939 resultados para Return-based pricing kernel


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Objective: We carry out a systematic assessment on a suite of kernel-based learning machines while coping with the task of epilepsy diagnosis through automatic electroencephalogram (EEG) signal classification. Methods and materials: The kernel machines investigated include the standard support vector machine (SVM), the least squares SVM, the Lagrangian SVM, the smooth SVM, the proximal SVM, and the relevance vector machine. An extensive series of experiments was conducted on publicly available data, whose clinical EEG recordings were obtained from five normal subjects and five epileptic patients. The performance levels delivered by the different kernel machines are contrasted in terms of the criteria of predictive accuracy, sensitivity to the kernel function/parameter value, and sensitivity to the type of features extracted from the signal. For this purpose, 26 values for the kernel parameter (radius) of two well-known kernel functions (namely. Gaussian and exponential radial basis functions) were considered as well as 21 types of features extracted from the EEG signal, including statistical values derived from the discrete wavelet transform, Lyapunov exponents, and combinations thereof. Results: We first quantitatively assess the impact of the choice of the wavelet basis on the quality of the features extracted. Four wavelet basis functions were considered in this study. Then, we provide the average accuracy (i.e., cross-validation error) values delivered by 252 kernel machine configurations; in particular, 40%/35% of the best-calibrated models of the standard and least squares SVMs reached 100% accuracy rate for the two kernel functions considered. Moreover, we show the sensitivity profiles exhibited by a large sample of the configurations whereby one can visually inspect their levels of sensitiveness to the type of feature and to the kernel function/parameter value. Conclusions: Overall, the results evidence that all kernel machines are competitive in terms of accuracy, with the standard and least squares SVMs prevailing more consistently. Moreover, the choice of the kernel function and parameter value as well as the choice of the feature extractor are critical decisions to be taken, albeit the choice of the wavelet family seems not to be so relevant. Also, the statistical values calculated over the Lyapunov exponents were good sources of signal representation, but not as informative as their wavelet counterparts. Finally, a typical sensitivity profile has emerged among all types of machines, involving some regions of stability separated by zones of sharp variation, with some kernel parameter values clearly associated with better accuracy rates (zones of optimality). (C) 2011 Elsevier B.V. All rights reserved.

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This paper applies Hierarchical Bayesian Models to price farm-level yield insurance contracts. This methodology considers the temporal effect, the spatial dependence and spatio-temporal models. One of the major advantages of this framework is that an estimate of the premium rate is obtained directly from the posterior distribution. These methods were applied to a farm-level data set of soybean in the State of the Parana (Brazil), for the period between 1994 and 2003. The model selection was based on a posterior predictive criterion. This study improves considerably the estimation of the fair premium rates considering the small number of observations.

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This article presents a statistical model of agricultural yield data based on a set of hierarchical Bayesian models that allows joint modeling of temporal and spatial autocorrelation. This method captures a comprehensive range of the various uncertainties involved in predicting crop insurance premium rates as opposed to the more traditional ad hoc, two-stage methods that are typically based on independent estimation and prediction. A panel data set of county-average yield data was analyzed for 290 counties in the State of Parana (Brazil) for the period of 1990 through 2002. Posterior predictive criteria are used to evaluate different model specifications. This article provides substantial improvements in the statistical and actuarial methods often applied to the calculation of insurance premium rates. These improvements are especially relevant to situations where data are limited.

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This article considers alternative methods to calculate the fair premium rate of crop insurance contracts based on county yields. The premium rate was calculated using parametric and nonparametric approaches to estimate the conditional agricultural yield density. These methods were applied to a data set of county yield provided by the Statistical and Geography Brazilian Institute (IBGE), for the period of 1990 through 2002, for soybean, corn and wheat, in the State of Paran. In this article, we propose methodological alternatives to pricing crop insurance contracts resulting in more accurate premium rates in a situation of limited data.

