Aggregations and Marginalization of GARCH and Stochastic Volatility Models

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set without invalidating the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable conditioning information (in the state-space spirit) is irrelevant. In this paper, we stress a square-root autoregressive stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but weakens the GARCH structure in order to obtain required robustness properties with respect to various kinds of aggregation. It is shown that the lack of robustness of the usual GARCH setting is due to two very restrictive assumptions : perfect linear correlation between squared innovations and conditional variance on the one hand and linear relationship between the conditional variance of the future conditional variance and the squared conditional variance on the other hand. By relaxing these assumptions, thanks to a state-space setting, we obtain aggregation results without renouncing to the conditional variance concept (and related leverage effects), as it is the case for the recently suggested weak GARCH model which gets aggregation results by replacing conditional expectations by linear projections on symmetric past innovations. Moreover, unlike the weak GARCH literature, we are able to define multivariate models, including higher order dynamics and risk premiums (in the spirit of GARCH (p,p) and GARCH in mean) and to derive conditional moment restrictions well suited for statistical inference. Finally, we are able to characterize the exact relationships between our SR-SARV models (including higher order dynamics, leverage effect and in-mean effect), usual GARCH models and continuous time stochastic volatility models, so that previous results about aggregation of weak GARCH and continuous time GARCH modeling can be recovered in our framework.

Effet de la température sur l’absorption tissulaire et systémique de l’oxaliplatine administrée par voie intrapéritonéale chez l’animal

Depuis 20 ans, certains patients porteurs d’une carcinose péritonéale sont traités par une chirurgie de cytoréduction combinée avec une chimiohyperthermie intrapéritonéale (CHIP). Bien que l’oxaliplatine (OX) soit couramment utilisée lors de CHIP, une telle utilisation chez l’humain n’est supportée que par des études de phase II et il n’y a pas d’études précliniques caractérisant les propriétés de l’OX dans le contexte d’administration intrapéritonéale. L’objectif de ce projet de maîtrise est d’étudier l’effet de la température sur l’absorption tissulaire et systémique de l’OX administrée par voie intrapéritonéale chez le rat. Nous avons procédé à une perfusion intrapéritonéale de 3 différentes doses d’OX à 3 différentes températures pendant 25 minutes chez une total 35 rats Sprague-Dawley, puis effectué le dosage des concentrations d’OX dans différents compartiments. Nous avons observé une augmentation linéaire (p<0,05) entre la dose d’OX administrée et sa concentration dans tous les compartiments (péritoine, mésentère, sang portal et systémique). De plus, avec l’augmentation de la température de perfusion, nous avons observé une augmentation de la concentration d’OX dans le péritoine mais une diminution de sa concentration dans les compartiments systémique et portal (p<0,05). Ces résultats démontrent donc que la dose et l’hyperthermie augmentent indépendamment la pénétration tissulaire de l’OX et que l’hyperthermie limite son absorption systémique. Ces observations suggèrent que l’hyperthermie pourrait réduire la toxicité systémique de l’OX. Pour connaître la cinétique de l’OX, des études subséquentes doivent être faites.

Nouveaux complexes pinces POCOP, NHCCOP, PIMCOP et PIMIOCOP, et complexes cyclométallés de Ni(II) : synthèse, caractérisation et réactivité.

