Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

Factorial validity and invariance of questionnaires measuring social-cognitive determinants of physical activity among adolescent girls

Background There are few theoretically derived questionnaires of physical activity determinants among youth, and the existing questionnaires have not been subjected to tests of factorial validity and invariance, The present study employed confirmatory factor analysis (CFA) to test the factorial validity and invariance of questionnaires designed to be unidimensional measures of attitudes, subjective norms, perceived behavioral control, and self-efficacy about physical activity. Methods Adolescent girls in eighth grade from two cohorts (N = 955 and 1,797) completed the questionnaires at baseline; participants from cohort 1 (N = 845) also completed the questionnaires in ninth grade (i.e., 1-year follow-up). Factorial validity and invariance were tested using CFA with full-information maximum likelihood estimation in AMOS 4.0, Initially, baseline data from cohort 1 were employed to test the fit and, when necessary, to modify the unidimensional models. The models were cross-validated using a multigroup analysis of factorial invariance on baseline data from cohorts 1 and 2, The models then were subjected to a longitudinal analysis of factorial invariance using baseline and follow-up data from cohort i, Results The CFAs supported the fit of unidimensional models to the four questionnaires, and the models were cross-validated, as indicated by evidence of multigroup factorial invariance, The models also possessed evidence of longitudinal factorial invariance. Conclusions Evidence was provided for the factorial validity and the invariance of the questionnaires designed to be unidimensional measures of attitudes, subjective norms, perceived behavioral control, and self-efficacy about physical activity among adolescent girls, (C) 2000 American Health Foundation and academic Press.

The analysis of large scale data taken from the world groundnut (Arachis hypogaea L.) germplasm collection. II. Two-way data with mixed data types

As a sequel to a paper that dealt with the analysis of two-way quantitative data in large germplasm collections, this paper presents analytical methods appropriate for two-way data matrices consisting of mixed data types, namely, ordered multicategory and quantitative data types. While various pattern analysis techniques have been identified as suitable for analysis of the mixed data types which occur in germplasm collections, the clustering and ordination methods used often can not deal explicitly with the computational consequences of large data sets (i.e. greater than 5000 accessions) with incomplete information. However, it is shown that the ordination technique of principal component analysis and the mixture maximum likelihood method of clustering can be employed to achieve such analyses. Germplasm evaluation data for 11436 accessions of groundnut (Arachis hypogaea L.) from the International Research Institute of the Semi-Arid Tropics, Andhra Pradesh, India were examined. Data for nine quantitative descriptors measured in the post-rainy season and five ordered multicategory descriptors were used. Pattern analysis results generally indicated that the accessions could be distinguished into four regions along the continuum of growth habit (or plant erectness). Interpretation of accession membership in these regions was found to be consistent with taxonomic information, such as subspecies. Each growth habit region contained accessions from three of the most common groundnut botanical varieties. This implies that within each of the habit types there is the full range of expression for the other descriptors used in the analysis. Using these types of insights, the patterns of variability in germplasm collections can provide scientists with valuable information for their plant improvement programs.

The educational pipeline for health care professionals : understanding the source of racial differences

The underrepresentation of blacks in the healthcare professions may have direct implications for the health outcomes of minority patients, underscoring the importance of understanding movement through the educational pipeline into professional healthcare careers by race. We jointly model individuals' postsecondary decisions including enrollment, college type, degree completion, and choosing a healthcare occupation requiring an advanced degree. We estimate the parameters of the model with maximum likelihood using data from the NLS-72. Our results emphasize the importance of pre-collegiate factors and of jointly examining the full chain of educational decisions in understanding the sources of racial disparities in professional healthcare occupations.

