrate improvement over score-level combination as well as over a non-phonetic baseline system. This work was conducted during the 2008 CLSP Workshop at Johns Hopkins University.

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Industrial employment growth has been one of the most dynamic areas of expansion in Asia; however, current trends in industrialised working environments have resulted in greater employee stress. Despite research showing that cultural values affect the way people cope with stress, there is a dearth of psychometrically established tools for use in non-Western countries to measure these constructs. Studies of the "Way of Coping Checklist-Revised" (WCCL-R) in the West suggest that the WCCL-R has good psychometric properties, but its applicability in the East is still understudied. A confirmatory factor analysis (CFA) is used to validate the WCCL-R constructs in an Asian population. This study used 1,314 participants from Indonesia, Sri Lanka, Singapore, and Thailand. An initial exploratory factor analysis revealed that original structures were not confirmed; however, a subsequent EFA and CFA showed that a 38-item, five-factor structure model was confirmed. The revised WCCL-R in the Asian sample was also found to have good reliability and sound construct and concurrent validity. The 38-item structure of the WCCL-R has considerable potential in future occupational stress-related research in Asian countries.

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A study investigated the reliability and construct validity of the Children's Depression Scale. The revised subscales were shown to have strong construct and face validity and high reliability.

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Traditionally, the aquisition of skills and sport movement has been characterised by numerous repetitions of presumed model movement pattern to be acquired by learners. This approach has been questioned by research identifying the presence of individualised movement patterns and the low probability of occurrence of two identical movements within and between individuals. In contrast, the differential learning approach claims advantage for incurring variability in the learning process by adding stochastic perturbations during practice. These ideas are exemplified by data from a high jump experiment which compared the effectiveness of classical and a differential training approach with pre-post test design. Results showed clear advantages for the group with additional stochastic perturbation during the aquisition phase in comparison to classically trained athletes. Analogies to similar phenomenological effects in the neurobiological literature are discussed.

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This work presents an extended Joint Factor Analysis model including explicit modelling of unwanted within-session variability. The goals of the proposed extended JFA model are to improve verification performance with short utterances by compensating for the effects of limited or imbalanced phonetic coverage, and to produce a flexible JFA model that is effective over a wide range of utterance lengths without adjusting model parameters such as retraining session subspaces. Experimental results on the 2006 NIST SRE corpus demonstrate the flexibility of the proposed model by providing competitive results over a wide range of utterance lengths without retraining and also yielding modest improvements in a number of conditions over current state-of-the-art.

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It is often postulated that an increased hip to shoulder differential angle (`X-Factor') during the early downswing better utilises the stretch-shorten cycle and improves golf performance. The current study aims to examine the potential relationship between the X-Factor and performance during the tee-shot. Seven golfers with handicaps between 0 and 10 strokes comprised the low-handicap group, whilst the high-handicap group consisted of eight golfers with handicaps between 11 and 20 strokes. The golfers performed 20 drives and three-dimensional kinematic data were used to quantify hip and shoulder rotation and the subsequent X-Factor. Compared with the low-handicap group, the high-handicap golfers tended to demonstrate greater hip rotation at the top of the backswing and recorded reduced maximum X-Factor values. The inconsistencies evident in the literature may suggest that a universal method of measuring rotational angles during the golf swing would be beneficial for future studies, particularly when considering potential injury.

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Objective: Obesity associated with atypical antipsychotic medications is an important clinical issue for people with schizophrenia. The purpose of this project was to determine whether there were any differences in resting energy expenditure (REE) and respiratory quotient (RQ) between men with schizophrenia and controls. Method: Thirty-one men with schizophrenia were individually matched for age and relative body weight with healthy, sedentary controls. Deuterium dilution was used to determine total body water and subsequently fat-free mass (FFM). Indirect calorimetry using a Deltatrac metabolic cart was used to determine REE and RQ. Results: When corrected for FFM, there was no significant difference in REE between the groups. However, fasting RQ was significantly higher in the men with schizophrenia than the controls. Conclusion: Men with schizophrenia oxidised proportionally less fat and more carbohydrate under resting conditions than healthy controls. These differences in substrate utilisation at rest may be an important consideration in obesity in this clinical group.

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We consider a new form of authenticated key exchange which we call multi-factor password-authenticated key exchange, where session establishment depends on successful authentication of multiple short secrets that are complementary in nature, such as a long-term password and a one-time response, allowing the client and server to be mutually assured of each other's identity without directly disclosing private information to the other party. Multi-factor authentication can provide an enhanced level of assurance in higher-security scenarios such as online banking, virtual private network access, and physical access because a multi-factor protocol is designed to remain secure even if all but one of the factors has been compromised. We introduce a security model for multi-factor password-authenticated key exchange protocols, propose an efficient and secure protocol called MFPAK, and provide a security argument to show that our protocol is secure in this model. Our security model is an extension of the Bellare-Pointcheval-Rogaway security model for password-authenticated key exchange and accommodates an arbitrary number of symmetric and asymmetric authentication factors.

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Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

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The use of animal sera for the culture of therapeutically important cells impedes the clinical use of the cells. We sought to characterize the functional response of human mesenchymal stem cells (hMSCs) to specific proteins known to exist in bone tissue with a view to eliminating the requirement of animal sera. Insulin-like growth factor-I (IGF-I), via IGF binding protein-3 or -5 (IGFBP-3 or -5) and transforming growth factor-beta 1 (TGF-beta(1)) are known to associate with the extracellular matrix (ECM) protein vitronectin (VN) and elicit functional responses in a range of cell types in vitro. We found that specific combinations of VN, IGFBP-3 or -5, and IGF-I or TGF-beta(1) could stimulate initial functional responses in hMSCs and that IGF-I or TGF-beta(1) induced hMSC aggregation, but VN concentration modulated this effect. We speculated that the aggregation effect may be due to endogenous protease activity, although we found that neither IGF-I nor TGF-beta(1) affected the functional expression of matrix metalloprotease-2 or -9, two common proteases expressed by hMSCs. In summary, combinations of the ECM and growth factors described herein may form the basis of defined cell culture media supplements, although the effect of endogenous protease expression on the function of such proteins requires investigation.