Cette thèse traite de la chimie des complexes pinces de Ni(II) ainsi que des complexes cyclométallés de Ni(II) comportant au moins un motif phosphinite. Elle se divise en trois parties. La première concerne la synthèse, la caractérisation, le mécanisme de formation et la réactivité des complexes pinces de Ni(II) à base de ligand de type POCOP 1,3-(i-Pr2PO)2C6H4. De nouveaux ligands de type R-(POCOP) = κP,κC,κP-{Rn-2,6-( R'2PO)2C6H4-n}; Rn = 4-OMe, 4-Me, 4-CO2Me, 3-OMe, 3- CO2Me, 3,5-t-Bu2 ; R' = i-Pr, t-Bu ont été synthétisés suite à l'addition de chlorophosphine ClPR'2 à une solution de résorcinol ou dérivés en présence de base. La synthèse des complexes R-(POCOP)Ni(Br) s'effectue à partir du ligand correspondant en présence de base, et de {NiBr2(NCiPr)}n. Ce nouveau précurseur de nickel est synthétisé à partir de brome de nickel métallique dans l'isobutyronitrile. Il est stable sous atmosphère inerte et sa solubilité dans les solvants polaires permet d'étudier les synthèses des complexes en milieu homogène. Le mécanisme de formation des complexes portant des ligand pinces (PCsp3P) 1,3-(i- Pr2PCH2CH2)2CH2, (POCsp3OP) 1,3-(i-Pr2POCH2)2CH2, (PCsp2P) 1,3-(i- Pr2PCH2)2C6H4, Rn-(POCsp2OP) 1,3-(i-Pr2PO)2C6H4-n via nickellation du lien C-H a été investigué avec une méthode de réaction de compétition. Cette étape a été déterminée comme étant de nature électrophile. Les complexes résultants ont été complètement caractérisés. Une corrélation a notamment été effectuée entre le déplacement chimique du Cipso en spectroscopie RMN 13C et le potentiel d'oxydation Eox en voltamétrie cyclique. Une nouvelle méthode de synthèse directe verte "one pot" a été mise en place. En faisant réagir à 75 °C un mélange hétérogène de II résorcinol, de chlorodiisopropylphosphine et de nickel métallique en poudre, on obtient le complexes pince (POCOP)Ni(Cl) avec des rendements allant jusqu'à 93%. La réactivité de ces complexes POCOP a été investiguée pour des réactions de fluorination et trifluorométhylation des halogénures d'alkyle. La synthèse du (POCOP)Ni(F) a lieu à partir de précurseur (POCOP)Ni(X) (X=Br, Cl), en présence d'un large excès de fluorure d'argent AgF. Ce complexe catalyse la fluorination du bromure de benzyle et peut être converti en (POCOP)Ni(CF3) en présence de réactif du Ruppert, Me3SiCF3. La réaction entre (POCOP)Ni(CF3) et le bromure de benzyle dans les solvants aromatiques mène à la conversion totale du complexe en (POCOP)Ni(Br) et à l'inattendue benzylation du solvant aromatique utilisé. La seconde partie concerne la synthèse des nouveaux complexes non symétriques à base de ligands comportant un motif imidazolo-phosphine (PIMCOP) 3-[2-(R2P)-C3H2N2]-(R2PO)-C6H3, imidazoliophosphine (PIMIOCOP) 3-[2-(R2P)-3- (CH3)-C3H2N2]-(R2PO)-C6H3] et carbène N-hétérocyclique (NHCCOP). La double déprotonation du 3-hydroxyphenyl-imidazole suivi de l'addition de deux équivalents de chlorodiphenylphosphine mène à l'obtention du ligand PIMCOP 3-[3-(CH3)- C3H2N2]-(R2PO)-C6H3. L'étape de nickellation a lieu comme dans le cas des composés (POCOP)Ni. La méthylation du motif imidazole du (PIMCOP)Ni(Br) par le triflate de méthyle MeOTf, donne le dérivé (PIMIOCOP)Ni(Br). Ce dernier est converti en (NHCCOP)Ni(Br) après l'addition de chlorure de tétraéthylamonium NEt4Cl. Les analogues i-Pr2P de ces complexes sont synthétisés en remplaçant ClPPh2 par ClPiPr2. On obtient les espèces cationiques [(PIMCOP)Ni(NCCH3)][OTf], [(PIMIOCOP)Ni(NCCH3)][OTf]2 et III [(NHCCOP)Ni(NCCH3)][OTf] suite à l'addition en solution dans l'acétonitrile de triflate d'argent AgOTf. Ces espèces ont été utilisés comme catalyseurs pour la synthèse d'amidine à partir de benzonitrile et de diverse amines aliphatiques. Enfin des complexes orthonickellés trans-Ni[(ĸ2-P,C-P(OC6H4)-(iPr2)( iPr2P(OC6H5))]Br à base de phosphinite ont été synthétisés et caractérisés. Les ligands sont synthétisés par réaction d'un phénol et de chlorodiisopropylphosphine en présence de base. L'ajout de {NiBr2(NCiPr)}n et de triéthylamine permet l'orthométallation via une étape de nickellation C-H. Un intermédiaire trans- [NiBr2{PiPr2(OC6H5)}2] de cette réaction a été isolé. Le complexe dimère peut réagir avec des espèces électrophiles mener à l'ortho-fonctionnalisation de la phosphinite.

