Risk-sensitivity and the mean-variance trade-off: decision making in sensorimotor control.

Numerous psychophysical studies suggest that the sensorimotor system chooses actions that optimize the average cost associated with a movement. Recently, however, violations of this hypothesis have been reported in line with economic theories of decision-making that not only consider the mean payoff, but are also sensitive to risk, that is the variability of the payoff. Here, we examine the hypothesis that risk-sensitivity in sensorimotor control arises as a mean-variance trade-off in movement costs. We designed a motor task in which participants could choose between a sure motor action that resulted in a fixed amount of effort and a risky motor action that resulted in a variable amount of effort that could be either lower or higher than the fixed effort. By changing the mean effort of the risky action while experimentally fixing its variance, we determined indifference points at which participants chose equiprobably between the sure, fixed amount of effort option and the risky, variable effort option. Depending on whether participants accepted a variable effort with a mean that was higher, lower or equal to the fixed effort, they could be classified as risk-seeking, risk-averse or risk-neutral. Most subjects were risk-sensitive in our task consistent with a mean-variance trade-off in effort, thereby, underlining the importance of risk-sensitivity in computational models of sensorimotor control.

Variance prediction in sea

A method is presented for predicting the variance of the energy levels in a built-up system to accompany the mean values predicted by SEA. Closed form expressions for the variance are obtained in terms of the standard SEA parameters and an additional set of parameters αk that describe the nature of the power input to each subsystem k, and αks that describe the nature of the coupling between subsystems k and s.

Effects of Lewis number on scalar variance transport in premixed flames

The influences of differential diffusion rates of heat and mass on the transport of the variances of Favre fluctuations of reaction progress variable and non-dimensional temperature have been studied using three-dimensional simplified chemistry based Direct Numerical Simulation (DNS) data of statistically planar turbulent premixed flames with global Lewis number ranging from Le = 0.34 to 1.2. The Lewis number effects on the statistical behaviours of the various terms of the transport equations of variances of Favre fluctuations of reaction progress variable and non-dimensional temperature have been analysed in the context of Reynolds Averaged Navier Stokes (RANS) simulations. It has been found that the turbulent fluxes of the progress variable and temperature variances exhibit counter-gradient transport for the flames with Lewis number significantly smaller than unity whereas the extent of this counter-gradient transport is found to decrease with increasing Lewis number. The Lewis number is also shown to have significant influences on the magnitudes of the chemical reaction and scalar dissipation rate contributions to the scalar variance transport. The modelling of the unclosed terms in the scalar variance equations for the non-unity Lewis number flames have been discussed in detail. The performances of the existing models for the unclosed terms are assessed based on a-priori analysis of DNS data. Based on the present analysis, new models for the unclosed terms of the active scalar variance transport equations are proposed, whenever necessary, which are shown to satisfactorily capture the behaviours of unclosed terms for all the flames considered in this study. © 2010 Springer Science+Business Media B.V.

On the problem of nonadditivity in two-way analysis of variance of data for comparing the efficiency of fishing gears

To bring out the relative efficiency of various types of fishing gears, in the analysis of catch data, a combination of Tukey's test, consequent transformation and graphical analysis for outlier elimination has been introduced, which can be advantageously used for applying ANOVA techniques, Application of these procedures to actual sets of data showed that nonadditivity in the data was caused by either the presence of outliers, or the absence of a suitable transformation or both. As a corollary, the concurrent model: X sub(ij) = µ + α sub(i) + β sub(j) + λ α sub(i) β sub(j) + E sub(ij) adequately fits the data.

A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion

In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. We prove that in incomplete market, some probability measure can be identified so that becomes -martingale under .This is in fact a new proposition on the martingale representation theorem. The new results also identify a weight function that serves to be an approximation to the Radon-Nikodým derivative of the unique neutral martingale measure.

