Combining multivariate density forecasts using predictive criteria

This paper combines multivariate density forecasts of output growth, inflationand interest rates from a suite of models. An out-of-sample weighting scheme based onthe predictive likelihood as proposed by Eklund and Karlsson (2005) and Andersson andKarlsson (2007) is used to combine the models. Three classes of models are considered: aBayesian vector autoregression (BVAR), a factor-augmented vector autoregression (FAVAR)and a medium-scale dynamic stochastic general equilibrium (DSGE) model. Using Australiandata, we find that, at short forecast horizons, the Bayesian VAR model is assignedthe most weight, while at intermediate and longer horizons the factor model is preferred.The DSGE model is assigned little weight at all horizons, a result that can be attributedto the DSGE model producing density forecasts that are very wide when compared withthe actual distribution of observations. While a density forecast evaluation exercise revealslittle formal evidence that the optimally combined densities are superior to those from thebest-performing individual model, or a simple equal-weighting scheme, this may be a resultof the short sample available.

Evaluating the Bank of England density forecasts of inflation

We consider evaluating the UK Monetary Policy Committee's inflation density forecasts using probability integral transform goodness-of-fit tests. These tests evaluate the whole forecast density. We also consider whether the probabilities assigned to inflation being in certain ranges are well calibrated, where the ranges are chosen to be those of particular relevance to the MPC, given its remit of maintaining inflation rates in a band around per annum. Finally, we discuss the decision-based approach to forecast evaluation in relation to the MPC forecasts

Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Early warning with calibrated and sharper probabilistic forecasts

Given a nonlinear model, a probabilistic forecast may be obtained by Monte Carlo simulations. At a given forecast horizon, Monte Carlo simulations yield sets of discrete forecasts, which can be converted to density forecasts. The resulting density forecasts will inevitably be downgraded by model mis-specification. In order to enhance the quality of the density forecasts, one can mix them with the unconditional density. This paper examines the value of combining conditional density forecasts with the unconditional density. The findings have positive implications for issuing early warnings in different disciplines including economics and meteorology, but UK inflation forecasts are considered as an example.

Hypernormal densities

We propose a new family of density functions that possess both flexibilityand closed form expressions for moments and anti-derivatives, makingthem particularly appealing for applications. We illustrate its usefulnessby applying our new family to obtain density forecasts of U.S. inflation.Our methods generate forecasts that improve on standard methods based on AR-ARCH models relying on normal or Student's t-distributional assumptions.

Evaluating multivariate forecast densities: a comparison of two approaches

We consider methods of evaluating multivariate density forecasts. A recently proposed method is found to lack power when the correlation structure is mis-specified. Tests that have good power to detect mis-specifications of this sort are described. We also consider the properties of the tests in the presence of more general mis-specifications.

On SETAR non-linearity and forecasting

We compare linear autoregressive (AR) models and self-exciting threshold autoregressive (SETAR) models in terms of their point forecast performance, and their ability to characterize the uncertainty surrounding those forecasts, i.e. interval or density forecasts. A two-regime SETAR process is used as the data-generating process in an extensive set of Monte Carlo simulations, and we consider the discriminatory power of recently developed methods of forecast evaluation for different degrees of non-linearity. We find that the interval and density evaluation methods are unlikely to show the linear model to be deficient on samples of the size typical for macroeconomic data

Evaluating the Survey of Professional Forecasters probability distributions of expected inflation based on derived event probability forecasts

Techniques are proposed for evaluating forecast probabilities of events. The tools are especially useful when, as in the case of the Survey of Professional Forecasters (SPF) expected probability distributions of inflation, recourse cannot be made to the method of construction in the evaluation of the forecasts. The tests of efficiency and conditional efficiency are applied to the forecast probabilities of events of interest derived from the SPF distributions, and supplement a whole-density evaluation of the SPF distributions based on the probability integral transform approach.

Cosmological forecasts from photometric measurements of the angular correlation function

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Constraining storm-scale forecasts of deep convective initiation with surface weather observations

Thesis (Ph.D.)--University of Washington, 2016-06

Low-density Lipoprotein Cholesterol And Radiotherapy-induced Carotid Atherosclerosis In Subjects With Head And Neck Cancer.

Radiotherapy (RT) is a risk factor for accelerated carotid artery atherosclerotic disease in subjects with head and neck cancer. However, the risk factors of RT-induced carotid artery remodeling are not established. This study aimed to investigate the effects of RT on carotid and popliteal arteries in subjects with head and neck cancer and to evaluate the relationship between baseline clinical and laboratory features and the progression of RT-induced atherosclerosis. Eleven men (age = 57.9 ± 6.2years) with head and neck cancer who underwent cervical bilateral irradiation were prospectively examined by clinical and laboratory analysis and by carotid and popliteal ultrasound before and after treatment (mean interval between the end of RT and the post-RT assessment = 181 ± 47 days). No studied subject used hypocholesterolemic medications. Significant increases in carotid intima-media thickness (IMT) (0.95 ± 0.08 vs. 0.87 ± 0.05 mm; p < 0.0001) and carotid IMT/diameter ratio (0.138 ± 0.013 vs. 0.129 ± 0.014; p = 0.001) were observed after RT, while no changes in popliteal structural features were detected. In addition, baseline low-density lipoprotein cholesterol levels showed a direct correlation with RT-induced carotid IMT change (r = 0.66; p = 0.027), while no other studied variable exhibited a significant relationship with carotid IMT change. These results indicate that RT-induced atherosclerosis is limited to the irradiated area and also suggest that it may be predicted by low-density lipoprotein cholesterol levels in subjects with head and neck cancer.