SST–convection relation over tropical oceans

According to current knowledge, convection over the tropical oceans increases with sea surface temperature (SST) from 26 to 29 °C, and at SSTs above 29 °C, it sharply decreases. Our research shows that it is only over the summer warm pool areas of Indian and west Pacific Oceans (monsoon areas) where the zone of maximum SST is away from the equator that this kind of SST-convection relationship exists. In these areas (1) convection is related to the SST gradient that generates low-level moisture convergence and upward vertical motion in the atmosphere. This has modelling support. Regions of SST maxima have low SST gradients and therefore feeble convection. (2) Convection initiated by SST gradient produces strong wind fields particularly cross-equatorial low-level jetstreams (LLJs) on the equator-ward side of the warm pool and both the convection and LLJ grow through a positive feedback process. Thus, large values of convection are associated with the cyclonic vorticity of the LLJ in the atmospheric boundary layer. In the inter-tropical convergence zone (ITCZ) over the east Pacific Ocean and the south Pacific convergence zone (SPCZ) over the west Pacific Ocean, low-level winds from north and south hemisphere converge in the zone of maximum SST, which lies close to the equator producing there elongated bands of deep convection, where we find that convection increases with SST for the full range of SSTs unlike in the warm pool regions. The low-level wind divergence computed using QuikSCAT winds has large and significant linear correlation with convection in both the warm pool and ITCZ/SPCZ areas. But the linear correlation between SST and convection is large only for the ITCZ/SPCZ. These findings have important implications for the modelling of largescale atmospheric circulations and the associated convective rainfall over the tropical oceans

Spatial and temporal characteristics of rain intensity in the peninsular Malaysia using TRMM rain rate

The present study is focused on the intensity distribution of rainfall in different classes and their contribution to the total seasonal rainfall. In addition, we studied the spatial and diurnal variation of the rainfall in the study areas. For the present study, we retrieved data from TRMM (Tropical Rain Measuring Mission) rain rate available in every 3 h temporal and 25 km spatial resolutions. Moreover, station rainfall data is used to validate the TRMM rain rate and found significant correlation between them (linear correlation coefficients are 0.96, 0.85, 0.75 and 0.63 for the stations Kota Bharu, Senai, Cameron highlands and KLIA, respectively). We selected four areas in the Peninsular Malaysia and they are south coastal, east coastal, west coastal and highland regions. Diurnal variation of frequency of rain occurrence is different for different locations. We noticed bimodal variation in the coastal areas in most of the seasons and unimodal variation in the highland/inland area. During the southwest monsoon period in the west coastal stations, there is no distinct diurnal variation. The distribution of different intensity classes during different seasons are explained in detail in the results

Ligand effects in cis-Ru-II(N-N)(2)L-2 species where N-N is a substituted 2,2 '-bisoxazoline and L is monodentate

Starting from previously reported cis-Ru(MeL)(2)Cl-2, where MeL is 4,4,4',4'-tetramethyl-2,2'-bisoxazoline, cis-Ru(MeL)(2)Br-2 (1), cis-Ru( MeL)(2)I-2 (2), cis-Ru(MeL)(2)(NCS)(2) center dot H2O (3), cis-Ru(MeL)(2)(N-3)(2) (4) and cis-[Ru(MeL)(2)(MeCN)(2)](PF6)(2) center dot (CH3)(2)CO (5) are synthesised. The X-ray crystal structures of complexes 1, 2, 3 and 5 have been determined. All the five new complexes have been characterized by FTIR, ESIMS and H-1 NMR. In cyclic voltammetry in acetonitrile at a glassy carbon electrode, the complexes display a quasireversible Ru(II/III) couple in the range 0.32-1.71 V versus NHE. The Ru(II/III) potentials yield a satisfactorily linear correlation with Chatt's ligand constants P-L for the monodantate ligands. From the intercept and by comparing the known situation in Ru(2,2'-bipyridine)(2)L-2, it is concluded that MeL, a non-aromatic diimine, is significantly more pi-acidic than 2,2'-bipyridine. (c) 2008 Elsevier B.V. All rights reserved.

Extraction and determination of ellagic acid content in chestnut bark and fruit

Chestnuts are an important economic resource in the chestnut growing regions, not only for the fruit, but also for the wood. The content of ellagic acid (EA), a naturally occurring inhibitor of carcinogenesis, was determined in chestnut fruits and bark. EA was extracted with methanol and free ellagic acid was determined by HPLC with UV detection, both in the crude extract and after hydrolysis. The concentration of EA was generally increased after hydrolysis due to the presence of ellagitannins in the crude extract. The concentration varied between 0.71 and 21.6 ing g(-1) (d.w.) in un-hydrolyzed samples, and between 2.83 and 18.4 mg g(-1) (d.w.) ill hydrolyzed samples. In chestnut fruits, traces of EA were present in the seed, with higher concentrations in the pellicle and pericarp. However, all fruit tissues had lower concentrations of EA than had the bark. The concentration of EA in the hydrolyzed samples showed a non-linear correlation with the concentration in the unhydrolyzed extracts. (C) 2008 Elsevier Ltd. All rights reserved.