Thermodynamic and dynamic contributions to future changes in regional precipitation variance: focus on the Southeastern United States

© 2014, Springer-Verlag Berlin Heidelberg.The frequency and severity of extreme events are tightly associated with the variance of precipitation. As climate warms, the acceleration in hydrological cycle is likely to enhance the variance of precipitation across the globe. However, due to the lack of an effective analysis method, the mechanisms responsible for the changes of precipitation variance are poorly understood, especially on regional scales. Our study fills this gap by formulating a variance partition algorithm, which explicitly quantifies the contributions of atmospheric thermodynamics (specific humidity) and dynamics (wind) to the changes in regional-scale precipitation variance. Taking Southeastern (SE) United States (US) summer precipitation as an example, the algorithm is applied to the simulations of current and future climate by phase 5 of Coupled Model Intercomparison Project (CMIP5) models. The analysis suggests that compared to observations, most CMIP5 models (~60 %) tend to underestimate the summer precipitation variance over the SE US during the 1950–1999, primarily due to the errors in the modeled dynamic processes (i.e. large-scale circulation). Among the 18 CMIP5 models analyzed in this study, six of them reasonably simulate SE US summer precipitation variance in the twentieth century and the underlying physical processes; these models are thus applied for mechanistic study of future changes in SE US summer precipitation variance. In the future, the six models collectively project an intensification of SE US summer precipitation variance, resulting from the combined effects of atmospheric thermodynamics and dynamics. Between them, the latter plays a more important role. Specifically, thermodynamics results in more frequent and intensified wet summers, but does not contribute to the projected increase in the frequency and intensity of dry summers. In contrast, atmospheric dynamics explains the projected enhancement in both wet and dry summers, indicating its importance in understanding future climate change over the SE US. The results suggest that the intensified SE US summer precipitation variance is not a purely thermodynamic response to greenhouse gases forcing, and cannot be explained without the contribution of atmospheric dynamics. Our analysis provides important insights to understand the mechanisms of SE US summer precipitation variance change. The algorithm formulated in this study can be easily applied to other regions and seasons to systematically explore the mechanisms responsible for the changes in precipitation extremes in a warming climate.

Towards variance-matrix characterization of complementarity relations in a continuous variable system

We discuss complementarity relations in a bipartite continuous variable system. Building up from the work done on discrete d-dimensional systems, we prove that for symmetric two-mode states, quantum complementarity relations can be put in a simple relation with the elements of the variance matrix. When this condition is not satisfied, such a connection becomes non-trivial. Our investigation is the first step towards an operative characterization of the complementarity in a scenario that has not been investigated so far.

Causality, apparent 'superluminality' and reshaping in barrier penetration

We consider tunneling of a nonrelativistic particle across a potential barrier. It is shown that the barrier acts as an effective beam splitter which builds up the transmitted pulse from the copies of the initial envelope shifted in the coordinate space backward relative to the free propagation. Although along each pathway causality is explicitly obeyed, in special cases reshaping can result an overall reduction of the initial envelope, accompanied by an arbitrary coordinate shift. In the case of a high barrier the delay amplitude distribution (DAD) mimics a Dirac delta function, the transmission amplitude is superoscillatory for finite momenta and tunneling leads to an accurate advancement of the (reduced) initial envelope by the barrier width. In the case of a wide barrier, initial envelope is accurately translated into the complex coordinate plane. The complex shift, given by the first moment of the DAD, accounts for both the displacement of the maximum of the transmitted probability density and the increase in its velocity. It is argued that analyzing apparent

Determining the spatial scale of wave variance for the siting of wave energy converters in near shore coastal environments

Senior thesis for Oceanography 445

A Psychosocial Approach to Understanding Causality Assessment in Early Phase Oncology Clinical Trials: A Phenomenological Study

Research Question: What are the psychosocial factors that affect causality assessment in early phase oncology clinical trials? Methods: Thirty-two qualitative interviews were explicated with the aid of “Naturalistic Decision Making”. Data explication consisted of phenomenological reduction, delineating and clustering meaning units, forming themes, and creating a composite summary. Participants were members of the National Cancer Institute of Canada’s Clinical Trial Group Investigative New Drug committee. Results: The process of assigning causality is extremely subjective and full of uncertainty. Physicians had no formal training, nor a tool to assist them with this process. Physicians were apprehensive about their decisions and felt pressure from their patients, as well as the pharmaceutical companies sponsoring the trial. Conclusions: There are many problem areas when attributing causality, all of which have serious consequences, but clinicians used a variety of methods to cope with these problem areas.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number of lags or the number of equations is not small, we propose a general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In particular, we show that maximized Monte Carlo tests [Dufour (2002)] can provide provably exact tests for such models, whether they are stationary or integrated. Applications to order selection and causality testing are considered as special cases. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy, comprising income, money, interest rates and prices, over the period 1965-1996.

Variance in Bioethics Services: Challenges and Opportunities in Canada with a Focus on In-house vs. Outsourced Health Care Ethics Consultations

Étude de cas / Case study