Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns

OpenAIRE

Jiang, Danling

2008-01-01

This paper develops two competing hypotheses for the relation between the cross-sectional standard deviation of logarithmic firm fundamental-to-price ratios (``dispersion'') and expected aggregate returns. In models with fully rational beliefs, greater dispersion indicates greater risk and higher expected aggregate returns. In models with investor overconfidence, greater dispersion indicates greater mispricing and lower expected aggregate returns. Consistent with the behavioral models, the re...

Oil Volatility Risk and Expected Stock Returns

DEFF Research Database (Denmark)

Christoffersen, Peter; Pan, Xuhui (Nick)

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...... return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

Consumption Risk and the Cross Section of Expected Returns.

Science.gov (United States)

Parker, Jonathan A.; Julliard, Christian

2005-01-01

This paper evaluates the central insight of the consumption capital asset pricing model that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption…

Long memory of financial time series and hidden Markov models with time-varying parameters

DEFF Research Database (Denmark)

Nystrup, Peter; Madsen, Henrik; Lindström, Erik

Hidden Markov models are often used to capture stylized facts of daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time-varying behavior for the ability to reproduce the stylized...... facts have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time-varying. It is shown that a two-state Gaussian hidden Markov model with time-varying parameters is able to reproduce the long memory of squared...... daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time-varying behavior of the parameters also leads to improved one-step predictions....

Do expectancies of return to work and Job satisfaction predict actual return to work in workers with long lasting LBP?

Science.gov (United States)

Opsahl, Jon; Eriksen, Hege R; Tveito, Torill H

2016-11-17

Musculoskeletal disorders including low back pain have major individual and socioeconomic consequences as it often leads to disability and long-term sick leave and exclusion from working life. Predictors of disability and return to work often differ, and the dominant knowledge is on predictors for prolonged sick leave and disability. Therefore it is also important to identify key predictors for return to work. The aim of the study was to assess if overall job satisfaction and expectancies of return to work predicts actual return to work after 12 months, among employees with long lasting low back pain, and to assess if there were gender differences in the predictors. Data from the Cognitive interventions and nutritional supplements trial (CINS Trial) was used. Predictors for return to work were examined in 574 employees that had been on sick leave 2-10 months for low back pain, before entering the trial. Data were analysed with multiple logistic regression models stratified by gender, and adjusted for potential confounders. Regardless of gender high expectancies were a strong and significant predictor of return to work at 12 months, while high levels of job satisfaction were not a significant predictor. There were no differences in the levels of expectancies or overall job satisfaction between men and women. However, men had in general higher odds of returning to work compared with women. Among individuals with long lasting low back pain high expectancies of returning to work were strongly associated with successful return to work. We do not know what factors influence individual expectancies of return to work. Screening expectancies and giving individuals with low expectancies interventions with a goal to change expectancies of return to work, such as CBT or self-management interventions, may contribute to increase actual return to work. http://www.clinicaltrials.gov/ , with registration number NCT00463970 . The trial was registered at the 18th of April 2007.

The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums

DEFF Research Database (Denmark)

Osterrieder, Daniela; Schotman, Peter C.

We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields...... are dominated by a level factor, which requires persistence in the spot interest rate. We find that a fractionally integrated process for the short rate plus a fractionally integrated specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain...... the stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with innovations in the level factor to explain the volatility...

Efficiency or speculation? A time-varying analysis of European sovereign debt

Science.gov (United States)

Ferreira, Paulo

2018-01-01

The outbreak of the Greek debt crisis caused turmoil in European markets and drew attention to the problem of public debt and its consequences. The increase in the return rates of sovereign debts was one of these consequences. However, like any other asset, sovereign debt returns are expected to have a memoryless behaviour. Analysing a total of 15 European countries (Eurozone and non-Eurozone), and applying a time-varying analysis of the Hurst exponent, we found evidence of long-range memory in sovereign bonds. When analysing the spreads between each bond and the German one, it is possible to conclude that Eurozone countries' spreads show more evidence of long-range dependence. Considering the Eurozone countries most affected by the Eurozone crisis, that long-range dependence is more evident, but started before the crisis, which could be interpreted as possible speculation by investors.

The return to foreign aid

DEFF Research Database (Denmark)

Dalgaard, Carl-Johan Lars; Hansen, Henrik

We investigate the marginal productivity of investment across countries. The aim is to estimate the return on investments financed by foreign aid and by domestic resource mobilization, using aggregate data. Both returns are expected to vary across countries and time. Consequently we develop...... a correlated random coefficients model, to estimate the average aggregate return on ‘aid investments’ and ‘domestic investments’. Across different estimators and two different sources for GDP and investment data our findings are remarkably robust; the average gross return on ‘aid investments’ is about 20 per...

The Return to Foreign Aid

DEFF Research Database (Denmark)

Dalgaard, Carl-Johan Lars; Hansen, Henrik

2017-01-01

We estimate the average rate of return on investments financed by aid and by domestic resource mobilisation, using aggregate data. Both returns are expected to vary across countries and time. Consequently we develop a correlated random coefficients model to estimate the average returns. Across...... different estimators and two different data sources for GDP and investment our findings are remarkably robust; the average gross return on ‘aid investments’ is about 20 per cent. This is in accord with micro estimates of the economic rate of return on aid projects and with aggregate estimates of the rate...

Range-based volatility, expected stock returns, and the low volatility anomaly

Science.gov (United States)

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics. PMID:29190652

Range-based volatility, expected stock returns, and the low volatility anomaly.

Science.gov (United States)

Blau, Benjamin M; Whitby, Ryan J

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

Range-based volatility, expected stock returns, and the low volatility anomaly.

Directory of Open Access Journals (Sweden)

Benjamin M Blau

Full Text Available One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility, which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

Time-varying correlation and common structures in volatility

NARCIS (Netherlands)

Liu, Yang

2016-01-01

This thesis studies time series properties of the covariance structure of multivariate asset returns. First, the time-varying feature of correlation is investigated at the intraday level with a new correlation model incorporating the intraday correlation dynamics. Second, the thesis develops a

Does expecting mean achieving? The association between expecting to return to work and recovery in whiplash associated disorders: a population-based prospective cohort study

Science.gov (United States)

Carroll, Linda J.; David Cassidy, J.

2009-01-01

To determine the association between expectations to return to work and self-assessed recovery. Positive expectations predict better outcomes in many health conditions, but to date the relationship between expecting to return to work after traffic-related whiplash-associated disorders and actual recovery has not been reported. We assessed early expectations for return to work in a cohort of 2,335 individuals with traffic-related whiplash injury to the neck. Using multivariable Cox proportional hazard analysis we assessed the association between return to work expectations and self-perceived recovery during the first year following the event. After adjusting for the effects of sociodemographic characteristics, initial pain and symptoms, post-crash mood, prior health status and collision-related factors, those who expected to return to work reported global recovery 42% more quickly than those who did not have positive expectations (HRR = 1.42, 95% CI 1.26–1.60). Knowledge of return to work expectation provides an important prognostic tool to clinicians for recovery. PMID:19343376

The importance, measurement and practical implications of worker's expectations for return to work.

Science.gov (United States)

Young, Amanda E; Besen, Elyssa; Choi, YoonSun

2015-01-01

Workers' own expectations for return to work consistently predict work status. To advance the understanding of the relationship between RTW expectations and outcomes, we reviewed existing measures to determine those which we felt were the most likely to capture the construct. A comprehensive search of the work-disability rehabilitation literature was undertaken. The review of the measures was conducted in three steps: first, a review of terminology; second, an examination of whether a time reference was included; third, an evaluation of ease of comprehension, and applicability across contexts. A total of 42 different measures were identified. One of the most striking findings was the inconsistency in terminology. Measures were also limited by not including a time reference. Problems were also identified with regards to ease of understanding, utility of response options, and applicability in a wide variety of research and applied settings. Most previously used measures contain elements that potentially limit utility. However, it would seem that further development can overcome these, resulting in a tool that provides risk prediction information, and an opportunity to start a conversation to help identify problems that might negatively impact a worker's movement through the RTW process and the outcomes achieved. Implications for Rehabilitation Return to work is an integral part of workplace injury management. The capture of RTW expectations affords a way to identify the potential for less than optimal RTW processes and outcomes. A mismatch between an injured worker's expectations and what other stakeholders might expect suggests that efforts could be made to determine what is causing the injured worker's concerns. Once underling issues are identified, work can be put into resolving these so that the worker's return to the workplace is not impeded.

Testing for time-varying loadings in dynamic factor models

DEFF Research Database (Denmark)

Mikkelsen, Jakob Guldbæk

Abstract: In this paper we develop a test for time-varying factor loadings in factor models. The test is simple to compute and is constructed from estimated factors and residuals using the principal components estimator. The hypothesis is tested by regressing the squared residuals on the squared...... there is evidence of time-varying loadings on the risk factors underlying portfolio returns for around 80% of the portfolios....

Habit formation, surplus consumption and return predictability

DEFF Research Database (Denmark)

Engsted, Tom; Hyde, Stuart; Vinther Møller, Stig

2010-01-01

On an international post World War II dataset, we use an iterated GMM procedure to estimate and test the Campbell and Cochrane (1999, By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, 205–251.) habit formation model with a time......-varying risk-free rate. In addition, we analyze the predictive power of the surplus consumption ratio for future stock and bond returns. We find that, although there are important cross-country differences and economically significant pricing errors, for the majority of countries in our sample the model gets...... significant information about future stock returns, also during the 1990s. In addition, in most countries the surplus consumption ratio is also a powerful predictor of future bond returns. Thus, the surplus consumption ratio captures time-varying expected returns in both stock and bond markets....

Does expecting mean achieving? The association between expecting to return to work and recovery in whiplash associated disorders: a population-based prospective cohort study

OpenAIRE

Ozegovic, Dejan; Carroll, Linda J.; David Cassidy, J.

2009-01-01

To determine the association between expectations to return to work and self-assessed recovery. Positive expectations predict better outcomes in many health conditions, but to date the relationship between expecting to return to work after traffic-related whiplash-associated disorders and actual recovery has not been reported. We assessed early expectations for return to work in a cohort of 2,335 individuals with traffic-related whiplash injury to the neck. Using multivariable Cox proportiona...

Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure

DEFF Research Database (Denmark)

Amado, Christina; Teräsvirta, Timo

multiplier type misspecification tests. Finite-sample properties of these procedures and tests are examined by simulation. An empirical application to daily stock returns and another one to daily exchange rate returns illustrate the functioning and properties of our modelling strategy in practice......In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either ad- ditive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change...... in the conditional and unconditional variances where the transition between regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on a sequence of Lagrange multiplier tests, and the adequacy of the estimated models is investigated by Lagrange...

Market Timing : A Decomposition of Mutual Fund Returns

NARCIS (Netherlands)

Swinkels, L.A.P.; van der Sluis, P.J.; Verbeek, M.J.C.M.

2003-01-01

We decompose the conditional expected mutual fund return in ve parts.Two parts, selectivity and expert market timing, can be attributed to manager skill, and three to variation in market exposure that can be achieved by private investors as well.The dynamic model that we use to estimate the relative

Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

DEFF Research Database (Denmark)

Nystrup, Peter; Madsen, Henrik; Lindström, Erik

2016-01-01

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time-varying behavior have not been thoroughly examined. This paper presents an adaptive...... to reproduce with a hidden Markov model. Capturing the time-varying behavior of the parameters also leads to improved one-step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations....

Computing return times or return periods with rare event algorithms

Science.gov (United States)

Lestang, Thibault; Ragone, Francesco; Bréhier, Charles-Edouard; Herbert, Corentin; Bouchet, Freddy

2018-04-01

The average time between two occurrences of the same event, referred to as its return time (or return period), is a useful statistical concept for practical applications. For instance insurances or public agencies may be interested by the return time of a 10 m flood of the Seine river in Paris. However, due to their scarcity, reliably estimating return times for rare events is very difficult using either observational data or direct numerical simulations. For rare events, an estimator for return times can be built from the extrema of the observable on trajectory blocks. Here, we show that this estimator can be improved to remain accurate for return times of the order of the block size. More importantly, we show that this approach can be generalised to estimate return times from numerical algorithms specifically designed to sample rare events. So far those algorithms often compute probabilities, rather than return times. The approach we propose provides a computationally extremely efficient way to estimate numerically the return times of rare events for a dynamical system, gaining several orders of magnitude of computational costs. We illustrate the method on two kinds of observables, instantaneous and time-averaged, using two different rare event algorithms, for a simple stochastic process, the Ornstein–Uhlenbeck process. As an example of realistic applications to complex systems, we finally discuss extreme values of the drag on an object in a turbulent flow.

What stock market returns to expect for the future?

Science.gov (United States)

Diamond, P A

2000-01-01

In evaluating proposals for reforming Social Security that involve stock investments, the Office of the Chief Actuary (OCACT) has generally used a 7.0 percent real return for stocks. The 1994-96 Advisory Council specified that OCACT should use that return in making its 75-year projections of investment-based reform proposals. The assumed ultimate real return on Treasury bonds of 3.0 percent implies a long-run equity premium of 4.0 percent. There are two equity-premium concepts: the realized equity premium, which is measured by the actual rates of return; and the required equity premium, which investors expect to receive for being willing to hold available stocks and bonds. Over the past two centuries, the realized premium was 3.5 percent on average, but 5.2 percent for 1926 to 1998. Some critics argue that the 7.0 percent projected stock returns are too high. They base their arguments on recent developments in the capital market, the current high value of the stock market, and the expectation of slower economic growth. Increased use of mutual funds and the decline in their costs suggest a lower required premium, as does the rising fraction of the American public investing in stocks. The size of the decrease is limited, however, because the largest cost savings do not apply to the very wealthy and to large institutional investors, who hold a much larger share of the stock market's total value than do new investors. These trends suggest a lower equity premium for projections than the 5.2 percent of the past 75 years. Also, a declining required premium is likely to imply a temporary increase in the realized premium because a rising willingness to hold stocks tends to increase their price. Therefore, it would be a mistake during a transition period to extrapolate what may be a temporarily high realized return. In the standard (Solow) economic growth model, an assumption of slower long-run growth lowers the marginal product of capital if the savings rate is constant

Expectancies Mediate the Relations Among Pain Catastrophizing, Fear of Movement, and Return to Work Outcomes After Whiplash Injury.

Science.gov (United States)

Carriere, Junie S; Thibault, Pascal; Milioto, Maria; Sullivan, Michael J L

2015-12-01

Pain catastrophizing and fear of movement have been identified as key predictors of prolonged work disability after whiplash injury. However, little is known about the processes by which pain catastrophizing and fear of movement affect return to work. This study investigated the mediating role of expectancies on the relations between pain catastrophizing and return to work, and between fear of movement and return to work after whiplash injury. The study sample consisted of 154 individuals with whiplash injury who were enrolled in a multidisciplinary pain rehabilitation program. Participants completed measures of pain catastrophizing, fear of movement, and return-to-work expectancies after admission to a rehabilitation program. A follow-up telephone interview was used to assess work status 1 year after discharge. Consistent with previous research, analyses revealed that expectancies, pain catastrophizing, and fear of movement were significant predictors of return to work at 1-year follow-up. Regression analyses (bootstrapping) revealed that expectancies partially mediated the relation between catastrophizing and return to work. Expectancies completely mediated the relation between fear of movement and return to work. The significant predictive and mediating role of expectancies on return to work argues for the inclusion of expectancies as a specific target of intervention for individuals with whiplash injury. The findings suggest that expectancies might be part of the pathways by which pain catastrophizing and fear of movement affect return-to-work outcomes after whiplash injury. The findings argue for greater attention to return-to-work expectancies as a risk factor for problematic recovery outcomes as well as a target of intervention. Copyright © 2015 American Pain Society. Published by Elsevier Inc. All rights reserved.

Unemployment, Investment and Global Expected Returns: A Panel FAVAR Approach

OpenAIRE

Ron Smith; Gylfi Zoega

2005-01-01

We consider the hypothesis that a common factor, global expected returns, drives unemployment and investment in 21 OECD countries over the period 1960-2002. We investigate this hypothesis using a panel-factor augmented-vector autoregression (FAVAR). We first estimate the common factors of unemployment and investment by principal components and show that the first principal component of unemployment is almost identical to that of investment and that they both show the pattern one would expect ...

Estimating time-varying conditional correlations between stock and foreign exchange markets

Science.gov (United States)

Tastan, Hüseyin

2006-02-01

This study explores the dynamic interaction between stock market returns and changes in nominal exchange rates. Many financial variables are known to exhibit fat tails and autoregressive variance structure. It is well-known that unconditional covariance and correlation coefficients also vary significantly over time and multivariate generalized autoregressive model (MGARCH) is able to capture the time-varying variance-covariance matrix for stock market returns and changes in exchange rates. The model is applied to daily Euro-Dollar exchange rates and two stock market indexes from the US economy: Dow-Jones Industrial Average Index and S&P500 Index. The news impact surfaces are also drawn based on the model estimates to see the effects of idiosyncratic shocks in respective markets.

Expectancies mediate the relationship between perceived injustice and return to work following whiplash injury: A 1-year prospective study.

Science.gov (United States)

Carriere, J S; Thibault, P; Adams, H; Milioto, M; Ditto, B; Sullivan, M J L

2017-08-01

Emerging evidence suggests that perceived injustice is a risk factor for work disability in individuals with whiplash injury. At present, however, little is known about the processes by which perceived injustice impacts on return to work. The purpose of this study was to examine whether expectancies mediated the relationship between perceived injustice and return to work in patients with whiplash injury. One hundred and fifty-two individuals (81 men, 71 women) with a primary diagnosis of whiplash injury completed self-report measures of pain intensity, perceived injustice and return-to-work expectancies following admission to a rehabilitation programme. Work status was assessed 1 year after discharge. Consistent with previous research, high scores on a measure of perceived injustice were associated with prolonged work disability. Results indicated that high perceptions of injustice were associated with low return-to-work expectancies. Causal mediation analyses revealed that expectancies fully mediated the relationship between perceived injustice and return to work. The findings suggest that intervention techniques designed to target expectancies could improve return-to-work outcomes in patients with whiplash injury. Discussion addresses the processes by which expectancies might impact on return-to-work outcomes and the manner in which negative return-to-work expectancies might be modified through intervention. The study confirms that expectancies are the mechanism through which perceived injustice impacts return to work following whiplash injury. The findings suggest that interventions designed to specifically target return-to-work expectancies might improve rehabilitation outcomes in patients with whiplash injury. © 2017 European Pain Federation - EFIC®.

Specification and testing of Multiplicative Time-Varying GARCH models with applications

DEFF Research Database (Denmark)

Amado, Cristina; Teräsvirta, Timo

2017-01-01

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smooth...... is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns....

IMPLIKASI KOMPONEN LAPORAN ARUS KAS, LABA KOTOR, DAN SIZE PERUSAHAAN TERHADAP EXPECTED RETURN SAHAM

Directory of Open Access Journals (Sweden)

Totok Sasongko

2017-03-01

Full Text Available Expected return of an investment was the probabilit y rate dist ribut ion on invest -ment returns. Although investors (stockholders did not know exact ly what rate of returnthey would get , they had base on their decisions to invest . Work performance measurementused by stockholders in investment decisions were prof it and cash f low. Besides, investorsalso considered company f inancial characterist ic like company size. The main purpose of thisresearch was to analyze the implicat ion of informat ion cash f low statement , gross prof it ,company size toward expected stock return. Populat ion of this research was manufacturecompanies listed at Jakarta Stock Exchange. The sample was selected by purposive sampling.The analysis data used was a mult i linear regression. The result showed that simultaneously,cash f low component , gross prof it and company size had signif icant ef fect to stock expectedreturns. But part ially, the cash f low f rom operat ion and f inancing didn’t have signif icantef fect to stock expected returns.

Social Support, Unfulfilled Expectations, and Affective Well-Being on Return to Employment

Science.gov (United States)

Seiger, Christine P.; Wiese, Bettina S.

2011-01-01

We conducted a longitudinal study to investigate how social support from the partner is related to mothers' affective well-being during their return to employment after maternity leave and whether expectations of that support have an additional impact. We differentiated four forms of support and their respective expectation discrepancies:…

Accounting for Institutional Variation in Expected Returns to Higher Education

Science.gov (United States)

Dorius, Shawn F.; Tandberg, David A.; Cram, Bridgette

2017-01-01

This study leverages human capital theory to identify the correlates of expected returns on investment in higher education at the level of institutions. We leverage estimates of average ROI in post-secondary education among more than 400 baccalaureate degree conferring colleges and universities to understand the correlates of a relatively new…

Habit, Production, and the Cross-Section of Stock Returns

OpenAIRE

Chen, Andrew Y.

2014-01-01

Solutions to the equity premium puzzle should inform us about the cross-section of stock returns. An external habit model with heterogeneous firms reproduces numerous stylized facts about both the equity premium and the value premium. The equity premium is large, time-varying, and linked with consumption volatility. The cross-section of expected returns is log-linear in B/M, and the slope matches the data. The explanation for the value premium lies in the interaction between the cross-section...

Detecting The Expected Rate of Return Volatility of Financing Instruments of Indonesian Islamic Banking through GARCH Modeling (Generalized Autoregressive Conditional Heteroscedasticity

Directory of Open Access Journals (Sweden)

Nurul Huda

2015-04-01

Full Text Available Objective - Islamic banks are banks which its activities, both fund raising and funds distribution are on the basis of Islamic principles, namely buying and selling and profit sharing. Islamic banking is aimed at supporting the implementation of national development in order to improve justice, togetherness, and equitable distribution of welfare. In pursuit of supporting the implementation of national development, Islamic banking often faced stability problems of financing instruments being operated. In this case, it is measured by the gap between the actual rate of return and the expected rate of return. The individual actual RoR of this instrument will generate an expected rate of return. This raises the gap or difference between the actual rate of return and the expected rate of return of individual instruments, which in this case is called the abnormal rate of return. The stability of abnormal rate of return of individual instruments is certainly influenced by the stability of the expected rate of return. Expected rate of return has a volatility or fluctuation levels for each financing instrument. It is also a key element or material basis for the establishment of a variance of individual instruments. Variance in this case indicates the level of uncertainty of the rate of return. Individual variance is the origin of the instrument base for variance in the portfolio finance that further a portfolio analysis. So, this paper is going to analyze the level of expected RoR volatility as an initial step to see and predict the stability of the fluctuations in the rate of return of Indonesian Islamic financing instruments.Methods – Probability of Occurence, Expected Rate of Return (RoR and GARCH (Generalized Autoregressive Conditional Heteroscedasticity.Results - The expected RoR volatility of the murabaha and istishna financing instruments tend to be more volatile than expected RoR volatility of musharaka and qardh financing instruments

Weibo sentiments and stock return: A time-frequency view.

Science.gov (United States)

Xu, Yingying; Liu, Zhixin; Zhao, Jichang; Su, Chiwei

2017-01-01

This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive), detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market.

Weibo sentiments and stock return: A time-frequency view.

Directory of Open Access Journals (Sweden)

Yingying Xu

Full Text Available This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive, detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market.

Weibo sentiments and stock return: A time-frequency view

Science.gov (United States)

Liu, Zhixin; Zhao, Jichang; Su, Chiwei

2017-01-01

This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter’s variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive), detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market. PMID:28672026

Frequency variations of gravity waves interacting with a time-varying tide

Energy Technology Data Exchange (ETDEWEB)

Huang, C.M.; Zhang, S.D.; Yi, F.; Huang, K.M.; Gan, Q.; Gong, Y. [Wuhan Univ., Hubei (China). School of Electronic Information; Ministry of Education, Wuhan, Hubei (China). Key Lab. of Geospace Environment and Geodesy; State Observatory for Atmospheric Remote Sensing, Wuhan, Hubei (China); Zhang, Y.H. [Nanjing Univ. of Information Science and Technology (China). College of Hydrometeorolgy

2013-11-01

Using a nonlinear, 2-D time-dependent numerical model, we simulate the propagation of gravity waves (GWs) in a time-varying tide. Our simulations show that when aGW packet propagates in a time-varying tidal-wind environment, not only its intrinsic frequency but also its ground-based frequency would change significantly. The tidal horizontal-wind acceleration dominates the GW frequency variation. Positive (negative) accelerations induce frequency increases (decreases) with time. More interestingly, tidal-wind acceleration near the critical layers always causes the GW frequency to increase, which may partially explain the observations that high-frequency GW components are more dominant in the middle and upper atmosphere than in the lower atmosphere. The combination of the increased ground-based frequency of propagating GWs in a time-varying tidal-wind field and the transient nature of the critical layer induced by a time-varying tidal zonal wind creates favorable conditions for GWs to penetrate their originally expected critical layers. Consequently, GWs have an impact on the background atmosphere at much higher altitudes than expected, which indicates that the dynamical effects of tidal-GW interactions are more complicated than usually taken into account by GW parameterizations in global models.

Time-bound product returns and optimal order quantities for mass merchandisers

Science.gov (United States)

Yu, Min-Chun; Goh, Mark

2012-01-01

The return guidelines for a mass merchandiser usually entail a grace period, a markdown on the original price and the condition of the returned items. This research utilises eight scenarios formed from the variation of possible return guidelines to model the cost functions of single-product categories for a typical mass merchandiser. Models for the eight scenarios are developed and solved with the objective of maximising the expected profit so as to obtain closed form solutions for the associated optimal order quantity. An illustrative example and sensitivity analysis are provided to demonstrate the applicability of the model. Our results show that merchandisers who allow for returns within a time window, albeit with a penalty cost imposed and the returned products being recoverable, should plan for larger order amounts as such products do not affect the business. Similarly, the merchandisers who allow for returns beyond a grace period and without any penalty charges, but where the returned products are irrecoverable, should manage their stocks in this category more judiciously by ordering as little as possible so as to limit the number of returns and carefully consider the effects of their customer satisfaction-guaranteed policies, if any.

Association between illness perceptions and return-to-work expectations in workers with common mental health symptoms.

Science.gov (United States)

Løvvik, Camilla; Øverland, Simon; Hysing, Mari; Broadbent, Elizabeth; Reme, Silje E

2014-03-01

Mental health symptoms (MHSs) may affect people's work capacity and lead to sickness absence and disability. Expectations and perceptions of illness have been shown to influence return to work (RTW) across health conditions, but we know little about illness perceptions and RTW-expectations in MHSs. The aim of this study was to investigate the association between illness perceptions and RTW-expectations in a group struggling with work participation due to MHSs. Cross-sectional associations between illness perceptions and return to work expectations at baseline were analyzed for 1,193 participants who reported that MHSs affected their work participation. The study was part of a randomized controlled trial evaluating the effect of job focused Cognitive Behavioral Therapy (CBT) combined with supported employment (IPS). Participants were from a working age population with diverse job status. There was a strong and salient relationship between illness perceptions and RTW-expectations. When adjusting for demographic and clinical variables, the components consequences, personal control, identity and illness concern remained significantly associated with uncertain and negative RTW-expectations. Less illness understanding remained significantly associated with uncertain RTW-expectations, while timeline and emotional representations remained significantly associated with negative RTW-expectations. In the fully adjusted model only the consequences component (believing that illness has more severe consequences) remained significantly associated with RTW-expectations. Openly asked, participants reported work, personal relationships and stress as main causes of their illness. In people with MHSs who struggle with work participation, perceptions and beliefs about their problems are strongly associated with their expectations to return to work.

Siting Samplers to Minimize Expected Time to Detection

Energy Technology Data Exchange (ETDEWEB)

Walter, Travis; Lorenzetti, David M.; Sohn, Michael D.

2012-05-02

We present a probabilistic approach to designing an indoor sampler network for detecting an accidental or intentional chemical or biological release, and demonstrate it for a real building. In an earlier paper, Sohn and Lorenzetti(1) developed a proof of concept algorithm that assumed samplers could return measurements only slowly (on the order of hours). This led to optimal detect to treat architectures, which maximize the probability of detecting a release. This paper develops a more general approach, and applies it to samplers that can return measurements relatively quickly (in minutes). This leads to optimal detect to warn architectures, which minimize the expected time to detection. Using a model of a real, large, commercial building, we demonstrate the approach by optimizing networks against uncertain release locations, source terms, and sampler characteristics. Finally, we speculate on rules of thumb for general sampler placement.

Tail Risk Premia and Return Predictability

DEFF Research Database (Denmark)

Bollerslev, Tim; Todorov, Viktor; Xu, Lai

The variance risk premium, defined as the difference between actual and risk-neutralized expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may be attribu......The variance risk premium, defined as the difference between actual and risk-neutralized expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may......-varying economic uncertainty and changes in risk aversion, or market fears, respectively....

STUDY LINKS SOLVING THE MAXIMUM TASK OF LINEAR CONVOLUTION «EXPECTED RETURNS-VARIANCE» AND THE MINIMUM VARIANCE WITH RESTRICTIONS ON RETURNS

Directory of Open Access Journals (Sweden)

Maria S. Prokhorova

2014-01-01

Full Text Available The article deals with a study of problemsof finding the optimal portfolio securitiesusing convolutions expectation of portfolioreturns and portfolio variance. Value of thecoefficient of risk, in which the problem ofmaximizing the variance - limited yieldis equivalent to maximizing a linear convolution of criteria for «expected returns-variance» is obtained. An automated method for finding the optimal portfolio, onthe basis of which the results of the studydemonstrated is proposed.

Models of expected returns on the brazilian market: Empirical tests using predictive methodology

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Adriano Mussa

2009-01-01

Full Text Available Predictive methodologies for test of the expected returns models are largely diffused on the international academic environment. However, these methods have not been used in Brazil in a systematic way. Generally, empirical studies proceeded with Brazilian stock market data are concentrated only in the first step of these methodologies. The purpose of this article was test and compare the models CAPM, 3-factors and 4-factors using a predictive methodology, considering two steps – temporal and cross-section regressions – with standard errors obtained by the techniques of Fama and Macbeth (1973. The results indicated the superiority of the 4-fators model as compared to the 3-fators model, and the superiority of the 3- factors model as compared to the CAPM, but no one of the tested models were enough on the explanation of the Brazilian stock returns. Contrary to some empirical evidences, that do not use predictive methodology, the size and momentum effect seem do not exist on the Brazilian capital markets, but there are evidences of the value effect and the relevance of the market for explanation of expected returns. These finds rise some questions, mainly caused by the originality of the methodology on the local market and by the fact that this subject is still incipient and polemic on the Brazilian academic environment.

Time-varying BRDFs.

Science.gov (United States)

Sun, Bo; Sunkavalli, Kalyan; Ramamoorthi, Ravi; Belhumeur, Peter N; Nayar, Shree K

2007-01-01

The properties of virtually all real-world materials change with time, causing their bidirectional reflectance distribution functions (BRDFs) to be time varying. However, none of the existing BRDF models and databases take time variation into consideration; they represent the appearance of a material at a single time instance. In this paper, we address the acquisition, analysis, modeling, and rendering of a wide range of time-varying BRDFs (TVBRDFs). We have developed an acquisition system that is capable of sampling a material's BRDF at multiple time instances, with each time sample acquired within 36 sec. We have used this acquisition system to measure the BRDFs of a wide range of time-varying phenomena, which include the drying of various types of paints (watercolor, spray, and oil), the drying of wet rough surfaces (cement, plaster, and fabrics), the accumulation of dusts (household and joint compound) on surfaces, and the melting of materials (chocolate). Analytic BRDF functions are fit to these measurements and the model parameters' variations with time are analyzed. Each category exhibits interesting and sometimes nonintuitive parameter trends. These parameter trends are then used to develop analytic TVBRDF models. The analytic TVBRDF models enable us to apply effects such as paint drying and dust accumulation to arbitrary surfaces and novel materials.

When Kahneman meets Manski: Using dual systems of reasoning to interpret subjective expectations of equity returns

OpenAIRE

Gouret , Fabian; Hollard , Guillaume

2011-01-01

International audience; To understand how decisions to invest in stocks are taken, economists need to elicit expectations relative to expected risk-return trade-off. One of the few surveys which have included such questions is the Survey of Economic Expectations in 1999-2001. Using this survey, Dominitz and Manski find an important heterogeneity across respondents that can hardly be accounted for by simple models of expectations formation. This paper claims that much of the heterogeneity deri...

Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns

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Singh Amanjot

2017-10-01

Full Text Available The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.

Chasing the deal with the money: Measuring the required risk premium and expected abnormal returns of private equity funds to maximize their internal rate of return

Directory of Open Access Journals (Sweden)

Fernando Scarpati

2013-09-01

Full Text Available A number of scholars of private equity (“PE” have attempted to assess the ex-post returns, or performance, of PEs by adopting an ex-post perspective of asset pricing. In doing so a set of phenomena has been recognized that is thought to be specific to the PE sector, such as “money-chasing deal phenomenon” (Gompers and Lerner, 2000 and “performance persistence” (Lerner and Schoar, 2005. However, based on their continuing use of an ex-post perspective, few scholars have paid attention to the possible extent to which these and other PE phenomena may affect expected returns from PE investments. To address this problem this article draws on an ex-ante perspective of investment decision-making in suggesting how a number of drivers and factors of PE phenomena may produce “abnormal returns”, and that each of those drivers and factors should therefore be considered in accurately assessing the required risk premium and expected abnormal returns of PE investments. In making these contributions we examined a private equity investment of a regional PE in Italy and administered a telephone questionnaire to 40 PEs in Italy and the UK and found principally that while size is the most important driver in producing abnormal returns illiquidity alone cannot explain the expected returns of PE investments (cf. Franzoni et al., 2012. Based on our findings we developed a predictive model of PE decision-making that draws on an ex-ante perspective of asset pricing and takes into account PE phenomena and abnormal returns. This model extends the work of Franzoni et al. (2012, Jegadeesh et al. (2009, and Korteweg and Sorensen (2010 who did not consider the possible influence of PE phenomena in decision-making and will also help PE managers in making better-informed decisions.

