On the statistical estimation of diffusion processes: a survey

Data available on continuos-time diffusions are always sampled discretely in time. In most cases, the likelihood function of the observations is not directly computable. This survey covers a sample of the statistical methods that have been developed to solve this problem. We concentrate on some recent contributions to the literature based on three di§erent approaches to the problem: an improvement of the Euler-Maruyama discretization scheme, the use of Martingale Estimating Functions and the application of Generalized Method of Moments (GMM).

On the statistical estimation of diffusion processes - a partial survey

Data available on continuous-time diffusions are always sampled discretely in time. In most cases, the likelihood function of the observations is not directly computable. This survey covers a sample of the statistical methods that have been developed to solve this problem. We concentrate on some recent contributions to the literature based on three di§erent approaches to the problem: an improvement of the Euler-Maruyama discretization scheme, the employment of Martingale Estimating Functions, and the application of Generalized Method of Moments (GMM).

The statistical estimation of throughput and turnaround functions for a university computer system /

Vita.

Notes on the theory of statistical estimation and of testing hypotheses : lectures /

"Notes prepared by Ralph J. Brookner."

A Computational Approach for the Statistical Estimation of Discrete Time Branching Processes with Immigration

2010 Mathematics Subject Classification: 60J80.

Estimation of parametric and nonparametric models for univariate claim severity distributions - an approach using R

This paper presents an analysis of motor vehicle insurance claims relating to vehicle damage and to associated medical expenses. We use univariate severity distributions estimated with parametric and non-parametric methods. The methods are implemented using the statistical package R. Parametric analysis is limited to estimation of normal and lognormal distributions for each of the two claim types. The nonparametric analysis presented involves kernel density estimation. We illustrate the benefits of applying transformations to data prior to employing kernel based methods. We use a log-transformation and an optimal transformation amongst a class of transformations that produces symmetry in the data. The central aim of this paper is to provide educators with material that can be used in the classroom to teach statistical estimation methods, goodness of fit analysis and importantly statistical computing in the context of insurance and risk management. To this end, we have included in the Appendix of this paper all the R code that has been used in the analysis so that readers, both students and educators, can fully explore the techniques described

The interplay of spatial and climatic landscapes in the genetic distribution of a South American parrot

AimOur aim was to understand the interplay of heterogeneous climatic and spatial landscapes in shaping the distribution of nuclear microsatellite variation in burrowing parrots, Cyanoliseus patagonus. Given the marked phenotypic differences between populations of burrowing parrots we hypothesized an important role of geographical as well climatic heterogeneity in the population structure of this species. LocationSouthern South America. MethodsWe applied a landscape genetics approach to investigate the explicit patterns of genetic spatial autocorrelation based on both geography and climate using spatial principal component analysis (sPCA). This necessitated a novel statistical estimation of the species climatic landscape, considering temperature- and precipitation-based variables separately to evaluate their weight in shaping the distribution of genetic variation in our model system. ResultsGeographical and climatic heterogeneity successfully explained molecular variance in burrowing parrots. sPCA divided the species distribution into two main areas, Patagonia and the pre-Andes, which were connected by an area of geographical and climatic transition. Moreover, sPCA revealed cryptic and conservation-relevant genetic structure: the pre-Andean populations and the transition localities were each divided into two groups, each management units for conservation. Main conclusionssPCA, a method originally developed for spatial genetics, allowed us to unravel the genetic structure related to spatial and climatic landscapes and to visualize these patterns in landscape space. These novel climatic inferences underscore the importance of our modified sPCA approach in revealing how climatic variables can drive cryptic patterns of genetic structure, making the approach potentially useful in the study of any species distributed over a climatically heterogeneous landscape.

On the Adoption of Partial Least Squares in Psychological Research: Caveat Emptor

The partial least squares technique (PLS) has been touted as a viable alternative to latent variable structural equation modeling (SEM) for evaluating theoretical models in the differential psychology domain. We bring some balance to the discussion by reviewing the broader methodological literature to highlight: (1) the misleading characterization of PLS as an SEM method; (2) limitations of PLS for global model testing; (3) problems in testing the significance of path coefficients; (4) extremely high false positive rates when using empirical confidence intervals in conjunction with a new "sign change correction" for path coefficients; (5) misconceptions surrounding the supposedly superior ability of PLS to handle small sample sizes and non-normality; and (6) conceptual and statistical problems with formative measurement and the application of PLS to such models. Additionally, we also reanalyze the dataset provided by Willaby et al. (2015; doi:10.1016/j.paid.2014.09.008) to highlight the limitations of PLS. Our broader review and analysis of the available evidence makes it clear that PLS is not useful for statistical estimation and testing.