Survival models of community tenure and length of hospital stay for the seriously mentally ill : a 10-year perspective

Objective: To examine the effects of personal and community characteristics, specifically race and rurality, on lengths of state psychiatric hospital and community stays using maximum likelihood survival analysis with a special emphasis on change over a ten year period of time. Data Sources: We used the administrative data of the Virginia Department of Mental Health, Mental Retardation, and Substance Abuse Services (DMHMRSAS) from 1982-1991 and the Area Resources File (ARF). Given these two sources, we constructed a history file for each individual who entered the state psychiatric system over the ten year period. Histories included demographic, treatment, and community characteristics. Study Design: We used a longitudinal, population-based design with maximum likelihood estimation of survival models. We presented a random effects model with unobserved heterogeneity that was independent of observed covariates. The key dependent variables were lengths of inpatient stay and subsequent length of community stay. Explanatory variables measured personal, diagnostic, and community characteristics, as well as controls for calendar time. Data Collection: This study used secondary, administrative, and health planning data. Principal Findings: African-American clients leave the community more quickly than whites. After controlling for other characteristics, however, race does not affect hospital length of stay. Rurality does not affect length of community stays once other personal and community characteristics are controlled for. However, people from rural areas have longer hospital stays even after controlling for personal and community characteristics. The effects of time are significantly smaller than expected. Diagnostic composition effects and a decrease in the rate of first inpatient admissions explain part of this reduced impact of time. We also find strong evidence for the existence of unobserved heterogeneity in both types of stays and adjust for this in our final models. Conclusions: Our results show that information on client characteristics available from inpatient stay records is useful in predicting not only the length of inpatient stay but also the length of the subsequent community stay. This information can be used to target increased discharge planning for those at risk of more rapid readmission to inpatient care. Correlation across observed and unobserved factors affecting length of stay has significant effects on the measurement of relationships between individual factors and lengths of stay. Thus, it is important to control for both observed and unobserved factors in estimation.

Towards a phylogeny of the Tenebrionoidea (Coleoptera)

The phylogenetic relationships of the beetle superfamily Tenebrionoidea are investigated using the most comprehensive genetic data set compiled to date. With ∼34,000 described species in approximately 1250 genera and 28 families, Tenebrionoidea represent one of the most diverse and species-rich superfamilies of beetles. The interfamilial relationships of the Tenebrionoidea are poorly known; previous morphological and molecular phylogenies recovered few well-supported and often conflicting relationships between families. Here we present a molecular phylogeny of Tenebrionoidea based on genes commonly used to resolve family and superfamily-level phylogenies of beetles (18S, 28S, 16S, 12S, tRNA Val and COI). The alignment spanned over 6.5 KB of DNA sequence and over 300 tenebrionoid genera from 24 of the 28 families were sampled. Maximum Likelihood and Bayesian analysis could not resolve deeper level divergences within the superfamily and very few relationships between families were supported. Increasing gene coverage in the alignment by removing taxa with missing data did not improve clade support but when rogue taxa were removed increased resolution was recovered. Investigation of signal strength suggested conflicting phylogenetic signal was present in the standard genes used for beetle phylogenetics, even when rogue taxa were removed. Our study of Tenebrionoidea highlights that even with relatively comprehensive taxon sampling within a lineage, this standard set of genes is unable to resolve relationships within this superfamily.

Do socially responsible investment indexes outperform conventional indexes?

The question of whether more Socially Responsible (SR) firms outperform or underperform other conventional firms has been debated in the economic literature. In this study, using the Socially Responsible Investment (SRI) indexes and conventional stock indexes in the US, the UK and Japan, first and second moments of firm performance distributions are estimated based on the Markov Switching (MS) model. We find two distinct regimes (bear and bull) in the SRI markets as well as the stock markets for all the three countries. These regimes occur with the same timing in both types of market. No statistical difference in means and volatilities generated from the SRI indexes and conventional indexes in either region was found. Furthermore, we find strong comovements between the two indexes in both the regimes.