The Time-Varying Risk and Return Trade Off in Indian Stock Markets

OpenAIRE

Mohanty, Roshni; P, Srinivasan

2014-01-01

This paper investigates the relationship between stock market returns and volatility in the Indian stock markets using AR(1)-EGARCH(p, q)-in-Mean model. The study considers daily closing prices of two major indexes of Indian stock exchanges, viz., S&P CNX NIFTY and the BSE-SENSEX of National Stock Exchange (NSE) and Bombay Stock Exchange (BSE), respectively for the period from July 1, 1997 to December 31, 2013. The empirical results show positive but insignificant relationship between stock r...

The roles of the trading time risks on stock investment return and risks in stock price crashes

Science.gov (United States)

Li, Jiang-Cheng; Dong, Zhi-Wei; Yang, Guo-Hui; Long, Chao

2017-03-01

The roles of the trading time risks (TTRs) on stock investment return and risks are investigated in the condition of stock price crashes with Hushen300 data (CSI300) and Dow Jones Industrial Average (ˆDJI), respectively. In order to describe the TTR, we employ the escape time that the stock price drops from the maximum to minimum value in a data window length (DWL). After theoretical and empirical research on probability density function of return, the results in both ˆDJI and CSI300 indicate that: (i) As increasing DWL, the expectation of returns and its stability are weakened. (ii) An optimal TTR is related to a maximum return and minimum risk of stock investment in stock price crashes.

Time-varying Concurrent Risk of Extreme Droughts and Heatwaves in California

Science.gov (United States)

Sarhadi, A.; Diffenbaugh, N. S.; Ausin, M. C.

2016-12-01

Anthropogenic global warming has changed the nature and the risk of extreme climate phenomena such as droughts and heatwaves. The concurrent of these nature-changing climatic extremes may result in intensifying undesirable consequences in terms of human health and destructive effects in water resources. The present study assesses the risk of concurrent extreme droughts and heatwaves under dynamic nonstationary conditions arising from climate change in California. For doing so, a generalized fully Bayesian time-varying multivariate risk framework is proposed evolving through time under dynamic human-induced environment. In this methodology, an extreme, Bayesian, dynamic copula (Gumbel) is developed to model the time-varying dependence structure between the two different climate extremes. The time-varying extreme marginals are previously modeled using a Generalized Extreme Value (GEV) distribution. Bayesian Markov Chain Monte Carlo (MCMC) inference is integrated to estimate parameters of the nonstationary marginals and copula using a Gibbs sampling method. Modelled marginals and copula are then used to develop a fully Bayesian, time-varying joint return period concept for the estimation of concurrent risk. Here we argue that climate change has increased the chance of concurrent droughts and heatwaves over decades in California. It is also demonstrated that a time-varying multivariate perspective should be incorporated to assess realistic concurrent risk of the extremes for water resources planning and management in a changing climate in this area. The proposed generalized methodology can be applied for other stochastic nature-changing compound climate extremes that are under the influence of climate change.

Time-varying betas and Cross-Sectional Return-Risk Relation: Evidence from the UK

NARCIS (Netherlands)

Fraser, P; MacGregor, B.; Hoesli, M.; Hamelink, F.

2004-01-01

The seminal study by Fama and MacBeth in 1973 initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate as to whether beta is a valid measure of risk was reanimated by Fama and French and subsequent studies. Rather than focusing on exogenous variables

Conditional CAPM: Time-varying Betas in the Brazilian Market

Directory of Open Access Journals (Sweden)

Frances Fischberg Blank

2014-10-01

Full Text Available The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. This paper studies alternative models for portfolios sorted by size and book-to-market ratio in the Brazilian stock market and compares their adjustment to data. Asset pricing tests based on time-series and cross-sectional approaches are also implemented. A random walk process combined with conditioning variables is the preferred model, reducing pricing errors compared to unconditional CAPM, but the errors are still significant. Cross-sectional test show that book-to-market ratio becomes less relevant, but past returns still capture cross-section variation

Extrapolation bias and the predictability of stock returns by price-scaled variables

NARCIS (Netherlands)

Cassella, Stefano; Gulen, H.

Using survey data on expectations of future stock returns, we recursively estimate the degree of extrapolative weighting in investors' beliefs (DOX). In an extrapolation framework, DOX determines the relative weight investors place on recent-versus-distant past returns. DOX varies considerably over

Arthroscopic Shoulder Surgery in Female Professional Tennis Players: Ability and Timing to Return to Play.

Science.gov (United States)

Young, Simon W; Dakic, Jodie; Stroia, Kathleen; Nguyen, Michael L; Safran, Marc R

2017-07-01

To assess the outcome and time to return to previous level of competitive play after shoulder surgery in professional tennis players. Retrospective case series. Tertiary academic centre. The records of all female tennis players on the Women's Tennis Association (WTA) professional circuit between January 2008 and June 2010 were reviewed to identify players who underwent shoulder surgery on their dominant (serving) shoulder. Primary outcomes were the ability and time to return to professional play and if they were able to return to their previous level of function as determined by singles ranking. Preoperative and postoperative singles rankings were used to determine rate and completeness of return to preoperative function. During the study period, 8 professional women tennis players from the WTA tour underwent shoulder surgery on their dominant arm. Indications included rotator cuff debridement or repair, labral reconstruction for instability or superior labral anterior posterior lesion, and neurolysis of the suprascapular nerve. Seven players (88%) returned to professional play. The mean time to return to play was 7 months after surgery. However, only 25% (2 of 8) players achieved their preinjury singles rank or better by 18 months postoperatively. In total, 4 players returned to their preinjury singles ranking, with their peak singles ranking being attained at a mean of 2.4 years postoperatively. In professional female tennis players, a high return to play rate after arthroscopic shoulder surgery is associated with a prolonged and often incomplete return to previous level of performance. Thus, counseling the patient to this fact is important to manage expectations. Level IV-Case Series.

PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013

Directory of Open Access Journals (Sweden)

VIAN RISKA AYUNING TYAS

2014-01-01

Full Text Available The Arbitrage Pricing Theory (APT is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB, and theinterest rateof Bank Indonesia(SBI are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%

PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013

Directory of Open Access Journals (Sweden)

VIAN RISKA AYUNING TYAS

2014-08-01

Full Text Available The Arbitrage Pricing Theory (APT is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB, and theinterest rateof Bank Indonesia(SBI are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%

76 FR 36996 - Extension of Time for Filing Returns

Science.gov (United States)

2011-06-24

... less time to complete accurate income tax returns and to provide timely information to the trust's... either chapter 7 or chapter 11 of Title 11 of the U.S. Code that is required to file an income tax return... estate or trust income tax return or failure to pay the amount shown as tax on the return. (g) Effective...

Return to sports participation after articular cartilage repair in the knee: scientific evidence.

Science.gov (United States)

Mithoefer, Kai; Hambly, Karen; Della Villa, Stefano; Silvers, Holly; Mandelbaum, Bert R

2009-11-01

Articular cartilage injury in the athlete's knee presents a difficult clinical challenge. Despite the importance of returning injured athletes to sports, information is limited on whether full sports participation can be successfully achieved after articular cartilage repair in the knee. Systematic analysis of athletic participation after articular cartilage repair will demonstrate the efficacy of joint surface restoration in high-demand patients and help to optimize outcomes in athletes with articular cartilage injury of the knee. Systematic review. A comprehensive literature review of original studies was performed to provide information about athletic participation after articular cartilage repair. The athlete's ability to perform sports postoperatively was assessed by activity outcome scores, rate of return to sport, timing of the return, level of postoperative sports participation, and the continuation of athletic activity over time. Twenty studies describing 1363 patients were included in the review, with an average follow-up of 42 months. Return to sports was possible in 73% overall, with highest return rates after osteochondral autograft transplantation. Time to return to sports varied between 7 and 18 months, depending on the cartilage repair technique. Initial return to sports at the preinjury level was possible in 68% and did not significantly vary between surgical techniques. Continued sports participation at the preinjury level was possible in 65%, with the best durability after autologous chondrocyte transplantation. Several factors affected the ability to return to sport: athlete's age, preoperative duration of symptoms, level of play, lesion size, and repair tissue morphology. Articular cartilage repair in the athletic population allows for a high rate of return to sports, often at the preinjury level. Return to sports participation is influenced by several independent factors. The findings provide pertinent information that is helpful for the

The Cross-Section of Expected Stock Returns.

OpenAIRE

Fama, Eugene F; French, Kenneth R

1992-01-01

Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market "beta", size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in "beta" that is unrelated to size, t he relation between market "beta" and average return is flat, even when "beta" is the only explanatory variable. Copyright 1992 by American Finance Association.

Holographic cinematography of time-varying reflecting and time-varying phase objects using a Nd:YAG laser

Science.gov (United States)

Decker, A. J.

1982-01-01

The use of a Nd:YAG laser to record holographic motion pictures of time-varying reflecting objects and time-varying phase objects is discussed. Sample frames from both types of holographic motion pictures are presented. The holographic system discussed is intended for three-dimensional flow visualization of the time-varying flows that occur in jet-engine components.

An Exploration of the Factors Considered When Forming Expectations for Returning to Work following Sickness Absence Due to a Musculoskeletal Condition.

Directory of Open Access Journals (Sweden)

Amanda E Young

Full Text Available Workers' own expectations for returning to work following a period of sickness absence have been found to be one of the best predictors of future work status; however, there is a limited understanding of why people expect what they do. The current study was undertaken with the aim of determining what people take into consideration when forming their expectations for returning to work.Thirty-four people (8 women, 26 men, who were off work due to a musculoskeletal condition, participated in one of 14 focus groups. Participants were aged 25 to 65 (M = 45, SD = 12.6, and all had been out of work for 3 months or less.All participants reported expecting to return to work, with the most common timeframe being approximately 30 days (Range = 1 day-12 months. When explaining what they thought about when forming their expectations, participants referenced numerous considerations. Much of what was spoken about could be compartmentalized to reflect features of themselves, their condition, or their broader environmental contexts. Participant's subjective experience of these features influenced his or her expectations. Prominent themes included concerns about employability, a desire to get back to normal, no job to go back to, mixed emotions, re-injury concerns, the judgments of workplace stakeholders, being needed by their employer, waiting for input, until the money runs out, and working out what was in their best interest.Indications are that many of the reported considerations are amenable to intervention, suggesting opportunities to assist workers in the process of returning to work.

Some properties of zero power neutron noise in a time-varying medium with delayed neutrons

International Nuclear Information System (INIS)

Kitamura, Y.; Pal, L.; Pazsit, I.; Yamamoto, A.; Yamane, Y.

2008-01-01

The temporal evolution of the distribution of the number of neutrons in a time-varying multiplying system, producing only prompt neutrons, was treated recently with the master equation technique by some of the present authors. Such a treatment gives account of both the so-called zero power reactor noise and the power reactor noise simultaneously. In particular, the first two moments of the neutron number, as well as the concept of criticality for time-varying systems, were investigated and discussed. The present paper extends these investigations to the case when delayed neutrons are also taken into account. Due to the complexity of the description, only the expectation of the neutron number is calculated. The concept of criticality of a time-varying system is also generalized to systems with delayed neutrons. The temporal behaviour of the expectation of the number of neutrons and its asymptotic properties are displayed and discussed

The extinction probability in systems randomly varying in time

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Imre Pázsit

2017-09-01

Full Text Available The extinction probability of a branching process (a neutron chain in a multiplying medium is calculated for a system randomly varying in time. The evolution of the first two moments of such a process was calculated previously by the authors in a system randomly shifting between two states of different multiplication properties. The same model is used here for the investigation of the extinction probability. It is seen that the determination of the extinction probability is significantly more complicated than that of the moments, and it can only be achieved by pure numerical methods. The numerical results indicate that for systems fluctuating between two subcritical or two supercritical states, the extinction probability behaves as expected, but for systems fluctuating between a supercritical and a subcritical state, there is a crucial and unexpected deviation from the predicted behaviour. The results bear some significance not only for neutron chains in a multiplying medium, but also for the evolution of biological populations in a time-varying environment.

The VIX, the Variance Premium, and Expected Returns

DEFF Research Database (Denmark)

Osterrieder, Daniela Maria; Ventosa-Santaulària, Daniel; Vera-Valdés, Eduardo

2018-01-01

. These problems are eliminated if risk is captured by the variance premium (VP) instead; it is unobservable, however. We propose a 2SLS estimator that produces consistent estimates without observing the VP. Using this method, we find a positive risk–return trade-off and long-run return predictability. Our...

Distributed Time-Varying Formation Robust Tracking for General Linear Multiagent Systems With Parameter Uncertainties and External Disturbances.

Science.gov (United States)

Hua, Yongzhao; Dong, Xiwang; Li, Qingdong; Ren, Zhang

2017-05-18

This paper investigates the time-varying formation robust tracking problems for high-order linear multiagent systems with a leader of unknown control input in the presence of heterogeneous parameter uncertainties and external disturbances. The followers need to accomplish an expected time-varying formation in the state space and track the state trajectory produced by the leader simultaneously. First, a time-varying formation robust tracking protocol with a totally distributed form is proposed utilizing the neighborhood state information. With the adaptive updating mechanism, neither any global knowledge about the communication topology nor the upper bounds of the parameter uncertainties, external disturbances and leader's unknown input are required in the proposed protocol. Then, in order to determine the control parameters, an algorithm with four steps is presented, where feasible conditions for the followers to accomplish the expected time-varying formation tracking are provided. Furthermore, based on the Lyapunov-like analysis theory, it is proved that the formation tracking error can converge to zero asymptotically. Finally, the effectiveness of the theoretical results is verified by simulation examples.

Zhang neural network for online solution of time-varying convex quadratic program subject to time-varying linear-equality constraints

International Nuclear Information System (INIS)

Zhang Yunong; Li Zhan

2009-01-01

In this Letter, by following Zhang et al.'s method, a recurrent neural network (termed as Zhang neural network, ZNN) is developed and analyzed for solving online the time-varying convex quadratic-programming problem subject to time-varying linear-equality constraints. Different from conventional gradient-based neural networks (GNN), such a ZNN model makes full use of the time-derivative information of time-varying coefficient. The resultant ZNN model is theoretically proved to have global exponential convergence to the time-varying theoretical optimal solution of the investigated time-varying convex quadratic program. Computer-simulation results further substantiate the effectiveness, efficiency and novelty of such ZNN model and method.

Donation return time at fixed and mobile donation sites

Science.gov (United States)

Carey, Patricia M.; High, Patrick M.; Schlumpf, Karen S.; Johnson, Bryce R.; Mast, Alan E.; Rios, Jorge A.; Simon, Toby L.; Wilkinson, Susan L.

2013-01-01

BACKGROUND This study investigated the effect of blood donation environment, fixed or mobile with differing sponsor types, on donation return time. STUDY DESIGN AND METHODS Data from 2006 through 2009 at six US blood centers participating in the Retrovirus Epidemiology Donor Study-II (REDS-II) were used for analysis. Descriptive statistics stratified by whole blood (WB), plateletpheresis (PP), and double red blood cell (R2) donations were obtained for fixed and mobile locations, including median number of donations and median interdonation interval. A survival analysis estimated median return time at fixed and mobile sites, while controlling for censored return times, demographics, blood center, and mandatory recovery times. RESULTS Two-thirds (67.9%) of WB donations were made at mobile sites, 97.4% of PP donations were made at fixed sites, and R2 donations were equally distributed between fixed and mobile locations. For donations at fixed sites only or alternating between fixed and mobile sites, the highest median numbers of donations were nine and eight, respectively, and the shortest model-adjusted median return times (controlling for mandatory eligibility times of 56 and 112 days) were 36 and 30 days for WB and R2 donations, respectively. For PP donations, the shortest model-adjusted median return time was 23 days at a fixed location and the longest was 693 days at community locations. CONCLUSION WB, PP, and R2 donors with the shortest time between donations were associated with fixed locations and those alternating between fixed and mobile locations, even after controlling for differing mandatory recovery times for the different blood donation procedures. PMID:21745215

Slow return of displaced Southern Sudanese

Directory of Open Access Journals (Sweden)

Tim Morris

2007-07-01

Full Text Available The pace of repatriation of Sudanese refugees and return of IDP s to South Sudan has picked up but expectations at the time of the signing of the Comprehensive Peace Agreement (CPA CPA in January 2005 have yet to be realised. With all eyes on Darfur, assistance to sustain returns to South Sudan remains inadequate.

Time-varying Crash Risk

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae

We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on re...

The estimation of time-varying risks in asset pricing modelling using B-Spline method

Science.gov (United States)

Nurjannah; Solimun; Rinaldo, Adji

2017-12-01

Asset pricing modelling has been extensively studied in the past few decades to explore the risk-return relationship. The asset pricing literature typically assumed a static risk-return relationship. However, several studies found few anomalies in the asset pricing modelling which captured the presence of the risk instability. The dynamic model is proposed to offer a better model. The main problem highlighted in the dynamic model literature is that the set of conditioning information is unobservable and therefore some assumptions have to be made. Hence, the estimation requires additional assumptions about the dynamics of risk. To overcome this problem, the nonparametric estimators can also be used as an alternative for estimating risk. The flexibility of the nonparametric setting avoids the problem of misspecification derived from selecting a functional form. This paper investigates the estimation of time-varying asset pricing model using B-Spline, as one of nonparametric approach. The advantages of spline method is its computational speed and simplicity, as well as the clarity of controlling curvature directly. The three popular asset pricing models will be investigated namely CAPM (Capital Asset Pricing Model), Fama-French 3-factors model and Carhart 4-factors model. The results suggest that the estimated risks are time-varying and not stable overtime which confirms the risk instability anomaly. The results is more pronounced in Carhart’s 4-factors model.

Multivariate Risk-Return Decision Making Within Dynamic Estimation

Directory of Open Access Journals (Sweden)

Josip Arnerić

2008-10-01

Full Text Available Risk management in this paper is focused on multivariate risk-return decision making assuming time-varying estimation. Empirical research in risk management showed that the static "mean-variance" methodology in portfolio optimization is very restrictive with unrealistic assumptions. The objective of this paper is estimation of time-varying portfolio stocks weights by constraints on risk measure. Hence, risk measure dynamic estimation is used in risk controlling. By risk control manager makes free supplementary capital for new investments.Univariate modeling approach is not appropriate, even when portfolio returns are treated as one variable. Portfolio weights are time-varying, and therefore it is necessary to reestimate whole model over time. Using assumption of bivariate Student´s t-distribution, in multivariate GARCH(p,q models, it becomes possible to forecast time-varying portfolio risk much more precisely. The complete procedure of analysis is established from Zagreb Stock Exchange using daily observations of Pliva and Podravka stocks.

Return models and dynamic asset allocation strategies

OpenAIRE

Shi, Wyanet Wen

2017-01-01

This thesis studies the design of optimal investment strategies. A strategy is considered optimal when it minimizes the variance of terminal portfolio wealth for a given level of expected terminal portfolio wealth, or equivalently, maximizes an investor's utility. We study this issue in two particular situations: when asset returns follow a continuous-time path-independent process, and when they follow a discrete-time path-dependent process. Continuous-time path-independent return mode...

Multivariate Option Pricing with Time Varying Volatility and Correlations

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars Peter

In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...... neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the assumed underlying distribution and dynamics, and it nests several important special cases. We provide an application...... to options on the minimum of two indices. Our results show that not only is correlation important for these options but so is allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an important premium, and when this is neglected option...

Global economic growth and expected returns around the world: The end-of-the-year effect

DEFF Research Database (Denmark)

Møller, Stig Vinther; Rangvid, Jesper

2017-01-01

Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic growth at other times of the year does not predict international returns. Low growth...

SECTORAL RISK AND RETURN FOR COMPANIES IN ROMANIA

Directory of Open Access Journals (Sweden)

Anis Cecilia

2012-12-01

Full Text Available probability that cash flows or return will vary from expectations. Standard corporate finance theory supposes that a company chooses a capital structure that maximizes company value. A fundamental idea in finance is the relationship between risk and return. The greater the amount of risk that an investor is willing to take on, the greater the potential return. The reason for this is that investors need to be compensated for taking on additional risk. Why put capital at significant risk for a return that is no higher than the return on government bonds? Or expect higher than averages returns from low-risk activities? It is impossible to separate measuring the performance of a company from the risks that the management takes to achieve it.In most aspects of company operations, risk assessment plays a different but equally important, role. It is an integral part of informed decision taking in achieving performance. Risk assessment is involved from the highest level in strategic choices about what activities to undertake, what assets to buy or what markets to serve all the way to detailed operational decisions about whether to accept payment in foreign currencies and the adequacy of safety measures in the workplace. It plays a part whether or not an organization is aware of managing risk and many managers feel that their instinct and judgment are enough – a behavior risk. The danger is that this leaves company risk unplanned and unmanaged. This paper proposes a framework where we realized a study cases: we test if return on assets and return on equity has influence on the risk, both on long and short term. For this purposes, we conduct an empirical research that covers 59 selected companies traded at the Bucharest Stock Exchange within the time period 1999-2010. For this study our results reveal that dynamic global risk can be associated to a low intensity with total assets performance of the company’s. Investments efficiency and the

Expected Stock Returns and Variance Risk Premia

DEFF Research Database (Denmark)

Bollerslev, Tim; Tauchen, George; Zhou, Hao

constructed from high-frequency intraday, as opposed to daily, data. The magnitude of the predictability is particularly strong at the intermediate quarterly return horizon, where it dominates that afforded by other popular predictor variables, like the P/E ratio, the default spread, and the consumption...

Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

DEFF Research Database (Denmark)

Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas

2013-01-01

as well as aggregate macroeconomic uncertainty at the level of individual forecasters. We find that expected term premia are (i) time-varying and reasonably persistent, (ii) strongly related to expectations about future output growth, and (iii) positively affected by uncertainty about future output growth...... and in ation rates. Expectations about real macroeconomic variables seem to matter more than expectations about nominal factors. Additional findings on term structure factors suggest that the level and slope factor capture information related to uncertainty about real and nominal macroeconomic prospects...

26 CFR 301.6075-1 - Time for filing estate and gift tax returns.

Science.gov (United States)

2010-04-01

... 26 Internal Revenue 18 2010-04-01 2010-04-01 false Time for filing estate and gift tax returns... Records § 301.6075-1 Time for filing estate and gift tax returns. For provisions relating to time for filing estate tax returns and gift tax returns, see § 20.6075-1 of this chapter (Estate Tax Regulations...

Volatility smile and stochastic arbitrage returns

OpenAIRE

Sergei Fedotov; Stephanos Panayides

2004-01-01

The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random...

Oil Volatility Risk and Expected Stock Returns

DEFF Research Database (Denmark)

Christoffersen, Peter; Pan, Xuhui (Nick)

return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

Expected Stock Returns and Variance Risk Premia

DEFF Research Database (Denmark)

Bollerslev, Tim; Zhou, Hao

risk premium with the P/E ratio results in an R2 for the quarterly returns of more than twenty-five percent. The results depend crucially on the use of "model-free", as opposed to standard Black-Scholes, implied variances, and realized variances constructed from high-frequency intraday, as opposed...

The time-varying role of the family in student time use and achievement

Directory of Open Access Journals (Sweden)

Marie C. Hull

2017-10-01

Full Text Available Abstract In this paper, I use a unique dataset linking administrative school data with birth records to quantify the importance of time-varying family factors for child achievement and time use. Specifically, I take a model of academic achievement commonly used in the test score literature, and I augment it to include a family-year effect. Identification comes from the large number of sibling pairs observed in the same year. While prior literature has focused on specific shocks, such as job loss, I capture the full set of innovations that are shared across siblings in a given year. The distributions of fixed effects reveal that annual family innovations, relative to what was expected based on the previous year, are more important than teacher assignment for student achievement and also play a substantial role in the time students spend on homework, free reading, and television. JEL Classification I21, J13, J24

Design of 2D time-varying vector fields.

Science.gov (United States)

Chen, Guoning; Kwatra, Vivek; Wei, Li-Yi; Hansen, Charles D; Zhang, Eugene

2012-10-01

Design of time-varying vector fields, i.e., vector fields that can change over time, has a wide variety of important applications in computer graphics. Existing vector field design techniques do not address time-varying vector fields. In this paper, we present a framework for the design of time-varying vector fields, both for planar domains as well as manifold surfaces. Our system supports the creation and modification of various time-varying vector fields with desired spatial and temporal characteristics through several design metaphors, including streamlines, pathlines, singularity paths, and bifurcations. These design metaphors are integrated into an element-based design to generate the time-varying vector fields via a sequence of basis field summations or spatial constrained optimizations at the sampled times. The key-frame design and field deformation are also introduced to support other user design scenarios. Accordingly, a spatial-temporal constrained optimization and the time-varying transformation are employed to generate the desired fields for these two design scenarios, respectively. We apply the time-varying vector fields generated using our design system to a number of important computer graphics applications that require controllable dynamic effects, such as evolving surface appearance, dynamic scene design, steerable crowd movement, and painterly animation. Many of these are difficult or impossible to achieve via prior simulation-based methods. In these applications, the time-varying vector fields have been applied as either orientation fields or advection fields to control the instantaneous appearance or evolving trajectories of the dynamic effects.

Utility allowed returns and market extremes

International Nuclear Information System (INIS)

Murry, D.A.; Nan, G.D.; Harrington, B.M.

1993-01-01

In recent years interest rates have fluctuated from exceptionally high levels in the early 1980s to their current levels, the lowest in two decades. Observers and analysts generally have assumed that allowed returns by regulatory commissions follow the movement of interest rates; indeed some analysts use a risk premium method to estimate the cost of common equity, assuming a constant and linear relationship between interest rates and the cost of common equity. That suggests we could expect a relatively stable relationship between interest rates and allowed returns, as well. However, a simple comparison of allowed returns and interest rates shows that this is not the case in recent years. The relationship between market interest rates and the returns allowed by commissions varies and is obviously a great deal more complicated. Empirically, there appears to be only a narrow range where market interest rates significantly affect the allowed returns on common stock set by state commissions, at least for electric and combination utilities. If rates are at historically low levels, allowed returns based largely on market rates will hasten subsequent rate filings, and commissions appear to look beyond the low rate levels. Conversely, it appears that regulators do not let historically high market rates determine allowed returns either. At either high or low interest levels, caution seems to be the policy

Design of 2D Time-Varying Vector Fields

KAUST Repository

Chen, Guoning

2012-10-01

Design of time-varying vector fields, i.e., vector fields that can change over time, has a wide variety of important applications in computer graphics. Existing vector field design techniques do not address time-varying vector fields. In this paper, we present a framework for the design of time-varying vector fields, both for planar domains as well as manifold surfaces. Our system supports the creation and modification of various time-varying vector fields with desired spatial and temporal characteristics through several design metaphors, including streamlines, pathlines, singularity paths, and bifurcations. These design metaphors are integrated into an element-based design to generate the time-varying vector fields via a sequence of basis field summations or spatial constrained optimizations at the sampled times. The key-frame design and field deformation are also introduced to support other user design scenarios. Accordingly, a spatial-temporal constrained optimization and the time-varying transformation are employed to generate the desired fields for these two design scenarios, respectively. We apply the time-varying vector fields generated using our design system to a number of important computer graphics applications that require controllable dynamic effects, such as evolving surface appearance, dynamic scene design, steerable crowd movement, and painterly animation. Many of these are difficult or impossible to achieve via prior simulation-based methods. In these applications, the time-varying vector fields have been applied as either orientation fields or advection fields to control the instantaneous appearance or evolving trajectories of the dynamic effects. © 1995-2012 IEEE.

Design of 2D Time-Varying Vector Fields

KAUST Repository

Chen, Guoning; Kwatra, Vivek; Wei, Li-Yi; Hansen, Charles D.; Zhang, Eugene

2012-01-01

Design of time-varying vector fields, i.e., vector fields that can change over time, has a wide variety of important applications in computer graphics. Existing vector field design techniques do not address time-varying vector fields. In this paper, we present a framework for the design of time-varying vector fields, both for planar domains as well as manifold surfaces. Our system supports the creation and modification of various time-varying vector fields with desired spatial and temporal characteristics through several design metaphors, including streamlines, pathlines, singularity paths, and bifurcations. These design metaphors are integrated into an element-based design to generate the time-varying vector fields via a sequence of basis field summations or spatial constrained optimizations at the sampled times. The key-frame design and field deformation are also introduced to support other user design scenarios. Accordingly, a spatial-temporal constrained optimization and the time-varying transformation are employed to generate the desired fields for these two design scenarios, respectively. We apply the time-varying vector fields generated using our design system to a number of important computer graphics applications that require controllable dynamic effects, such as evolving surface appearance, dynamic scene design, steerable crowd movement, and painterly animation. Many of these are difficult or impossible to achieve via prior simulation-based methods. In these applications, the time-varying vector fields have been applied as either orientation fields or advection fields to control the instantaneous appearance or evolving trajectories of the dynamic effects. © 1995-2012 IEEE.

Psychosocial job conditions, fear avoidance beliefs and expected return to work following acute coronary syndrome: a cross-sectional study of fear-avoidance as a potential mediator.

Science.gov (United States)

Söderberg, Mia; Rosengren, Annika; Gustavsson, Sara; Schiöler, Linus; Härenstam, Annika; Torén, Kjell

2015-12-21

Despite improvements in treatment, acute coronary syndrome remains a substantial cause for prolonged sick absences and premature retirement. Knowledge regarding what benefits return to work is limited, especially the effect of psychological processes and psychosocial work factors. The purposes of this cross-sectional study were two-fold: to examine associations between adverse psychosocial job conditions and fear-avoidance beliefs towards work, and to determine whether such beliefs mediated the relationship between work conditions and expected return to work in acute coronary syndrome survivors. Study inclusion criteria: acute myocardial infarction or unstable angina diagnosis, below 65 years of age, being a resident in the West county of Sweden and currently working. In all, 509 individuals (21.8 % women) accepted study participation and for whom all data of study interest were available for analysis. Psychosocial work variables; job demand-control and effort-reward imbalance, were assessed with standard questionnaire batteries. Linear regression models were used to investigate relationships between psychosocial factors and fear-avoidance, and to evaluate mediator effects for fear-avoidance. Both total sample and gender stratified analyses were calculated. Fear-avoidance beliefs about work were associated to psychosocial job environments characterized by high strain (β 1.4; CI 1.2-1.6), active and passive work and high effort-reward imbalance (β 0.6; CI 0.5-0.7). Further, such beliefs also mediated the relationship between adverse work conditions and expected time for return to work. However, these results were only observed in total sample analyses or among or male participants. For women only high strain was linked to fear-avoidance, and these relationships became non-significant when entering chosen confounders. This cross-sectional study showed that acute coronary syndrome survivors, who laboured under adverse psychosocial work conditions, held fear

Global Stability of Polytopic Linear Time-Varying Dynamic Systems under Time-Varying Point Delays and Impulsive Controls

Directory of Open Access Journals (Sweden)

M. de la Sen

2010-01-01

Full Text Available This paper investigates the stability properties of a class of dynamic linear systems possessing several linear time-invariant parameterizations (or configurations which conform a linear time-varying polytopic dynamic system with a finite number of time-varying time-differentiable point delays. The parameterizations may be timevarying and with bounded discontinuities and they can be subject to mixed regular plus impulsive controls within a sequence of time instants of zero measure. The polytopic parameterization for the dynamics associated with each delay is specific, so that (q+1 polytopic parameterizations are considered for a system with q delays being also subject to delay-free dynamics. The considered general dynamic system includes, as particular cases, a wide class of switched linear systems whose individual parameterizations are timeinvariant which are governed by a switching rule. However, the dynamic system under consideration is viewed as much more general since it is time-varying with timevarying delays and the bounded discontinuous changes of active parameterizations are generated by impulsive controls in the dynamics and, at the same time, there is not a prescribed set of candidate potential parameterizations.

Citizen Expectations and Satisfaction Over Time

DEFF Research Database (Denmark)

Hjortskov, Morten

2018-01-01

Expectations are thought to affect how citizens form their attitudes and behavior toward public services. Such attitudes may include citizen satisfaction, where expectations play a fundamental role, and relevant behaviors include choice of services and the decision to voice opinions about them....... However, there are few investigations into what drives citizen expectations and even fewer that consider these relationships across time. This article tests whether prior expectations, perceived performance, and citizen satisfaction influence future expectations, using a unique dataset that follows...... individual citizens across two subsequent school satisfaction surveys from 2011 and 2013. The results show that prior expectations have a large and consistent influence on future expectations, as predicted by the literature, whereas the influence from prior perceived performance seems less consistent. Prior...

Going Back Part-time: Family Leave Legislation and Women's Return to Work.

Science.gov (United States)

Schott, Whitney

2012-02-01

Using a multinomial logit model with data from the Survey of Income and Program Participation, this paper tests whether the implementation of the Family and Medical Leave Act (FMLA) is associated with an increase in return to work at part-time status among first-time mothers working full-time during their pregnancy. I find a statistically significant trend of increasingly higher odds of returning to work at part-time status relative to return at full-time status, beginning in 1993 (the year in which the FMLA is implemented). Furthermore, an additional week of either state or federal leave is significantly associated with a higher odds of return at part-time status. This article provides evidence that job protection and leave legislation may help facilitate higher levels of labor force participation among women with small children, through more flexible work arrangements.

Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation

OpenAIRE

Roncalli, Thierry

2013-01-01

Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular investment model after the global financial crisis in 2008. However, risk parity has also been criticized because it focuses on managing risk concentration rather than portfolio performance, and is therefore seen as being closer to passive management than act...

Time varying voltage combustion control and diagnostics sensor

Science.gov (United States)

Chorpening, Benjamin T [Morgantown, WV; Thornton, Jimmy D [Morgantown, WV; Huckaby, E David [Morgantown, WV; Fincham, William [Fairmont, WV

2011-04-19

A time-varying voltage is applied to an electrode, or a pair of electrodes, of a sensor installed in a fuel nozzle disposed adjacent the combustion zone of a continuous combustion system, such as of the gas turbine engine type. The time-varying voltage induces a time-varying current in the flame which is measured and used to determine flame capacitance using AC electrical circuit analysis. Flame capacitance is used to accurately determine the position of the flame from the sensor and the fuel/air ratio. The fuel and/or air flow rate (s) is/are then adjusted to provide reduced flame instability problems such as flashback, combustion dynamics and lean blowout, as well as reduced emissions. The time-varying voltage may be an alternating voltage and the time-varying current may be an alternating current.