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This study aimed to establish the optimum level of palm kernel meal in the diet of Santa Ines lambs based on the sensorial characteristics and fatty acid profile of the meat. We used 32 lambs with a starting age of 4 to 6 months and mean weight of 22 2.75 kg, kept in individual stalls. The animals were fed with Tifton-85 hay and a concentrate mixed with 0.0, 6.5, 13.0 or 19.5% of palm kernel meal based on the dry mass of the complete diet. These levels formed the treatments. Confinement lasted 80 days and on the last day the animals were fasted and slaughtered. After slaughter, carcasses were weighed and sectioned longitudinally, along the median line, into two antimeres. Half-carcasses were then sliced between the 12th and 13th ribs to collect the loin (longissimus dorsi), which was used to determine the sensorial characteristics and fatty acid profile of the meat. For sensorial evaluation, samples of meat were given to 54 judges who evaluated the tenderness, juiciness, appearance, aroma and flavor of the meat using a hedonic scale. Fatty acids were determined by gas chromatography. The addition of palm kernel meal to the diet had no effect on the sensorial characteristics of meat juiciness, appearance, aroma or flavor. However, tenderness showed a quadratic relationship with the addition of the meal to the diet. The concentration of fatty acids C12:0, C14:0 and C16:0 increased with the addition of palm kernel meal, as did the sum of medium-chain fatty acids and the atherogenicity index. Up to of 19.5% of the diet of Santa Ines lambs can be made up of palm kernel meal without causing significant changes in sensorial characteristics. However, the fatty acid profile of the meat was altered.

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Purpose. To conduct a controlled trial of traditional and problem-based learning (PBL) methods of teaching epidemiology. Method. All second-year medical students (n = 136) at The University of Western Australia Medical School were offered the chance to participate in a randomized controlled trial of teaching methods fur an epidemiology course. Students who consented to participate (n = 80) were randomly assigned to either a PBL or a traditional course. Students who did not consent or did not return the consent form (n = 56) were assigned to the traditional course, Students in both streams took identical quizzes and exams. These scores, a collection of semi-quantitative feedback from all students, and a qualitative analysis of interviews with a convenience sample of six students from each stream were compared. Results. There was no significant difference in performances on quizzes or exams between PBL and traditional students. Students using PBL reported a stronger grasp of epidemiologic principles, enjoyed working with a group, and, at the end of the course, were more enthusiastic about epidemiology and its professional relevance to them than were students in the traditional course. PBL students worked more steadily during the semester but spent only marginally more time on the epidemiology course overall. Interviews corroborated these findings. Non-consenting students were older (p < 0.02) and more likely to come from non-English-speaking backgrounds (p < 0.005). Conclusions. PBL provides an academically equivalent but personally far richer learning experience. The adoption of PBL approaches to medical education makes it important to study whether PBL presents particular challenges for students whose first language is not the language of instruction.

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This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond`s maturity influence pricing and points out associations of long-term bonds with better rating issues. (C) 2008 Elsevier Inc. All rights reserved.

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A prospective randomized trial was conducted to compare the efficacy of a rice-based oral rehydration solution (ORS) with glucose ORS in infants and children under 5 years of age with acute diarrhoea and mild to moderate dehydration (<10%). One hundred children presenting to a large metropolitan teaching hospital were eligible for entry to the study and were randomized to receive rice ORS or glucose ORS. Outcome measures were stool output (SO), duration of illness (DD) and recovery time to introduction of other fluids (RTF) and diet (RTD). Significant differences were found for all outcome measures in favour of the rice ORS group. Mean SO was lower (160 vs 213 mt; P<0.02), mean DD was reduced (17.3 vs 24.3 h; P = 0.03) and median RTF was decreased (12.7 vs 18.1 h; P< 0.001) in the rice ORS group compared with the glucose ORS group. The median rime to introduction of diet and mean length of hospital stay showed similar significant reductions. Our study has shown rice ORS to be an acceptable alternative to glucose ORS in young children and have shown that it is significantly more effective in reducing the course of diarrhoeal illness and the time taken to return to normal drinking and eating habits.

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General practitioners wanting to practise evidence-based medicine (EBM) are constrained by time factors and the great diversity of clinical problems they deal with. They need experience in knowing what questions to ask, in locating and evaluating the evidence, and in applying it. Conventional searching for the best evidence can be achieved in daily general practice. Sometimes the search can be performed during the consultation, but more often it can be done later and the patient can return for the result. Case-based journal clubs provide a supportive environment for GPs to work together to find the best evidence at regular meetings. An evidence-based literature search service is being piloted to enhance decision-making for individual patients. A central facility provides the search and interprets the evidence in relation to individual cases. A request form and a results format make the service akin to pathology testing or imaging. Using EBM in general practice appears feasible. Major difficulties still exist before it can be practised by all GPs, but it has the potential to change the way doctors update their knowledge.