Development and validation of the ankle fracture outcome of rehabilitation measure (A-FORM)

Study Design Delphi panel and cohort study. Objective To develop and refine a condition-specific, patient-reported outcome measure, the Ankle Fracture Outcome of Rehabilitation Measure (A-FORM), and to examine its psychometric properties, including factor structure, reliability, and validity, by assessing item fit with the Rasch model. Background To our knowledge, there is no patient-reported outcome measure specific to ankle fracture with a robust content foundation. Methods A 2-stage research design was implemented. First, a Delphi panel that included patients and health professionals developed the items and refined the item wording. Second, a cohort study (n = 45) with 2 assessment points was conducted to permit preliminary maximum-likelihood exploratory factor analysis and Rasch analysis. Results The Delphi panel reached consensus on 53 potential items that were carried forward to the cohort phase. From the 2 time points, 81 questionnaires were completed and analyzed; 38 potential items were eliminated on account of greater than 10% missing data, factor loadings, and uniqueness. The 15 unidimensional items retained in the scale demonstrated appropriate person and item reliability after (and before) removal of 1 item (anxious about footwear) that had a higher-than-ideal outfit statistic (1.75). The “anxious about footwear” item was retained in the instrument, but only the 14 items with acceptable infit and outfit statistics (range, 0.5–1.5) were included in the summary score. Conclusion This investigation developed and refined the A-FORM (Version 1.0). The A-FORM items demonstrated favorable psychometric properties and are suitable for conversion to a single summary score. Further studies utilizing the A-FORM instrument are warranted. J Orthop Sports Phys Ther 2014;44(7):488–499. Epub 22 May 2014. doi:10.2519/jospt.2014.4980

Adaptive estimation of hidden semi-Markov chains with parameterised transition probabilities and exponential decaying states

This paper develops maximum likelihood (ML) estimation schemes for finite-state semi-Markov chains in white Gaussian noise. We assume that the semi-Markov chain is characterised by transition probabilities of known parametric from with unknown parameters. We reformulate this hidden semi-Markov model (HSM) problem in the scalar case as a two-vector homogeneous hidden Markov model (HMM) problem in which the state consist of the signal augmented by the time to last transition. With this reformulation we apply the expectation Maximumisation (EM ) algorithm to obtain ML estimates of the transition probabilities parameters, Markov state levels and noise variance. To demonstrate our proposed schemes, motivated by neuro-biological applications, we use a damped sinusoidal parameterised function for the transition probabilities.

Short-data recursive HMM parameter estimation for rapid vision-based aircraft heading estimation

Rapid recursive estimation of hidden Markov Model (HMM) parameters is important in applications that place an emphasis on the early availability of reasonable estimates (e.g. for change detection) rather than the provision of longer-term asymptotic properties (such as convergence, convergence rate, and consistency). In the context of vision- based aircraft (image-plane) heading estimation, this paper suggests and evaluates the short-data estimation properties of 3 recursive HMM parameter estimation techniques (a recursive maximum likelihood estimator, an online EM HMM estimator, and a relative entropy based estimator). On both simulated and real data, our studies illustrate the feasibility of rapid recursive heading estimation, but also demonstrate the need for careful step-size design of HMM recursive estimation techniques when these techniques are intended for use in applications where short-data behaviour is paramount.

Estimating the mean critical gap

The estimation of the critical gap has been an issue since the 1970s, when gap acceptance was introduced to evaluate the capacity of unsignalized intersections. The critical gap is the shortest gap that a driver is assumed to accept. A driver’s critical gap cannot be measured directly and a number of techniques have been developed to estimate the mean critical gaps of a sample of drivers. This paper reviews the ability of the Maximum Likelihood technique and the Probability Equilibrium Method to predict the mean and standard deviation of the critical gap with a simulation of 100 drivers, repeated 100 times for each flow condition. The Maximum Likelihood method gave consistent and unbiased estimates of the mean critical gap. Whereas the probability equilibrium method had a significant bias that was dependent on the flow in the priority stream. Both methods were reasonably consistent, although the Maximum Likelihood Method was slightly better. If drivers are inconsistent, then again the Maximum Likelihood method is superior. A criticism levelled at the Maximum Likelihood method is that a distribution of the critical gap has to be assumed. It was shown that this does not significantly affect its ability to predict the mean and standard deviation of the critical gaps. Finally, the Maximum Likelihood method can predict reasonable estimates with observations for 25 to 30 drivers. A spreadsheet procedure for using the Maximum Likelihood method is provided in this paper. The PEM can be improved if the maximum rejected gap is used.