Flexible Demand Management under Time-Varying Prices

Science.gov (United States)

Liang, Yong

optimization problem when the objective is to minimize the expected total cost and discomfort, then since the decision maker is likely to be risk-averse, and she wants to protect herself from price spikes, we study the robust optimization problem to address the risk-aversion of the decision maker. We conduct numerical studies to evaluate the price of robustness. Next, we present a detailed model that manages multiple types of flexible demand in the absence of knowledge regarding the distributions of related stochastic processes. Specifically, we consider the case in which time-varying prices with general structures are offered to users, and an energy management system for each household makes optimal energy usage, storage, and trading decisions according to the preferences of users. Because of the uncertainties associated with electricity prices, local generation, and the arrival processes of demand, we formulate a stochastic dynamic programming model, and outline a novel and tractable ADP approach to overcome the curses of dimensionality. Then, we perform numerical studies, whose results demonstrate the effectiveness of the ADP approach. At last, we propose another approximation approach based on Q-learning. In addition, we also develop another decentralization-based heuristic. Both the Q-learning approach and the heuristic make necessary assumptions on the knowledge of information, and each of them has unique advantages. We conduct numerical studies on a testing problem. The simulation results show that both the Q-learning and the decentralization based heuristic approaches work well. Lastly, we conclude the paper with some discussions on future extension directions.

Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas

OpenAIRE

Andrew Worthington; Helen Higgs

2005-01-01

This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and MSCI index returns provide the respective asset and market portfolio data. A bivariate MA-GARCH model is used to estimate time-varying betas for each exchange from listing until 7 June 2005. While the results indicate significant beta volatility, unit root tests show the betas to b...

Modeling conditional correlations of asset returns

DEFF Research Database (Denmark)

Silvennoinen, Annastiina; Teräsvirta, Timo

2015-01-01

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is d......In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM......-test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five...

Metaheuristics for the dynamic stochastic dial-a-ride problem with expected return transports.

Science.gov (United States)

Schilde, M; Doerner, K F; Hartl, R F

2011-12-01

The problem of transporting patients or elderly people has been widely studied in literature and is usually modeled as a dial-a-ride problem (DARP). In this paper we analyze the corresponding problem arising in the daily operation of the Austrian Red Cross. This nongovernmental organization is the largest organization performing patient transportation in Austria. The aim is to design vehicle routes to serve partially dynamic transportation requests using a fixed vehicle fleet. Each request requires transportation from a patient's home location to a hospital (outbound request) or back home from the hospital (inbound request). Some of these requests are known in advance. Some requests are dynamic in the sense that they appear during the day without any prior information. Finally, some inbound requests are stochastic. More precisely, with a certain probability each outbound request causes a corresponding inbound request on the same day. Some stochastic information about these return transports is available from historical data. The purpose of this study is to investigate, whether using this information in designing the routes has a significant positive effect on the solution quality. The problem is modeled as a dynamic stochastic dial-a-ride problem with expected return transports. We propose four different modifications of metaheuristic solution approaches for this problem. In detail, we test dynamic versions of variable neighborhood search (VNS) and stochastic VNS (S-VNS) as well as modified versions of the multiple plan approach (MPA) and the multiple scenario approach (MSA). Tests are performed using 12 sets of test instances based on a real road network. Various demand scenarios are generated based on the available real data. Results show that using the stochastic information on return transports leads to average improvements of around 15%. Moreover, improvements of up to 41% can be achieved for some test instances.

On the evaluation of marginal expected shortfall

DEFF Research Database (Denmark)

Caporin, Massimiliano; Santucci de Magistris, Paolo

2012-01-01

In the analysis of systemic risk, Marginal Expected Shortfall may be considered to evaluate the marginal impact of a single stock on the market Expected Shortfall. These quantities are generally computed using log-returns, in particular when there is also a focus on returns conditional distribution....... In this case, the market log-return is only approximately equal to the weighed sum of equities log-returns. We show that the approximation error is large during turbulent market phases, with a subsequent impact on Marginal Expected Shortfall. We then suggest how to improve the evaluation of Marginal Expected...

Clinical providers' experiences with returning results from genomic sequencing: an interview study.

Science.gov (United States)

Wynn, Julia; Lewis, Katie; Amendola, Laura M; Bernhardt, Barbara A; Biswas, Sawona; Joshi, Manasi; McMullen, Carmit; Scollon, Sarah

2018-05-08

Current medical practice includes the application of genomic sequencing (GS) in clinical and research settings. Despite expanded use of this technology, the process of disclosure of genomic results to patients and research participants has not been thoroughly examined and there are no established best practices. We conducted semi-structured interviews with 21 genetic and non-genetic clinicians returning results of GS as part of the NIH funded Clinical Sequencing Exploratory Research (CSER) Consortium projects. Interviews focused on the logistics of sessions, participant/patient reactions and factors influencing them, how the sessions changed with experience, and resources and training recommended to return genomic results. The length of preparation and disclosure sessions varied depending on the type and number of results and their implications. Internal and external databases, online resources and result review meetings were used to prepare. Respondents reported that participants' reactions were variable and ranged from enthusiasm and relief to confusion and disappointment. Factors influencing reactions were types of results, expectations and health status. A recurrent challenge was managing inflated expectations about GS. Other challenges included returning multiple, unanticipated and/or uncertain results and navigating a rare diagnosis. Methods to address these challenges included traditional genetic counseling techniques and modifying practice over time in order to provide anticipatory guidance and modulate expectations. Respondents made recommendations to improve access to genomic resources and genetic referrals to prepare future providers as the uptake of GS increases in both genetic and non-genetic settings. These findings indicate that returning genomic results is similar to return of results in traditional genetic testing but is magnified by the additional complexity and potential uncertainty of the results. Managing patient expectations, initially

Timed arrays wideband and time varying antenna arrays

CERN Document Server

Haupt, Randy L

2015-01-01

Introduces timed arrays and design approaches to meet the new high performance standards The author concentrates on any aspect of an antenna array that must be viewed from a time perspective. The first chapters briefly introduce antenna arrays and explain the difference between phased and timed arrays. Since timed arrays are designed for realistic time-varying signals and scenarios, the book also reviews wideband signals, baseband and passband RF signals, polarization and signal bandwidth. Other topics covered include time domain, mutual coupling, wideband elements, and dispersion. The auth

Going Back Part-time: Family Leave Legislation and Women’s Return to Work

Science.gov (United States)

2012-01-01

Using a multinomial logit model with data from the Survey of Income and Program Participation, this paper tests whether the implementation of the Family and Medical Leave Act (FMLA) is associated with an increase in return to work at part-time status among first-time mothers working full-time during their pregnancy. I find a statistically significant trend of increasingly higher odds of returning to work at part-time status relative to return at full-time status, beginning in 1993 (the year in which the FMLA is implemented). Furthermore, an additional week of either state or federal leave is significantly associated with a higher odds of return at part-time status. This article provides evidence that job protection and leave legislation may help facilitate higher levels of labor force participation among women with small children, through more flexible work arrangements. PMID:22685365

On Time with Minimal Expected Cost!

DEFF Research Database (Denmark)

David, Alexandre; Jensen, Peter Gjøl; Larsen, Kim Guldstrand

2014-01-01

(Priced) timed games are two-player quantitative games involving an environment assumed to be completely antogonistic. Classical analysis consists in the synthesis of strategies ensuring safety, time-bounded or cost-bounded reachability objectives. Assuming a randomized environment, the (priced......) timed game essentially defines an infinite-state Markov (reward) decision proces. In this setting the objective is classically to find a strategy that will minimize the expected reachability cost, but with no guarantees on worst-case behaviour. In this paper, we provide efficient methods for computing...... reachability strategies that will both ensure worst case time-bounds as well as provide (near-) minimal expected cost. Our method extends the synthesis algorithms of the synthesis tool Uppaal-Tiga with suitable adapted reinforcement learning techniques, that exhibits several orders of magnitude improvements w...

Timing of return from altitude training for optimal sea level performance.

Science.gov (United States)

Chapman, Robert F; Laymon Stickford, Abigail S; Lundby, Carsten; Levine, Benjamin D

2014-04-01

While a number of published studies exist to guide endurance athletes with the best practices regarding implementation of altitude training, a key unanswered question concerns the proper timing of return to sea level prior to major competitions. Evidence reviewed here suggests that, altogether, the deacclimatization responses of hematological, ventilatory, and biomechanical factors with return to sea level likely interact to determine the best timing for competitive performance.

Illiquidity premium and expected stock returns in the UK: A new approach

Science.gov (United States)

Chen, Jiaqi; Sherif, Mohamed

2016-09-01

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in the UK. We propose a simple way to capture the multidimensionality of illiquidity. Our analysis indicates that existing illiquidity measures have considerable asset specific components, which justifies our new approach. Further, we use an alternative test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced in the UK. We find that the inclusion of the illiquidity factor in the capital asset pricing model plays a significant role in explaining the cross-sectional variation in stock returns, in particular with the Fama-French three-factor model. Further, using Hansen-Jagannathan non-parametric bounds, we find that the illiquidity-augmented capital asset pricing models yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our findings have important implications for managing the liquidity risk of equity portfolios.

Mediation analysis with time varying exposures and mediators.

Science.gov (United States)

VanderWeele, Tyler J; Tchetgen Tchetgen, Eric J

2017-06-01

In this paper we consider causal mediation analysis when exposures and mediators vary over time. We give non-parametric identification results, discuss parametric implementation, and also provide a weighting approach to direct and indirect effects based on combining the results of two marginal structural models. We also discuss how our results give rise to a causal interpretation of the effect estimates produced from longitudinal structural equation models. When there are time-varying confounders affected by prior exposure and mediator, natural direct and indirect effects are not identified. However, we define a randomized interventional analogue of natural direct and indirect effects that are identified in this setting. The formula that identifies these effects we refer to as the "mediational g-formula." When there is no mediation, the mediational g-formula reduces to Robins' regular g-formula for longitudinal data. When there are no time-varying confounders affected by prior exposure and mediator values, then the mediational g-formula reduces to a longitudinal version of Pearl's mediation formula. However, the mediational g-formula itself can accommodate both mediation and time-varying confounders and constitutes a general approach to mediation analysis with time-varying exposures and mediators.

Time-independent models of asset returns revisited

Science.gov (United States)

Gillemot, L.; Töyli, J.; Kertesz, J.; Kaski, K.

2000-07-01

In this study we investigate various well-known time-independent models of asset returns being simple normal distribution, Student t-distribution, Lévy, truncated Lévy, general stable distribution, mixed diffusion jump, and compound normal distribution. For this we use Standard and Poor's 500 index data of the New York Stock Exchange, Helsinki Stock Exchange index data describing a small volatile market, and artificial data. The results indicate that all models, excluding the simple normal distribution, are, at least, quite reasonable descriptions of the data. Furthermore, the use of differences instead of logarithmic returns tends to make the data looking visually more Lévy-type distributed than it is. This phenomenon is especially evident in the artificial data that has been generated by an inflated random walk process.

Fluctuating interaction network and time-varying stability of a natural fish community

Science.gov (United States)

Ushio, Masayuki; Hsieh, Chih-Hao; Masuda, Reiji; Deyle, Ethan R.; Ye, Hao; Chang, Chun-Wei; Sugihara, George; Kondoh, Michio

2018-02-01

Ecological theory suggests that large-scale patterns such as community stability can be influenced by changes in interspecific interactions that arise from the behavioural and/or physiological responses of individual species varying over time. Although this theory has experimental support, evidence from natural ecosystems is lacking owing to the challenges of tracking rapid changes in interspecific interactions (known to occur on timescales much shorter than a generation time) and then identifying the effect of such changes on large-scale community dynamics. Here, using tools for analysing nonlinear time series and a 12-year-long dataset of fortnightly collected observations on a natural marine fish community in Maizuru Bay, Japan, we show that short-term changes in interaction networks influence overall community dynamics. Among the 15 dominant species, we identify 14 interspecific interactions to construct a dynamic interaction network. We show that the strengths, and even types, of interactions change with time; we also develop a time-varying stability measure based on local Lyapunov stability for attractor dynamics in non-equilibrium nonlinear systems. We use this dynamic stability measure to examine the link between the time-varying interaction network and community stability. We find seasonal patterns in dynamic stability for this fish community that broadly support expectations of current ecological theory. Specifically, the dominance of weak interactions and higher species diversity during summer months are associated with higher dynamic stability and smaller population fluctuations. We suggest that interspecific interactions, community network structure and community stability are dynamic properties, and that linking fluctuating interaction networks to community-level dynamic properties is key to understanding the maintenance of ecological communities in nature.

Sorting out commodity and macroeconomic risk in expected stock returns

NARCIS (Netherlands)

Boons, M.F.

2014-01-01

The dissertation consists of three essays in asset pricing. Chapter I is motivated by the recent surge in institutional investment in commodity futures markets. The chapter studies how commodity risk is priced in stock and futures markets and asks whether this risk premium is time-varying with these

Essays on Empirical Asset Pricing

DEFF Research Database (Denmark)

Gormsen, Niels Joachim

that the expected return to the distant-future cash flows increases by more in bad times than the expected return to near-future cash flows does. This new stylized fact is important for understanding why the expected return on the market portfolio as a whole varies over time. In addition, it has strong implications...... for which economic model that drives the return to stocks. Indeed, I find that none of the canonical asset pricing models can explain this new stylized fact while also explaining the previously documented facts about stock returns. The second chapter, called Conditional Risk, studies how the expected return...... on individual stocks is influenced by the fact that their riskiness varies over time. We introduce a new ”conditional-risk factor”, which is a simple method for determining how much of the expected return to individual stocks that can be explained by time variation in their market risk, i.e. market betas. Using...

Expectation versus Reality: The Impact of Utility on Emotional Outcomes after Returning Individualized Genetic Research Results in Pediatric Rare Disease Research, a Qualitative Interview Study.

Science.gov (United States)

Cacioppo, Cara N; Chandler, Ariel E; Towne, Meghan C; Beggs, Alan H; Holm, Ingrid A

2016-01-01

Much information on parental perspectives on the return of individual research results (IRR) in pediatric genomic research is based on hypothetical rather than actual IRR. Our aim was to understand how the expected utility to parents who received IRR on their child from a genetic research study compared to the actual utility of the IRR received. We conducted individual telephone interviews with parents who received IRR on their child through participation in the Manton Center for Orphan Disease Research Gene Discovery Core (GDC) at Boston Children's Hospital (BCH). Five themes emerged around the utility that parents expected and actually received from IRR: predictability, management, family planning, finding answers, and helping science and/or families. Parents expressing negative or mixed emotions after IRR return were those who did not receive the utility they expected from the IRR. Conversely, parents who expressed positive emotions were those who received as much or greater utility than expected. Discrepancies between expected and actual utility of IRR affect the experiences of parents and families enrolled in genetic research studies. An informed consent process that fosters realistic expectations between researchers and participants may help to minimize any negative impact on parents and families.

Pengaruh Beta Saham Terhadap Expected Return Dengan Model Capital Asset Pricing Pada Perusahaan Publik Di Bursa Efek Jakarta

OpenAIRE

Nasser, Etty M

2007-01-01

The objective of this research is to obtain empirical evidence of whether market beta has a significant influence on the expected return. This research examines 30 manufacturing companies listed in Jakarta Stock Exchange during 2001-2005 period. Data are mostly secondary data, obtained from Indonesian Capita! Market Directory and annual reports of the companies from 'Pusat Referensi Pasar Modal Indonesia' in Jakarta Stock Exchange. The statistical method used to test the hypothesis is multipl...

PENGARUH BETA SAHAM TERHADAP EXPECTED RETURN DENGAN MODEL CAPITAL ASSET PRICING PADA PERUSAHAAN PUBLIK DI BURSA EFEK JAKARTA

OpenAIRE

Etty M. Nasser

2007-01-01

The objective of this research is to obtain empirical evidence of whether market beta has a significant influence on the expected return. This research examines 30 manufacturing companies listed in Jakarta Stock Exchange during 2001-2005 period. Data are mostly secondary data, obtained from Indonesian Capita! Market Directory and annual reports of the companies from 'Pusat Referensi Pasar Modal Indonesia' in Jakarta Stock Exchange. The statistical method used to test the hypothesis is multipl...

Time-varying properties of renal autoregulatory mechanisms

DEFF Research Database (Denmark)

Zou, Rui; Cupples, Will A; Yip, K P

2002-01-01

In order to assess the possible time-varying properties of renal autoregulation, time-frequency and time-scaling methods were applied to renal blood flow under broad-band forced arterial blood pressure fluctuations and single-nephron renal blood flow with spontaneous oscillations obtained from...... normotensive (Sprague-Dawley, Wistar, and Long-Evans) rats, and spontaneously hypertensive rats. Time-frequency analyses of normotensive and hypertensive blood flow data obtained from either the whole kidney or the single-nephron show that indeed both the myogenic and tubuloglomerular feedback (TGF) mechanisms...... have time-varying characteristics. Furthermore, we utilized the Renyi entropy to measure the complexity of blood-flow dynamics in the time-frequency plane in an effort to discern differences between normotensive and hypertensive recordings. We found a clear difference in Renyi entropy between...

Time-varying value of electric energy efficiency

Energy Technology Data Exchange (ETDEWEB)

Mims, Natalie A.; Eckman, Tom; Goldman, Charles

2017-06-30

Electric energy efficiency resources save energy and may reduce peak demand. Historically, quantification of energy efficiency benefits has largely focused on the economic value of energy savings during the first year and lifetime of the installed measures. Due in part to the lack of publicly available research on end-use load shapes (i.e., the hourly or seasonal timing of electricity savings) and energy savings shapes, consideration of the impact of energy efficiency on peak demand reduction (i.e., capacity savings) has been more limited. End-use load research and the hourly valuation of efficiency savings are used for a variety of electricity planning functions, including load forecasting, demand-side management and evaluation, capacity and demand response planning, long-term resource planning, renewable energy integration, assessing potential grid modernization investments, establishing rates and pricing, and customer service. This study reviews existing literature on the time-varying value of energy efficiency savings, provides examples in four geographically diverse locations of how consideration of the time-varying value of efficiency savings impacts the calculation of power system benefits, and identifies future research needs to enhance the consideration of the time-varying value of energy efficiency in cost-effectiveness screening analysis. Findings from this study include: -The time-varying value of individual energy efficiency measures varies across the locations studied because of the physical and operational characteristics of the individual utility system (e.g., summer or winter peaking, load factor, reserve margin) as well as the time periods during which savings from measures occur. -Across the four locations studied, some of the largest capacity benefits from energy efficiency are derived from the deferral of transmission and distribution system infrastructure upgrades. However, the deferred cost of such upgrades also exhibited the greatest range

26 CFR 25.6075-1 - Returns, time for filing gift tax returns for gifts made after December 31, 1981.

Science.gov (United States)

2010-04-01

... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Returns, time for filing gift tax returns for gifts made after December 31, 1981. 25.6075-1 Section 25.6075-1 Internal Revenue INTERNAL REVENUE SERVICE, DEPARTMENT OF THE TREASURY (CONTINUED) ESTATE AND GIFT TAXES GIFT TAX; GIFTS MADE AFTER DECEMBER...

The "toxic dose" of system problems: why some injured workers don't return to work as expected.

Science.gov (United States)

MacEachen, Ellen; Kosny, Agnieszka; Ferrier, Sue; Chambers, Lori

2010-09-01

Introduction Most workers who incur an injury on the job follow a relatively straightforward path through a workers' compensation claim, recovery and return to work. However, a minority of compensation claims is prolonged and can be disproportionately costly. We conducted this qualitative study in order to gain an understanding of systemic, process-related problems affecting injured workers who had failed to return to work as expected. Method A total of 69 in-depth interviews were conducted with injured workers with complex and extended workers' compensation claims and with return-to-work (RTW) providers such as health care providers, insurers, legal advisors, and workplaces. The study was based in Ontario, Canada. A modified grounded theory analysis led to the identification of common mechanisms in RTW problems. Results We identify problems with return to work and extended workers' compensation claims in dysfunctions in organizational dynamics across RTW systems including the workplace, healthcare, vocational rehabilitation and workers' compensation. These system problems are difficult to identify because they appear as relatively mundane and bureaucratic. These appeared to have damaging effects on workers in the form of a 'toxic dose' affecting the worker beyond the initial injury. Conclusions Worker's problems with extended claims were linked to RTW policies that did not easily accommodate conflict or power imbalances among RTW parties and by social relations and processes that impeded communication about RTW situations and problems. Avenues for intervention are located in a shift to a critical lens to RTW process that addresses differences of knowledge, resources, and interests among different parties.

Predictable return distributions

DEFF Research Database (Denmark)

Pedersen, Thomas Quistgaard

trace out the entire distribution. A univariate quantile regression model is used to examine stock and bond return distributions individually, while a multivariate model is used to capture their joint distribution. An empirical analysis on US data shows that certain parts of the return distributions......-of-sample analyses show that the relative accuracy of the state variables in predicting future returns varies across the distribution. A portfolio study shows that an investor with power utility can obtain economic gains by applying the empirical return distribution in portfolio decisions instead of imposing...

Stochastic arbitrage return and its implications for option pricing

OpenAIRE

Fedotov, Sergei; Panayides, Stephanos

2004-01-01

The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random proces...

Pemodelan Markov Switching Dengan Time-varying Transition Probability

OpenAIRE

Savitri, Anggita Puri; Warsito, Budi; Rahmawati, Rita

2016-01-01

Exchange rate or currency is an economic variable which reflects country's state of economy. It fluctuates over time because of its ability to switch the condition or regime caused by economic and political factors. The changes in the exchange rate are depreciation and appreciation. Therefore, it could be modeled using Markov Switching with Time-Varying Transition Probability which observe the conditional changes and use information variable. From this model, time-varying transition probabili...

Pollinator effectiveness varies with experimental shifts in flowering time.

Science.gov (United States)

Rafferty, Nicole E; Ives, Anthony R

2012-04-01

The earlier flowering times exhibited by many plant species are a conspicuous sign of climate change. Altered phenologies have caused concern that species could suffer population declines if they flower at times when effective pollinators are unavailable. For two perennial wildflowers, Tradescantia ohiensis and Asclepias incarnata, we used an experimental approach to explore how changing phenology affects the taxonomic composition of the pollinator assemblage and the effectiveness of individual pollinator taxa. After finding in the previous year that fruit set varied with flowering time, we manipulated flowering onset in greenhouses, placed plants in the field over the span of five weeks, and measured pollinator effectiveness as the number of seeds produced after a single visit to a flower. The average effectiveness of pollinators and the expected rates of pollination success were lower for plants of both species flowering earlier than for plants flowering at historical times, suggesting there could be reproductive costs to earlier flowering. Whereas for A. incarnata, differences in average seed set among weeks were due primarily to changes in the composition of the pollinator assemblage, the differences for T. ohiensis were driven by the combined effects of compositional changes and increases over time in the effectiveness of some pollinator taxa. Both species face the possibility of temporal mismatch between the availability of the most effective pollinators and the onset of flowering, and changes in the effectiveness of individual pollinator taxa through time may add an unexpected element to the reproductive consequences of such mismatches.

Experimental evidence for amplitude death induced by a time-varying interaction

Energy Technology Data Exchange (ETDEWEB)

Suresh, K. [Centre for Nonlinear Dynamics, School of Physics, Bharathidasan University, Tiruchirappalli 620024, Tamil Nadu (India); Shrimali, M.D. [Department of Physics, Central University of Rajasthan, NH-8, Bandar Sindri, Ajmer 305 801 (India); Prasad, Awadhesh [Department of Physics and Astrophysics, University of Delhi, Delhi 110 007 (India); Thamilmaran, K., E-mail: maran.cnld@gmail.com [Centre for Nonlinear Dynamics, School of Physics, Bharathidasan University, Tiruchirappalli 620024, Tamil Nadu (India)

2014-08-01

In this paper, we study the time-varying interaction in coupled oscillatory systems. For this purpose, we have designed a novel time-varying resistive network using an analog switch and inverter circuits. We have applied this time-varying resistive network to mutually coupled identical Chua's oscillators. When the resistances are varied in time, we find that amplitude death arises in coupled identical oscillators. This has been observed numerically as well as verified through hardware experiments. - Highlights: • We have implemented the time-varying interaction in coupled oscillatory systems. • We have designed a novel time-varying resistive network using an analog switch and inverter circuits. • When the resistances are varied in time, we find that amplitude death arises in coupled identical oscillators.

Analysis of time-varying psoriasis lesion image patterns

DEFF Research Database (Denmark)

Maletti, Gabriela Mariel; Ersbøll, Bjarne Kjær; Nielsen, Allan Aasbjerg

2004-01-01

The multivariate alteration detection transform is applied to pairs of within and between time varying registered psoriasis image patterns. Color band contribution to the variates explaining maximal change is analyzed.......The multivariate alteration detection transform is applied to pairs of within and between time varying registered psoriasis image patterns. Color band contribution to the variates explaining maximal change is analyzed....

Global Variance Risk Premium and Forex Return Predictability

OpenAIRE

Aloosh, Arash

2014-01-01

In a long-run risk model with stochastic volatility and frictionless markets, I express expected forex returns as a function of consumption growth variances and stock variance risk premiums (VRPs)—the difference between the risk-neutral and statistical expectations of market return variation. This provides a motivation for using the forward-looking information available in stock market volatility indices to predict forex returns. Empirically, I find that stock VRPs predict forex returns at a ...

Tracking time-varying cerebral autoregulation in response to changes in respiratory PaCO2

International Nuclear Information System (INIS)

Liu, Jia; Simpson, M David; Allen, Robert; Yan, Jingyu

2010-01-01

Cerebral autoregulation has been studied by linear filter systems, with arterial blood pressure (ABP) as the input and cerebral blood flow velocity (CBFV—from transcranial Doppler Ultrasound) as the output. The current work extends this by using adaptive filters to investigate the dynamics of time-varying cerebral autoregulation during step-wise changes in arterial PaCO 2 . Cerebral autoregulation was transiently impaired in 11 normal adult volunteers, by switching inspiratory air to a CO 2 /air mixture (5% CO 2 , 30% O 2 and 65% N 2 ) for approximately 2 min and then back to the ambient air, causing step-wise changes in end-tidal CO 2 (EtCO 2 ). Simultaneously, ABP and CBFV were recorded continuously. Simulated data corresponding to the same protocol were also generated using an established physiological model, in order to refine the signal analysis methods. Autoregulation was quantified by the time-varying phase lead, estimated from the adaptive filter model. The adaptive filter was able to follow rapid changes in autoregulation, as was confirmed in the simulated data. In the recorded signals, there was a slow decrease in autoregulatory function following the step-wise increase in PaCO 2 (but this did not reach a steady state within approximately 2 min of recording), with a more rapid change in autoregulation on return to normocapnia. Adaptive filter modelling was thus able to demonstrate time-varying autoregulation. It was further noted that impairment and recovery of autoregulation during transient increases in EtCO 2 occur in an asymmetric manner, which should be taken into account when designing experimental protocols for the study of autoregulation

The differential effects of full-time and part-time work status on breastfeeding.

Science.gov (United States)

Mandal, Bidisha; Roe, Brian Eric; Fein, Sara Beck

2010-09-01

Return to work is associated with diminished breastfeeding. Although more mothers breastfeed after returning to work compared to a decade ago, research has not documented the variations in breastfeeding initiation and duration based on full-time and part-time (less than 35h/week) work status. In this study, we clarify these differences. Longitudinal data from the Infant Feeding Practices Study II, collected between 2005 and 2007, for over 1400 mothers are used. In analyzing initiation, mother's work status was categorized by the expected number of hours she planned to work postpartum. In the duration model, work status was categorized based on the actual number of hours worked upon mother's return to employment after controlling for baby's age when she returned to work. Covariates in logistic and censored regressions included demographics, maternity leave, parity, past breastfeeding experience, hospital experience, and social support. Compared with expecting not to work, expecting to work Part-time work and increased amount of leave taken promote breastfeeding initiation and duration.

Finite-time stability of neutral-type neural networks with random time-varying delays

Science.gov (United States)

Ali, M. Syed; Saravanan, S.; Zhu, Quanxin

2017-11-01

This paper is devoted to the finite-time stability analysis of neutral-type neural networks with random time-varying delays. The randomly time-varying delays are characterised by Bernoulli stochastic variable. This result can be extended to analysis and design for neutral-type neural networks with random time-varying delays. On the basis of this paper, we constructed suitable Lyapunov-Krasovskii functional together and established a set of sufficient linear matrix inequalities approach to guarantee the finite-time stability of the system concerned. By employing the Jensen's inequality, free-weighting matrix method and Wirtinger's double integral inequality, the proposed conditions are derived and two numerical examples are addressed for the effectiveness of the developed techniques.

Upper Bounds for Ruin Probability with Stochastic Investment Return

Institute of Scientific and Technical Information of China (English)

ZHANG Lihong

2005-01-01

Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic investment return. Conditional expectation properties and martingale inequalities are used to obtain both exponential and non-exponential upper bounds for the ruin probability.

Entropy Rate of Time-Varying Wireless Networks

DEFF Research Database (Denmark)

Cika, Arta; Badiu, Mihai Alin; Coon, Justin P.

2018-01-01

In this paper, we present a detailed framework to analyze the evolution of the random topology of a time-varying wireless network via the information theoretic notion of entropy rate. We consider a propagation channel varying over time with random node positions in a closed space and Rayleigh...... fading affecting the connections between nodes. The existence of an edge between two nodes at given locations is modeled by a Markov chain, enabling memory effects in network dynamics. We then derive a lower and an upper bound on the entropy rate of the spatiotemporal network. The entropy rate measures...

A wavelet-based evaluation of time-varying long memory of equity markets: A paradigm in crisis

Science.gov (United States)

Tan, Pei P.; Chin, Cheong W.; Galagedera, Don U. A.

2014-09-01

This study, using wavelet-based method investigates the dynamics of long memory in the returns and volatility of equity markets. In the sample of five developed and five emerging markets we find that the daily return series from January 1988 to June 2013 may be considered as a mix of weak long memory and mean-reverting processes. In the case of volatility in the returns, there is evidence of long memory, which is stronger in emerging markets than in developed markets. We find that although the long memory parameter may vary during crisis periods (1997 Asian financial crisis, 2001 US recession and 2008 subprime crisis) the direction of change may not be consistent across all equity markets. The degree of return predictability is likely to diminish during crisis periods. Robustness of the results is checked with de-trended fluctuation analysis approach.

Interannual Variability of Fisheries Economic Returns and Energy Ratios Is Mostly Explained by Gear Type

Science.gov (United States)

Trenkel, Verena M.; Daurès, Fabienne; Rochet, Marie-Joëlle; Lorance, Pascal

2013-01-01

According to portfolio theory applied to fisheries management, economic returns are stabilised by harvesting in a portfolio stocks of species whose returns are negatively correlated and for which the portfolio economic return variance is smaller than the sum of stock specific return variances. Also, variability is expected to decrease with portfolio width. Using a range of indicators, these predictions were tested for the French fishing fleets in the Bay of Biscay (Northeast Atlantic) during the period 2001–2009. For this, vessels were grouped into eight fishing fleets based on the gears used and exploited species were grouped into five functional groups. The portfolio width of fleets ranged from 1–3 functional groups, or 4–19 species. Economic fleet returns (sale revenues minus fishing costs) varied strongly between years; the interannual variability was independent of portfolio width (species or functional groups). Energy ratio expressed by the ratio between fuel energy used for fishing and energy contained in landings varied from 0.3 for purse seines to 9.7 for trawlers using bottom trawls alone or in combination with pelagic trawls independent of portfolio width. Interannual variability in total sale revenues was larger than the sum of species specific sales revenue variability, except for fleets using hooks and pelagic trawlers; it increased with the number of species exploited. In conclusion, the interannual variability of economic returns or energy ratios of French fisheries in the Bay of Biscay did not decrease with the number of species or functional groups exploited, though it varied between fleets. PMID:23922951

Time-Varying Value of Energy Efficiency in Michigan

Energy Technology Data Exchange (ETDEWEB)

Mims, Natalie; Eckman, Tom; Schwartz, Lisa C.

2018-04-02

Quantifying the time-varying value of energy efficiency is necessary to properly account for all of its benefits and costs and to identify and implement efficiency resources that contribute to a low-cost, reliable electric system. Historically, most quantification of the benefits of efficiency has focused largely on the economic value of annual energy reduction. Due to the lack of statistically representative metered end-use load shape data in Michigan (i.e., the hourly or seasonal timing of electricity savings), the ability to confidently characterize the time-varying value of energy efficiency savings in the state, especially for weather-sensitive measures such as central air conditioning, is limited. Still, electric utilities in Michigan can take advantage of opportunities to incorporate the time-varying value of efficiency into their planning. For example, end-use load research and hourly valuation of efficiency savings can be used for a variety of electricity planning functions, including load forecasting, demand-side management and evaluation, capacity planning, long-term resource planning, renewable energy integration, assessing potential grid modernization investments, establishing rates and pricing, and customer service (KEMA 2012). In addition, accurately calculating the time-varying value of efficiency may help energy efficiency program administrators prioritize existing offerings, set incentive or rebate levels that reflect the full value of efficiency, and design new programs.

