kmth price sealed-bid auctions with general independent values and equilibrium linear mark-ups

A generalised bidding model is developed to calculate a bidder’s expected profit and auctioners expected revenue/payment for both a General Independent Value and Independent Private Value (IPV) kmth price sealed-bid auction (where the mth bidder wins at the kth bid payment) using a linear (affine) mark-up function. The Common Value (CV) assumption, and highbid and lowbid symmetric and asymmetric First Price Auctions and Second Price Auctions are included as special cases. The optimal n bidder symmetric analytical results are then provided for the uniform IPV and CV models in equilibrium. Final comments concern implications, the assumptions involved and prospects for further research.

A General Latent Class Model for Performance Evaluation of Diagnostic Tests in the Absence of a Gold Standard: An Application to Chagas Disease

We propose a new general Bayesian latent class model for evaluation of the performance of multiple diagnostic tests in situations in which no gold standard test exists based on a computationally intensive approach. The modeling represents an interesting and suitable alternative to models with complex structures that involve the general case of several conditionally independent diagnostic tests, covariates, and strata with different disease prevalences. The technique of stratifying the population according to different disease prevalence rates does not add further marked complexity to the modeling, but it makes the model more flexible and interpretable. To illustrate the general model proposed, we evaluate the performance of six diagnostic screening tests for Chagas disease considering some epidemiological variables. Serology at the time of donation (negative, positive, inconclusive) was considered as a factor of stratification in the model. The general model with stratification of the population performed better in comparison with its concurrents without stratification. The group formed by the testing laboratory Biomanguinhos FIOCRUZ-kit (c-ELISA and rec-ELISA) is the best option in the confirmation process by presenting false-negative rate of 0.0002% from the serial scheme. We are 100% sure that the donor is healthy when these two tests have negative results and he is chagasic when they have positive results.

An Independent-Connection Model for Traffic Matrices

A common assumption made in traffic matrix (TM) modeling and estimation is independence of a packet's network ingress and egress. We argue that in real IP networks, this assumption should not and does not hold. The fact that most traffic consists of two-way exchanges of packets means that traffic streams flowing in opposite directions at any point in the network are not independent. In this paper we propose a model for traffic matrices based on independence of connections rather than packets. We argue that the independent connection (IC) model is more intuitive, and has a more direct connection to underlying network phenomena than the gravity model. To validate the IC model, we show that it fits real data better than the gravity model and that it works well as a prior in the TM estimation problem. We study the model's parameters empirically and identify useful stability properties. This justifies the use of the simpler versions of the model for TM applications. To illustrate the utility of the model we focus on two such applications: synthetic TM generation and TM estimation. To the best of our knowledge this is the first traffic matrix model that incorporates properties of bidirectional traffic.

Towards an assessment of character interdependence in avian RNA phylogenetics: A general secondary structure model for the avian mitochondrial 16S rRNA

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on cointegration,namelyon long-run co-movements, has been so prevalent that it is often over-looked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. This amounts to investigate whether short-run co-movememts steming from common cyclical feature restrictions are also present in such a system. In this paper we test for the presence of such co-movement on long- and short-term interest rates and on price and dividend for the U.S. economy. We focuss on the potential improvement in forecasting accuracies when imposing those two types of restrictions coming from economic theory.

Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the dynamics of the vector error-correction representation (Vahid and Engle, 1993); something that has been already investigated in that VECM context by Johansen and Swensen (1999, 2011) but has not been discussed before with this new emphasis. We also provide the present value reduced rank constraints to be tested within the log-linear model. Our second contribution relates to forecasting time series that are subject to those long and short-run reduced rank restrictions. The reason why appropriate common cyclical feature restrictions might improve forecasting is because it finds natural exclusion restrictions preventing the estimation of useless parameters, which would otherwise contribute to the increase of forecast variance with no expected reduction in bias. We applied the techniques discussed in this paper to data known to be subject to present value restrictions, i.e. the online series maintained and up-dated by Shiller. We focus on three different data sets. The fi rst includes the levels of interest rates with long and short maturities, the second includes the level of real price and dividend for the S&P composite index, and the third includes the logarithmic transformation of prices and dividends. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to them. Moreover, imposing short-run restrictions produce forecast winners 70% of the time for target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value restrictions. Our focus is novel - we are interested in the short-run restrictions entailed by PVMs (Vahid and Engle, 1993, 1997) and their implications for forecasting. Using a well-known database, kept by Robert Shiller, we implement a forecasting competition that imposes different layers of PVM restrictions. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to the unrestricted VAR. Moreover, imposing short-run restrictions produces forecast winners 70% of the time for the target variables of PVMs and 63.33% of the time when all variables in the system are considered.

The General Curvilinear Environmental Model (GCEM)

[EN] The General Curvilinear Environmental Model is a high-resolution system composed of the General Curvilinear Coastal Ocean Model (GCCOM) and the General Curvilinear Atmospheric Model (GCAM). Both modules are capable of reading a general curvilinear grid, orthogonal as well as non-orthogonal in all three directions. These two modules are weakly coupled using the distributed coupling toolkit (DCT). The model can also be nested within larger models and users are able to interact with the model and run it using a web based computational environment.