Inferring phylogenies of evolving sequences without multiple sequence alignment

Alignment-free methods, in which shared properties of sub-sequences (e.g. identity or match length) are extracted and used to compute a distance matrix, have recently been explored for phylogenetic inference. However, the scalability and robustness of these methods to key evolutionary processes remain to be investigated. Here, using simulated sequence sets of various sizes in both nucleotides and amino acids, we systematically assess the accuracy of phylogenetic inference using an alignment-free approach, based on D2 statistics, under different evolutionary scenarios. We find that compared to a multiple sequence alignment approach, D2 methods are more robust against among-site rate heterogeneity, compositional biases, genetic rearrangements and insertions/deletions, but are more sensitive to recent sequence divergence and sequence truncation. Across diverse empirical datasets, the alignment-free methods perform well for sequences sharing low divergence, at greater computation speed. Our findings provide strong evidence for the scalability and the potential use of alignment-free methods in large-scale phylogenomics.

Leaf and inflorescence structure and phylogenetics of Tripogon and affiliated genera (Poaceae: Chloridoideae)

This thesis provides new knowledge on an understudied group of grasses, some of which are resurrection grasses (i.e. able to withstand extreme drought). The sole Australian species (Tripogon loliiformis) is morphologically diverse and could be more than one species. This study sought to determine how many species of Tripogon occur in Australia, their relationships to other species in the genus and to two other genera of resurrection grasses (Eragrostiella and Oropetium). Results of the research indicate there is not enough evidence, from DNA sequence data, to warrant splitting up T. loliiformis into multiple species. The extensive morphological diversity seems to be influenced by environmental conditions. The three genera are so closely related that they could be grouped into a single genus. This new knowledge opens up pathways for future investigations, including studying genes responsible for desiccation tolerance and the conservation of native grasses that occur in rocky habitats.

A smooth transition logit model of the effects of deregulation in the electricity market

This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the latent index from which the binary dependent variable is constructed. The maximum likelihood estimators of the parameters of the model are derived along with their asymptotic properties, together with a Lagrange multiplier test of the null hypothesis of linearity in the underlying latent index. The development of the STL model is motivated by the desire to assess the impact of deregulation in the Queensland electricity market and ascertain whether increased competition has resulted in significant changes in the behaviour of the spot price of electricity, specifically with respect to the occurrence of periodic abnormally high prices. The model allows the timing of any change to be endogenously determined and also market participants' behaviour to change gradually over time. The main results provide clear evidence in support of a structural change in the nature of price events, and the endogenously determined timing of the change is consistent with the process of deregulation in Queensland.

Tensor-based analysis of genetic influences on brain integrity using DTI in 100 twins

Information from the full diffusion tensor (DT) was used to compute voxel-wise genetic contributions to brain fiber microstructure. First, we designed a new multivariate intraclass correlation formula in the log-Euclidean framework. We then analyzed used the full multivariate structure of the tensor in a multivariate version of a voxel-wise maximum-likelihood structural equation model (SEM) that computes the variance contributions in the DTs from genetic (A), common environmental (C) and unique environmental (E) factors. Our algorithm was tested on DT images from 25 identical and 25 fraternal twin pairs. After linear and fluid registration to a mean template, we computed the intraclass correlation and Falconer's heritability statistic for several scalar DT-derived measures and for the full multivariate tensors. Covariance matrices were found from the DTs, and inputted into SEM. Analyzing the full DT enhanced the detection of A and C effects. This approach should empower imaging genetics studies that use DTI.