Estimating order-picking times for return heuristic - equations and simulations

Directory of Open Access Journals (Sweden)

Grzegorz Tarczyński

2015-09-01

Full Text Available Background: A key element of the evaluation of warehouse operation is the average order-picking time. In warehouses where the order-picking process is carried out according to the "picker-to-part" rule the order-picking time is usually proportional to the distance covered by the picker while picking items. This distance can by estimated by simulations or using mathematical equations. In the paper only the best described in the literature one-block rectangular warehouses are considered. Material and methods: For the one-block rectangular warehouses there are well known five routing heuristics. In the paper the author considers the return heuristic in two variants. The paper presents well known Hall's and De Koster's equations for the average distance traveled by the picker while completing items from one pick list. The author presents own proposals for calculating the expected distance. Results: the results calculated by the use of mathematical equations (the formulas of Hall, De Koster and own propositions were compared with the average values obtained using computer simulations. For the most cases the average error does not exceed 1% (except for Hall's equations. To carry out simulation the computer software Warehouse Real-Time Simulator was used. Conclusions: the order-picking time is a function of many variables and its optimization is not easy. It can be done in two stages: firstly using mathematical equations the set of the potentially best variants is established, next the results are verified using simulations. The results calculated by the use of equations are not precise, but possible to achieve immediately. The simulations are more time-consuming, but allow to analyze the order-picking process more accurately.

Multivariate time-varying volatility modeling using probabilistic fuzzy systems

NARCIS (Netherlands)

Basturk, N.; Almeida, R.J.; Golan, R.; Kaymak, U.

2016-01-01

Methods to accurately analyze financial risk have drawn considerable attention in financial institutions. One difficulty in financial risk analysis is the fact that banks and other financial institutions invest in several assets which show time-varying volatilities and hence time-varying financial

Dynamic Correlation between Stock Market Returns and Crude Oil Prices: Evidence from a Developing Economy

Directory of Open Access Journals (Sweden)

Emenike O. Kalu

2015-10-01

Full Text Available Normal 0 false false false EN-US X-NONE X-NONE Modeling the correlation of assets returns volatilities across different markets or segments of a market has practical value for portfolio selection and diversification, market regulation, and risk management. This paper therefore evaluates the nature of time-varying correlation between volatilities of stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-Generalised Autoregressive Conditional Heteroscedasticity (DCC-GARCH model. Results from DCC-GARCH (1,1 model show evidence of volatility clustering and persistence in Nigeria stock market and crude oil returns. The results also show that there is no dynamic conditional correlation in ARCH effects between stock market returns and crude oil prices in Nigeria. The results further show that there is strong evidence of time-varying volatility correlation between stock market and crude oil returns volatility. The findings will help shape policy-making in risk management and market regulation in Nigeria.

Overcoming Spurious Regression Using time-Varying Fourier ...

African Journals Online (AJOL)

Non-stationary time series data have been traditionally analyzed in the frequency domain by assuming constant amplitudes regardless of the timelag. A new approach called time-varying amplitude method (TVAM) is presented here. Oscillations are analyzed for changes in the magnitude of Fourier Coefficients which are ...

Vesicle biomechanics in a time-varying magnetic field.

Science.gov (United States)

Ye, Hui; Curcuru, Austen

2015-01-01

Cells exhibit distortion when exposed to a strong electric field, suggesting that the field imposes control over cellular biomechanics. Closed pure lipid bilayer membranes (vesicles) have been widely used for the experimental and theoretical studies of cellular biomechanics under this electrodeformation. An alternative method used to generate an electric field is by electromagnetic induction with a time-varying magnetic field. References reporting the magnetic control of cellular mechanics have recently emerged. However, theoretical analysis of the cellular mechanics under a time-varying magnetic field is inadequate. We developed an analytical theory to investigate the biomechanics of a modeled vesicle under a time-varying magnetic field. Following previous publications and to simplify the calculation, this model treated the inner and suspending media as lossy dielectrics, the membrane thickness set at zero, and the electric resistance of the membrane assumed to be negligible. This work provided the first analytical solutions for the surface charges, electric field, radial pressure, overall translational forces, and rotational torques introduced on a vesicle by the time-varying magnetic field. Frequency responses of these measures were analyzed, particularly the frequency used clinically by transcranial magnetic stimulation (TMS). The induced surface charges interacted with the electric field to produce a biomechanical impact upon the vesicle. The distribution of the induced surface charges depended on the orientation of the coil and field frequency. The densities of these charges were trivial at low frequency ranges, but significant at high frequency ranges. The direction of the radial force on the vesicle was dependent on the conductivity ratio between the vesicle and the medium. At relatively low frequencies (biomechanics under a time-varying magnetic field. Biological effects of clinical TMS are not likely to occur via alteration of the biomechanics of brain

26 CFR 1.6071-1 - Time for filing returns and other documents.

Science.gov (United States)

2010-04-01

... returns of partnership income, see paragraph (e)(2) of § 1.6031-1. (2) For provisions relating to the time... for filing information returns with respect to formation or reorganization of foreign corporations... 8805 and § 1.1446-3(d) in paragraph (c)(15) of this section shall apply to partnership taxable years...

Return to sports after ankle fractures: a systematic review.

Science.gov (United States)

Del Buono, Angelo; Smith, Rebecca; Coco, Manuela; Woolley, Laurence; Denaro, Vincenzo; Maffulli, Nicola

2013-01-01

This review aims to provide information on the time athletes will take to resume sports activity following ankle fractures. We systematically searched Medline (PubMED), EMBASE, CINHAL, Cochrane, Sports Discus and Google scholar databases using the combined keywords 'ankle fractures', 'ankle injuries', 'athletes', 'sports', 'return to sport', 'recovery', 'operative fixation', 'pinning', 'return to activity' to identify articles published in English, Spanish, French, Portuguese and Italian. Seven retrospective studies fulfilled our inclusion criteria. Of the 793 patients, 469 (59%) were males and 324 (41%) were females, and of the 356 ankle fractures we obtained information on, 338 were acute and 18 stress fractures. The general principles were to undertake open reduction and internal fixation of acute fractures, and manage stress fractures conservatively unless a thin fracture line was visible on radiographs. The best timing to return to sports after an acute ankle fracture is still undefined, given the heterogeneity of the outcome measures and results. The time to return to sports after an acute stress injury ranged from 3 to 51 weeks. When facing athletes with ankle fractures, associated injuries have to be assessed and addressed to improve current treatment lines and satisfy future expectancies. The best timing to return to sports after an ankle fracture has not been established yet. The ideas of the return to activity parameter and surgeon databases including sports-related information could induce research to progress.

Allan deviation analysis of financial return series

Science.gov (United States)

Hernández-Pérez, R.

2012-05-01

We perform a scaling analysis for the return series of different financial assets applying the Allan deviation (ADEV), which is used in the time and frequency metrology to characterize quantitatively the stability of frequency standards since it has demonstrated to be a robust quantity to analyze fluctuations of non-stationary time series for different observation intervals. The data used are opening price daily series for assets from different markets during a time span of around ten years. We found that the ADEV results for the return series at short scales resemble those expected for an uncorrelated series, consistent with the efficient market hypothesis. On the other hand, the ADEV results for absolute return series for short scales (first one or two decades) decrease following approximately a scaling relation up to a point that is different for almost each asset, after which the ADEV deviates from scaling, which suggests that the presence of clustering, long-range dependence and non-stationarity signatures in the series drive the results for large observation intervals.

The effect of maternity leave length and time of return to work on breastfeeding.

Science.gov (United States)

Ogbuanu, Chinelo; Glover, Saundra; Probst, Janice; Liu, Jihong; Hussey, James

2011-06-01

We investigated the effect of maternity leave length and time of first return to work on breastfeeding. Data were from the Early Childhood Longitudinal Study-Birth Cohort. Restricting our sample to singletons whose biological mothers were the respondents at the 9-month interview and worked in the 12 months before delivery (N = 6150), we classified the length of total maternity leave (weeks) as 1 to 6, 7 to 12, ≥ 13, and did not take; paid maternity leave (weeks) as 0, 1 to 6, ≥ 7, and did not take; and time of return to work postpartum (weeks) as 1 to 6, 7 to 12, ≥ 13, and not yet returned. Analyses included χ(2) tests and multiple logistic regressions. In our study population, 69.4% initiated breastfeeding with positive variation by both total and paid maternity leave length, and time of return to work. In adjusted analyses, neither total nor paid maternity leave length had any impact on breastfeeding initiation or duration. Compared with those returning to work within 1 to 6 weeks, women who had not yet returned to work had a greater odds of initiating breastfeeding (odds ratio [OR]: 1.46 [1.08-1.97]; risk ratios [RR]: 1.13 [1.03-1.22]), continuing any breastfeeding beyond 6 months (OR: 1.41 [0.87-2.27]; RR: 1.25 [0.91-1.61]), and predominant breastfeeding beyond 3 months (OR: 2.01 [1.06-3.80]; RR: 1.70 [1.05-2.53]). Women who returned to work at or after 13 weeks postpartum had higher odds of predominantly breastfeeding beyond 3 months (OR: 2.54 [1.51-4.27]; RR: 1.99 [1.38-2.69]). If new mothers delay their time of return to work, then duration of breastfeeding among US mothers may lengthen.

Revisiting the returns-volume relationship: Time variation, alternative measures and the financial crisis

Science.gov (United States)

Cook, Steve; Watson, Duncan

2017-03-01

Following its introduction in the seminal study of Osborne (1959), a voluminous literature has emerged examining the returns-volume relationship for financial assets. The present paper revisits this relationship in an examination of the FTSE100 which extends the existing literature in two ways. First, alternative daily measures of the FTSE100 index are used to create differing returns and absolute returns series to employ in an examination of returns-volume causality. Second, rolling regression analysis is utilised to explore potential time variation in the returns-volume relationship. The findings obtained depict a hitherto unconsidered complexity in this relationship with the type of returns series considered and financial crisis found to be significant underlying factors. The implications of the newly derived results for both the understanding of the nature of the returns-volume relationship and the development of theories in connection to it are discussed.

Identification of time-varying nonlinear systems using differential evolution algorithm

DEFF Research Database (Denmark)

Perisic, Nevena; Green, Peter L; Worden, Keith

2013-01-01

(DE) algorithm for the identification of time-varying systems. DE is an evolutionary optimisation method developed to perform direct search in a continuous space without requiring any derivative estimation. DE is modified so that the objective function changes with time to account for the continuing......, thus identification of time-varying systems with nonlinearities can be a very challenging task. In order to avoid conventional least squares and gradient identification methods which require uni-modal and double differentiable objective functions, this work proposes a modified differential evolution...... inclusion of new data within an error metric. This paper presents results of identification of a time-varying SDOF system with Coulomb friction using simulated noise-free and noisy data for the case of time-varying friction coefficient, stiffness and damping. The obtained results are promising and the focus...

Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk

OpenAIRE

William Goetzmann; Akiko Watanabe; Masahiro Watanabe

2008-01-01

This paper examines the pricing implications of time-variation in assets' market betas over the business cycle in a conditional CAPM framework. We use a half century of real GDP growth expectations from economists' surveys to determine forecasted economic states. This approach largely avoids the confounding effects of econometric forecasting model error. The expectation measure forecasts the market return controlling for existing predictive variables. The loadings on the expectation measure e...

Communication and collaboration among return-to-work stakeholders.

Science.gov (United States)

Russell, Elizabeth; Kosny, Agnieszka

2018-05-17

Workers who are injured or become ill on the job are best able to return-to-work when stakeholders involved in their case collaborate and communicate. This study examined health care providers' and case managers' engagement in rehabilitation and return-to-work following workplace injury or illness. In-depth interviews were conducted with 97 health care providers and 34 case managers in four Canadian provinces about their experiences facilitating rehabilitation and return-to-work, and interacting with system stakeholders. A qualitative thematic content analysis demonstrated two key findings. Firstly, stakeholders were challenged to collaborate as a result of: barriers to interdisciplinary and cross-professional communication; philosophical differences about the timing and appropriateness of return-to-work; and confusion among health care providers about the workers' compensation system. Secondly, these challenges adversely affected the co-ordination of patient care, and consequentially, injured workers often became information conduits, and effective and timely treatment and return-to-work was sometimes negatively impacted. Communication challenges between health care providers and case managers may negatively impact patient care and alienate treating health care providers. Discussion about role clarification, the appropriateness of early return-to-work, how paperwork shapes health care providers' role expectations, and strengthened inter-professional communication are considered. Implications for Rehabilitation Administrative and conceptual barriers in workers' compensation systems challenge collaboration and communication between health care providers and case managers. Injured workers may become conduits of incorrect information, resulting in adversarial relationships, overturned health care providers' recommendations, and their disengagement from rehabilitation and return-to-work. Stakeholders should clarify the role of health care providers during

Expected Business Conditions and Bond Risk Premia

DEFF Research Database (Denmark)

Eriksen, Jonas Nygaard

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey of Professional Forecasters. We show that expected business conditions consistently affect excess bond returns and that the inclusion of expected...... business conditions in standard predictive regressions improve forecast performance relative to models using information derived from the current term structure or macroeconomic variables. The results are confirmed in a real-time out-of-sample exercise, where the predictive accuracy of the models...... is evaluated both statistically and from the perspective of a mean-variance investor that trades in the bond market....

Stochastic arbitrage return and its implication for option pricing

Science.gov (United States)

Fedotov, Sergei; Panayides, Stephanos

2005-01-01

The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility “smile” can also be explained in terms of random arbitrage opportunities.

Industry Returns and the Fisher Effect.

OpenAIRE

Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F

1994-01-01

The authors investigate the cross-sectional relation between industry-sorted stock returns and expected inflation, and they find that this relation is linked to cyclical movements in industry output. Stock returns of noncyclical industries tend to covary positively with expected inflation, while the reverse holds for cyclical industries. From a theoretical perspective, the authors describe a model that captures both (1) the cross-sectional variation in these relations across industries and (2...

Modelling conditional correlations of asset returns: A smooth transition approach

DEFF Research Database (Denmark)

Silvennoinen, Annastiina; Teräsvirta, Timo

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is d......In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM......-test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of ve...

Time-varying linear control for tiltrotor aircraft

Directory of Open Access Journals (Sweden)

Jing ZHANG

2018-04-01

Full Text Available Tiltrotor aircraft have three flight modes: helicopter mode, airplane mode, and transition mode. A tiltrotor has characteristics of highly nonlinear, time-varying flight dynamics and inertial/control couplings in its transition mode. It can transit from the helicopter mode to the airplane mode by tilting its nacelles, and an effective controller is crucial to accomplish tilting transition missions. Longitudinal dynamic characteristics of the tiltrotor are described by a nonlinear Lagrange-form model, which takes into account inertial/control couplings and aerodynamic interferences. Reference commands for airspeed velocity and attitude in the transition mode are calculated dynamically by visiting a command library which is founded in advance by analyzing the flight envelope of the tiltrotor. A Time-Varying Linear (TVL model is obtained using a Taylor-expansion based online linearization technique from the nonlinear model. Subsequently, based on an optimal control concept, an online optimization based control method with input constraints considered is proposed. To validate the proposed control method, three typical tilting transition missions are simulated using the nonlinear model of XV-15 tiltrotor aircraft. Simulation results show that the controller can be used to control the tiltrotor throughout its operating envelop which includes a transition flight, and can also deal with vertical gust disturbances. Keywords: Constrained optimal control, Inertia/control couplings, Tiltrotor aircraft, Time-varying control, Transition mode

Modeling the Conditional Covariance between Stock and Bond Returns

NARCIS (Netherlands)

P. de Goeij (Peter); W.A. Marquering (Wessel)

2002-01-01

textabstractTo analyze the intertemporal interaction between the stock and bond market returns, we allow the conditional covariance matrix to vary over time according to a multivariate GARCH model similar to Bollerslev, Engle and Wooldridge (1988). We extend the model such that it allows for

Identification of Time-Varying Pilot Control Behavior in Multi-Axis Control Tasks

Science.gov (United States)

Zaal, Peter M. T.; Sweet, Barbara T.

2012-01-01

Recent developments in fly-by-wire control architectures for rotorcraft have introduced new interest in the identification of time-varying pilot control behavior in multi-axis control tasks. In this paper a maximum likelihood estimation method is used to estimate the parameters of a pilot model with time-dependent sigmoid functions to characterize time-varying human control behavior. An experiment was performed by 9 general aviation pilots who had to perform a simultaneous roll and pitch control task with time-varying aircraft dynamics. In 8 different conditions, the axis containing the time-varying dynamics and the growth factor of the dynamics were varied, allowing for an analysis of the performance of the estimation method when estimating time-dependent parameter functions. In addition, a detailed analysis of pilots adaptation to the time-varying aircraft dynamics in both the roll and pitch axes could be performed. Pilot control behavior in both axes was significantly affected by the time-varying aircraft dynamics in roll and pitch, and by the growth factor. The main effect was found in the axis that contained the time-varying dynamics. However, pilot control behavior also changed over time in the axis not containing the time-varying aircraft dynamics. This indicates that some cross coupling exists in the perception and control processes between the roll and pitch axes.

Scaling properties in time-varying networks with memory

Science.gov (United States)

Kim, Hyewon; Ha, Meesoon; Jeong, Hawoong

2015-12-01

The formation of network structure is mainly influenced by an individual node's activity and its memory, where activity can usually be interpreted as the individual inherent property and memory can be represented by the interaction strength between nodes. In our study, we define the activity through the appearance pattern in the time-aggregated network representation, and quantify the memory through the contact pattern of empirical temporal networks. To address the role of activity and memory in epidemics on time-varying networks, we propose temporal-pattern coarsening of activity-driven growing networks with memory. In particular, we focus on the relation between time-scale coarsening and spreading dynamics in the context of dynamic scaling and finite-size scaling. Finally, we discuss the universality issue of spreading dynamics on time-varying networks for various memory-causality tests.

Expectations, Worries and Wishes: The Challenges of Returning to Home after Initial Hospital Rehabilitation for Traumatic Spinal Cord Injury

DEFF Research Database (Denmark)

Noe, Bodil Bjørnshave; Bjerrum, Merete; Angel, Sanne

2014-01-01

patients to address while the patient is hospitalized in order to balance the patient’s expectations and to reveal what is of importance to the patient. This qualitative study explores the expectations, wishes and worries patients have before they return home after hospital rehabilitation due to TSCI...... four categories of barriers and problems: “facing uncertainty when leaving the rehabilitation center and peers”, “hoping to get back to work and safe economy”, “needing understanding from the community”, and “relying on resilience of significant others”. These categories were combined into one major...... theme: “relations”. The findings indicate that there is a need for professionals to address patients´ close relations and to initiate dialog with patients and their families on how SCI may impact close relations in order to promote a good life on new terms....

Finite-Time Stability of Large-Scale Systems with Interval Time-Varying Delay in Interconnection

Directory of Open Access Journals (Sweden)

T. La-inchua

2017-01-01

Full Text Available We investigate finite-time stability of a class of nonlinear large-scale systems with interval time-varying delays in interconnection. Time-delay functions are continuous but not necessarily differentiable. Based on Lyapunov stability theory and new integral bounding technique, finite-time stability of large-scale systems with interval time-varying delays in interconnection is derived. The finite-time stability criteria are delays-dependent and are given in terms of linear matrix inequalities which can be solved by various available algorithms. Numerical examples are given to illustrate effectiveness of the proposed method.

Stable Versus Unstable Grade II High Ankle Sprains: A Prospective Study Predicting the Need for Surgical Stabilization and Time to Return to Sports.

Science.gov (United States)

Calder, James D; Bamford, Richard; Petrie, Aviva; McCollum, Graham A

2016-04-01

II injuries and may be used to identify which athletes may benefit from early arthroscopic assessment and stabilization. They may also be important in predicting the time frame for athletes' expected return to play. Level II, prospective comparative study. Copyright © 2016 Arthroscopy Association of North America. Published by Elsevier Inc. All rights reserved.

Return Predictability, Model Uncertainty, and Robust Investment

DEFF Research Database (Denmark)

Lukas, Manuel

Stock return predictability is subject to great uncertainty. In this paper we use the model confidence set approach to quantify uncertainty about expected utility from investment, accounting for potential return predictability. For monthly US data and six representative return prediction models, we...... find that confidence sets are very wide, change significantly with the predictor variables, and frequently include expected utilities for which the investor prefers not to invest. The latter motivates a robust investment strategy maximizing the minimal element of the confidence set. The robust investor...... allocates a much lower share of wealth to stocks compared to a standard investor....

Modeling information diffusion in time-varying community networks

Science.gov (United States)

Cui, Xuelian; Zhao, Narisa

2017-12-01

Social networks are rarely static, and they typically have time-varying network topologies. A great number of studies have modeled temporal networks and explored social contagion processes within these models; however, few of these studies have considered community structure variations. In this paper, we present a study of how the time-varying property of a modular structure influences the information dissemination. First, we propose a continuous-time Markov model of information diffusion where two parameters, mobility rate and community attractiveness, are introduced to address the time-varying nature of the community structure. The basic reproduction number is derived, and the accuracy of this model is evaluated by comparing the simulation and theoretical results. Furthermore, numerical results illustrate that generally both the mobility rate and community attractiveness significantly promote the information diffusion process, especially in the initial outbreak stage. Moreover, the strength of this promotion effect is much stronger when the modularity is higher. Counterintuitively, it is found that when all communities have the same attractiveness, social mobility no longer accelerates the diffusion process. In addition, we show that the local spreading in the advantage group has been greatly enhanced due to the agglomeration effect caused by the social mobility and community attractiveness difference, which thus increases the global spreading.

Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?

OpenAIRE

Lakshmi Balasubramanyan

2005-01-01

Financial markets and their respective assets are so intertwined; analyzing any single market in isolation ignores important information. We investigate whether time varying volatility comovement and spillover impact the true variance-covariance matrix under a time-varying correlation set up. Statistically significant volatility spillover and comovement between US, UK and Japan is found. To demonstrate the importance of modelling volatility comovement and spillover, we look at a simple portfo...

Newtonian cosmology with a time-varying constant of gravitation

International Nuclear Information System (INIS)

McVittie, G.C.

1978-01-01

Newtonian cosmology is based on the Eulerian equations of fluid mechanics combined with Poisson's equation modified by the introduction of a time-varying G. Spherically symmetric model universes are worked out with instantaneously uniform densities. They are indeterminate unless instantaneous uniformity of the pressure is imposed. When G varies as an inverse power of the time, the models can in some cases be shown to depend on the solution of a second-order differential equation which also occurs in the Friedmann models of general relativity. In Section 3, a method for 'passing through' a singularity of this equation is proposed which entails making four arbitrary mathematical assumptions. When G varies as (time) -1 , models with initially cycloidal motion are possible, each cycle becoming longer as time progresses. Finally, gravitation becomes so weak that the model expands to infinity. Kinetic and potential energies for the whole model are derived from the basic equations; their sum is not constant. (author)

Modeling of Electricity Demand for Azerbaijan: Time-Varying Coefficient Cointegration Approach

Directory of Open Access Journals (Sweden)

Jeyhun I. Mikayilov

2017-11-01

Full Text Available Recent literature has shown that electricity demand elasticities may not be constant over time and this has investigated using time-varying estimation methods. As accurate modeling of electricity demand is very important in Azerbaijan, which is a transitional country facing significant change in its economic outlook, we analyze whether the response of electricity demand to income and price is varying over time in this economy. We employed the Time-Varying Coefficient cointegration approach, a cutting-edge time-varying estimation method. We find evidence that income elasticity demonstrates sizeable variation for the period of investigation ranging from 0.48% to 0.56%. The study has some useful policy implications related to the income and price aspects of the electricity consumption in Azerbaijan.

Financial Burden Associated with Time to Return to Work After Living Kidney Donation.

Science.gov (United States)

Larson, Dawn B; Wiseman, Jennifer F; Vock, David; Bergund, Danielle M; Roman, Ashley; Ibrahim, Hassan Nimer; Matas, Arthur J

2018-05-25

Many living kidney donors undertake a significant financial burden in order to donate. We studied the association between time to return to work and reported financial burden. Kidney donors, who donated from 2/2005 - through 12/2015 (n=1012) were surveyed 6 months postdonation, and asked about occupation; time to return to work; and financial burden (on a 10-point Likert scale). Of 856 donors working for pay, 629 (73%) responded. After adjusting for donor characteristics, increased length of time to return to work was a significant predictor of financial burden (pfinancial burden for each week away from work (p=0.003). Older age at donation and nondirected (vs directed) donation were associated with significantly decreased financial burden. These observations provide additional information to better inform donor candidates, and further emphasize the need to develop policies so that living kidney donation can be financially neutral. This article is protected by copyright. All rights reserved. This article is protected by copyright. All rights reserved.

When the wind goes out of the sail - declining recovery expectations in the first weeks of back pain.

Science.gov (United States)

Carstens, J K P; Shaw, W S; Boersma, K; Reme, S E; Pransky, G; Linton, S J

2014-02-01

Expectations for recovery are a known predictor for returning to work. Most studies seem to conclude that the higher the expectancy the better the outcome. However, the development of expectations over time is rarely researched and experimental studies show that realistic expectations rather than high expectancies are the most adaptive. This study aims to explore patterns of stability and change in expectations for recovery during the first weeks of a back-pain episode and how these patterns relate to other psychological variables and outcome. The study included 496 volunteer patients seeking treatment for work-related, acute back pain. The participants were measured with self-report scales of depression, fear of pain, life impact of pain, catastrophizing and expectations for recovery at two time points. A follow-up focusing on recovery and return to work was conducted 3 months later. A cluster analysis was conducted, categorizing the data on the trajectories of recovery expectations. Cluster analysis revealed four clusters regarding the development of expectations for recovery during a 2-week period after pain onset. Three out of four clusters showed stability in their expectations as well as corresponding levels of proximal psychological factors. The fourth cluster showed increases in distress and a decrease in expectations for recovery. This cluster also has poor odds ratios for returning to work and recovery. Decreases in expectancies for recovery seem as important as baseline values in terms of outcome, which has clinical and theoretical implications. © 2013 European Pain Federation - EFIC®

The Determinants of Return Migration: Evidence for Kosovo

Directory of Open Access Journals (Sweden)

Ardiana Gashi

2015-12-01

Full Text Available Return migration represents a potentially important contributor to economic development for countries that are large exporters of labor. This paper provides an analysis of the determinants of return migration to Kosovo, a country with an especially high level of recent emigration. The findings of this investigation suggest that there is a non-linear relationship between the age of the migrant and their probability of returning. In addition, the more educated migrants and those that have acquired additional education whilst abroad are more likely to return, whereas recent migrants, those that possess permanent resident status and have their family abroad are less likely to return. As expected, the stronger the family ties of a migrant with their home country, the more likely they are to return. Finally, migrants that are expected to invest in businesses in Kosovo are more inclined to return. Together these findings suggest that return migration may be an important contributor to economic development in Kosovo and policies are outlined that could strengthen this contribution.

A method to derive fixed budget results from expected optimisation times

DEFF Research Database (Denmark)

Doerr, Benjamin; Jansen, Thomas; Witt, Carsten

2013-01-01

At last year's GECCO a novel perspective for theoretical performance analysis of evolutionary algorithms and other randomised search heuristics was introduced that concentrates on the expected function value after a pre-defined number of steps, called budget. This is significantly different from...... the common perspective where the expected optimisation time is analysed. While there is a huge body of work and a large collection of tools for the analysis of the expected optimisation time the new fixed budget perspective introduces new analytical challenges. Here it is shown how results on the expected...... optimisation time that are strengthened by deviation bounds can be systematically turned into fixed budget results. We demonstrate our approach by considering the (1+1) EA on LeadingOnes and significantly improving previous results. We prove that deviating from the expected time by an additive term of ω(n3...

STOCK MARKET CRASH AND EXPECTATIONS OF AMERICAN HOUSEHOLDS*

Science.gov (United States)

HUDOMIET, PÉTER; KÉZDI, GÁBOR; WILLIS, ROBERT J.

2011-01-01

SUMMARY This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households’ expectations about the returns on the stock market index. We use data from the Health and Retirement Study that was fielded in February 2008 through February 2009. The effect of the crash is identified from the date of the interview, which is shown to be exogenous to previous stock market expectations. We estimate the effect of the crash on the population average of expected returns, the population average of the uncertainty about returns (subjective standard deviation), and the cross-sectional heterogeneity in expected returns (disagreement). We show estimates from simple reduced-form regressions on probability answers as well as from a more structural model that focuses on the parameters of interest and separates survey noise from relevant heterogeneity. We find a temporary increase in the population average of expectations and uncertainty right after the crash. The effect on cross-sectional heterogeneity is more significant and longer lasting, which implies substantial long-term increase in disagreement. The increase in disagreement is larger among the stockholders, the more informed, and those with higher cognitive capacity, and disagreement co-moves with trading volume and volatility in the market. PMID:21547244

STOCK MARKET CRASH AND EXPECTATIONS OF AMERICAN HOUSEHOLDS.

Science.gov (United States)

Hudomiet, Péter; Kézdi, Gábor; Willis, Robert J

2011-01-01

This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households' expectations about the returns on the stock market index. We use data from the Health and Retirement Study that was fielded in February 2008 through February 2009. The effect of the crash is identified from the date of the interview, which is shown to be exogenous to previous stock market expectations. We estimate the effect of the crash on the population average of expected returns, the population average of the uncertainty about returns (subjective standard deviation), and the cross-sectional heterogeneity in expected returns (disagreement). We show estimates from simple reduced-form regressions on probability answers as well as from a more structural model that focuses on the parameters of interest and separates survey noise from relevant heterogeneity. We find a temporary increase in the population average of expectations and uncertainty right after the crash. The effect on cross-sectional heterogeneity is more significant and longer lasting, which implies substantial long-term increase in disagreement. The increase in disagreement is larger among the stockholders, the more informed, and those with higher cognitive capacity, and disagreement co-moves with trading volume and volatility in the market.

Visualizing time-varying harmonics using filter banks

NARCIS (Netherlands)

Duque, C.A.; Da Silveira, P.M.; Ribeiro, P.F.

2011-01-01

Although it is well known that Fourier analysis is in reality only accurately applicable to steady state waveforms, it is a widely used tool to study and monitor time-varying signals, such as are commonplace in electrical power systems. The disadvantages of Fourier analysis, such as frequency

26 CFR 20.6151-1 - Time and place for paying tax shown on the return.

Science.gov (United States)

2010-04-01

... (CONTINUED) ESTATE AND GIFT TAXES ESTATE TAX; ESTATES OF DECEDENTS DYING AFTER AUGUST 16, 1954 Procedure and... the estate tax return is to be paid at the time and place fixed for filing the return (determined... place for filing the return, see §§ 20.6075-1 and 20.6091-1. For the duty of the executor to pay the tax...

Stabilization of the Wave Equation with Boundary Time-Varying Delay

Directory of Open Access Journals (Sweden)

Hao Li

2014-01-01

Full Text Available We study the stabilization of the wave equation with variable coefficients in a bounded domain and a time-varying delay term in the time-varying, weakly nonlinear boundary feedbacks. By the Riemannian geometry methods and a suitable assumption of nonlinearity, we obtain the uniform decay of the energy of the closed loop system.

Investigating Time-Varying Drivers of Grid Project Emissions Impacts

Energy Technology Data Exchange (ETDEWEB)

Barrett, Emily L.; Thayer, Brandon L.; Pal, Seemita; Studarus, Karen E.

2017-11-15

The emissions consequences of smart grid technologies depend heavily on their context and vary not only by geographical location, but by time of year. The same technology operated to meet the same objective may increase the emissions associated with energy generation for part of the year and decrease emissions during other times. The Grid Project Impact Quantification (GridPIQ) tool provides the ability to estimate these seasonal variations and garner insight into the time-varying drivers of grid project emissions impacts. This work leverages GridPIQ to examine the emissions implications across years and seasons of adding energy storage technology to reduce daily peak demand in California and New York.

"Wrath Will Drip in the Plains of Macedonia" : Expectations of Nero's Return in the Egyptian Sibylline Oracles (Book 5), 2 Thessalonians, and Ancient Historical Writings

NARCIS (Netherlands)

van Kooten, G.H.; Hilhorst, A.; van Kooten, G.H.

2005-01-01

George H. van Kooten, “‘Wrath Will Drip in the Plains of Macedonia’: Expectations of Nero’s Return in the Egyptian Sibylline Oracles (Book 5), 2 Thessalonians, and Ancient Historical Writings,” in The Wisdom of Egypt: Jewish, Early Christian, and Gnostic Essays in Honour of Gerard P. Luttikhuizen

Landscape diversity and the resilience of agricultural returns: a portfolio analysis of land-use patterns and economic returns from lowland agriculture

Directory of Open Access Journals (Sweden)

Abson David J

2013-01-01

Full Text Available Abstract Background Conventional agriculture is increasingly based on highly specialized, highly productive farms. It has been suggested that 1 this specialization leads to farms that lack resilience to changing market and environmental conditions; and 2 that by decreasing agricultural diversity, the resilience of the farming system also decreases. Methods We used agricultural gross margin (GM forecasts from 1966 to 2010 and remote sensing data from agricultural landscapes in the lowland UK, in conjunction with modern portfolio theory, to test the hypothesis that decreasing land-use diversity results in landscapes that provide higher, but more volatile, economic returns. We considered the role of spatial scale on the expected levels of volatility and resilience of agricultural returns. Results We found that: 1 there was a strong linear trade-off between expected GMs and the expected volatility of those GMs in real lowland agricultural landscapes in the UK; 2 land-use diversification was negatively correlated with expected GMs from agriculture, and positively correlated with decreasing expected volatility in GMs; 3 the resilience of agricultural returns was positively correlated with the diversity of agricultural land use, and the resilience of agricultural returns rose quickly with increased land-holding size at small spatial extents, but this effect diminished after landholdings reached 12,000 hectares. Conclusions Land-use diversity may have an important role in ensuring resilient agricultural returns in the face of uncertain market and environmental conditions, and land-holding size plays a pivotal role in determining the relationships between resilience and returns at a landscape scale. Creating finer-grained land-use patterns based on pre-existing local land uses may increase the resilience of individual farms, while maintaining aggregate yield across landscapes.

Effective return, risk aversion and drawdowns

Science.gov (United States)

Dacorogna, Michel M.; Gençay, Ramazan; Müller, Ulrich A.; Pictet, Olivier V.