Regional Development in Kerala A Study of Malappuram District

The study makes an attempt to examine the inter regional variations in Kerala in economic development with respect to the important indicators of development over the period 1971 to 2001. The study takes districts as the unit of analysis because this is an attempt to find out the status of districts in Kerala.The study proved that there exists inter district disparities in economic development measured in terms of different indices used for analysis.. statistical estimation of variation proves that there is high degree of variation in industrial sector followed by social and economic infrastructure. The composite index of industrial development shows that the highest index is 1.395 which is five times greater than that of the lowest index 0.273. More or less the same pattern of differences are noticed in most of the indicators of the development. A ranking of the district on the basis of the overall development indicators shows that Malappuram is the least developed district in Kerala. In case of almost all indicators of development Malappuram is lagging behind all other districts.

Data assimilation for marine monitoring and prediction: The MERCATOR operational assimilation systems and the MERSEA developments

During the past 15 years, a number of initiatives have been undertaken at national level to develop ocean forecasting systems operating at regional and/or global scales. The co-ordination between these efforts has been organized internationally through the Global Ocean Data Assimilation Experiment (GODAE). The French MERCATOR project is one of the leading participants in GODAE. The MERCATOR systems routinely assimilate a variety of observations such as multi-satellite altimeter data, sea-surface temperature and in situ temperature and salinity profiles, focusing on high-resolution scales of the ocean dynamics. The assimilation strategy in MERCATOR is based on a hierarchy of methods of increasing sophistication including optimal interpolation, Kalman filtering and variational methods, which are progressively deployed through the Syst`eme d’Assimilation MERCATOR (SAM) series. SAM-1 is based on a reduced-order optimal interpolation which can be operated using ‘altimetry-only’ or ‘multi-data’ set-ups; it relies on the concept of separability, assuming that the correlations can be separated into a product of horizontal and vertical contributions. The second release, SAM-2, is being developed to include new features from the singular evolutive extended Kalman (SEEK) filter, such as three-dimensional, multivariate error modes and adaptivity schemes. The third one, SAM-3, considers variational methods such as the incremental four-dimensional variational algorithm. Most operational forecasting systems evaluated during GODAE are based on least-squares statistical estimation assuming Gaussian errors. In the framework of the EU MERSEA (Marine EnviRonment and Security for the European Area) project, research is being conducted to prepare the next-generation operational ocean monitoring and forecasting systems. The research effort will explore nonlinear assimilation formulations to overcome limitations of the current systems. This paper provides an overview of the developments conducted in MERSEA with the SEEK filter, the Ensemble Kalman filter and the sequential importance re-sampling filter.

The paradox of nationalism: the common denominator of radical right and radical left euroscepticism

What can explain the strong euroscepticism of radical parties of both the right and the left? This article argues that the answer lies in the paradoxical role of nationalism as a central element in both party families, motivating opposition towards European integration. Conventionally, the link between nationalism and euroscepticism is understood solely as a prerogative of radical right-wing parties, whereas radical left-wing euroscepticism is associated with opposition to the neoliberal character of the European Union.This article contests this view. It argues that nationalism cuts across party lines and constitutes the common denominator of both radical right-wing and radical left-wing euroscepticism. It adopts a mixed-methods approach, combining intensive case study analysis with quantitative analysis of party manifestos. First, it traces the link between nationalism and euroscepticism in Greece and France in order to demonstrate the internal validity of the argument. It then undertakes a cross-country statistical estimation to assess the external validity of the argument and its generalisability across Europe.