Robust background model for pixel based people counting using a single uncalibrated camera

Several pixel-based people counting methods have been developed over the years. Among these the product of scale-weighted pixel sums and a linear correlation coefficient is a popular people counting approach. However most approaches have paid little attention to resolving the true background and instead take all foreground pixels into account. With large crowds moving at varying speeds and with the presence of other moving objects such as vehicles this approach is prone to problems. In this paper we present a method which concentrates on determining the true-foreground, i.e. human-image pixels only. To do this we have proposed, implemented and comparatively evaluated a human detection layer to make people counting more robust in the presence of noise and lack of empty background sequences. We show the effect of combining human detection with a pixel-map based algorithm to i) count only human-classified pixels and ii) prevent foreground pixels belonging to humans from being absorbed into the background model. We evaluate the performance of this approach on the PETS 2009 dataset using various configurations of the proposed methods. Our evaluation demonstrates that the basic benchmark method we implemented can achieve an accuracy of up to 87% on sequence ¿S1.L1 13-57 View 001¿ and our proposed approach can achieve up to 82% on sequence ¿S1.L3 14-33 View 001¿ where the crowd stops and the benchmark accuracy falls to 64%.

Chemistry and biology of maculalactone A from the marine cyanobacterium Kyrtuthrix maculans

Maculalactone A is the most abundant secondary metabolite in Kyrtuthrix maculans, a marine cyanobacterium found in the mid-high shore of moderately exposed to sheltered rocky shores in Hong Kong and South East Asia. This species appears to survive as pure colonies forming distinct black zones on the rock. Maculalactone A may provide K. maculans with a chemical defense against several marine organisms, including the common grazer, Chlorostoma argyrostoma and settlement by larvae of the barnacles, Tetraclita japonica, Balanus amphitrite and Ibla cumingii. The natural concentration of maculalactone A varied with season and also with tidal height on the shore and although a strong positive linear correlation was observed between maculalactone A concentration and herbivore grazing pressure, manipulative experiments demonstrated that grazing pressure was not directly responsible for inducing the biosynthesis of this metabolite. The potential of maculalactone A as a natural marine anti-fouling agent (i.e. as an alternative to environmentally-damaging copper- and tin-based anti-fouling paints) was investigated after achieving a gram-scale synthesis of this compound. Preliminary field trials with anti-fouling paints which contained synthetic maculalactone A as the active principle have confirmed that this compound seems to have a specific activity against molluscan settlers.

On the role of the ocean in projected atmospheric stability changes in the Atlantic polar low region

The occurrence of destructive mesoscale ‘polar low’ cyclones in the subpolar North Atlantic is projected to decline under anthropogenic change, due to an increase in atmospheric static stability. This letter reports on the role of changes in ocean circulation in shaping the atmospheric stability. In particular, the Atlantic Meridional Overturning Circulation (AMOC) is projected to weaken in response to anthropogenic forcing, leading to a local minimum in warming in this region. The reduced warming is restricted to the lower troposphere, hence contributing to the increase in static stability. Linear correlation analysis of the CMIP3 climate model ensemble suggests that around half of the model uncertainty in the projected stability response arises from the varied response of the AMOC between models.

Short communication: plasma concentration of glucose-dependent insulinotropic polypeptide may regulate milk energy production in lactating dairy cows

In dairy cows, an increase in plasma concentration of glucose-dependent insulinotropic polypeptide (GIP) is associated with an increase in metabolizable energy intake, but the role of GIP in energy partitioning of dairy cattle is not certain. The objective of this study was to examine the relationship between plasma GIP concentrations and energy partitioning toward milk production. Four mid-lactation, primiparous, rumenfistulated Holstein-Friesian cows were fed a control diet of 55% forage and 45% concentrate [dry matter (DM) basis] in a 4 × 4 Latin square design with 4-wk periods. The 4 treatments were (1) control diet fed at 1000 and 1600 h, and (2) once-daily (1000 h) feeding, (3) twice daily (1000 and 1600 h) feeding, and (4) 4 times/d (1000, 1600, 2200 and 0400 h) feeding of the control diet plus 1 dose (1.75 kg on a DM basis at 0955 h) into the rumen of supplemental vegetable proteins (Amino Green; SCA NuTec Ltd., Thirsk, UK). Measurements of respiratory exchange and energy balance were obtained over 4 d during the last week of each period while cows were housed in open-circuit respiration chambers. Blood was collected from the jugular vein every 30 min for 12 h, using indwelling catheters, starting at 0800 h on d 20 of each period. Plasma GIP concentration was measured in samples pooled over each 5 consecutive blood samplings. The relationships between plasma GIP, DM intake, heat production, respiratory quotient, milk yield, and milk energy output were analyzed using linear correlation procedures, with metabolizable intake as a partial variant. Plasma GIP concentration was not correlated with heat production, or milk yield, but was positively correlated with milk energy yield (correlation coefficient = 0.67) and negatively correlated with RQ (correlation coefficient = −0.72). The correlations between GIP and RQ and milk energy output do not imply causality, but suggest that a role for GIP may exist in the regulation of energy metabolism in dairy cows.