2001-01-01

We derive two risk-adjusted performance measures for investors with risk averse preferences. Maximizing these measures is equivalent to maximizing the expected utility of an investor. The first measure, Xeff, is derived assuming a constant risk aversion while the second measure, Reff, is based on a stronger risk aversion to clustering of losses than of gains. The clustering of returns is captured through a multi-horizon framework. The empirical properties of Xeff, Reff are studied within the context of real-time trading models for foreign exchange rates and their properties are compared to those of more traditional measures like the annualized return, the Sharpe Ratio and the maximum drawdown. Our measures are shown to be more robust against clustering of losses and have the ability to fully characterize the dynamic behaviour of investment strategies.

Nonlinear recurrent neural networks for finite-time solution of general time-varying linear matrix equations.

Science.gov (United States)

Xiao, Lin; Liao, Bolin; Li, Shuai; Chen, Ke

2018-02-01

In order to solve general time-varying linear matrix equations (LMEs) more efficiently, this paper proposes two nonlinear recurrent neural networks based on two nonlinear activation functions. According to Lyapunov theory, such two nonlinear recurrent neural networks are proved to be convergent within finite-time. Besides, by solving differential equation, the upper bounds of the finite convergence time are determined analytically. Compared with existing recurrent neural networks, the proposed two nonlinear recurrent neural networks have a better convergence property (i.e., the upper bound is lower), and thus the accurate solutions of general time-varying LMEs can be obtained with less time. At last, various different situations have been considered by setting different coefficient matrices of general time-varying LMEs and a great variety of computer simulations (including the application to robot manipulators) have been conducted to validate the better finite-time convergence of the proposed two nonlinear recurrent neural networks. Copyright © 2017 Elsevier Ltd. All rights reserved.

Identification of flow paths and quantification of return flow volumes and timing at field scale

Science.gov (United States)

Claes, N.; Paige, G. B.; Parsekian, A.

2017-12-01

Flood irrigation, which constitutes a large part of agricultural water use, accounts for a significant amount of the water that is diverted from western streams. Return flow, the portion of the water applied to irrigated areas that returns to the stream, is important for maintaining base flows in streams and ecological function of riparian zones and wetlands hydrologically linked with streams. Prediction of timing and volumes of return flow during and after flood irrigation pose a challenge due to the heterogeneity of pedogenic and soil physical factors that influence vadose zone processes. In this study, we quantify volumes of return flow and potential pathways in the subsurface through a vadose zone flow model that is informed by both hydrological and geophysical observations in a Bayesian setting. We couple a two-dimensional vadose zone flow model through a Bayesian Markov Chain Monte Carlo approach with time lapse ERT, borehole NMR datasets that are collected during and after flood irrigation experiments, and soil physical lab analysis. The combination of both synthetic models and field observations leads to flow path identification and allows for quantification of volumes and timing and associated uncertainties of subsurface return that stems from flood irrigation. The quantification of the impact of soil heterogeneity enables us to translate these results to other sites and predict return flow under different soil physical settings. This is key when managing irrigation water resources and predictions of outcomes of different scenarios have to be evaluated.

Continuous time modelling with individually varying time intervals for oscillating and non-oscillating processes.

Science.gov (United States)

Voelkle, Manuel C; Oud, Johan H L

2013-02-01

When designing longitudinal studies, researchers often aim at equal intervals. In practice, however, this goal is hardly ever met, with different time intervals between assessment waves and different time intervals between individuals being more the rule than the exception. One of the reasons for the introduction of continuous time models by means of structural equation modelling has been to deal with irregularly spaced assessment waves (e.g., Oud & Delsing, 2010). In the present paper we extend the approach to individually varying time intervals for oscillating and non-oscillating processes. In addition, we show not only that equal intervals are unnecessary but also that it can be advantageous to use unequal sampling intervals, in particular when the sampling rate is low. Two examples are provided to support our arguments. In the first example we compare a continuous time model of a bivariate coupled process with varying time intervals to a standard discrete time model to illustrate the importance of accounting for the exact time intervals. In the second example the effect of different sampling intervals on estimating a damped linear oscillator is investigated by means of a Monte Carlo simulation. We conclude that it is important to account for individually varying time intervals, and encourage researchers to conceive of longitudinal studies with different time intervals within and between individuals as an opportunity rather than a problem. © 2012 The British Psychological Society.

Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach

Science.gov (United States)

Gu, Huaying; Liu, Zhixue; Weng, Yingliang

2017-04-01

The present study applies the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) with spatial effects approach for the analysis of the time-varying conditional correlations and contagion effects among global real estate markets. A distinguishing feature of the proposed model is that it can simultaneously capture the spatial interactions and the dynamic conditional correlations compared with the traditional MGARCH models. Results reveal that the estimated dynamic conditional correlations have exhibited significant increases during the global financial crisis from 2007 to 2009, thereby suggesting contagion effects among global real estate markets. The analysis further indicates that the returns of the regional real estate markets that are in close geographic and economic proximities exhibit strong co-movement. In addition, evidence of significantly positive leverage effects in global real estate markets is also determined. The findings have significant implications on global portfolio diversification opportunities and risk management practices.

Consequences of varied soil hydraulic and meteorological complexity on unsaturated zone time lag estimates.

Science.gov (United States)

Vero, S E; Ibrahim, T G; Creamer, R E; Grant, J; Healy, M G; Henry, T; Kramers, G; Richards, K G; Fenton, O

2014-12-01

The true efficacy of a programme of agricultural mitigation measures within a catchment to improve water quality can be determined only after a certain hydrologic time lag period (subsequent to implementation) has elapsed. As the biophysical response to policy is not synchronous, accurate estimates of total time lag (unsaturated and saturated) become critical to manage the expectations of policy makers. The estimation of the vertical unsaturated zone component of time lag is vital as it indicates early trends (initial breakthrough), bulk (centre of mass) and total (Exit) travel times. Typically, estimation of time lag through the unsaturated zone is poor, due to the lack of site specific soil physical data, or by assuming saturated conditions. Numerical models (e.g. Hydrus 1D) enable estimates of time lag with varied levels of input data. The current study examines the consequences of varied soil hydraulic and meteorological complexity on unsaturated zone time lag estimates using simulated and actual soil profiles. Results indicated that: greater temporal resolution (from daily to hourly) of meteorological data was more critical as the saturated hydraulic conductivity of the soil decreased; high clay content soils failed to converge reflecting prevalence of lateral component as a contaminant pathway; elucidation of soil hydraulic properties was influenced by the complexity of soil physical data employed (textural menu, ROSETTA, full and partial soil water characteristic curves), which consequently affected time lag ranges; as the importance of the unsaturated zone increases with respect to total travel times the requirements for high complexity/resolution input data become greater. The methodology presented herein demonstrates that decisions made regarding input data and landscape position will have consequences for the estimated range of vertical travel times. Insufficiencies or inaccuracies regarding such input data can therefore mislead policy makers regarding

Lyapunov Functions to Caputo Fractional Neural Networks with Time-Varying Delays

Directory of Open Access Journals (Sweden)

Ravi Agarwal

2018-05-01

Full Text Available One of the main properties of solutions of nonlinear Caputo fractional neural networks is stability and often the direct Lyapunov method is used to study stability properties (usually these Lyapunov functions do not depend on the time variable. In connection with the Lyapunov fractional method we present a brief overview of the most popular fractional order derivatives of Lyapunov functions among Caputo fractional delay differential equations. These derivatives are applied to various types of neural networks with variable coefficients and time-varying delays. We show that quadratic Lyapunov functions and their Caputo fractional derivatives are not applicable in some cases when one studies stability properties. Some sufficient conditions for stability of equilibrium of nonlinear Caputo fractional neural networks with time dependent transmission delays, time varying self-regulating parameters of all units and time varying functions of the connection between two neurons in the network are obtained. The cases of time varying Lipschitz coefficients as well as nonLipschitz activation functions are studied. We illustrate our theory on particular nonlinear Caputo fractional neural networks.

The necessity for a time local dimension in systems with time-varying attractors

DEFF Research Database (Denmark)

Særmark, Knud H; Ashkenazy, Y; Levitan, J

1997-01-01

We show that a simple non-linear system for ordinary differential equations may possess a time-varying attractor dimension. This indicates that it is infeasible to characterize EEG and MEG time series with a single time global dimension. We suggest another measure for the description of non...

Effectiveness of Securities with Fuzzy Probabilistic Return

Directory of Open Access Journals (Sweden)

Krzysztof Piasecki

2011-01-01

Full Text Available The generalized fuzzy present value of a security is defined here as fuzzy valued utility of cash flow. The generalized fuzzy present value cannot depend on the value of future cash flow. There exists such a generalized fuzzy present value which is not a fuzzy present value in the sense given by some authors. If the present value is a fuzzy number and the future value is a random one, then the return rate is given as a probabilistic fuzzy subset on a real line. This kind of return rate is called a fuzzy probabilistic return. The main goal of this paper is to derive the family of effective securities with fuzzy probabilistic return. Achieving this goal requires the study of the basic parameters characterizing fuzzy probabilistic return. Therefore, fuzzy expected value and variance are determined for this case of return. These results are a starting point for constructing a three-dimensional image. The set of effective securities is introduced as the Pareto optimal set determined by the maximization of the expected return rate and minimization of the variance. Finally, the set of effective securities is distinguished as a fuzzy set. These results are obtained without the assumption that the distribution of future values is Gaussian. (original abstract

Who has really paid for the Reconstruction of East Germany? Expected and Realized Returns on Real Estate Investments in East and West Germany in the 1990s

Directory of Open Access Journals (Sweden)

Dirk Kiesewetter

2009-05-01

Full Text Available We evaluate the profitability of investments in residential property in Germany after unification with a focus on the comparison of East and West Germany. Calculations are carried out for (1 the after-tax return an investor might have expected at the beginning of the 1990s, and (2 the after-tax return that has been realized ten years after. We compare a set of statistical data for investments in fifty major cities by using complete financial budgeting. The results show that tax subsidies could not always protect investors from losing money, but they have boosted realized returns after tax considerably. Therefore, it was indeed the taxpayers, not the investors, who have borne the cost of reconstructing East Germany.

The future of retirement and the pension system : How the public's expectations vary over time and across socio-economic groups

NARCIS (Netherlands)

Bissonnette, L.; van Soest, A.H.O.

2012-01-01

We analyze expectations of the Dutch population ages 25 and older concerning future generosity of state and occupational pensions, the main pillars of the Dutch pension system. We use rotating panel data with monthly observations from 2006 until 2012 on individuals’ subjective expectations

Flexible time-varying filter banks

Science.gov (United States)

Tuncer, Temel E.; Nguyen, Truong Q.

1993-09-01

Linear phase maximally flat FIR Butterworth filter approximations are discussed and a new filter design method is introduced. This variable cutoff filter design method uses the cosine modulated versions of a prototype filter. The design procedure is simple and different variants of this procedure can be used to obtain close to optimum linear phase filters. Using this method, flexible time-varying filter banks with good reconstruction error are introduced. These types of oversampled filter banks have small magnitude error which can be easily controlled by the appropriate choice of modulation frequency. This error can be further decreased by magnitude equalization without increasing the computational complexity considerably. Two dimensional design examples are also given.

A New Time-varying Concept of Risk in a Changing Climate

Science.gov (United States)

Sarhadi, Ali; Ausín, María Concepción; Wiper, Michael P.

2016-10-01

In a changing climate arising from anthropogenic global warming, the nature of extreme climatic events is changing over time. Existing analytical stationary-based risk methods, however, assume multi-dimensional extreme climate phenomena will not significantly vary over time. To strengthen the reliability of infrastructure designs and the management of water systems in the changing environment, multidimensional stationary risk studies should be replaced with a new adaptive perspective. The results of a comparison indicate that current multi-dimensional stationary risk frameworks are no longer applicable to projecting the changing behaviour of multi-dimensional extreme climate processes. Using static stationary-based multivariate risk methods may lead to undesirable consequences in designing water system infrastructures. The static stationary concept should be replaced with a flexible multi-dimensional time-varying risk framework. The present study introduces a new multi-dimensional time-varying risk concept to be incorporated in updating infrastructure design strategies under changing environments arising from human-induced climate change. The proposed generalized time-varying risk concept can be applied for all stochastic multi-dimensional systems that are under the influence of changing environments.

A New Time-varying Concept of Risk in a Changing Climate.

Science.gov (United States)

Sarhadi, Ali; Ausín, María Concepción; Wiper, Michael P

2016-10-20

In a changing climate arising from anthropogenic global warming, the nature of extreme climatic events is changing over time. Existing analytical stationary-based risk methods, however, assume multi-dimensional extreme climate phenomena will not significantly vary over time. To strengthen the reliability of infrastructure designs and the management of water systems in the changing environment, multidimensional stationary risk studies should be replaced with a new adaptive perspective. The results of a comparison indicate that current multi-dimensional stationary risk frameworks are no longer applicable to projecting the changing behaviour of multi-dimensional extreme climate processes. Using static stationary-based multivariate risk methods may lead to undesirable consequences in designing water system infrastructures. The static stationary concept should be replaced with a flexible multi-dimensional time-varying risk framework. The present study introduces a new multi-dimensional time-varying risk concept to be incorporated in updating infrastructure design strategies under changing environments arising from human-induced climate change. The proposed generalized time-varying risk concept can be applied for all stochastic multi-dimensional systems that are under the influence of changing environments.

Time-Varying Networks of Inter-Ictal Discharging Reveal Epileptogenic Zone.

Science.gov (United States)

Zhang, Luyan; Liang, Yi; Li, Fali; Sun, Hongbin; Peng, Wenjing; Du, Peishan; Si, Yajing; Song, Limeng; Yu, Liang; Xu, Peng

2017-01-01

The neuronal synchronous discharging may cause an epileptic seizure. Currently, most of the studies conducted to investigate the mechanism of epilepsy are based on EEGs or functional magnetic resonance imaging (fMRI) recorded during the ictal discharging or the resting-state, and few studies have probed into the dynamic patterns during the inter-ictal discharging that are much easier to record in clinical applications. Here, we propose a time-varying network analysis based on adaptive directed transfer function to uncover the dynamic brain network patterns during the inter-ictal discharging. In addition, an algorithm based on the time-varying outflow of information derived from the network analysis is developed to detect the epileptogenic zone. The analysis performed revealed the time-varying network patterns during different stages of inter-ictal discharging; the epileptogenic zone was activated prior to the discharge onset then worked as the source to propagate the activity to other brain regions. Consistence between the epileptogenic zones detected by our proposed approach and the actual epileptogenic zones proved that time-varying network analysis could not only reveal the underlying neural mechanism of epilepsy, but also function as a useful tool in detecting the epileptogenic zone based on the EEGs in the inter-ictal discharging.

Stock Returns and Risk: Evidence from Quantile

Directory of Open Access Journals (Sweden)

Thomas C. Chiang

2012-12-01

Full Text Available This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The evidence also suggests that intraday skewness plays a dominant role in explaining the variations of excess returns.

Workers' beliefs and expectations affect return to work over 12 months

NARCIS (Netherlands)

Heymans, M.W.; Vet, H.C.W. de; Knol, D.L.; Bongers, P.M.; Koes, B.W.; Mechelen, W. van

2006-01-01

Background: Successful management of workers on sick leave due to low back pain depends on the identification by the occupational physician of modifiable prognostic factors in the early phase of sick-leave. The prognostic value of factors which influence the course of low back pain and return to

Modeling polar cap F-region patches using time varying convection

International Nuclear Information System (INIS)

Sojka, J.J.; Bowline, M.D.; Schunk, R.W.; Decker, D.T.; Valladares, C.E.; Sheehan, R.; Anderson, D.N.; Heelis, R.A.

1993-01-01

Here the authors present the results of computerized simulations of the polar cap regions which were able to model the formation of polar cap patches. They used the Utah State University Time-Dependent Ionospheric Model (TDIM) and the Phillips Laboratory (PL) F-region models in this work. By allowing a time varying magnetospheric electric field in the models, they were able to generate the patches. This time varying field generates a convection in the ionosphere. This convection is similar to convective changes observed in the ionosphere at times of southward pointing interplanetary magnetic field, due to changes in the B y component of the IMF

Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas

Directory of Open Access Journals (Sweden)

Beatriz Vaz de Melo Mendes

2005-12-01

Full Text Available It is now widespread the use of Value-at-Risk (VaR as a canonical measure at risk. Most accurate VaR measures make use of some volatility model such as GARCH-type models. However, the pattern of volatility dynamic of a portfolio follows from the (univariate behavior of the risk assets, as well as from the type and strength of the associations among them. Moreover, the dependence structure among the components may change conditionally t past observations. Some papers have attempted to model this characteristic by assuming a multivariate GARCH model, or by considering the conditional correlation coefficient, or by incorporating some possibility for switches in regimes. In this paper we address this problem using time-varying copulas. Our modeling strategy allows for the margins to follow some FIGARCH type model while the copula dependence structure changes over time.

Co-Movement of Major Commodity Price Returns : Time-Series Assessment

OpenAIRE

de Nicola, Francesca; De Pace, Pierangelo; Hernandez, Manuel A.

2014-01-01

This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time-evolution of uncondi...

The Response of Australian Stock, Foreign Exchange and Bond Markets to Foreign Asset Returns and Volatilities

OpenAIRE

Paul D. McNelis

1993-01-01

This paper is a data-analytic study of the relationships among international asset price volatilities and the time-varying correlations of asset returns in a small open economy (Australia) with international asset returns. Making use of recent developments in time-series approaches to volatility estimation, impulse response functions, variance decomposition, and Kalman filtering, I show that the Australian stock market volatility is most closely linked with volatility in the UK stock market, ...

Components of attention modulated by temporal expectation

DEFF Research Database (Denmark)

Sørensen, Thomas Alrik; Vangkilde, Signe Allerup; Bundesen, Claus

2015-01-01

By varying the probabilities that a stimulus would appear at particular times after the presentation of a cue and modeling the data by the theory of visual attention (Bundesen, 1990), Vangkilde, Coull, and Bundesen (2012) provided evidence that the speed of encoding a singly presented stimulus...... letter into visual short-term memory (VSTM) is modulated by the observer’s temporal expectations. We extended the investigation from single-stimulus recognition to whole report (Experiment 1) and partial report (Experiment 2). Cue–stimulus foreperiods were distributed geometrically using time steps...... of 500 ms. In high expectancy conditions, the probability that the stimulus would appear on the next time step, given that it had not yet appeared, was high, whereas in low expectancy conditions, the probability was low. The speed of encoding the stimuli into VSTM was higher in the high expectancy...

Electromagnetic radiation in a time-varying background medium

NARCIS (Netherlands)

Budko, N.V.

2009-01-01

Analytical solutions are presented for the electromagnetic radiation by an arbitrary pulsed source into a homogeneous time-varying background medium. In the constant-impedance case an explicit radiation formula is obtained for the synchronous permittivity and permeability described by any positive

Housing Cycles in Switzerland - A Time-Varying Approach

OpenAIRE

Drechsel, Dirk

2015-01-01

In light of the strong increase of house prices in Switzerland, we analyze the effects of mortgage rate shocks, changes in the interplay between housing demand and supply and GDP growth on house prices for the time period 1981- 2014. We employ Bayesian time-varying coefficients vector autoregressions to allow different monetary and immigration regimes over time. A number of structural changes, such as regulatory changes in the aftermath of the 1990s real estate crisis, the introduction of fre...

Time varying, multivariate volume data reduction

Energy Technology Data Exchange (ETDEWEB)

Ahrens, James P [Los Alamos National Laboratory; Fout, Nathaniel [UC DAVIS; Ma, Kwan - Liu [UC DAVIS

2010-01-01

Large-scale supercomputing is revolutionizing the way science is conducted. A growing challenge, however, is understanding the massive quantities of data produced by large-scale simulations. The data, typically time-varying, multivariate, and volumetric, can occupy from hundreds of gigabytes to several terabytes of storage space. Transferring and processing volume data of such sizes is prohibitively expensive and resource intensive. Although it may not be possible to entirely alleviate these problems, data compression should be considered as part of a viable solution, especially when the primary means of data analysis is volume rendering. In this paper we present our study of multivariate compression, which exploits correlations among related variables, for volume rendering. Two configurations for multidimensional compression based on vector quantization are examined. We emphasize quality reconstruction and interactive rendering, which leads us to a solution using graphics hardware to perform on-the-fly decompression during rendering. In this paper we present a solution which addresses the need for data reduction in large supercomputing environments where data resulting from simulations occupies tremendous amounts of storage. Our solution employs a lossy encoding scheme to acrueve data reduction with several options in terms of rate-distortion behavior. We focus on encoding of multiple variables together, with optional compression in space and time. The compressed volumes can be rendered directly with commodity graphics cards at interactive frame rates and rendering quality similar to that of static volume renderers. Compression results using a multivariate time-varying data set indicate that encoding multiple variables results in acceptable performance in the case of spatial and temporal encoding as compared to independent compression of variables. The relative performance of spatial vs. temporal compression is data dependent, although temporal compression has the

A Tentative Application Of Morphological Filters To Time-Varying Images

Science.gov (United States)

Billard, D.; Poquillon, B.

1989-03-01

In this paper, morphological filters, which are commonly used to process either 2D or multidimensional static images, are generalized to the analysis of time-varying image sequence. The introduction of the time dimension induces then interesting prop-erties when designing such spatio-temporal morphological filters. In particular, the specification of spatio-temporal structuring ele-ments (equivalent to time-varying spatial structuring elements) can be adjusted according to the temporal variations of the image sequences to be processed : this allows to derive specific morphological transforms to perform noise filtering or moving objects discrimination on dynamic images viewed by a non-stationary sensor. First, a brief introduction to the basic principles underlying morphological filters will be given. Then, a straightforward gener-alization of these principles to time-varying images will be pro-posed. This will lead us to define spatio-temporal opening and closing and to introduce some of their possible applications to process dynamic images. At last, preliminary results obtained us-ing a natural forward looking infrared (FUR) image sequence are presented.

Projected space-time and varying speed of light

International Nuclear Information System (INIS)

Iovane, G.; Bellucci, S.; Benedetto, E.

2008-01-01

In this paper starting from El Naschie's Cantorian space-time and our model of projected Universe, we consider its properties in connection with varying speed of light. A possible way-out of the related problem is provided by the Fantappie group approach

Linking melodic expectation to expressive performance timing and perceived musical tension.

Science.gov (United States)

Gingras, Bruno; Pearce, Marcus T; Goodchild, Meghan; Dean, Roger T; Wiggins, Geraint; McAdams, Stephen

2016-04-01

This research explored the relations between the predictability of musical structure, expressive timing in performance, and listeners' perceived musical tension. Studies analyzing the influence of expressive timing on listeners' affective responses have been constrained by the fact that, in most pieces, the notated durations limit performers' interpretive freedom. To circumvent this issue, we focused on the unmeasured prelude, a semi-improvisatory genre without notated durations. In Experiment 1, 12 professional harpsichordists recorded an unmeasured prelude on a harpsichord equipped with a MIDI console. Melodic expectation was assessed using a probabilistic model (IDyOM [Information Dynamics of Music]) whose expectations have been previously shown to match closely those of human listeners. Performance timing information was extracted from the MIDI data using a score-performance matching algorithm. Time-series analyses showed that, in a piece with unspecified note durations, the predictability of melodic structure measurably influenced tempo fluctuations in performance. In Experiment 2, another 10 harpsichordists, 20 nonharpsichordist musicians, and 20 nonmusicians listened to the recordings from Experiment 1 and rated the perceived tension continuously. Granger causality analyses were conducted to investigate predictive relations among melodic expectation, expressive timing, and perceived tension. Although melodic expectation, as modeled by IDyOM, modestly predicted perceived tension for all participant groups, neither of its components, information content or entropy, was Granger causal. In contrast, expressive timing was a strong predictor and was Granger causal. However, because melodic expectation was also predictive of expressive timing, our results outline a complete chain of influence from predictability of melodic structure via expressive performance timing to perceived musical tension. (PsycINFO Database Record (c) 2016 APA, all rights reserved).

RASIO KEUANGAN PENGUKUR KINERJA PERUSAHAAN DAN DAMPAKNYA TERHADAP EKSPEKTASI RETURN SAHAM

Directory of Open Access Journals (Sweden)

Yarnest Yarnest

2017-03-01

Full Text Available This research was intended to know and to describe BUMN firm performance listed at Indonesian Stock Exchange.It measured finance ratios and its impact to expectation return good stock partially and simultaneously.This observational object was corporate BUMN listed at Indonesian Stock Exchange, period 2005-2009. Thisresearch used design ex post facto. Exhaustive observational corporate BUMN listed at Indonesian Stock Exchange(BEI were 13 firms. Because of little population, the method used was census method. Analysis techniquesused were analysis multiple regression, quiz f and quiz t, data processing by programs Aviews version 6.0. Theresult of observation showed that liquidity ratio, leverage ratio, activity ratio, profitability ratio and stock ratiocould measure simultaneous firm and performance impacted significant to expectation return stock. Activityratio consisted of average collection period and inventory turnover and stock ratio consisted of price earning ratioand book value per share partially impacted significant to expectation return stock. Meanwhile ratio was liquidity,leverage ratio. Profitability ratio partially did not impact significantly to expectation return stock. Stock ratiomeasured by book value per share constituting impacted as the dominant factor on exspectation return stock.

An Explicit MOT-TD-VIE Solver for Time Varying Media

KAUST Repository

Sayed, Sadeed Bin; Ulku, Huseyin Arda; Bagci, Hakan

2016-01-01

An explicit marching on-in-time (MOT) scheme for solving the time domain electric field integral equation enforced on volumes with time varying dielectric permittivity is proposed. Unknowns of the integral equation and the constitutive relation, i

Epidemic spreading in time-varying community networks.

Science.gov (United States)

Ren, Guangming; Wang, Xingyuan

2014-06-01

The spreading processes of many infectious diseases have comparable time scale as the network evolution. Here, we present a simple networks model with time-varying community structure, and investigate susceptible-infected-susceptible epidemic spreading processes in this model. By both theoretic analysis and numerical simulations, we show that the efficiency of epidemic spreading in this model depends intensively on the mobility rate q of the individuals among communities. We also find that there exists a mobility rate threshold qc. The epidemic will survive when q > qc and die when q epidemic spreading in complex networks with community structure.

The importance of patient expectations as a determinant of satisfaction with waiting times for hip and knee replacement surgery.

Science.gov (United States)

Conner-Spady, Barbara L; Sanmartin, Claudia; Johnston, Geoffrey H; McGurran, John J; Kehler, Melissa; Noseworthy, Tom W

2011-08-01

The disconfirmation model hypothesizes that satisfaction is a function of a perceived discrepancy from an initial expectation. Our objectives were: (1) to test the disconfirmation model as it applies to patient satisfaction with waiting time (WT) and (2) to build an explanatory model of the determinants of satisfaction with WT for hip and knee replacement. We mailed 1000 questionnaires to 2 random samples: patients waiting or those who had received a joint replacement within the preceding 3-12 months. We used ordinal logistic regression analysis to build an explanatory model of the determinants of satisfaction. Of the 1330 returned surveys, 1240 contained patient satisfaction data. The sample was 57% female; mean age was 70 years (SD 11). Consistent with the disconfirmation model, when their WTs were longer than expected, both waiting (OR 5.77, 95% CI 3.57-9.32) and post-surgery patients (OR 6.57, 95% CI 4.21-10.26) had greater odds of dissatisfaction, adjusting for the other variables in the model. Compared to those who waited 3 months or less, post-surgery patients who waited 6 to 12 months (OR 2.59, 95% CI 1.27-5.27) and over 12 months (OR 3.30, 95% CI 1.65-6.58) had greater odds of being dissatisfied with their waiting time. Patients who felt they were treated unfairly had greater odds of being dissatisfied (OR 4.74, 95% CI 2.60-8.62). In patients on waiting lists and post-surgery for hip and knee replacement, satisfaction with waiting times is related to fulfillment of expectations about waiting, as well as a perception of fairness. Measures to modify expectations and increase perceived fairness, such as informing patients of a realistic WT and communication during the waiting period, may increase satisfaction with WTs. Copyright © 2011 Elsevier Ireland Ltd. All rights reserved.

Calculation of rectal dose surface histograms in the presence of time varying deformations

International Nuclear Information System (INIS)

Roeske, John C.; Spelbring, Danny R.; Vijayakumar, S.; Forman, Jeffrey D.; Chen, George T.Y.

1996-01-01

arrangement and weights used for each field. Two dose gradients exist, a slowly varying gradient (e.g. within the high dose volume) and rapidly varying gradient (e.g. dose gradient from the field edges). Superimposed on this variation are the sampling points from a deformable hollow organ, which can translate and deform in both slow and rapidly varying regions of dose. The individual scan nDSHs and average nDSH summarize the effects of these variations. Conclusion: The initial DSH for the rectum in a given plan can vary by 8% for moderate to high dose in comparison to the time averaged nDSH. The effect on NTCP is expected to be relatively small, but it is important to note that at any given instant of time, uncertainty in the absolute surface area of a structure at a given dose can vary by as much as 20% due to distortion and movement

Electricity Futures Prices : Time Varying Sensitivity to Fundamentals

NARCIS (Netherlands)

S-E. Fleten (Stein-Erik); R. Huisman (Ronald); M. Kilic (Mehtap); H.P.G. Pennings (Enrico); S. Westgaard (Sjur)

2014-01-01

textabstractThis paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the form of prices of contracts for fossil fuels. As supply curves are not constant and different producers have different marginal costs of production, we argue that the

Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis

DEFF Research Database (Denmark)

Irarrazabal, Alfonso; Parra-Alvarez, Juan Carlos

This paper revisits the fit of disaster risk models where a representative agent has recursive preferences and the probability of a macroeconomic disaster changes over time. We calibrate the model as in Wachter (2013) and perform two sets of tests to assess the empirical performance of the model ...... and hence to reduce the Sharpe Ratio, a lower elasticity of substitution generates a more reasonable level for the equity risk premium and for the volatility of the government bond returns without compromising the ability of the price-dividend ratio to predict excess returns....

Discrete-Time Sliding-Mode Control of Uncertain Systems with Time-Varying Delays via Descriptor Approach

Directory of Open Access Journals (Sweden)

Maode Yan

2008-01-01

Full Text Available This paper considers the problem of robust discrete-time sliding-mode control (DT-SMC design for a class of uncertain linear systems with time-varying delays. By applying a descriptor model transformation and Moon's inequality for bounding cross terms, a delay-dependent sufficient condition for the existence of stable sliding surface is given in terms of linear matrix inequalities (LMIs. Based on this existence condition, the synthesized sliding mode controller can guarantee the sliding-mode reaching condition of the specified discrete-time sliding surface for all admissible uncertainties and time-varying delays. An illustrative example verifies the effectiveness of the proposed method.

Managing risk and expected financial return from selective expansion of operating room capacity: mean-variance analysis of a hospital's portfolio of surgeons.

Science.gov (United States)

Dexter, Franklin; Ledolter, Johannes

2003-07-01

Surgeons using the same amount of operating room (OR) time differ in their achieved hospital contribution margins (revenue minus variable costs) by >1000%. Thus, to improve the financial return from perioperative facilities, OR strategic decisions should selectively focus additional OR capacity and capital purchasing on a few surgeons or subspecialties. These decisions use estimates of each surgeon's and/or subspecialty's contribution margin per OR hour. The estimates are subject to uncertainty (e.g., from outliers). We account for the uncertainties by using mean-variance portfolio analysis (i.e., quadratic programming). This method characterizes the problem of selectively expanding OR capacity based on the expected financial return and risk of different portfolios of surgeons. The assessment reveals whether the choices, of which surgeons have their OR capacity expanded, are sensitive to the uncertainties in the surgeons' contribution margins per OR hour. Thus, mean-variance analysis reduces the chance of making strategic decisions based on spurious information. We also assess the financial benefit of using mean-variance portfolio analysis when the planned expansion of OR capacity is well diversified over at least several surgeons or subspecialties. Our results show that, in such circumstances, there may be little benefit from further changing the portfolio to reduce its financial risk. Surgeon and subspecialty specific hospital financial data are uncertain, a fact that should be taken into account when making decisions about expanding operating room capacity. We show that mean-variance portfolio analysis can incorporate this uncertainty, thereby guiding operating room management decision-making and reducing the chance of a strategic decision being made based on spurious information.

Income, self-selection, and return and onward interprovincial migration in Canada.

Science.gov (United States)

Newbold, K B

1996-06-01

"Estimated returns to migration based on comparison of individual migrants may be biased owing to self-selection in the migration process. Using data derived from the 1986 Canadian census, I will study the effects of expected wage differentials in determining the return or onward migration decision of nonnative adults aged 20 to 64 years. Evidence was found that return migrations were in the 'right' direction, as they are observed to respond to provincial economic variables (that is, average employment growth and income levels) in a rational manner. After accounting for self-selectivity, I found that...return migrants...are negatively selected, and experience lower income levels, following the return migration, than onward migrants would have, had they chosen the return migration option. This drop in expected wages decreases the propensity associated with making a return migration. Despite this drop in income, the large proportion selecting the return migration option suggests the importance of the province of birth in the mental map of nonnative migrants." excerpt

Control of the tokamak safety factor profile with time-varying constraints using MPC

International Nuclear Information System (INIS)

Maljaars, E.; Felici, F.; De Baar, M.R.; Geelen, P.J.M.; Steinbuch, M.; Van Dongen, J.; Hogeweij, G.M.D.

2015-01-01

A controller is designed for the tokamak safety factor profile that takes real-time-varying operational and physics limits into account. This so-called model predictive controller (MPC) employs a prediction model in order to compute optimal control inputs that satisfy the given limits. The use of linearized models around a reference trajectory results in a quadratic programming problem that can easily be solved online. The performance of the controller is analysed in a set of ITER L-mode scenarios simulated with the non-linear plasma transport code RAPTOR. It is shown that the controller can reduce the tracking error due to an overestimation or underestimation of the modelled transport, while making a trade-off between residual error and amount of controller action. It is also shown that the controller can account for a sudden decrease in the available actuator power, while providing warnings ahead of time about expected violations of operational and physics limits. This controller can be extended and implemented in existing tokamaks in the near future. (paper)

Synchronization of uncertain time-varying network based on sliding mode control technique

Science.gov (United States)

Lü, Ling; Li, Chengren; Bai, Suyuan; Li, Gang; Rong, Tingting; Gao, Yan; Yan, Zhe

2017-09-01

We research synchronization of uncertain time-varying network based on sliding mode control technique. The sliding mode control technique is first modified so that it can be applied to network synchronization. Further, by choosing the appropriate sliding surface, the identification law of uncertain parameter, the adaptive law of the time-varying coupling matrix element and the control input of network are designed, it is sure that the uncertain time-varying network can synchronize effectively the synchronization target. At last, we perform some numerical simulations to demonstrate the effectiveness of the proposed results.