Challenges in quantifying wind generation's contribution to securing peak demand

Wind generation's contribution to supporting peak electricity demand is one of the key questions in wind integration studies. Differently from conventional units, the available outputs of different wind farms cannot be approximated as being statistically independent, and hence near-zero wind output is possible across an entire power system. This paper will review the risk model structures currently used to assess wind's capacity value, along with discussion of the resulting data requirements. A central theme is the benefits from performing statistical estimation of the joint distribution for demand and available wind capacity, focusing attention on uncertainties due to limited histories of wind and demand data; examination of Great Britain data from the last 25 years shows that the data requirements are greater than generally thought. A discussion is therefore presented into how analysis of the types of weather system which have historically driven extreme electricity demands can help to deliver robust insights into wind's contribution to supporting demand, even in the face of such data limitations. The role of the form of the probability distribution for available conventional capacity in driving wind capacity credit results is also discussed.

Cópulas: uma alternativa para a estimação de modelos de risco multivariados

Dentre os principais desafios enfrentados no cálculo de medidas de risco de portfólios está em como agregar riscos. Esta agregação deve ser feita de tal sorte que possa de alguma forma identificar o efeito da diversificação do risco existente em uma operação ou em um portfólio. Desta forma, muito tem se feito para identificar a melhor forma para se chegar a esta definição, alguns modelos como o Valor em Risco (VaR) paramétrico assumem que a distribuição marginal de cada variável integrante do portfólio seguem a mesma distribuição , sendo esta uma distribuição normal, se preocupando apenas em modelar corretamente a volatilidade e a matriz de correlação. Modelos como o VaR histórico assume a distribuição real da variável e não se preocupam com o formato da distribuição resultante multivariada. Assim sendo, a teoria de Cópulas mostra-se um grande alternativa, à medida que esta teoria permite a criação de distribuições multivariadas sem a necessidade de se supor qualquer tipo de restrição às distribuições marginais e muito menos as multivariadas. Neste trabalho iremos abordar a utilização desta metodologia em confronto com as demais metodologias de cálculo de Risco, a saber: VaR multivariados paramétricos - VEC, Diagonal,BEKK, EWMA, CCC e DCC- e VaR histórico para um portfólio resultante de posições idênticas em quatro fatores de risco – Pre252, Cupo252, Índice Bovespa e Índice Dow Jones

Estudo teórico-bioclimático da potencialidade de desenvolvimento do Aedes aegypti no estado do Rio Grande do Norte

In the current climate of global public health there is the emergence of urban dengue, a disease regarded as acute infectious fever. The disease annually, has affected millions of people worldwide, mostly in the range of the intertropical globe. The disease's main vector in urban areas, the Aedes aegypti mosquito. Recent studies indicate that the distribution of the insect vector of dengue in the geographical area is directly tied to the behavior of environmental restrictions that area, especially among those, the air temperature and relative humidity. From that context, the work aims to estimate and spatializing, monthly, for each municipality in the state of Rio Grande do Norte, the potential of biophysical conditions conducive to the development of Aedes aegypti. Yet, made use of the following methodology: collection of epidemiological data and climatological, Normal climatological, descriptive statistics (measures of central tendency and scatter), uniform distribution, estimation geostatistics and sufer program, version 8.0. The results flagged for a behavior very heterogeneous, both in space and in time, in the case of the potential of biophysical conditions conducive to the development of Aedes aegypti in the state of Rio Grande do Norte. Still, he noted that there is a tendency for lifting the potential of development for the entire state, from the month of January, ending in the month of April mainly in central and western portions of the state. By contrast, there is the permanence of increased potential for development in the eastern portion of the state. The latter record maximum potential in the month of July, resulting probability of greater than 70% have been favorable conditions for the development of Aedes aegypti in that area. In the period between the months of August to December, it is small potential for development of Aedes aegypti in all parts of the state

A feedback-controlled ensemble model of the stress-responsive hypothalamo-pituitary-adrenal axis

The present work develops and implements a biomathematical statement of how reciprocal connectivity drives stress-adaptive homeostasis in the corticotropic (hypothalamo-pituitary-adrenal) axis. In initial analyses with this interactive construct, we test six specific a priori hypotheses of mechanisms linking circadian (24-h) rhythmicity to pulsatile secretory output. This formulation offers a dynamic framework for later statistical estimation of unobserved in vivo neurohormone secretion and within-axis, dose-responsive interfaces in health and disease. Explication of the core dynamics of the stress-responsive corticotropic axis based on secure physiological precepts should help to unveil new biomedical hypotheses of stressor-specific system failure.