Abnormal functional activation and maturation of fronto-striato-temporal and cerebellar regions during sustained attention in autism spectrum disorder

Objective Sustained attention problems are common in people with autism spectrum disorder (ASD) and may have significant implications for the diagnosis and management of ASD and associated comorbidities. Furthermore, ASD has been associated with atypical structural brain development. The authors used functional MRI to investigate the functional brain maturation of attention between childhood and adulthood in people with ASD. Method Using a parametrically modulated sustained attention/vigilance task, the authors examined brain activation and its linear correlation with age between childhood and adulthood in 46 healthy male adolescents and adults (ages 11–35 years) with ASD and 44 age- and IQ-matched typically developing comparison subjects. Results Relative to the comparison group, the ASD group had significantly poorer task performance and significantly lower activation in inferior prefrontal cortical, medial prefrontal cortical, striato-thalamic, and lateral cerebellar regions. A conjunction analysis of this analysis with group differences in brain-age correlations showed that the comparison group, but not the ASD group, had significantly progressively increased activation with age in these regions between childhood and adulthood, suggesting abnormal functional brain maturation in ASD. Several regions that showed both abnormal activation and functional maturation were associated with poorer task performance and clinical measures of ASD and inattention. Conclusions The results provide first evidence that abnormalities in sustained attention networks in individuals with ASD are associated with underlying abnormalities in the functional brain maturation of these networks between late childhood and adulthood.

Peak expiratory flow values are higher in older and taller healthy male children: An observational study

Purpose: Peak expiratory flow (PEF) was measured in healthy children aged five to ten years in order to provide baseline values and to determine correlations between PEF and factors such as gender, age and type of school. Methods: After the Ethical Committee of Research in Human of the School of Medicine of ABC - FMABC approval, PEF and height were measured in 1942 children between five and ten years old from nine public schools and nine private schools throughout Sao Bernardo do Campo City. PEF was measured using the Mini-Wright Peak Flow Meter (Clement Clarke International Ltd.) and. height was measured using a Sanny professional stadiometer. Results: Significant differences were found in values for PEF: higher values were seen in older students in comparison with younger students, in males in comparison with females and in students from private schools in comparison with public schools, with average values ranging from 206 L/min to 248 L/min,. Linear correlations were seen for PEF values with both height and age (Spearman Coefficient). Conclusions: Differences were seen for PEF between genders and between types of school, and a linear correlation was seen for PEF with both age and height in healthy children from five to ten years old.

A real-time polymerase chain reaction assay for the identification and quantification of American Leishmania species on the basis of glucose-6-phosphate dehydrogenase

A real-time polymerase chain reaction (PCR) test was developed on the basis of the Leishmania glucose-6-phosphate dehydrogenase locus that enables identification and quantification of parasites. Using two independent pairs of primers in SYBR-Green assays, the test identified etiologic agents of cutaneous leishmaniasis belonging to both subgenera, Leishmania (Viannia) and Leishmania (Leishmania) in the Americas. Furthermore, use of TaqMan probes enables distinction between L. (V.) braziliensis or L. (V.) peruviania from the other L. (Viannia) species. All assays were negative with DNA of related trypanosomatids, humans, and mice. The parasite burden was estimated by normalizing the number of organisms per total amount of DNA in the sample or per host glyceraldehyde-3-phosphate dehydrogenase copies. The real-time PCR assay for L. (Leishmania) subgenus showed a good linear correlation with quantification on the basis of a limiting dilution assay in experimentally infected mice. The test successfully identifies and quantifies Leishmania in human biopsy specimens and represents a new tool to study leishmaniasis.

An information-theoretic approach to statistical dependence: Copula information

We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and dependence components, with the latter quantified by the mutual information. We define the information excess as a measure of deviation from a maximum-entropy distribution. The idea of marginal invariant dependence measures is also discussed and used to show that empirical linear correlation underestimates the amplitude of the actual correlation in the case of non-Gaussian marginals. The mutual information is shown to provide an upper bound for the asymptotic empirical log-likelihood of a copula. An analytical expression for the information excess of T-copulas is provided, allowing for simple model identification within this family. We illustrate the framework in a financial data set. Copyright (C) EPLA, 2009