Expectation propagation for continuous time stochastic processes

International Nuclear Information System (INIS)

Cseke, Botond; Schnoerr, David; Sanguinetti, Guido; Opper, Manfred

2016-01-01

We consider the inverse problem of reconstructing the posterior measure over the trajectories of a diffusion process from discrete time observations and continuous time constraints. We cast the problem in a Bayesian framework and derive approximations to the posterior distributions of single time marginals using variational approximate inference, giving rise to an expectation propagation type algorithm. For non-linear diffusion processes, this is achieved by leveraging moment closure approximations. We then show how the approximation can be extended to a wide class of discrete-state Markov jump processes by making use of the chemical Langevin equation. Our empirical results show that the proposed method is computationally efficient and provides good approximations for these classes of inverse problems. (paper)

The effect of utility time-varying pricing and load control strategies on residential summer peak electricity use. A review

International Nuclear Information System (INIS)

Newsham, Guy R.; Bowker, Brent G.

2010-01-01

Peak demand for electricity in North America is expected to grow, challenging electrical utilities to supply this demand in a cost-effective, reliable manner. Therefore, there is growing interest in strategies to reduce peak demand by eliminating electricity use, or shifting it to non-peak times. This strategy is commonly called 'demand response'. In households, common strategies are time-varying pricing, which charge more for energy use on peak, or direct load control, which allows utilities to curtail certain loads during high demand periods. We reviewed recent North American studies of these strategies. The data suggest that the most effective strategy is a critical peak price (CPP) program with enabling technology to automatically curtail loads on event days. There is little evidence that this causes substantial hardship for occupants, particularly if they have input into which loads are controlled and how, and have an override option. In such cases, a peak load reduction of at least 30% is a reasonable expectation. It might be possible to attain such load reductions without enabling technology by focusing on household types more likely to respond, and providing them with excellent support. A simple time-of-use (TOU) program can only expect to realise on-peak reductions of 5%. (author)

Conceptual Modeling of Time-Varying Information

DEFF Research Database (Denmark)

Gregersen, Heidi; Jensen, Christian S.

2004-01-01

A wide range of database applications manage information that varies over time. Many of the underlying database schemas of these were designed using the Entity-Relationship (ER) model. In the research community as well as in industry, it is common knowledge that the temporal aspects of the mini......-world are important, but difficult to capture using the ER model. Several enhancements to the ER model have been proposed in an attempt to support the modeling of temporal aspects of information. Common to the existing temporally extended ER models, few or no specific requirements to the models were given...

A time-varying magnetic flux concentrator

International Nuclear Information System (INIS)

Kibret, B; Premaratne, M; Lewis, P M; Thomson, R; Fitzgerald, P B

2016-01-01

It is known that diverse technological applications require the use of focused magnetic fields. This has driven the quest for controlling the magnetic field. Recently, the principles in transformation optics and metamaterials have allowed the realization of practical static magnetic flux concentrators. Extending such progress, here, we propose a time-varying magnetic flux concentrator cylindrical shell that uses electric conductors and ferromagnetic materials to guide magnetic flux to its center. Its performance is discussed based on finite-element simulation results. Our proposed design has potential applications in magnetic sensors, medical devices, wireless power transfer, and near-field wireless communications. (paper)

The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets

NARCIS (Netherlands)

Umutlu, M.; Akdeniz, L.; Salih, A.A.

2009-01-01

In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total

Incidence and Time to Return to Training for Stress Fractures during Military Basic Training

Directory of Open Access Journals (Sweden)

Alexander M. Wood

2014-01-01

Full Text Available Currently, little is known about the length of time required to rehabilitate patients from stress fractures and their return to preinjury level of physical activity. Previous studies have looked at the return to sport in athletes, in a general population, where rehabilitation is not as controlled as within a captive military population. In this study, a longitudinal prospective epidemiological database was assessed to determine the incidence of stress fractures and the time taken to rehabilitate recruits to preinjury stage of training. Findings demonstrated a background prevalence of 5% stress fractures in Royal Marine training; femoral and tibial stress fractures take 21.1 weeks to return to training with metatarsal stress fractures being the most common injury taking 12.2 weeks. Rehabilitation from stress fractures accounts for 814 weeks of recruit rehabilitation time per annum. Stress fracture incidence is still common in military training; despite this stress fracture recovery times remain constant and represent a significant interruption in training. It takes on average 5 weeks after exercise specific training has restarted to reenter training at a preinjury level, regardless of which bone has a stress fracture. Further research into their prevention, treatment, and rehabilitation is required to help reduce these burdens.

Return and Liquidity Relationships on Market and Accounting Levels in Brazil

Directory of Open Access Journals (Sweden)

Fernanda Finotti Cordeiro Perobelli

2016-08-01

Full Text Available ABSTRACT This article discusses profitability-liquidity relationships on accounting and market levels for 872 shares of publicly-traded Brazilian companies, observed between 1994 and 2013. On the market level, the assumption is that share liquidity is able to reduce some of the risks incurred by investors, making them more willing to pay a higher price for liquid shares, which would lower expected market returns. On the accounting level, the basic hypothesis argues that a firm's holding more liquid assets is related to a conservative investment policy, possibly reducing accounting returns for shareholders. Under the assumption of financial constraint, however, more accounting liquidity would allow positive net present value investments to be carried out, increasing future accounting returns, which would positively affect market liquidity and share prices in an efficient market, resulting in a lower market risk/expected return premium. Under the assumption of no financial constraint, however, more accounting liquidity would only represent a carry cost, compromising future accounting returns, which would adversely affect market liquidity and share prices and result in a higher market risk/expected return premium. Among the hypotheses, the presence of a negative market liquidity premium was verified in Brazil, with shares that traded more exhibiting a higher expected market return. On the margins of the major theories on the subject, only two negative relationships between excess accounting liquidity and market liquidity and accounting return, supporting the carry cost assumption for financially unconstrained firms, were verified. In terms of this paper's contributions, there is the analysis, unprecedented in Brazil as far as is known, of the relationship between liquidity and return on market and accounting levels, considering the financial constraint hypothesis to which the firms are subject.

Electron dynamics in solid state via time varying wavevectors

Science.gov (United States)

Khaneja, Navin

2018-06-01

In this paper, we study electron wavepacket dynamics in electric and magnetic fields. We rigorously derive the semiclassical equations of electron dynamics in electric and magnetic fields. We do it both for free electron and electron in a periodic potential. We do this by introducing time varying wavevectors k(t). In the presence of magnetic field, our wavepacket reproduces the classical cyclotron orbits once the origin of the Schröedinger equation is correctly chosen to be center of cyclotron orbit. In the presence of both electric and magnetic fields, our equations for wavepacket dynamics differ from classical Lorentz force equations. We show that in a periodic potential, on application of electric field, the electron wave function adiabatically follows the wavefunction of a time varying Bloch wavevector k(t), with its energies suitably shifted with time. We derive the effective mass equation and discuss conduction in conductors and insulators.

Time varying determinants of bond flows to emerging markets

Directory of Open Access Journals (Sweden)

Yasemin Erduman

2016-06-01

Full Text Available This paper investigates the time varying nature of the determinants of bond flows with a focus on the global financial crisis period. We estimate a time varying regression model using Bayesian estimation methods, where the posterior distribution is approximated by Gibbs sampling algorithm. Our findings suggest that the interest rate differential is the most significant pull factor of portfolio bond flows, along with the inflation rate, while the growth rate does not play a significant role. Among the push factors, global liquidity is the most important driver of bond flows. It matters the most, when unconventional monetary easing policies were first announced; and its importance as a determinant of portfolio bond flows decreases over time, starting with the Eurozone crisis, and diminishes with the tapering talk. Global risk appetite and the risk perception towards the emerging countries also have relatively small and stable significant effects on bond flows.

Global stabilization of linear continuous time-varying systems with bounded controls

International Nuclear Information System (INIS)

Phat, V.N.

2004-08-01

This paper deals with the problem of global stabilization of a class of linear continuous time-varying systems with bounded controls. Based on the controllability of the nominal system, a sufficient condition for the global stabilizability is proposed without solving any Riccati differential equation. Moreover, we give sufficient conditions for the robust stabilizability of perturbation/uncertain linear time-varying systems with bounded controls. (author)

An integrative time-varying frequency detection and channel sounding method for dynamic plasma sheath

Science.gov (United States)

Shi, Lei; Yao, Bo; Zhao, Lei; Liu, Xiaotong; Yang, Min; Liu, Yanming

2018-01-01

The plasma sheath-surrounded hypersonic vehicle is a dynamic and time-varying medium and it is almost impossible to calculate time-varying physical parameters directly. The in-fight detection of the time-varying degree is important to understand the dynamic nature of the physical parameters and their effect on re-entry communication. In this paper, a constant envelope zero autocorrelation (CAZAC) sequence based on time-varying frequency detection and channel sounding method is proposed to detect the plasma sheath electronic density time-varying property and wireless channel characteristic. The proposed method utilizes the CAZAC sequence, which has excellent autocorrelation and spread gain characteristics, to realize dynamic time-varying detection/channel sounding under low signal-to-noise ratio in the plasma sheath environment. Theoretical simulation under a typical time-varying radio channel shows that the proposed method is capable of detecting time-variation frequency up to 200 kHz and can trace the channel amplitude and phase in the time domain well under -10 dB. Experimental results conducted in the RF modulation discharge plasma device verified the time variation detection ability in practical dynamic plasma sheath. Meanwhile, nonlinear phenomenon of dynamic plasma sheath on communication signal is observed thorough channel sounding result.

Finite-Time Reentry Attitude Control Using Time-Varying Sliding Mode and Disturbance Observer

Directory of Open Access Journals (Sweden)

Xuzhong Wu

2015-01-01

Full Text Available This paper presents the finite-time attitude control problem for reentry vehicle with redundant actuators in consideration of planet uncertainties and external disturbances. Firstly, feedback linearization technique is used to cancel the nonlinearities of equations of motion to construct a basic mode for attitude controller. Secondly, two kinds of time-varying sliding mode control methods with disturbance observer are integrated with the basic mode in order to enhance the control performance and system robustness. One method is designed based on boundary layer technique and the other is a novel second-order sliding model control method. The finite-time stability analyses of both resultant closed-loop systems are carried out. Furthermore, after attitude controller produces the torque commands, an optimization control allocation approach is introduced to allocate them into aerodynamic surface deflections and on-off reaction control system thrusts. Finally, the numerical simulation results demonstrate that both of the time-varying sliding mode control methods are robust to uncertainties and disturbances without chattering phenomenon. Moreover, the proposed second-order sliding mode control method possesses better control accuracy.

Finite-time and fixed-time synchronization analysis of inertial memristive neural networks with time-varying delays.

Science.gov (United States)

Wei, Ruoyu; Cao, Jinde; Alsaedi, Ahmed

2018-02-01

This paper investigates the finite-time synchronization and fixed-time synchronization problems of inertial memristive neural networks with time-varying delays. By utilizing the Filippov discontinuous theory and Lyapunov stability theory, several sufficient conditions are derived to ensure finite-time synchronization of inertial memristive neural networks. Then, for the purpose of making the setting time independent of initial condition, we consider the fixed-time synchronization. A novel criterion guaranteeing the fixed-time synchronization of inertial memristive neural networks is derived. Finally, three examples are provided to demonstrate the effectiveness of our main results.

Return times dynamics: role of the Poincare section in numerical analysis

International Nuclear Information System (INIS)

Pavlov, Alexey N.; Dumsky, Dmitry V.

2003-01-01

We study how different measures estimated from return time sequences are sensitive to choice of the Poincare section in the case of chaotic dynamics. We show that scaling characteristics of point processes are highly dependent on the secant plane. We focus on dynamical properties of a chaotic regime being more stable to displacements of the section than metrical characteristics

Decreased Time to Return to Work Using Robotic-Assisted Unicompartmental Knee Arthroplasty Compared to Conventional Techniques.

Science.gov (United States)

Jinnah, Alexander H; Augart, Marco A; Lara, Daniel L; Jinnah, Riyaz H; Poehling, Gary G; Gwam, Chukwuweike U; Plate, Johannes F

2018-06-01

Unicompartmental knee arthroplasty (UKA) is a commonly used procedure for patients suffering from debilitating unicompartmental knee arthritis. For UKA recipients, robotic-assisted surgery has served as an aid in improving surgical accuracy and precision. While studies exist detailing outcomes of robotic UKA, to our knowledge, there are no studies assessing time to return to work using robotic-assisted UKA. Thus, the purpose of this study was to prospectively assess the time to return to work and to achieve the level of work activity following robotic-assisted UKA to create recommendations for patients preoperatively. We hypothesized that the return to work time would be shorter for robotic-assisted UKAs compared with TKAs and manual UKAs, due to more accurate ligament balancing and precise implementation of the operative plan. Thirty consecutive patients scheduled to undergo a robotic-assisted UKA at an academic teaching hospital were prospectively enrolled in the study. Inclusion criteria included employment at the time of surgery, with the intent on returning to the same occupation following surgery and having end-stage knee degenerative joint disease (DJD) limited to the medial compartment. Patients were contacted via email, letter, or phone at two, four, six, and 12 weeks following surgery until they returned to work. The Baecke physical activity questionnaire (BQ) was administered to assess patients' level of activity at work pre- and postoperatively. Statistical analysis was performed using SAS Enterprise Guide (SAS Institute Inc., Cary, North Carolina) and Excel® (Microsoft Corporation, Redmond, Washington). Descriptive statistics were calculated to assess the demographics of the patient population. Boxplots were generated using an Excel® spreadsheet to visualize the BQ scores and a two-tailed t-test was used to assess for differences between pre- and postoperative scores with alpha 0.05. The mean time to return to work was 6.4 weeks (SD=3.4, range 2

Career Expectations and Perceptions of Part-Time MBA Students

Science.gov (United States)

Fish, Lynn A.; Fish, Lauren A.

2010-01-01

In the U.S., part-time MBA students regard work/life balance as the critical factor that drives career expectations and perceptions. Job aspects and benefits/compensation closely follow in importance, while employee relations are valued less. Within work/life balance, students value job location, travel time, and telecommuting. Promotional…

Expected Business Conditions and Bond Risk Premia

DEFF Research Database (Denmark)

Eriksen, Jonas Nygaard

2017-01-01

In this article, I study the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey of Professional Forecasters. I show that expected business conditions consistently affect excess bond returns and that the inclusion of exp...

The Relevance of Organization Capital for Market Capital Returns

DEFF Research Database (Denmark)

Bleoca, Lavinia

2014-01-01

This paper extends the existing findings on the theory of “organization capital” proposed by Lev at al. (2009) through a reproduction analysis on newer data, with a different estimation method. A new empirical perspective is proposed, where the intrinsic relationship of the different profitabilit......’s, which characteristics are pervasive and how the time-lags of return on investments in knowledge vary between the individual and aggregate levels....... measures is analyzed in order to offer a survey over the average firm’s capacity of generating excess returns in relation to the closest neighbor, based on its uniqueness. Nevertheless, the analysis seeks to define how profitable unique skills and knowledge are in comparison to the companion portfolio...

Vector-field statistics for the analysis of time varying clinical gait data.

Science.gov (United States)

Donnelly, C J; Alexander, C; Pataky, T C; Stannage, K; Reid, S; Robinson, M A

2017-01-01

In clinical settings, the time varying analysis of gait data relies heavily on the experience of the individual(s) assessing these biological signals. Though three dimensional kinematics are recognised as time varying waveforms (1D), exploratory statistical analysis of these data are commonly carried out with multiple discrete or 0D dependent variables. In the absence of an a priori 0D hypothesis, clinicians are at risk of making type I and II errors in their analyis of time varying gait signatures in the event statistics are used in concert with prefered subjective clinical assesment methods. The aim of this communication was to determine if vector field waveform statistics were capable of providing quantitative corroboration to practically significant differences in time varying gait signatures as determined by two clinically trained gait experts. The case study was a left hemiplegic Cerebral Palsy (GMFCS I) gait patient following a botulinum toxin (BoNT-A) injection to their left gastrocnemius muscle. When comparing subjective clinical gait assessments between two testers, they were in agreement with each other for 61% of the joint degrees of freedom and phases of motion analysed. For tester 1 and tester 2, they were in agreement with the vector-field analysis for 78% and 53% of the kinematic variables analysed. When the subjective analyses of tester 1 and tester 2 were pooled together and then compared to the vector-field analysis, they were in agreement for 83% of the time varying kinematic variables analysed. These outcomes demonstrate that in principle, vector-field statistics corroborates with what a team of clinical gait experts would classify as practically meaningful pre- versus post time varying kinematic differences. The potential for vector-field statistics to be used as a useful clinical tool for the objective analysis of time varying clinical gait data is established. Future research is recommended to assess the usefulness of vector-field analyses

Time-varying economic dominance in financial markets: A bistable dynamics approach

Science.gov (United States)

He, Xue-Zhong; Li, Kai; Wang, Chuncheng

2018-05-01

By developing a continuous-time heterogeneous agent financial market model of multi-assets traded by fundamental and momentum investors, we provide a potential mechanism for generating time-varying dominance between fundamental and non-fundamental in financial markets. We show that investment constraints lead to the coexistence of a locally stable fundamental steady state and a locally stable limit cycle around the fundamental, characterized by a Bautin bifurcation. This provides a mechanism for market prices to switch stochastically between the two persistent but very different market states, leading to the coexistence and time-varying dominance of seemingly controversial efficient market and price momentum over different time periods. The model also generates other financial market stylized facts, such as spillover effects in both momentum and volatility, market booms, crashes, and correlation reduction due to cross-sectional momentum trading. Empirical evidence based on the U.S. market supports the main findings. The mechanism developed in this paper can be used to characterize time-varying economic dominance in economics and finance in general.

Timing of return to work and women's breastfeeding practices in urban Malaysia: A qualitative study.

Science.gov (United States)

Sulaiman, Zaharah; Liamputtong, Pranee; Amir, Lisa H

2018-01-01

Nearly half of the working population in Malaysia are women, and with only a short period of maternity leave, they may struggle to achieve the recommended 6 months of exclusive breastfeeding. The aim of this paper was to explore the relationship between the timing of return to work and beliefs and breastfeeding practices among women in urban Malaysia. A qualitative inquiry based on a phenomenological framework and multiple methods was used: face-to-face interview, participant diary and researcher field notes. Data collection took place in Penang and the Klang Valley, Malaysia, from March to September 2011. Eligible participants were purposely identified at randomly selected recruitment sites. A thematic analysis method was used to develop the typologies and categories of the findings. A total of 40 working women with a mean age of 32 years (SD 3.4) were interviewed and 15 participated in the diary writing. Most women (75%) returned to work between 2 and 3 months. Only 10% returned to work 4 months or later postpartum, and 15% had an early return to work (defined here as less than 2 months). The women fell into three groups: Passionate women with a strong determination to breastfeed, who exclusively breastfed for 6 months; Ambivalent women, who commenced breastfeeding but were unable to sustain this after returning to work; and Equivalent women, who perceived formula feeding as equally nutritious as breast milk. Although longer maternity leave was very important for Ambivalent women to maintain breastfeeding, it was not as important for the Equivalent or Passionate women. In conclusion, returning earlier was not an absolute barrier to continuing breastfeeding. Instead, a woman's beliefs and perceptions of breastfeeding were more important than the timing of her return to work in determining her ability to maintain breastfeeding or breast milk feeding. © 2017 John Wiley & Sons Ltd.

Expected Rate of Return on the Personal Investment in Education of No-Fee Preservice Students

Science.gov (United States)

Zhang, Xuemin

2013-01-01

Return on personal investment is an important factor affecting the decision to invest in education. This article analyzes the personal education costs of no-fee preservice students, estimates and forecasts the return on their personal education investment, and compares the costs and benefits of for-fee preservice students and nonteaching students.…

Optimal critic learning for robot control in time-varying environments.

Science.gov (United States)

Wang, Chen; Li, Yanan; Ge, Shuzhi Sam; Lee, Tong Heng

2015-10-01

In this paper, optimal critic learning is developed for robot control in a time-varying environment. The unknown environment is described as a linear system with time-varying parameters, and impedance control is employed for the interaction control. Desired impedance parameters are obtained in the sense of an optimal realization of the composite of trajectory tracking and force regulation. Q -function-based critic learning is developed to determine the optimal impedance parameters without the knowledge of the system dynamics. The simulation results are presented and compared with existing methods, and the efficacy of the proposed method is verified.

Multi-Period Mean-Variance Portfolio Selection with Uncertain Time Horizon When Returns Are Serially Correlated

Directory of Open Access Journals (Sweden)

Ling Zhang

2012-01-01

Full Text Available We study a multi-period mean-variance portfolio selection problem with an uncertain time horizon and serial correlations. Firstly, we embed the nonseparable multi-period optimization problem into a separable quadratic optimization problem with uncertain exit time by employing the embedding technique of Li and Ng (2000. Then we convert the later into an optimization problem with deterministic exit time. Finally, using the dynamic programming approach, we explicitly derive the optimal strategy and the efficient frontier for the dynamic mean-variance optimization problem. A numerical example with AR(1 return process is also presented, which shows that both the uncertainty of exit time and the serial correlations of returns have significant impacts on the optimal strategy and the efficient frontier.

Epidemic spreading in time-varying community networks

Energy Technology Data Exchange (ETDEWEB)

Ren, Guangming, E-mail: wangxy@dlut.edu.cn, E-mail: ren-guang-ming@163.com [School of Electronic and Information, Guangdong Polytechnic Normal University, Guangzhou 510665 (China); Faculty of Electronic Information and Electrical Engineering, Dalian University of Technology, Dalian 116024 (China); Wang, Xingyuan, E-mail: wangxy@dlut.edu.cn, E-mail: ren-guang-ming@163.com [Faculty of Electronic Information and Electrical Engineering, Dalian University of Technology, Dalian 116024 (China)

2014-06-15

The spreading processes of many infectious diseases have comparable time scale as the network evolution. Here, we present a simple networks model with time-varying community structure, and investigate susceptible-infected-susceptible epidemic spreading processes in this model. By both theoretic analysis and numerical simulations, we show that the efficiency of epidemic spreading in this model depends intensively on the mobility rate q of the individuals among communities. We also find that there exists a mobility rate threshold q{sub c}. The epidemic will survive when q > q{sub c} and die when q < q{sub c}. These results can help understanding the impacts of human travel on the epidemic spreading in complex networks with community structure.

Epidemic spreading in time-varying community networks

International Nuclear Information System (INIS)

Ren, Guangming; Wang, Xingyuan

2014-01-01

The spreading processes of many infectious diseases have comparable time scale as the network evolution. Here, we present a simple networks model with time-varying community structure, and investigate susceptible-infected-susceptible epidemic spreading processes in this model. By both theoretic analysis and numerical simulations, we show that the efficiency of epidemic spreading in this model depends intensively on the mobility rate q of the individuals among communities. We also find that there exists a mobility rate threshold q c . The epidemic will survive when q > q c and die when q  c . These results can help understanding the impacts of human travel on the epidemic spreading in complex networks with community structure

Reabsorption of returning workers from the Gulf: the Asian experience.

Science.gov (United States)

Kazi, S

1994-01-01

This study examines trends in return labor migration from the Middle East to South Asia and Southeast Asia. Survey data were used to describe trends in outmigration and socioeconomic characteristics of return migrants and to examine the extent to which return migration is associated with skill level and use of savings and remittances on their return. General trends indicate a decline in outmigration during the late 1980s and early 1990s, after oil prices dropped in 1986. Migrants from Pakistan and Korea declined by half during 1981-85 and by 40% among Indian migrants. The demand for service workers and migrants willing to accept cuts in wages was unaffected. Outmigration from Southeast Asian countries grew in the recent past. These increases were due to the replacement of workers from Jordan and Yemen who were expelled from Saudi Arabia after the Gulf crisis. The shift in occupational demand to service and higher level workers is expected to weaken migration from Pakistan and Bangladesh and to strengthen migration from Sri Lanka and other Southeast Asian countries with a skilled migrant labor force. Outmigration from Southeast Asian countries increased to high-growth destination countries such as Japan, Malaysia, and Singapore. Socioeconomic characteristics of migrants varied by country of origin. For instance, Philippine migrants were better educated. Migrants from Thailand, Bangladesh, and Pakistan were from rural and impoverished areas. Sri Lanka and the Philippines had many women migrants. Return migrants encountered high unemployment. Return migrants to Korea had fewer reemployment problems. Reemployment was associated with local country conditions. Unskilled workers had the highest rates of unemployment. Savings tended to be invested in real estate and housing. Savings and investment from remittance income was high in Sri Lanka, Bangladesh, and Thailand.

Investigating the excess return of contrarian strategy in the active ...

African Journals Online (AJOL)

Obtaining the appropriate rate of return is the most important expectation of investors in the investment process and different statategies have been used by investors to gain a required rate of return. Contrarian strategy is one the strategies used recently to predict the return of stock using the historical information. Contrarian ...

What drives credit rating changes? : a return decomposition approach

OpenAIRE

Cho, Hyungjin; Choi, Sun Hwa

2015-01-01

This paper examines the relative importance of a shock to expected cash flows (i.e., cash-flow news) and a shock to expected discount rates (i.e., discount-rate news) in credit rating changes. Specifically, we use a Vector Autoregressive model to implement the return decomposition of Campbell and Shiller (Review of Financial Studies, 1, 1988, 195) and Vuolteenaho (Journal of Finance, 57, 2002, 233) to extract cash-flow news and discount-rate news from stock returns at the firm-level. We find ...

Stress-related sickness absence and return to labour market in Sweden.

Science.gov (United States)

Engström, Lars-Gunnar; Janson, Staffan

2007-03-15

To analyse factors influencing chances of returning to work after long-term sickness absence with a stress-related psychiatric diagnosis. Primary focus is on employer- and occupational categories as explanatory variables. Data was collected from the regional social insurance office in the county of Värmland for 911 individuals, all with stress-related sickness absences during November in the year 2000. Logistic regressions were carried out on outcome states from long-term sickness absence on two follow-up occasions after two and three years. The results indicate that the employer- and occupational categories only had a minor effect on return to work after the long-term sickness absence. Age and health-related factors together with time factors seem to be more relevant in explaining return to work. The findings suggest that individual labour market position, as occupation, employer, branch etc, seems to be less important than expected in explaining return to work from sickness absence due to stress-related psychiatric disorders.

TIME-VARYING DYNAMICAL STAR FORMATION RATE

Energy Technology Data Exchange (ETDEWEB)

Lee, Eve J.; Chang, Philip; Murray, Norman, E-mail: evelee@berkeley.edu [Canadian Institute for Theoretical Astrophysics, 60 St. George Street, University of Toronto, Toronto, ON M5S 3H8 (Canada)

2015-02-10

We present numerical evidence of dynamic star formation in which the accreted stellar mass grows superlinearly with time, roughly as t {sup 2}. We perform simulations of star formation in self-gravitating hydrodynamic and magnetohydrodynamic turbulence that is continuously driven. By turning the self-gravity of the gas in the simulations on or off, we demonstrate that self-gravity is the dominant physical effect setting the mass accretion rate at early times before feedback effects take over, contrary to theories of turbulence-regulated star formation. We find that gravitational collapse steepens the density profile around stars, generating the power-law tail on what is otherwise a lognormal density probability distribution function. Furthermore, we find turbulent velocity profiles to flatten inside collapsing regions, altering the size-line width relation. This local flattening reflects enhancements of turbulent velocity on small scales, as verified by changes to the velocity power spectra. Our results indicate that gas self-gravity dynamically alters both density and velocity structures in clouds, giving rise to a time-varying star formation rate. We find that a substantial fraction of the gas that forms stars arrives via low-density flows, as opposed to accreting through high-density filaments.

Fórmula de valoração racional (RVF e variabilidade no tempo das taxas de retornos de ativos Rational valuation formula (RVF and time variability in asset rates of return

Directory of Open Access Journals (Sweden)

Alexandre Ripamonti

2013-04-01

's (1961 theory of rational expectations and price movements. The study assumes the variability of asset rates of return and tests the null hypotheses of error-correction mechanisms for time-constant cointegration vectors and inequality between fundamental value and share price. The series used were provided by Shiller (2005 and refer to aggregate price and dividend data for the U.S. stock market over the period 1871 to 2010. The data were analyzed using Johansen's cointegration models with the use of restricted variables resulting from the combination of the variables studied with the Chebyshev time polynomial, as proposed by Bierens and Martins (2010. The results indicate rejection of the null hypothesis of constancy of cointegration vectors as well as the non-rejection of the null hypothesis of inequality between fundamental value and share price. These results are consistent with those obtained by Bierens and Martins (2010 and do not corroborate Muth's (1961 theory of rational expectations. It is therefore concluded that investors have different expectations of return for different future periods. The results suggest the validation of the model used and that there is a possibility of the occurrence of speculative movements supported by rationality or rational speculative bubbles.

Time-varying and time-invariant dimensions of depression in children and adolescents: Implications for cross-informant agreement.

Science.gov (United States)

Cole, David A; Martin, Joan M; Jacquez, Farrah M; Tram, Jane M; Zelkowitz, Rachel; Nick, Elizabeth A; Rights, Jason D

2017-07-01

The longitudinal structure of depression in children and adolescents was examined by applying a Trait-State-Occasion structural equation model to 4 waves of self, teacher, peer, and parent reports in 2 age groups (9 to 13 and 13 to 16 years old). Analyses revealed that the depression latent variable consisted of 2 longitudinal factors: a time-invariant dimension that was completely stable over time and a time-varying dimension that was not perfectly stable over time. Different sources of information were differentially sensitive to these 2 dimensions. Among adolescents, self- and parent reports better reflected the time-invariant aspects. For children and adolescents, peer and teacher reports better reflected the time-varying aspects. Relatively high cross-informant agreement emerged for the time-invariant dimension in both children and adolescents. Cross-informant agreement for the time-varying dimension was high for adolescents but very low for children. Implications emerge for theoretical models of depression and for its measurement, especially when attempting to predict changes in depression in the context of longitudinal studies. (PsycINFO Database Record (c) 2017 APA, all rights reserved).

Estimating Stocks Return with Decomposition of the Book-to-Market Ratio: Evidences from Bovespa

Directory of Open Access Journals (Sweden)

Juliano Ribeiro de Almeida

2010-12-01

Full Text Available The book-to-market (BM ratio differs across stocks because to differences in expected cashflows and expected returns. The central hypothesis is that the evolution of BM, in terms of past changes in price and book equity, contains information about future cashflows that can be used to improve estimates of expected returns. This article used a database of Economática to extract a sample of non-financial companies shares listed on BOVESPA and test this hypothesis. The estimated regressions were performed monthly during the period July 1996 to June 2008. Both for large and mid caps as for small caps, the results do not favor this hypothesis and show that only the most recent BM is important to predict the assets returns. Furthermore, stock issues and repurchases are also related to future cashflows and it is expected to improve estimates of expected returns. However, the results provide no evidence favoring that.

PCA-based detection of damage in time-varying systems

Science.gov (United States)

Bellino, A.; Fasana, A.; Garibaldi, L.; Marchesiello, S.

2010-10-01

When performing Structural Health Monitoring, it is well known that the natural frequencies do not depend only on the damage but also on environmental conditions, such as temperature and humidity. The Principal Component Analysis is used to take this problem into account, because it allows eliminating the effect of external factors. The purpose of the present work is to show that this technique can be successfully used not only for time-invariant systems, but also for time-varying ones. Referring to the latter, one of the most studied systems which shows these characteristics is the bridge with crossing loads, such as the case of the railway bridge studied in present paper; in this case, the mass and the velocity of the train can be considered as "environmental" factors.This paper, after a brief description of the PCA method and one example of its application on time-invariant systems, presents the great potentialities of the methodology when applied to time-varying systems. The results show that this method is able to better detect the presence of damage and also to properly distinguish among different levels of crack depths.

The Effects of Twitter Sentiment on Stock Price Returns.

Science.gov (United States)

Ranco, Gabriele; Aleksovski, Darko; Caldarelli, Guido; Grčar, Miha; Mozetič, Igor

2015-01-01

Social media are increasingly reflecting and influencing behavior of other complex systems. In this paper we investigate the relations between a well-known micro-blogging platform Twitter and financial markets. In particular, we consider, in a period of 15 months, the Twitter volume and sentiment about the 30 stock companies that form the Dow Jones Industrial Average (DJIA) index. We find a relatively low Pearson correlation and Granger causality between the corresponding time series over the entire time period. However, we find a significant dependence between the Twitter sentiment and abnormal returns during the peaks of Twitter volume. This is valid not only for the expected Twitter volume peaks (e.g., quarterly announcements), but also for peaks corresponding to less obvious events. We formalize the procedure by adapting the well-known "event study" from economics and finance to the analysis of Twitter data. The procedure allows to automatically identify events as Twitter volume peaks, to compute the prevailing sentiment (positive or negative) expressed in tweets at these peaks, and finally to apply the "event study" methodology to relate them to stock returns. We show that sentiment polarity of Twitter peaks implies the direction of cumulative abnormal returns. The amount of cumulative abnormal returns is relatively low (about 1-2%), but the dependence is statistically significant for several days after the events.

On the synchronization of neural networks containing time-varying delays and sector nonlinearity

International Nuclear Information System (INIS)

Yan, J.-J.; Lin, J.-S.; Hung, M.-L.; Liao, T.-L.

