On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Rate Model and Mechanism of Liquid-Phase Oxidation of Propionaldehyde

A rate equation is developed for the liquid-phase oxidation of propionaldehyde with oxygen in the presence of manganese propionate catalyst in a sparged reactor. The equation takes into account diffusional limitations based on Brian's solution for mass transfer accompanied by a pseudo m-. nth-order reaction. Sauter-mean bubble diameter, gas holdup, interfacial area, and bubble rise velocity are measured, and rates of mass transfer within the gas phase and across the gas-liquid interface are computed. Statistically designed experiments show the adequacy of the equation. The oxidation reaction is zero order with respect to oxygen concentration, 3/2 order with respect to aldehyde concentration, and order with respect to catalyst concentration. The activation energy is 12.1 kcal/g mole.

Application of scalar dissipation rate model to siemens DLE combustors

The standard design process for the Siemens Industrial Turbomachinery, Lincoln, Dry Low Emissions combustion systems has adopted the Eddy Dissipation Model with Finite Rate Chemistry for reacting computational fluid dynamics simulations. The major drawbacks of this model have been the over-prediction of temperature and lack of species data limiting the applicability of the model. A novel combustion model referred to as the Scalar Dissipation Rate Model has been developed recently based on a flamelet type assumption. Previous attempts to adopt the flamelet philosophy with alternative closure models have failed, with the prediction of unphysical phenomenon. The Scalar Dissipation Rate Model (SDRM) was developed from a physical understanding of scalar dissipation rate, signifying the rate of mixing of hot and cold fluids at scales relevant to sustain combustion, in flames and was validated using direct numerical simulations data and experimental measurements. This paper reports on the first industrial application of the SDRM to SITL DLE combustion system. Previous applications have considered ideally premixed laboratory scale flames. The industrial application differs significantly in the complexity of the geometry, unmixedness and operating pressures. The model was implemented into ANSYS-CFX using their inbuilt command language. Simulations were run transiently using Scale Adaptive Simulation turbulence model, which switches between Large Eddy Simulation and Unsteady Reynolds Averaged Navier Stokes using a blending function. The model was validated in a research SITL DLE combustion system prior to being applied to the actual industrial geometry at real operating conditions. This system consists of the SGT-100 burner with a glass square-sectioned combustor allowing for detailed diagnostics. This paper shows the successful validation of the SDRM against time averaged temperature and velocity within measurement errors. The successful validation allowed application of the SDRM to the SGT-100 twin shaft at the relevant full load conditions. Limited validation data was available due to the complexity of measurement in the real geometry. Comparison of surface temperatures and combustor exit temperature profiles showed an improvement compared to EDM/FRC model. Furthermore, no unphysical phenomena were predicted. This paper presents the successful application of the SDRM to the industrial combustion system. The model shows a marked improvement in the prediction of temperature over the EDM/FRC model previously used. This is of significant importance in the future applications of combustion CFD for understanding of hardware mechanical integrity, combustion emissions and dynamics of the flame. Copyright © 2012 by ASME.

Effects of a probiotic soy product and physical exercise on formation of pre-neoplastic lesions in rat colons in a short-term model of carcinogenic

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

A Bayesian analysis of the Conway-Maxwell-Poisson cure rate model

The purpose of this paper is to develop a Bayesian analysis for the right-censored survival data when immune or cured individuals may be present in the population from which the data is taken. In our approach the number of competing causes of the event of interest follows the Conway-Maxwell-Poisson distribution which generalizes the Poisson distribution. Markov chain Monte Carlo (MCMC) methods are used to develop a Bayesian procedure for the proposed model. Also, some discussions on the model selection and an illustration with a real data set are considered.

A Bayesian destructive weighted Poisson cure rate model and an application to a cutaneous melanoma data

In this article, we propose a new Bayesian flexible cure rate survival model, which generalises the stochastic model of Klebanov et al. [Klebanov LB, Rachev ST and Yakovlev AY. A stochastic-model of radiation carcinogenesis - latent time distributions and their properties. Math Biosci 1993; 113: 51-75], and has much in common with the destructive model formulated by Rodrigues et al. [Rodrigues J, de Castro M, Balakrishnan N and Cancho VG. Destructive weighted Poisson cure rate models. Technical Report, Universidade Federal de Sao Carlos, Sao Carlos-SP. Brazil, 2009 (accepted in Lifetime Data Analysis)]. In our approach, the accumulated number of lesions or altered cells follows a compound weighted Poisson distribution. This model is more flexible than the promotion time cure model in terms of dispersion. Moreover, it possesses an interesting and realistic interpretation of the biological mechanism of the occurrence of the event of interest as it includes a destructive process of tumour cells after an initial treatment or the capacity of an individual exposed to irradiation to repair altered cells that results in cancer induction. In other words, what is recorded is only the damaged portion of the original number of altered cells not eliminated by the treatment or repaired by the repair system of an individual. Markov Chain Monte Carlo (MCMC) methods are then used to develop Bayesian inference for the proposed model. Also, some discussions on the model selection and an illustration with a cutaneous melanoma data set analysed by Rodrigues et al. [Rodrigues J, de Castro M, Balakrishnan N and Cancho VG. Destructive weighted Poisson cure rate models. Technical Report, Universidade Federal de Sao Carlos, Sao Carlos-SP. Brazil, 2009 (accepted in Lifetime Data Analysis)] are presented.