General effective medium model for the complex permittivity extraction with an open-ended coaxial probe in presence of a multilayer material under test

The work presented in this thesis is focused on the open-ended coaxial-probe frequency-domain reflectometry technique for complex permittivity measurement at microwave frequencies of dispersive dielectric multilayer materials. An effective dielectric model is introduced and validated to extend the applicability of this technique to multilayer materials in on-line system context. In addition, the thesis presents: 1) a numerical study regarding the imperfectness of the contact at the probe-material interface, 2) a review of the available models and techniques, 3) a new classification of the extraction schemes with guidelines on how they can be used to improve the overall performance of the probe according to the problem requirements.

Gotland Deep (Baltic Sea) independent age model based on Palaeomagnetic Secular Variation (PSV) and lead (Pb) deposition profiles

Dating of sediment cores from the Baltic Sea has proven to be difficult due to uncertainties surrounding the 14C reservoir age and a scarcity of macrofossils suitable for dating. Here we present the results of multiple dating methods carried out on cores in the Gotland Deep area of the Baltic Sea. Particular emphasis is placed on the Littorina stage (8 ka ago to the present) of the Baltic Sea and possible changes in the 14C reservoir age of our dated samples. Three geochronological methods are used. Firstly, palaeomagnetic secular variations (PSV) are reconstructed, whereby ages are transferred to PSV features through comparison with varved lake sediment based PSV records. Secondly, lead (Pb) content and stable isotope analysis are used to identify past peaks in anthropogenic atmospheric Pb pollution. Lastly, 14C determinations were carried out on benthic foraminifera (Elphidium spec.) samples from the brackish Littorina stage of the Baltic Sea. Determinations carried out on smaller samples (as low as 4 µg C) employed an experimental, state-of-the-art method involving the direct measurement of CO2 from samples by a gas ion source without the need for a graphitisation step - the first time this method has been performed on foraminifera in an applied study. The PSV chronology, based on the uppermost Littorina stage sediments, produced ten age constraints between 6.29 and 1.29 cal ka BP, and the Pb depositional analysis produced two age constraints associated with the Medieval pollution peak. Analysis of PSV data shows that adequate directional data can be derived from both the present Littorina saline phase muds and Baltic Ice Lake stage varved glacial sediments. Ferrimagnetic iron sulphides, most likely authigenic greigite (Fe3S4), present in the intermediate Ancylus Lake freshwater stage sediments acquire a gyroremanent magnetisation during static alternating field (AF) demagnetisation, preventing the identification of a primary natural remanent magnetisation for these sediments. An inferred marine reservoir age offset (deltaR) is calculated by comparing the foraminifera 14C determinations to a PSV & Pb age model. This deltaR is found to trend towards younger values upwards in the core, possibly due to a gradual change in hydrographic conditions brought about by a reduction in marine water exchange from the open sea due to continued isostatic rebound.

A general two-process model describes the hydrogen exchange behavior of RNase A in unfolding conditions.

When NMR hydrogen exchange was used previously to monitor the kinetics of RNase A unfolding, some peptide NH protons were found to show EX2 exchange (detected by base catalysis) in addition to the expected EX1 exchange, whose rate is limited by the kinetic unfolding process. In earlier work, two groups showed independently that a restricted two-process model successfully fits published hydrogen exchange rates of native RNase A in the range 0-0.7 M guanidinium chloride. We find that this model predicts properties that are very different from the observed properties of the EX2 exchange reactions of RNase A in conditions where guanidine-induced unfolding takes place. The model predicts that EX2 exchange should be too fast to measure by the technique used, whereas it is readily measurable. Possible explanations for the contradiction are considered here, and we show that removing the restriction from the earlier two-process model is sufficient to resolve the contradiction; instead of specifying that exchange caused by global unfolding occurs by the EX2 mechanism, we allow it to occur by the general mechanism, which includes both the EX1 and EX2 cases. It is logical to remove this restriction because global unfolding of RNase A is known to give rise to EX1 exchange in these unfolding conditions. Resolving the contradiction makes it possible to determine whether populated unfolding intermediates contribute to the EX2 exchange, and this question is considered elsewhere. The results and simulations indicate that moderate or high denaturant concentrations readily give rise to EX1 exchange in native proteins. Earlier studies showed that hydrogen exchange in native proteins typically occurs by the EX2 mechanism but that high temperatures or pH values above 7 may give rise to EX1 exchange. High denaturant concentrations should be added to the list of variables likely to cause EX1 exchange.

The Empirical Content of the Present Value Model: A survey of the instrumental uses of farmland prices. Factor Markets Working Document No. 53, June 2013

After reviewing the Present Value Model (PVM), in its basic form and with its major extensions, the authors carried out a literature review on the instrumental uses of farm land prices; namely what land prices may reveal in the framework of the PVM. Urban influence, non-market goods and climate change are topics where the PVM used with applied data may reveal farmers’ or landowners’ beliefs or subjective values, which are discussed in this paper. There is also extensive discussion of the topic of public regulations, and how they may affect land price directly, or through its present value.