2007-01-01

We present a systematic design procedure for synchronization of neural networks subject to time-varying delays and sector nonlinearity in the control input. Based on the drive-response concept and the Lyapunov stability theorem, a memoryless decentralized control law is proposed which guarantees exponential synchronization even when input nonlinearity is present. The supplementary requirement that the time-derivative of time-varying delays must be smaller than one is released for the proposed control scheme. A four-dimensional Hopfield neural network with time-varying delays is presented as the illustrative example to demonstrate the effectiveness of the proposed synchronization scheme

Asymptotic stability of discrete-time systems with time-varying delay subject to saturation nonlinearities

International Nuclear Information System (INIS)

Chen, S.-F.

2009-01-01

The asymptotic stability problem for discrete-time systems with time-varying delay subject to saturation nonlinearities is addressed in this paper. In terms of linear matrix inequalities (LMIs), a delay-dependent sufficient condition is derived to ensure the asymptotic stability. A numerical example is given to demonstrate the theoretical results.

Teacher Expectations of Students' Classroom Behavior: Do Expectations Vary as a Function of School Risk?

Science.gov (United States)

Lane, Kathleen Lynne; Pierson, Melinda R.; Stang, Kristin K.; Carter, Erik W.

2010-01-01

Understanding the social behaviors teachers believe is critical for school success and can contribute to the development of effective behavioral supports and assist teachers in better preparing students for successful school transitions across the K-12 grade span. We explored 1303 elementary, middle, and high school teachers' expectations of…

Risk-Return Trade-Off for European Stock Markets

OpenAIRE

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.

2015-01-01

This paper adopts dynamic factor models with macro-finance predictors to revisit the intertemporal risk-return relation in five large European stock markets. We identify country specific, Euro area, and global factors to determine the conditional moments of returns considering the role of higher-order moments as additional measures of risk. The preferred combination of factors varies across countries. In the linear model, there is a strong but negative relation between conditional returns and...

Understanding the Puzzling Risk-Return Relationship for Housing

OpenAIRE

Lu Han

2013-01-01

Standard theory predicts a positive relationship between risk and return, yet recent data show that housing returns vary positively with risk in some markets but negatively in others. This paper rationalizes these cross-market differences in the risk-return relationship for housing, and in so doing, explains the puzzling negative relationship. The paper shows that when the current house provides a hedge against the risk associated with the future housing consumption, households are willing to...

A Perishable Inventory Model with Return

Science.gov (United States)

Setiawan, S. W.; Lesmono, D.; Limansyah, T.

2018-04-01

In this paper, we develop a mathematical model for a perishable inventory with return by assuming deterministic demand and inventory dependent demand. By inventory dependent demand, it means that demand at certain time depends on the available inventory at that time with certain rate. In dealing with perishable items, we should consider deteriorating rate factor that corresponds to the decreasing quality of goods. There are also costs involved in this model such as purchasing, ordering, holding, shortage (backordering) and returning costs. These costs compose the total costs in the model that we want to minimize. In the model we seek for the optimal return time and order quantity. We assume that after some period of time, called return time, perishable items can be returned to the supplier at some returning costs. The supplier will then replace them in the next delivery. Some numerical experiments are given to illustrate our model and sensitivity analysis is performed as well. We found that as the deteriorating rate increases, returning time becomes shorter, the optimal order quantity and total cost increases. When considering the inventory-dependent demand factor, we found that as this factor increases, assuming a certain deteriorating rate, returning time becomes shorter, optimal order quantity becomes larger and the total cost increases.

Testing and estimating time-varying elasticities of Swiss gasoline demand

International Nuclear Information System (INIS)

Neto, David

2012-01-01

This paper is intended to test and estimate time-varying elasticities for gasoline demand in Switzerland. For this purpose, a smooth time-varying cointegrating parameters model is investigated in order to describe smooth mutations of the Swiss gasoline demand. The methodology, based on Chebyshev polynomials, is rigorously outlined. Our empirical finding states that the time-invariance assumption does not hold for long-run price and income elasticities. Furthermore they highlight that gasoline demand passed through some periods of sensitivity and non sensitivity with respect to the price. Our empirical statements are of great importance to assess the performance of a gasoline tax as an instrument for CO 2 reduction policy. Indeed, such an instrument can contribute to reduce emissions of greenhouse gases only if the demand is not fully inelastic with respect to the price. Our results suggest that such a carbon-tax would not be always suitable since the price elasticity is found not stable over time and not always significant.

Returns to Tenure: Time or Rank?

DEFF Research Database (Denmark)

Buhai, Ioan Sebastian

-specific investment, efficiency-wages or adverse-selection models. However, rent extracting arguments as suggested by the theory of internal labor markets, indicate that the relative position of the worker in the seniority hierarchy of the firm, her 'seniority rank', may also explain part of the observed returns...... relative to their peer workers), as predicted by theories on unionized and insider-outsider markets....

An analysis of the relation between return and beta for portfolios of Turkish equities

Directory of Open Access Journals (Sweden)

Salvatore J. Terregrossa

2016-12-01

Full Text Available The present study investigates the possible existence of a systematic relation between beta and excess-return for portfolios of Turkish equities. In the process, no systematic relation is found between beta and realized portfolio excess-return, in an unconditional sense. However, the study does find a systematic relation between realized portfolio excess-return and beta, conditioned upon the sign of realized market-portfolio excess-return. Moreover, an even stronger systematic relation is found between realized portfolio excess-return and beta, conditioned not only upon the sign, but also the magnitude of realized market-portfolio excess-return, with the estimation of the security market plane (SMP model. The study has several useful implications for portfolio managers. Firstly, the empirical findings strongly suggest that employment of the SMP model may generate more accurate estimations of expected asset-return, compared with straightforward application of the capital asset pricing model (CAPM. Enhanced accuracy of expected asset-return, in turn, may lead to more accurate appraisals of asset value, resulting in more profitable investment opportunities and decisions. Employment of the SMP model may thus lead to enhanced efficient-portfolio development, by leading to construction of portfolios with greater expected-return, for a given class of quantifiable-risk.

Time-Varying Biased Proportional Guidance with Seeker’s Field-of-View Limit

OpenAIRE

Yang, Zhe; Wang, Hui; Lin, Defu

2016-01-01

Traditional guidance laws with range-to-go information or time-to-go estimation may not be implemented in passive homing missiles since passive seekers cannot measure relative range directly. A time-varying biased proportional guidance law, which only uses line-of-sight (LOS) rate and look angle information, is proposed to satisfy both impact angle constraint and seeker’s field-of-view (FOV) limit. In the proposed guidance law, two time-varying bias terms are applied to divide the trajectory ...

Simple Model with Time-Varying Fine-Structure ``Constant''

Science.gov (United States)

Berman, M. S.

2009-10-01

Extending the original version written in colaboration with L.A. Trevisan, we study the generalisation of Dirac's LNH, so that time-variation of the fine-structure constant, due to varying electrical and magnetic permittivities is included along with other variations (cosmological and gravitational ``constants''), etc. We consider the present Universe, and also an inflationary scenario. Rotation of the Universe is a given possibility in this model.

Scattering of a TEM wave from a time varying surface

Science.gov (United States)

Elcrat, Alan R.; Harder, T. Mark; Stonebraker, John T.

1990-03-01

A solution is given for reflection of a plane wave with TEM polarization from a planar surface with time varying properties. These properties are given in terms of the currents on the surface. The solution is obtained by numerically solving a system of differential-delay equations in the time domain.

The Risk Return Relationship: Evidence from Index Return and Realised Variance Series

OpenAIRE

Minxian Yang

2014-01-01

The risk return relationship is analysed in bivariate models for return and realised variance(RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the empirical risk return relationship is primarily shaped by two important data features: the negative contemporaneous correlation betw...

Contact Dynamics of EHL Contacts under Time Varying Conditions

NARCIS (Netherlands)

Venner, Cornelis H.; Popovici, G.; Wijnant, Ysbrand H.; Dalmaz, G.; Lubrecht, A.A.; Priest, M

2004-01-01

By means of numerical simulations of two situations with time varying operating conditions it is shown that the dynamic behaviour of Elasto-Hydrodynamically Lubricated contacts in terms of vibrations can be characterized as: Changes in the mutual approach lead to film thickness changes in the inlet

26 CFR 31.6071(a)-1A - Time for filing returns with respect to the railroad unemployment repayment tax.

Science.gov (United States)

2010-04-01

... 26 Internal Revenue 15 2010-04-01 2010-04-01 false Time for filing returns with respect to the railroad unemployment repayment tax. 31.6071(a)-1A Section 31.6071(a)-1A Internal Revenue INTERNAL REVENUE... filing returns with respect to the railroad unemployment repayment tax. (a) In general. Each return of...

Tolerable Time-Varying Overflow on Grass-Covered Slopes

Directory of Open Access Journals (Sweden)

Steven A. Hughes

2015-03-01

Full Text Available Engineers require estimates of tolerable overtopping limits for grass-covered levees, dikes, and embankments that might experience steady overflow. Realistic tolerance estimates can be used for both resilient design and risk assessment. A simple framework is developed for estimating tolerable overtopping on grass-covered slopes caused by slowly-varying (in time overtopping discharge (e.g., events like storm surges or river flood waves. The framework adapts the well-known Hewlett curves of tolerable limiting velocity as a function of overflow duration. It has been hypothesized that the form of the Hewlett curves suggests that the grass erosion process is governed by the flow work on the slope above a critical threshold velocity (referred to as excess work, and the tolerable erosional limit is reached when the cumulative excess work exceeds a given value determined from the time-dependent Hewlett curves. The cumulative excess work is expressed in terms of overflow discharge above a critical discharge that slowly varies in time, similar to a discharge hydrograph. The methodology is easily applied using forecast storm surge hydrographs at specific locations where wave action is minimal. For preliminary planning purposes, when storm surge hydrographs are unavailable, hypothetical equations for the water level and overflow discharge hydrographs are proposed in terms of the values at maximum overflow and the total duration of overflow. An example application is given to illustrate use of the methodology.

Finite-Time H∞ Filtering for Linear Continuous Time-Varying Systems with Uncertain Observations

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Huihong Zhao

2012-01-01

Full Text Available This paper is concerned with the finite-time H∞ filtering problem for linear continuous time-varying systems with uncertain observations and ℒ2-norm bounded noise. The design of finite-time H∞ filter is equivalent to the problem that a certain indefinite quadratic form has a minimum and the filter is such that the minimum is positive. The quadratic form is related to a Krein state-space model according to the Krein space linear estimation theory. By using the projection theory in Krein space, the finite-time H∞ filtering problem is solved. A numerical example is given to illustrate the performance of the H∞ filter.

Time line for noncopers to pass return-to-sports criteria after anterior cruciate ligament reconstruction.

Science.gov (United States)

Hartigan, Erin H; Axe, Michael J; Snyder-Mackler, Lynn

2010-03-01

Randomized clinical trial. Determine effective interventions for improving readiness to return to sports postoperatively in patients with complete, unilateral, anterior cruciate ligament (ACL) rupture who do not compensate well after the injury (noncopers). Specifically, we compared the effects of 2 preoperative interventions on quadriceps strength and functional outcomes. The percentage of athletes who return to sports after ACL reconstruction varies considerably, possibly due to differential responses after acute ACL rupture and different management. Prognostic data for noncopers following ACL reconstruction is absent in the literature. Forty noncopers were randomly assigned to receive either progressive quadriceps strength-training exercises (STR group) or perturbation training in conjunction with strength-training exercises (PERT group) for 10 preoperative rehabilitation sessions. Postoperative rehabilitation was similar between groups. Data on quadriceps strength indices [(involved limb/uninvolved limb force) x 100], 4 hop score indices, and 2 self-report questionnaires were collected preoperatively and 3, 6, and 12 months postoperatively. Mann-Whitney U tests were used to compare functional differences between the groups. Chi-square tests were used to compare frequencies of passing functional criteria and reasons for differences in performance between groups postoperatively. Functional outcomes were not different between groups, except a greater number of patients in the PERT group achieved global rating scores (current knee function expressed as a percentage of overall knee function prior to injury) necessary to pass return-to-sports criteria 6 and 12 months after surgery. Mean scores for each functional outcome met return-to-sports criteria 6 and 12 months postoperatively. Frequency counts of individual data, however, indicated that 5% of noncopers passed RTS criteria at 3, 48% at 6, and 78% at 12 months after surgery. Functional outcomes suggest that a

26 CFR 1.6072-2 - Time for filing returns of corporations.

Science.gov (United States)

2010-04-01

... filed on or before the 15th day of the 9th month following the close of the taxable year. For the rule that a DISC may not have an extension of time in which to file such return, see §§ 1.6071-1(b), 1.6081.... 7244, 37 FR 28897, Dec. 30, 1972; T.D. 7533, 43 FR 6604, Feb. 15, 1978; T.D. 7896, 48 FR 23818, May 27...

Two-dimensional phononic crystals with time-varying properties: a multiple scattering analysis

International Nuclear Information System (INIS)

Wright, D W; Cobbold, R S C

2010-01-01

Multiple scattering theory is a versatile two- and three-dimensional method for characterizing the acoustic wave transmission through many scatterers. It provides analytical solutions to wave propagation in scattering structures, and its computational complexity grows logarithmically with the number of scatterers. In this paper we show how the 2D method can be adapted to include the effects of time-varying material parameters. Specifically, a new T-matrix is defined to include the effects of frequency modulation that occurs in time-varying phononic crystals. Solutions were verified against finite difference time domain (FDTD) simulations and showed excellent agreement. This new method enables fast characterization of time-varying phononic crystals without the need to resort to lengthy FDTD simulations. Also, the method of combining T-matrices to form the T-supermatrix remains unchanged provided that the new matrix definitions are used. The method is quite compatible with existing implementations of multiple scattering theory and could be readily extended to three-dimensional multiple scattering theory

Time-varying output performances of piezoelectric vibration energy harvesting under nonstationary random vibrations

Science.gov (United States)

Yoon, Heonjun; Kim, Miso; Park, Choon-Su; Youn, Byeng D.

2018-01-01

Piezoelectric vibration energy harvesting (PVEH) has received much attention as a potential solution that could ultimately realize self-powered wireless sensor networks. Since most ambient vibrations in nature are inherently random and nonstationary, the output performances of PVEH devices also randomly change with time. However, little attention has been paid to investigating the randomly time-varying electroelastic behaviors of PVEH systems both analytically and experimentally. The objective of this study is thus to make a step forward towards a deep understanding of the time-varying performances of PVEH devices under nonstationary random vibrations. Two typical cases of nonstationary random vibration signals are considered: (1) randomly-varying amplitude (amplitude modulation; AM) and (2) randomly-varying amplitude with randomly-varying instantaneous frequency (amplitude and frequency modulation; AM-FM). In both cases, this study pursues well-balanced correlations of analytical predictions and experimental observations to deduce the relationships between the time-varying output performances of the PVEH device and two primary input parameters, such as a central frequency and an external electrical resistance. We introduce three correlation metrics to quantitatively compare analytical prediction and experimental observation, including the normalized root mean square error, the correlation coefficient, and the weighted integrated factor. Analytical predictions are in an excellent agreement with experimental observations both mechanically and electrically. This study provides insightful guidelines for designing PVEH devices to reliably generate electric power under nonstationary random vibrations.

Time-varying effect moderation using the structural nested mean model: estimation using inverse-weighted regression with residuals

Science.gov (United States)

Almirall, Daniel; Griffin, Beth Ann; McCaffrey, Daniel F.; Ramchand, Rajeev; Yuen, Robert A.; Murphy, Susan A.

2014-01-01

This article considers the problem of examining time-varying causal effect moderation using observational, longitudinal data in which treatment, candidate moderators, and possible confounders are time varying. The structural nested mean model (SNMM) is used to specify the moderated time-varying causal effects of interest in a conditional mean model for a continuous response given time-varying treatments and moderators. We present an easy-to-use estimator of the SNMM that combines an existing regression-with-residuals (RR) approach with an inverse-probability-of-treatment weighting (IPTW) strategy. The RR approach has been shown to identify the moderated time-varying causal effects if the time-varying moderators are also the sole time-varying confounders. The proposed IPTW+RR approach provides estimators of the moderated time-varying causal effects in the SNMM in the presence of an additional, auxiliary set of known and measured time-varying confounders. We use a small simulation experiment to compare IPTW+RR versus the traditional regression approach and to compare small and large sample properties of asymptotic versus bootstrap estimators of the standard errors for the IPTW+RR approach. This article clarifies the distinction between time-varying moderators and time-varying confounders. We illustrate the methodology in a case study to assess if time-varying substance use moderates treatment effects on future substance use. PMID:23873437

Gold Returns

OpenAIRE

Robert J. Barro; Sanjay P. Misra

2013-01-01

From 1836 to 2011, the average real rate of price change for gold in the United States is 1.1% per year and the standard deviation is 13.1%, implying a one-standard-deviation confidence band for the mean of (0.1%, 2.1%). The covariances of gold's real rate of price change with consumption and GDP growth rates are small and statistically insignificantly different from zero. These negligible covariances suggest that gold's expected real rate of return--which includes an unobserved dividend yiel...

Maternal expectations and postpartum emotional adjustment in first-time mothers: results of a questionnaire survey.

Science.gov (United States)

Henshaw, Erin J; Fried, Rachel; Teeters, Jenni Beth; Siskind, Emily E

2014-09-01

Several predictors of postpartum mood have been identified in the literature, but the role of maternal expectations in postpartum mental health remains unclear. The aim of this study was to identify whether maternal expectations during the postpartum hospital stay predict adjustment and depressive symptoms at 6 weeks postpartum. The sample included 233 first-time mothers recruited from the postpartum unit of a Midwestern hospital. Participants completed measures of maternal expectations and depressive symptoms (EPDS) at Time 1 (2 d postpartum) and completed EPDS and an Emotional Adjustment Scale (BaM-13) at Time 2 (6 weeks postpartum). A conditional relationship between the expectation that an infant's behavior will reflect maternal skill and Time 2 outcomes (BaM-13 and EPDS) was found, such that endorsing this belief predicted increased depression and poorer adjustment in those with higher (but not lower) Time 1 EPDS scores. Time 2 BaM-13 scores were also negatively predicted by expectations of self-sacrifice and positively predicted by expectations that parenthood would be naturally fulfilling. The expectations that new mothers hold about parenting soon after delivery are predictive of emotional adjustment in the early postpartum period, suggesting a role for discussion of expectations in future preventive strategies.

Conditional Relationship Between Beta and Return in the US Stock Market

OpenAIRE

Bing XIAO

2016-01-01

According to the CAPM, risk is measured by the beta, and the relation between required expected return and beta is linear. This paper examines the conditional relationship between beta and return in the US stock market. The conditional covariances and variances used to estimate beta are modeled as an ARCH process. The beta return relationship is tested upon the sign of the excess market return. The implication of the sign of the excess market return follows Morelli (2011). This study shows th...

Identification of Time Varying Civil Engineering Structures using Multivariate Recursive Time Domain Models

DEFF Research Database (Denmark)

Andersen, P.; Skjærbæk, P. S.; Kirkegaard, Poul Henning

with the smoothed quanties which have been obtained from SARCOF. The results show the usefulness of the technique for identification of a time varying civil engineering structure. It is found that all the techniques give reliable estiates of the frequencies of the two lowest modes and the first mode shape. Only...

Stock Market Expectations of Dutch Households.

Science.gov (United States)

Hurd, Michael; van Rooij, Maarten; Winter, Joachim

2011-04-01

Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate this puzzle, recent research has started to elicit private households' expectations of stock market returns. This paper reports findings from a study that collected data over a two-year period both on households' stock market expectations (subjective probabilities of gains or losses) and on whether they own stocks. We document substantial heterogeneity in financial market expectations. Expectations are correlated with stock ownership. Over the two years of our data, stock market prices increased, and expectations of future stock market price changes also increased, lending support to the view that expectations are influenced by recent stock gains or losses.

Stochastic analysis of epidemics on adaptive time varying networks

Science.gov (United States)

Kotnis, Bhushan; Kuri, Joy

2013-06-01

Many studies investigating the effect of human social connectivity structures (networks) and human behavioral adaptations on the spread of infectious diseases have assumed either a static connectivity structure or a network which adapts itself in response to the epidemic (adaptive networks). However, human social connections are inherently dynamic or time varying. Furthermore, the spread of many infectious diseases occur on a time scale comparable to the time scale of the evolving network structure. Here we aim to quantify the effect of human behavioral adaptations on the spread of asymptomatic infectious diseases on time varying networks. We perform a full stochastic analysis using a continuous time Markov chain approach for calculating the outbreak probability, mean epidemic duration, epidemic reemergence probability, etc. Additionally, we use mean-field theory for calculating epidemic thresholds. Theoretical predictions are verified using extensive simulations. Our studies have uncovered the existence of an “adaptive threshold,” i.e., when the ratio of susceptibility (or infectivity) rate to recovery rate is below the threshold value, adaptive behavior can prevent the epidemic. However, if it is above the threshold, no amount of behavioral adaptations can prevent the epidemic. Our analyses suggest that the interaction patterns of the infected population play a major role in sustaining the epidemic. Our results have implications on epidemic containment policies, as awareness campaigns and human behavioral responses can be effective only if the interaction levels of the infected populace are kept in check.

Time-varying long term memory in the European Union stock markets

Science.gov (United States)

Sensoy, Ahmet; Tabak, Benjamin M.

2015-10-01

This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying efficiency. We observe that the 2008 global financial crisis has an adverse effect on almost all EU stock markets. However, the Eurozone sovereign debt crisis has a significant adverse effect only on the markets in France, Spain and Greece. For the late members, joining EU does not have a uniform effect on stock market efficiency. Our results have important implications for policy makers, investors, risk managers and academics.

Rational expectations, risk and efficiency in energy futures markets

Energy Technology Data Exchange (ETDEWEB)

Serletis, Apostolos (Calgary Univ., AB (CA). Dept. of Economics)

1991-04-01

Conditional on the hypothesis that energy futures markets are efficient or rational, this paper uses Fama's regression approach to measure the information in energy futures prices about future spot prices and time varying premiums. The paper finds that the premium and expected future spot price components of energy futures prices are negatively correlated and that most of the variation in futures prices is variation in expected premiums. (author).

Return to Play After Forearm and Hand Injuries in the National Basketball Association.

Science.gov (United States)

Morse, Kyle W; Hearns, Krystle A; Carlson, Michelle Gerwin

2017-02-01

Hand injuries can result in significant time away from competition for professional basketball players. Time to return to play after hand injuries in elite athletes has not been well described. To report the return to play from metacarpal fractures, phalangeal fractures, and thumb ligament tears in National Basketball Association (NBA) players over a 5-year period. Descriptive epidemiology study. The NBA transaction report was analyzed from January 2009 to May 2014. Players were identified if they were added to the inactive list (IL), missed games due to their injury, or underwent surgery as a result of hand injury. Number of games missed due to injury, days spent on the IL, and age at injury were calculated by injury type and location. One hundred thirty-seven injuries were identified: 39 injuries to the hand and 98 injuries to the finger. Three major injury patterns were identified and analyzed: metacarpal fractures (n = 26), phalangeal fractures (n = 33), and thumb ligament tears (n = 9). The type of injury sustained affected return to play ( P basketball players can lead to prolonged periods of time away from competition, especially after surgery. This study provides guidelines on expected return to play in the NBA after these common hand injuries.

Adaptive Neural Network Control for Nonlinear Hydraulic Servo-System with Time-Varying State Constraints

Directory of Open Access Journals (Sweden)

Shu-Min Lu

2017-01-01

Full Text Available An adaptive neural network control problem is addressed for a class of nonlinear hydraulic servo-systems with time-varying state constraints. In view of the low precision problem of the traditional hydraulic servo-system which is caused by the tracking errors surpassing appropriate bound, the previous works have shown that the constraint for the system is a good way to solve the low precision problem. Meanwhile, compared with constant constraints, the time-varying state constraints are more general in the actual systems. Therefore, when the states of the system are forced to obey bounded time-varying constraint conditions, the high precision tracking performance of the system can be easily realized. In order to achieve this goal, the time-varying barrier Lyapunov function (TVBLF is used to prevent the states from violating time-varying constraints. By the backstepping design, the adaptive controller will be obtained. A radial basis function neural network (RBFNN is used to estimate the uncertainties. Based on analyzing the stability of the hydraulic servo-system, we show that the error signals are bounded in the compacts sets; the time-varying state constrains are never violated and all singles of the hydraulic servo-system are bounded. The simulation and experimental results show that the tracking accuracy of system is improved and the controller has fast tracking ability and strong robustness.

On the use of adaptive multiresolution method with time-varying tolerance for compressible fluid flows

Science.gov (United States)

Soni, V.; Hadjadj, A.; Roussel, O.

2017-12-01

In this paper, a fully adaptive multiresolution (MR) finite difference scheme with a time-varying tolerance is developed to study compressible fluid flows containing shock waves in interaction with solid obstacles. To ensure adequate resolution near rigid bodies, the MR algorithm is combined with an immersed boundary method based on a direct-forcing approach in which the solid object is represented by a continuous solid-volume fraction. The resulting algorithm forms an efficient tool capable of solving linear and nonlinear waves on arbitrary geometries. Through a one-dimensional scalar wave equation, the accuracy of the MR computation is, as expected, seen to decrease in time when using a constant MR tolerance considering the accumulation of error. To overcome this problem, a variable tolerance formulation is proposed, which is assessed through a new quality criterion, to ensure a time-convergence solution for a suitable quality resolution. The newly developed algorithm coupled with high-resolution spatial and temporal approximations is successfully applied to shock-bluff body and shock-diffraction problems solving Euler and Navier-Stokes equations. Results show excellent agreement with the available numerical and experimental data, thereby demonstrating the efficiency and the performance of the proposed method.

Estimating time-varying exposure-outcome associations using case-control data: logistic and case-cohort analyses.

Science.gov (United States)

Keogh, Ruth H; Mangtani, Punam; Rodrigues, Laura; Nguipdop Djomo, Patrick

2016-01-05

Traditional analyses of standard case-control studies using logistic regression do not allow estimation of time-varying associations between exposures and the outcome. We present two approaches which allow this. The motivation is a study of vaccine efficacy as a function of time since vaccination. Our first approach is to estimate time-varying exposure-outcome associations by fitting a series of logistic regressions within successive time periods, reusing controls across periods. Our second approach treats the case-control sample as a case-cohort study, with the controls forming the subcohort. In the case-cohort analysis, controls contribute information at all times they are at risk. Extensions allow left truncation, frequency matching and, using the case-cohort analysis, time-varying exposures. Simulations are used to investigate the methods. The simulation results show that both methods give correct estimates of time-varying effects of exposures using standard case-control data. Using the logistic approach there are efficiency gains by reusing controls over time and care should be taken over the definition of controls within time periods. However, using the case-cohort analysis there is no ambiguity over the definition of controls. The performance of the two analyses is very similar when controls are used most efficiently under the logistic approach. Using our methods, case-control studies can be used to estimate time-varying exposure-outcome associations where they may not previously have been considered. The case-cohort analysis has several advantages, including that it allows estimation of time-varying associations as a continuous function of time, while the logistic regression approach is restricted to assuming a step function form for the time-varying association.

Structural nested mean models for assessing time-varying effect moderation.

Science.gov (United States)

Almirall, Daniel; Ten Have, Thomas; Murphy, Susan A

2010-03-01

This article considers the problem of assessing causal effect moderation in longitudinal settings in which treatment (or exposure) is time varying and so are the covariates said to moderate its effect. Intermediate causal effects that describe time-varying causal effects of treatment conditional on past covariate history are introduced and considered as part of Robins' structural nested mean model. Two estimators of the intermediate causal effects, and their standard errors, are presented and discussed: The first is a proposed two-stage regression estimator. The second is Robins' G-estimator. The results of a small simulation study that begins to shed light on the small versus large sample performance of the estimators, and on the bias-variance trade-off between the two estimators are presented. The methodology is illustrated using longitudinal data from a depression study.

Personal Information Management for Nurses Returning to School.

Science.gov (United States)

Bowman, Katherine

2015-12-01

Registered nurses with a diploma or an associate's degree are encouraged to return to school to earn a Bachelor of Science in Nursing degree. Until they return to school, many RNs have little need to regularly write, store, and retrieve work-related papers, but they are expected to complete the majority of assignments using a computer when in the student role. Personal information management (PIM) is a system of organizing and managing electronic information that will reduce computer clutter, while enhancing time use, task management, and productivity. This article introduces three PIM strategies for managing school work. Nesting is the creation of a system of folders to form a hierarchy for storing and retrieving electronic documents. Each folder, subfolder, and document must be given a meaningful unique name. Numbering is used to create different versions of the same paper, while preserving the original document. Copyright 2015, SLACK Incorporated.

Ready...go: Amplitude of the FMRI signal encodes expectation of cue arrival time.

Directory of Open Access Journals (Sweden)

Xu Cui

2009-08-01

Full Text Available What happens when the brain awaits a signal of uncertain arrival time, as when a sprinter waits for the starting pistol? And what happens just after the starting pistol fires? Using functional magnetic resonance imaging (fMRI, we have discovered a novel correlate of temporal expectations in several brain regions, most prominently in the supplementary motor area (SMA. Contrary to expectations, we found little fMRI activity during the waiting period; however, a large signal appears after the "go" signal, the amplitude of which reflects learned expectations about the distribution of possible waiting times. Specifically, the amplitude of the fMRI signal appears to encode a cumulative conditional probability, also known as the cumulative hazard function. The fMRI signal loses its dependence on waiting time in a "countdown" condition in which the arrival time of the go cue is known in advance, suggesting that the signal encodes temporal probabilities rather than simply elapsed time. The dependence of the signal on temporal expectation is present in "no-go" conditions, demonstrating that the effect is not a consequence of motor output. Finally, the encoding is not dependent on modality, operating in the same manner with auditory or visual signals. This finding extends our understanding of the relationship between temporal expectancy and measurable neural signals.

Variation of Time Domain Failure Probabilities of Jack-up with Wave Return Periods

Science.gov (United States)

Idris, Ahmad; Harahap, Indra S. H.; Ali, Montassir Osman Ahmed

2018-04-01

This study evaluated failure probabilities of jack up units on the framework of time dependent reliability analysis using uncertainty from different sea states representing different return period of the design wave. Surface elevation for each sea state was represented by Karhunen-Loeve expansion method using the eigenfunctions of prolate spheroidal wave functions in order to obtain the wave load. The stochastic wave load was propagated on a simplified jack up model developed in commercial software to obtain the structural response due to the wave loading. Analysis of the stochastic response to determine the failure probability in excessive deck displacement in the framework of time dependent reliability analysis was performed by developing Matlab codes in a personal computer. Results from the study indicated that the failure probability increases with increase in the severity of the sea state representing a longer return period. Although the results obtained are in agreement with the results of a study of similar jack up model using time independent method at higher values of maximum allowable deck displacement, it is in contrast at lower values of the criteria where the study reported that failure probability decreases with increase in the severity of the sea state.

Effects of daylight savings time changes on stock market volatility.

Science.gov (United States)

Berument, M Hakan; Dogan, Nukhet; Onar, Bahar

2010-04-01

The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.

Local inertial oscillations in the surface ocean generated by time-varying winds

Science.gov (United States)

Chen, Shengli; Polton, Jeff A.; Hu, Jianyu; Xing, Jiuxing

2015-12-01

A new relationship is presented to give a review study on the evolution of inertial oscillations in the surface ocean locally generated by time-varying wind stress. The inertial oscillation is expressed as the superposition of a previous oscillation and a newly generated oscillation, which depends upon the time-varying wind stress. This relationship is employed to investigate some idealized wind change events. For a wind series varying temporally with different rates, the induced inertial oscillation is dominated by the wind with the greatest variation. The resonant wind, which rotates anti-cyclonically at the local inertial frequency with time, produces maximal amplitude of inertial oscillations, which grows monotonically. For the wind rotating at non-inertial frequencies, the responses vary periodically, with wind injecting inertial energy when it is in phase with the currents, but removing inertial energy when it is out of phase. The wind rotating anti-cyclonically with time is much more favorable to generate inertial oscillations than the cyclonic rotating wind. The wind with a frequency closer to the inertial frequency generates stronger inertial oscillations. For a diurnal wind, the induced inertial oscillation is dependent on latitude and is most significant at 30 °. This relationship is also applied to examine idealized moving cyclones. The inertial oscillation is much stronger on the right-hand side of the cyclone path than on the left-hand side (in the northern hemisphere). This is due to the wind being anti-cyclonic with time on the right-hand side, but cyclonic on the other side. The inertial oscillation varies with the cyclone translation speed. The optimal translation speed generating the greatest inertial oscillations is 2 m/s at the latitude of 10 ° and gradually increases to 6 m/s at the latitude of 30 °.

Network Coded Cooperation Over Time-Varying Channels

DEFF Research Database (Denmark)

Khamfroush, Hana; Roetter, Daniel Enrique Lucani; Barros, João

2014-01-01

transmissions, e.g., in terms of the rate of packet transmission or the energy consumption. A comprehensive analysis of the MDP solution is carried out under different network conditions to extract optimal rules of packet transmission. Inspired by the extracted rules, we propose two near-optimal heuristics......In this paper, we investigate the optimal design of cooperative network-coded strategies for a three-node wireless network with time-varying, half-duplex erasure channels. To this end, we formulate the problem of minimizing the total cost of transmitting M packets from source to two receivers...... as a Markov Decision Process (MDP). The actions of the MDP model include the source and the type of transmission to be used in a given time slot given perfect knowledge of the system state. The cost of packet transmission is defined such that it can incorporate the difference between broadcast and unicast...

Frequency-scanning interferometry using a time-varying Kalman filter for dynamic tracking measurements.