Exploratory Study Of The Effect Of Lifestyle Counselling On Bone Mineral Density And Body Composition In Users Of The Contraceptive Depot-medroxyprogesterone Acetate.

To compare variations in bone mineral density (BMD) and body composition (BC) in depot-medroxyprogesterone acetate (DMPA) users and nonusers after providing counselling on healthy lifestyle habits. An exploratory study in which women aged 18 to 40 years participated: 29 new DMPA users and 25 new non-hormonal contraceptive users. All participants were advised on healthy lifestyle habits: sun exposure, walking and calcium intake. BMD and BC were assessed at baseline and 12 months later. Statistical analysis included the Mann-Whitney test or Student's t-test followed by multiple linear regression analysis. Compared to the controls, DMPA users had lower BMD at vertebrae L1 and L4 after 12 months of use. They also had a mean increase of 2 kg in total fat mass and an increase of 2.2% in body fat compared to the non-hormonal contraceptive users. BMD loss at L1 was less pronounced in DMPA users with a calcium intake ≥ 1 g/day compared to DMPA users with a lower calcium intake. DMPA use was apparently associated with lower BMD and an increase in fat mass at 12 months of use. Calcium intake ≥ 1 g/day attenuates BMD loss in DMPA users. Counselling on healthy lifestyle habits failed to achieve its aims.

Low-density Three-dimensional Foam Using Self-reinforced Hybrid Two-dimensional Atomic Layers.

Low-density nanostructured foams are often limited in applications due to their low mechanical and thermal stabilities. Here we report an approach of building the structural units of three-dimensional (3D) foams using hybrid two-dimensional (2D) atomic layers made of stacked graphene oxide layers reinforced with conformal hexagonal boron nitride (h-BN) platelets. The ultra-low density (1/400 times density of graphite) 3D porous structures are scalably synthesized using solution processing method. A layered 3D foam structure forms due to presence of h-BN and significant improvements in the mechanical properties are observed for the hybrid foam structures, over a range of temperatures, compared with pristine graphene oxide or reduced graphene oxide foams. It is found that domains of h-BN layers on the graphene oxide framework help to reinforce the 2D structural units, providing the observed improvement in mechanical integrity of the 3D foam structure.

Reference Values For High-density Lipoprotein Particle Size And Volume By Dynamic Light Scattering In A Brazilian Population Sample And Their Relationships With Metabolic Parameters.

Current data indicate that the size of high-density lipoprotein (HDL) may be considered an important marker for cardiovascular disease risk. We established reference values of mean HDL size and volume in an asymptomatic representative Brazilian population sample (n=590) and their associations with metabolic parameters by gender. Size and volume were determined in HDL isolated from plasma by polyethyleneglycol precipitation of apoB-containing lipoproteins and measured using the dynamic light scattering (DLS) technique. Although the gender and age distributions agreed with other studies, the mean HDL size reference value was slightly lower than in some other populations. Both HDL size and volume were influenced by gender and varied according to age. HDL size was associated with age and HDL-C (total population); non- white ethnicity and CETP inversely (females); HDL-C and PLTP mass (males). On the other hand, HDL volume was determined only by HDL-C (total population and in both genders) and by PLTP mass (males). The reference values for mean HDL size and volume using the DLS technique were established in an asymptomatic and representative Brazilian population sample, as well as their related metabolic factors. HDL-C was a major determinant of HDL size and volume, which were differently modulated in females and in males.

Analyzing the n→π* Electronic Transition of Formaldehyde in Water. A Sequential Monte Carlo/Time-Dependent Density Functional Theory

The n→π* absorption transition of formaldehyde in water is analyzed using combined and sequential classical Monte Carlo (MC) simulations and quantum mechanics (QM) calculations. MC simulations generate the liquid solute-solvent structures for subsequent QM calculations. Using time-dependent density functional theory in a localized set of gaussian basis functions (TD-DFT/6-311++G(d,p)) calculations are made on statistically relevant configurations to obtain the average solvatochromic shift. All results presented here use the electrostatic embedding of the solvent. The statistically converged average result obtained of 2300 cm-1 is compared to previous theoretical results available. Analysis is made of the effective dipole moment of the hydrogen-bonded shell and how it could be held responsible for the polarization of the solvent molecules in the outer solvation shells.