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The aim of this experiment was to determine the effectiveness of two video-based perceptual training approaches designed to improve the anticipatory skills of junior tennis players. Players were assigned equally to an explicit learning group, an implicit learning group, a placebo group or a control group. A progressive temporal occlusion paradigm was used to examine, before and after training, the ability of the players to predict the direction of an opponent's service in an in-vivo on-court setting. The players responded either through hitting a return stroke or making a verbal prediction of stroke direction. Results revealed that the implicit learning group, whose training required them to predict serve speed direction while viewing temporally occluded video footage of the return-of-serve scenario, significantly improved their prediction accuracy after the training intervention. However, this training effect dissipated after a 32 day unfilled retention interval. The explicit learning group, who received instructions about the specific aspects of the pre-contact service kinematics that are informative with respect to service direction, did not demonstrate any significant performance improvements after the intervention. This, together with the absence of any significant improvements for the placebo and control groups, demonstrated that the improvement observed for the implicit learning group was not a consequence of either expectancy or familiarity effects.

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A new wavelet-based adaptive framework for solving population balance equations (PBEs) is proposed in this work. The technique is general, powerful and efficient without the need for prior assumptions about the characteristics of the processes. Because there are steeply varying number densities across a size range, a new strategy is developed to select the optimal order of resolution and the collocation points based on an interpolating wavelet transform (IWT). The proposed technique has been tested for size-independent agglomeration, agglomeration with a linear summation kernel and agglomeration with a nonlinear kernel. In all cases, the predicted and analytical particle size distributions (PSDs) are in excellent agreement. Further work on the solution of the general population balance equations with nucleation, growth and agglomeration and the solution of steady-state population balance equations will be presented in this framework. (C) 2002 Elsevier Science B.V. All rights reserved.

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This paper proposes a wireless EEG acquisition platform based on Open Multimedia Architecture Platform (OMAP) embedded system. A high-impedance active dry electrode was tested for improving the scalp- electrode interface. It was used the sigma-delta ADS1298 analog-to-digital converter, and developed a “kernelspace” character driver to manage the communications between the converter unit and the OMAP’s ARM core. The acquired EEG signal data is processed by a “userspace” application, which accesses the driver’s memory, saves the data to a SD-card and transmits them through a wireless TCP/IP-socket to a PC. The electrodes were tested through the alpha wave replacement phenomenon. The experimental results presented the expected alpha rhythm (8-13 Hz) reactiveness to the eyes opening task. The driver spends about 725 μs to acquire and store the data samples. The application takes about 244 μs to get the data from the driver and 1.4 ms to save it in the SD-card. A WiFi throughput of 12.8Mbps was measured which results in a transmission time of 5 ms for 512 kb of data. The embedded system consumes about 200 mAh when wireless off and 400 mAh when it is on. The system exhibits a reliable performance to record EEG signals and transmit them wirelessly. Besides the microcontroller-based architectures, the proposed platform demonstrates that powerful ARM processors running embedded operating systems can be programmed with real-time constrains at the kernel level in order to control hardware, while maintaining their parallel processing abilities in high level software applications.

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Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

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The introduction of wind power generation in several countries around the world, including in European countries, where energy policy directives have encouraged the use of renewables, led to several changes in market and power systems operation. The intensive integration of these sources has led to situations in which the demand is lower than the available renewable resources. In these situations a part of the available generation is wasted if not used for storage or to supply additional demand. This paper proposes a real time demand response methodology based on changing the electricity price for the consumers expecting an increase in the demand in the periods in which that demand is lower than the available renewable generation. The consumers response to the changes in electricity price is characterized by their price elasticity of demand considered distinct for each consumer type. The proposed methodology is applied to the Portuguese power system, in the context of the Iberian electricity market (MIBEL). The renewable-based producers are considered as special producers, with special tariffs, and so it is important to use the energy available as it will be paid anyway. In this context, consumers are entities actively participating in the operation of the market.

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This paper presents a Multi-Agent Market simulator designed for analyzing agent market strategies based on a complete understanding of buyer and seller behaviors, preference models and pricing algorithms, considering user risk preferences and game theory for scenario analysis. The system includes agents that are capable of improving their performance with their own experience, by adapting to the market conditions, and capable of considering other agents reactions.