Science.gov (United States)

Jia, Xingyu; Liu, Zhigang; Tao, Long; Deng, Zhongwen

2017-10-16

Frequency scanning interferometry (FSI) with a single external cavity diode laser (ECDL) and time-invariant Kalman filtering is an effective technique for measuring the distance of a dynamic target. However, due to the hysteresis of the piezoelectric ceramic transducer (PZT) actuator in the ECDL, the optical frequency sweeps of the ECDL exhibit different behaviors, depending on whether the frequency is increasing or decreasing. Consequently, the model parameters of Kalman filter appear time varying in each iteration, which produces state estimation errors with time-invariant filtering. To address this, in this paper, a time-varying Kalman filter is proposed to model the instantaneous movement of a target relative to the different optical frequency tuning durations of the ECDL. The combination of the FSI method with the time-varying Kalman filter was theoretically analyzed, and the simulation and experimental results show the proposed method greatly improves the performance of dynamic FSI measurements.

A behavioral asset pricing model with a time-varying second moment

International Nuclear Information System (INIS)

Chiarella, Carl; He Xuezhong; Wang, Duo

2006-01-01

We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted averaging process. Through a stability, bifurcation, and normal form analysis, the market impact of the weighting process and time-varying second moment are examined. It is found that the fundamental price becomes stable (unstable) when the activities from both types of traders are balanced (unbalanced). When the fundamental price becomes unstable, the weighting process leads to different price dynamics, depending on whether the chartists act as either trend followers or contrarians. It is also found that a time-varying second moment of the chartists does not change the stability of the fundamental price, but it does influence the stability of the bifurcations. The bifurcation becomes stable (unstable) when the chartists are more (less) concerned about the market risk characterized by the time-varying second moment. Different routes to complicated price dynamics are also observed. The analysis provides an analytical foundation for the statistical analysis of the corresponding stochastic version of this type of behavioral model

Estimating time-varying exposure-outcome associations using case-control data: logistic and case-cohort analyses

Directory of Open Access Journals (Sweden)

Ruth H. Keogh

2016-01-01

Full Text Available Abstract Background Traditional analyses of standard case-control studies using logistic regression do not allow estimation of time-varying associations between exposures and the outcome. We present two approaches which allow this. The motivation is a study of vaccine efficacy as a function of time since vaccination. Methods Our first approach is to estimate time-varying exposure-outcome associations by fitting a series of logistic regressions within successive time periods, reusing controls across periods. Our second approach treats the case-control sample as a case-cohort study, with the controls forming the subcohort. In the case-cohort analysis, controls contribute information at all times they are at risk. Extensions allow left truncation, frequency matching and, using the case-cohort analysis, time-varying exposures. Simulations are used to investigate the methods. Results The simulation results show that both methods give correct estimates of time-varying effects of exposures using standard case-control data. Using the logistic approach there are efficiency gains by reusing controls over time and care should be taken over the definition of controls within time periods. However, using the case-cohort analysis there is no ambiguity over the definition of controls. The performance of the two analyses is very similar when controls are used most efficiently under the logistic approach. Conclusions Using our methods, case-control studies can be used to estimate time-varying exposure-outcome associations where they may not previously have been considered. The case-cohort analysis has several advantages, including that it allows estimation of time-varying associations as a continuous function of time, while the logistic regression approach is restricted to assuming a step function form for the time-varying association.

Safety Behavior After Extinction Triggers a Return of Threat Expectancy

NARCIS (Netherlands)

van Uijen, S.L.; Leer, A.; Engelhard, I.M.

2018-01-01

Safety behavior is involved in the maintenance of anxiety disorders, presumably because it prevents the violation of negative expectancies. Recent research showed that safety behavior is resistant to fear extinction. This fear conditioning study investigated whether safety behavior after fear

Robust stabilisation of time-varying delay systems with probabilistic uncertainties

Science.gov (United States)

Jiang, Ning; Xiong, Junlin; Lam, James

2016-09-01

For robust stabilisation of time-varying delay systems, only sufficient conditions are available to date. A natural question is as follows: if the existing sufficient conditions are not satisfied, and hence no controllers can be found, what can one do to improve the stability performance of time-varying delay systems? This question is addressed in this paper when there is a probabilistic structure on the parameter uncertainty set. A randomised algorithm is proposed to design a state-feedback controller, which stabilises the system over the uncertainty domain in a probabilistic sense. The capability of the designed controller is quantified by the probability of stability of the resulting closed-loop system. The accuracy of the solution obtained from the randomised algorithm is also analysed. Finally, numerical examples are used to illustrate the effectiveness and advantages of the developed controller design approach.

Workplace Breastfeeding Support Varies by Employment Type: The Service Workplace Disadvantage.

Science.gov (United States)

Snyder, Kailey; Hansen, Kelli; Brown, Sara; Portratz, Amy; White, Kate; Dinkel, Danae

The majority of women are returning to work full-time after childbirth, and support within their place of employment may influence intention and duration for breastfeeding, but more research is needed. Therefore, the purpose of this study was to explore the influence of employment type on breastfeeding duration upon return to work by examining informal (i.e., verbal encouragement) and direct (i.e., lactation space, flexible time) factors of support. This was a retrospective survey of women's returning-to-work experiences while breastfeeding. Survey contents included respondent demographics as well as questions surrounding perceptions of employer support, work environment, and goal/satisfaction regarding breastfeeding. Data were analyzed via crosstabs and chi-square goodness of fit tests. A total of 1,002 women completed the survey. Significant differences were seen across different employment types. Women within the professional/management industry were most likely to receive informal and direct support for breastfeeding upon return to work. Women within the service industry and production/transportation industry reported receiving the lowest levels of informal and direct support. Workplace support varies by employment type and women in the service and production/transportation industry appear to be at a disadvantage compared with other employment types. There is a need for more breastfeeding support programs to be developed that target specific workplace characteristics.

Robust Stabilization of Discrete-Time Systems with Time-Varying Delay: An LMI Approach

Directory of Open Access Journals (Sweden)

Valter J. S. Leite

2008-01-01

Full Text Available Sufficient linear matrix inequality (LMI conditions to verify the robust stability and to design robust state feedback gains for the class of linear discrete-time systems with time-varying delay and polytopic uncertainties are presented. The conditions are obtained through parameter-dependent Lyapunov-Krasovskii functionals and use some extra variables, which yield less conservative LMI conditions. Both problems, robust stability analysis and robust synthesis, are formulated as convex problems where all system matrices can be affected by uncertainty. Some numerical examples are presented to illustrate the advantages of the proposed LMI conditions.

Quantifying Stock Return Distributions in Financial Markets.

Science.gov (United States)

Botta, Federico; Moat, Helen Susannah; Stanley, H Eugene; Preis, Tobias

2015-01-01

Being able to quantify the probability of large price changes in stock markets is of crucial importance in understanding financial crises that affect the lives of people worldwide. Large changes in stock market prices can arise abruptly, within a matter of minutes, or develop across much longer time scales. Here, we analyze a dataset comprising the stocks forming the Dow Jones Industrial Average at a second by second resolution in the period from January 2008 to July 2010 in order to quantify the distribution of changes in market prices at a range of time scales. We find that the tails of the distributions of logarithmic price changes, or returns, exhibit power law decays for time scales ranging from 300 seconds to 3600 seconds. For larger time scales, we find that the distributions tails exhibit exponential decay. Our findings may inform the development of models of market behavior across varying time scales.

The optimal manufacturing batch size with rework under time-varying demand process for a finite time horizon

Science.gov (United States)

Musa, Sarah; Supadi, Siti Suzlin; Omar, Mohd

2014-07-01

Rework is one of the solutions to some of the main issues in reverse logistic and green supply chain as it reduces production cost and environmental problem. Many researchers focus on developing rework model, but to the knowledge of the author, none of them has developed a model for time-varying demand rate. In this paper, we extend previous works and develop multiple batch production system for time-varying demand rate with rework. In this model, the rework is done within the same production cycle.

Robust stability analysis of uncertain stochastic neural networks with interval time-varying delay

International Nuclear Information System (INIS)

Feng Wei; Yang, Simon X.; Fu Wei; Wu Haixia

2009-01-01

This paper addresses the stability analysis problem for uncertain stochastic neural networks with interval time-varying delays. The parameter uncertainties are assumed to be norm bounded, and the delay factor is assumed to be time-varying and belong to a given interval, which means that the lower and upper bounds of interval time-varying delays are available. A sufficient condition is derived such that for all admissible uncertainties, the considered neural network is robustly, globally, asymptotically stable in the mean square. Some stability criteria are formulated by means of the feasibility of a linear matrix inequality (LMI), which can be effectively solved by some standard numerical packages. Finally, numerical examples are provided to demonstrate the usefulness of the proposed criteria.

Nonlinearly Activated Neural Network for Solving Time-Varying Complex Sylvester Equation.

Science.gov (United States)

Li, Shuai; Li, Yangming

2013-10-28

The Sylvester equation is often encountered in mathematics and control theory. For the general time-invariant Sylvester equation problem, which is defined in the domain of complex numbers, the Bartels-Stewart algorithm and its extensions are effective and widely used with an O(n³) time complexity. When applied to solving the time-varying Sylvester equation, the computation burden increases intensively with the decrease of sampling period and cannot satisfy continuous realtime calculation requirements. For the special case of the general Sylvester equation problem defined in the domain of real numbers, gradient-based recurrent neural networks are able to solve the time-varying Sylvester equation in real time, but there always exists an estimation error while a recently proposed recurrent neural network by Zhang et al [this type of neural network is called Zhang neural network (ZNN)] converges to the solution ideally. The advancements in complex-valued neural networks cast light to extend the existing real-valued ZNN for solving the time-varying real-valued Sylvester equation to its counterpart in the domain of complex numbers. In this paper, a complex-valued ZNN for solving the complex-valued Sylvester equation problem is investigated and the global convergence of the neural network is proven with the proposed nonlinear complex-valued activation functions. Moreover, a special type of activation function with a core function, called sign-bi-power function, is proven to enable the ZNN to converge in finite time, which further enhances its advantage in online processing. In this case, the upper bound of the convergence time is also derived analytically. Simulations are performed to evaluate and compare the performance of the neural network with different parameters and activation functions. Both theoretical analysis and numerical simulations validate the effectiveness of the proposed method.

Delay-Dependent Exponential Stability for Discrete-Time BAM Neural Networks with Time-Varying Delays

Directory of Open Access Journals (Sweden)

Yonggang Chen

2008-01-01

Full Text Available This paper considers the delay-dependent exponential stability for discrete-time BAM neural networks with time-varying delays. By constructing the new Lyapunov functional, the improved delay-dependent exponential stability criterion is derived in terms of linear matrix inequality (LMI. Moreover, in order to reduce the conservativeness, some slack matrices are introduced in this paper. Two numerical examples are presented to show the effectiveness and less conservativeness of the proposed method.

Predictability of Stock Returns

Directory of Open Access Journals (Sweden)

Ahmet Sekreter

2017-06-01

Full Text Available Predictability of stock returns has been shown by empirical studies over time. This article collects the most important theories on forecasting stock returns and investigates the factors that affecting behavior of the stocks’ prices and the market as a whole. Estimation of the factors and the way of estimation are the key issues of predictability of stock returns.

Sojourn time asymptotics in Processor Sharing queues with varying service rate

NARCIS (Netherlands)

Egorova, R.; Mandjes, M.R.H.; Zwart, B.

2007-01-01

Abstract This paper addresses the sojourn time asymptotics for a GI/GI/⋅ queue operating under the Processor Sharing (PS) discipline with stochastically varying service rate. Our focus is on the logarithmic estimates of the tail of sojourn-time distribution, under the assumption that the job-size

A Method of Time-Varying Rayleigh Channel Tracking in MIMO Radio System

Institute of Scientific and Technical Information of China (English)

GONG Yan-fei; HE Zi-shu; HAN Chun-lin

2005-01-01

A method of MIMO channel tracking based on Kalman filter and MMSE-DFE is proposed. The Kalman filter tracks the time-varying channel by using the MMSE-DFE decision and the MMSE-DFE conducts the next decision by using the channel estimates produced by the Kalman filter. Polynomial fitting is used to bridge the gap between the channel estimates produced by the Kalman filter and those needed for the DFE decision. Computer simulation demonstrates that this method can track the MIMO time-varying channel effectively.

Return to work in the context of everyday life 7-11 years after spinal cord injury - a follow-up study.

Science.gov (United States)

Holmlund, Lisa; Guidetti, Susanne; Eriksson, Gunilla; Asaba, Eric

2017-08-09

The aim of this follow-up study was to explore experiences of return to work in the context of everyday life among adults 7-11 years after spinal cord injury (SCI). This study used in-depth interviews and observations in a qualitative design with eight persons who had previously been interviewed in 2008. A narrative approach was used during data gathering and analysis. Return to work was experienced as something constantly needing to be negotiated in the context of everyday life. Several years after SCI expectations for work and perceptions of possibilities for meaningful work had changed. Five main themes were identified through the analysis, (1) negotiating the possibilities of working, (2) hope for future work tempered with concern, (3) education as a possible path to employment, (4) paths toward return to work in light of unmet support, and (5) unpaid occupations grounded in interest and competence. Persons who have no higher education or lack viable employment to return to after SCI seem to be vulnerable in return to work. Early and timely interventions tailored to the person's interests and competencies, in which the rehabilitation team has a distinct coordinating role, are thus critical in return to work. Implications for Rehabilitation Tensions between hope and expectations for work and unmet needs of support can lead to barriers in return to work, particularly for those who have no higher education or lack employment to return to after spinal cord injury. Rehabilitation after spinal cord injury can benefit from focus on how the balance of work fits into routines in the context of everyday life. Early and timely interventions integrating the person's interests and competencies in return to work after spinal cord injury in combination with having a health care provider who has a distinct coordinating role are critical.

q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations

Science.gov (United States)

Katz, Yuri A.; Tian, Li

2013-10-01

We study the probability distributions of daily leverage returns of 520 North American industrial companies that survive de-listing during the financial crisis, 2006-2012. We provide evidence that distributions of unbiased leverage returns of all individual firms belong to the class of q-Gaussian distributions with the Tsallis entropic parameter within the interval 1distributions imply a much higher probability of extreme movements in a company’s leverage ratio than forecasted by the normal distribution (q=1). Motivated by these findings, we develop a q-Gaussian generalization of traditional structural models of default. Derived exact analytical expressions for the probability distribution of a first stopping time and its intensity forecast significantly higher probability of default and much wider credit spreads at short time-horizons. Our findings are broadly consistent with the results of empirical studies in equity markets and are essential for single-name default forecasting as well as valuations of portfolio credit risk and economic capital, which might be underestimated by a classic theory of diversified portfolio optimization.

Price returns efficiency of the Shanghai A-Shares

Science.gov (United States)

Long, Wang Jiang; Jaaman, Saiful Hafizah; Samsudin, Humaida Banu

2014-06-01

Beta measured from the capital asset pricing model (CAPM) is the most widely used risk to estimate expected return. In this paper factors that influence Shanghai A-share stock return based on CAPM are explored and investigated. Price data of 312 companies listed on Shanghai Stock Exchange (SSE) from the year 2000 to 2011 are investigated. This study employed the Fama-MacBeth cross-sectional method to avoid weakness of traditional CAPM. In addition, this study improves the model by adjusting missing data. Findings of this study justifies that systematic risk can explain the portfolios' returns of China SSE stock market.

Conditional Relationship Between Beta and Return in the US Stock Market

Directory of Open Access Journals (Sweden)

Bing XIAO

2016-04-01

Full Text Available According to the CAPM, risk is measured by the beta, and the relation between required expected return and beta is linear. This paper examines the conditional relationship between beta and return in the US stock market. The conditional covariances and variances used to estimate beta are modeled as an ARCH process. The beta return relationship is tested upon the sign of the excess market return. The implication of the sign of the excess market return follows Morelli (2011. This study shows the importance of recognizing the sign of the excess market return when testing the beta-return relationship. The approach also allows us to distinguish the size effect and the effect of economic cycles.

Models of quality-adjusted life years when health varies over time

DEFF Research Database (Denmark)

Hansen, Kristian Schultz; Østerdal, Lars Peter Raahave

2006-01-01

Qualityadjusted life year (QALY) models are widely used for economic evaluation in the health care sector. In the first part of the paper, we establish an overview of QALY models where health varies over time and provide a theoretical analysis of model identification and parameter estimation from...... time tradeoff (TTO) and standard gamble (SG) scores. We investigate deterministic and probabilistic models and consider five different families of discounting functions in all. The second part of the paper discusses four issues recurrently debated in the literature. This discussion includes questioning...... of these two can be used to disentangle risk aversion from discounting. We find that caution must be taken when drawing conclusions from models with chronic health states to situations where health varies over time. One notable difference is that in the former case, risk aversion may be indistinguishable from...

Return-to-Work Program for Injured Workers: Factors of Successful Return to Employment.

Science.gov (United States)

Awang, Halimah; Shahabudin, Sharifah Muhairah; Mansor, Norma

2016-11-01

This study examined the factors of successful return to employment among participants in the return to work program (RTW) following work-related injury. Data were obtained from the Social Security Organization database containing 9850 injured workers who underwent RTW in 2010 to 2013. About 65% had successfully returned to employment. Significant factors of successful return include gender, employer interest, motivation, age, intervention duration, and type of injury. Male and motivated employees were more likely to return to employment compared with female and unmotivated employees, respectively. Participants from interested employers were 23.22 times more likely to return to work than those from uninterested employers, whereas participants whose intervention period exceeded 5 months were 41% less likely to return to work compared with those whose intervention period was within 3 months. Appropriate strategy and enhanced collaboration between the stakeholders would improve the proportion of successful return to employment. © 2016 APJPH.

Time-varying causality between energy consumption, CO2 emissions, and economic growth: evidence from US states.

Science.gov (United States)

Tzeremes, Panayiotis

2018-02-01

This study is the first attempt to investigate the relationship between CO 2 emissions, energy consumption, and economic growth at a state level, for the 50 US states, through a time-varying causality approach using annual data over the periods 1960-2010. The time-varying causality test facilitates the better understanding of the causal relationship between the covariates owing to the fact that it might identify causalities when the time-constant hypothesis is rejected. Our findings indicate the existence of a time-varying causality at the state level. Specifically, the results probe eight bidirectional time-varying causalities between energy consumption and CO 2 emission, six cases of two-way time-varying causalities between economic growth and energy consumption, and five bidirectional time-varying causalities between economic growth and CO 2 emission. Moreover, we examine the traditional environmental Kuznets curve hypothesis for the states. Notably, our results do not endorse the validity of the EKC, albeit the majority of states support an inverted N-shaped relationship. Lastly, we can identify multiple policy implications based on the empirical results.

Estimating Risk and Return Combinations for New Derivatives Funds

Directory of Open Access Journals (Sweden)

Alexandre Bona

2004-12-01

Full Text Available Active funds are typically managed by placing bets against a well defined passive bench-mark. In this context, when examining the launching of a new actively managed fund with a target expected excess rate of return relative to the benchmark equal to µ, asset managers face the problem of estimating the risk σ of excess rates of return. This estimate is critical to examine whether the product is commercially feasible and to define risk limits for the manager, if the product is launched. This paper proceeds to examine the solution to this problem assuming an especial form of the binomial model, in the context of the market timing structure advanced by Merton (1981. The paper shows that two variables are relevant for the solution of the proposed problem. The first, and the most relevant, is the skill level of the manager. A ore skilled manager is able to operate a less risky product with the same target excess rate of return µ. The second relevant variable is the trade-off between risk and return determined by existing investment opportunities in the market. The smaller the increases in risk exposure required to obtain an increase in excess returns, the less risky the product will be After solving the problem under specific assumptions, the paper proceeds to test empirically their validity using a representative sample of hedge funds in the Brazilian market. The empirical results strongly support the validity of the required assumptions.

Multi-disciplinary techniques for understanding time-varying space-based imagery

Science.gov (United States)

Casasent, D.; Sanderson, A.; Kanade, T.

1984-06-01

A multidisciplinary program for space-based image processing is reported. This project combines optical and digital processing techniques and pattern recognition, image understanding and artificial intelligence methodologies. Time change image processing was recognized as the key issue to be addressed. Three time change scenarios were defined based on the frame rate of the data change. This report details the recent research on: various statistical and deterministic image features, recognition of sub-pixel targets in time varying imagery, and 3-D object modeling and recognition.

Robustness analysis of the Zhang neural network for online time-varying quadratic optimization

International Nuclear Information System (INIS)

Zhang Yunong; Ruan Gongqin; Li Kene; Yang Yiwen

2010-01-01

A general type of recurrent neural network (termed as Zhang neural network, ZNN) has recently been proposed by Zhang et al for the online solution of time-varying quadratic-minimization (QM) and quadratic-programming (QP) problems. Global exponential convergence of the ZNN could be achieved theoretically in an ideal error-free situation. In this paper, with the normal differentiation and dynamics-implementation errors considered, the robustness properties of the ZNN model are investigated for solving these time-varying problems. In addition, linear activation functions and power-sigmoid activation functions could be applied to such a perturbed ZNN model. Both theoretical-analysis and computer-simulation results demonstrate the good ZNN robustness and superior performance for online time-varying QM and QP problem solving, especially when using power-sigmoid activation functions.

Return to the... past

International Nuclear Information System (INIS)

Ammerich, M.

2009-01-01

This article goes back over the incidents occurring during the summer 2008, that is to say the uranium release from the Socatri facility in the South of France. From this point, the purpose studies the radiological situation of the Camargue seashore; the levels of radioactivity are from 3 to thirty times higher than these ones expected in this area, but the natural radioactivity with thorium and uranium coming from the granitic massifs erosion brings an important part. It is difficult to make the part between human and natural contribution to ambient radioactivity. However, it appears that to limit the water consumption until the time of dilution played its part was absolutely necessary. Then, because it is question of water, the drinking water is tackled. Some mineral waters go over the recommended limits of doses. A last return to the past with the radioactive watches, but this time with actual watches that activate detection. Two watches contained promethium 147, 147 Pm is a beta emitter but also gamma emitter. To end, in Ireland and Great Britain, some fire detectors contain americium 241. In fact, this article constitutes a summary of different abnormalities around radioactivity. (N.C.)

Exponential stability of fuzzy cellular neural networks with constant and time-varying delays

International Nuclear Information System (INIS)

Liu Yanqing; Tang Wansheng

2004-01-01

In this Letter, the global stability of delayed fuzzy cellular neural networks (FCNN) with either constant delays or time varying delays is proposed. Firstly, we give the existence and uniqueness of the equilibrium point by using the theory of topological degree and the properties of nonsingular M-matrix and the sufficient conditions for ascertaining the global exponential stability by constructing a suitable Lyapunov functional. Secondly, the criteria for guaranteeing the global exponential stability of FCNN with time varying delays are given and the estimation of exponential convergence rate with regard to speed of vary of delays is presented by constructing a suitable Lyapunov functional

Tracking control of time-varying knee exoskeleton disturbed by interaction torque.

Science.gov (United States)

Li, Zhan; Ma, Wenhao; Yin, Ziguang; Guo, Hongliang

2017-11-01

Knee exoskeletons have been increasingly applied as assistive devices to help lower-extremity impaired people to make their knee joints move through providing external movement compensation. Tracking control of knee exoskeletons guided by human intentions often encounters time-varying (time-dependent) issues and the disturbance interaction torque, which may dramatically put an influence up on their dynamic behaviors. Inertial and viscous parameters of knee exoskeletons can be estimated to be time-varying due to unexpected mechanical vibrations and contact interactions. Moreover, the interaction torque produced from knee joint of wearers has an evident disturbance effect on regular motions of knee exoskeleton. All of these points can increase difficultly of accurate control of knee exoskeletons to follow desired joint angle trajectories. This paper proposes a novel control strategy for controlling knee exoskeleton with time-varying inertial and viscous coefficients disturbed by interaction torque. Such designed controller is able to make the tracking error of joint angle of knee exoskeletons exponentially converge to zero. Meanwhile, the proposed approach is robust to guarantee the tracking error bounded when the interaction torque exists. Illustrative simulation and experiment results are presented to show efficiency of the proposed controller. Additionally, comparisons with gradient dynamic (GD) approach and other methods are also presented to demonstrate efficiency and superiority of the proposed control strategy for tracking joint angle of knee exoskeleton. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.

Forced solitary Rossby waves under the influence of slowly varying topography with time

International Nuclear Information System (INIS)

Yang Hong-Wei; Yin Bao-Shu; Yang De-Zhou; Xu Zhen-Hua

2011-01-01

By using a weakly nonlinear and perturbation method, the generalized inhomogeneous Korteweg—de Vries (KdV)—Burgers equation is derived, which governs the evolution of the amplitude of Rossby waves under the influence of dissipation and slowly varying topography with time. The analysis indicates that dissipation and slowly varying topography with time are important factors in causing variation in the mass and energy of solitary waves. (general)

Mass Redistribution in the Core and Time-varying Gravity at the Earth's Surface

Science.gov (United States)

Kuang, Wei-Jia; Chao, Benjamin F.; Fang, Ming

2003-01-01

The Earth's liquid outer core is in convection, as suggested by the existence of the geomagnetic field in much of the Earth's history. One consequence of the convection is the redistribution of mass resulting from relative motion among fluid parcels with slightly different densities. This time dependent mass redistribution inside the core produces a small perturbation on the gravity field of the Earth. With our numerical dynamo solutions, we find that the mass redistribution (and the resultant gravity field) symmetric about the equator is much stronger than that anti-symmetric about the equator. In particular, J(sub 2) component is the strongest. In addition, the gravity field variation increases with the Rayleigh number that measures the driving force for the geodynamo in the core. With reasonable scaling from the current dynamo solutions, we could expect that at the surface of the Earth, the J(sub 2) variation from the core is on the order of l0(exp -16)/year relative to the mean (i.e. spherically symmetric) gravity field of the Earth. The possible shielding effect due to core-mantle boundary pressure variation loading is likely much smaller and is therefore negligible. Our results suggest that time-varying gravity field perturbation due to core mass redistribution may be measured with modem space geodetic observations, which will result a new means of detecting dynamical processes in the Earth's deep interior.

Impacts of Returning Unsold Products in Retail Outsourcing Fashion Supply Chain: A Sustainability Analysis

Directory of Open Access Journals (Sweden)

Bin Shen

2015-01-01

Full Text Available l outsourcing with a return policy is quite commonly adopted in the fashion supply chain. Under the return policy, the supplier as a brand owner may focus on production, and then outsource retailing to the retailer. In the meanwhile, the retailer may receive some support money from the supplier for subsidizing the loss of unsold products at the end of the selling season and be asked for shipping back. Motivated by this real practice in the fashion industry, we examine a two-echelon supply chain with one supplier and one retailer under the return policy. Several interesting findings are obtained from our analysis. First, we find that when the supply chain achieves channel coordination, the cost of physical return is at least partially borne by the supplier, no matter who is responsible for it in reality. Second, we find that the cost of physical return is significantly affecting the sustainability factors such as the expected amount leftover (which represents environmental friendliness, the expected sales to expected goods leftover ratio (which implies both environmental friendliness and economic sustainability, and the rate of return on investment (which indicates economic sustainability. Third, from a sustainability perspective, we find that the pure wholesale price contract is more sustainable than the coordinating return policy. A numerical study by the real company data is conducted and managerial insights from analysis are discussed.

Stability of Nonlinear Systems with Unknown Time-varying Feedback Delay

Science.gov (United States)

Chunodkar, Apurva A.; Akella, Maruthi R.

2013-12-01

This paper considers the problem of stabilizing a class of nonlinear systems with unknown bounded delayed feedback wherein the time-varying delay is 1) piecewise constant 2) continuous with a bounded rate. We also consider application of these results to the stabilization of rigid-body attitude dynamics. In the first case, the time-delay in feedback is modeled specifically as a switch among an arbitrarily large set of unknown constant values with a known strict upper bound. The feedback is a linear function of the delayed states. In the case of linear systems with switched delay feedback, a new sufficiency condition for average dwell time result is presented using a complete type Lyapunov-Krasovskii (L-K) functional approach. Further, the corresponding switched system with nonlinear perturbations is proven to be exponentially stable inside a well characterized region of attraction for an appropriately chosen average dwell time. In the second case, the concept of the complete type L-K functional is extended to a class of nonlinear time-delay systems with unknown time-varying time-delay. This extension ensures stability robustness to time-delay in the control design for all values of time-delay less than the known upper bound. Model-transformation is used in order to partition the nonlinear system into a nominal linear part that is exponentially stable with a bounded perturbation. We obtain sufficient conditions which ensure exponential stability inside a region of attraction estimate. A constructive method to evaluate the sufficient conditions is presented together with comparison with the corresponding constant and piecewise constant delay. Numerical simulations are performed to illustrate the theoretical results of this paper.

Using Expectancy Theory to Explain Performance Appraisal ...

African Journals Online (AJOL)

pc

2018-03-05

Mar 5, 2018 ... appraisal conducting style, the relation between the performance appraisal system and task ... the article first explains the theory model which is based expectancy theory. II. ... which in return lead to rewards. According to [12],.

Robustness Analysis of Hybrid Stochastic Neural Networks with Neutral Terms and Time-Varying Delays

Directory of Open Access Journals (Sweden)

Chunmei Wu

2015-01-01

Full Text Available We analyze the robustness of global exponential stability of hybrid stochastic neural networks subject to neutral terms and time-varying delays simultaneously. Given globally exponentially stable hybrid stochastic neural networks, we characterize the upper bounds of contraction coefficients of neutral terms and time-varying delays by using the transcendental equation. Moreover, we prove theoretically that, for any globally exponentially stable hybrid stochastic neural networks, if additive neutral terms and time-varying delays are smaller than the upper bounds arrived, then the perturbed neural networks are guaranteed to also be globally exponentially stable. Finally, a numerical simulation example is given to illustrate the presented criteria.

The correlation between the imaging characteristics of hamstring injury and time required before returning to sports: a literature review.

Science.gov (United States)

Svensson, Kjell; Alricsson, Marie; Eckerman, Mattias; Magounakis, Theofilos; Werner, Suzanne

2016-06-01

Injuries to the hamstring muscles are common in athletes. Track and field, Australian football, American football and soccer are examples of sports where hamstring injuries are the most common. The purpose of this study was to investigate whether there is a correlation between a hamstring injury prognosis and its characteristics of imaging parameters. The literature search was performed in the databases PubMed and CINAHL, and eleven articles were included. Seven out of the 11 articles showed a correlation between the size of the hamstring injury and length of time required before returning to sports. Different authors have reported contrasting results about length of time required before returning to sports due to location of injury within specific muscle. Majority of the articles found hamstring strain correlated to an extended amount of time required before returning to sports.

Uncertain programming models for portfolio selection with uncertain returns

Science.gov (United States)

Zhang, Bo; Peng, Jin; Li, Shengguo

2015-10-01

In an indeterminacy economic environment, experts' knowledge about the returns of securities consists of much uncertainty instead of randomness. This paper discusses portfolio selection problem in uncertain environment in which security returns cannot be well reflected by historical data, but can be evaluated by the experts. In the paper, returns of securities are assumed to be given by uncertain variables. According to various decision criteria, the portfolio selection problem in uncertain environment is formulated as expected-variance-chance model and chance-expected-variance model by using the uncertainty programming. Within the framework of uncertainty theory, for the convenience of solving the models, some crisp equivalents are discussed under different conditions. In addition, a hybrid intelligent algorithm is designed in the paper to provide a general method for solving the new models in general cases. At last, two numerical examples are provided to show the performance and applications of the models and algorithm.

Modeling the return and volatility of the Greek electricity marginal system price

International Nuclear Information System (INIS)

Theodorou, Petros; Karyampas, Dimitrios

2008-01-01

Traditional cost based optimization models (WASP) for expansion planning do not allow for mark-to-market valuation and cannot satisfy arbitrage free requirements. This work will fill this gap by developing and estimating models for mark-to-market valuation. Furthermore the present paper examines the return and volatility of the newly born Greek's electricity market's marginal system price. A detailed description of the market mechanism and regulation is used to describe how prices are determined in order to proceed with return and volatility modeling. Continuous time mean reverting and time varying mean reverting stochastic processes have been solved in discrete time processes and estimated econometrically along with ARMAX and GARCH models. It was found that GARCH model gave much better estimation and forecasting ability. Strong persistence in mean has been found giving suspicions of market inefficiency and strong incentives for arbitrage opportunities. Finally, the change in the regulatory framework has been controlled and found to have significant impact. (author)

Global exponential stability of BAM neural networks with time-varying delays: The discrete-time case

Science.gov (United States)

Raja, R.; Marshal Anthoni, S.

2011-02-01

This paper deals with the problem of stability analysis for a class of discrete-time bidirectional associative memory (BAM) neural networks with time-varying delays. By employing the Lyapunov functional and linear matrix inequality (LMI) approach, a new sufficient conditions is proposed for the global exponential stability of discrete-time BAM neural networks. The proposed LMI based results can be easily checked by LMI control toolbox. Moreover, an example is also provided to demonstrate the effectiveness of the proposed method.

Vocational reintegration following spinal cord injury: expectations, participation and interventions.

Science.gov (United States)

Schönherr, M C; Groothoff, J W; Mulder, G A; Schoppen, T; Eisma, W H

2004-03-01

Survey. To explore the process of reintegration in paid work following a traumatic spinal cord injury (SCI), including the role of early expectations of individual patients regarding return to work, indicators of success of job reintegration and a description of reintegration interventions and barriers. Dutch rehabilitation centre with special department for patients with spinal cord injuries. Descriptive analysis of data gathered by a mailed questionnaire, which was returned by 57 persons (response 83%) with traumatic SCI, aged 18-60 years, and data of earlier expectations reported by the individual patients during the rehabilitation admission following SCI from 1990 to 1998. Of 49 respondents who were employed at the moment of the SCI, 45% expected to be able to resume work. These positive expectations were associated with a higher educational level. In 67%, return to work was successful. The chance to reintegrate successfully was better if the patient expected to resume work. Logistic regression analysis did not reveal other significant indicators. About one-third of the 49 respondents working preinjury followed vocational retraining, which was successful for most of them so far. In the majority of work situations modifications have been made, such as job adaptations and reduction of working hours. Several unmet needs regarding reintegration interventions were also reported. Positive expectations regarding resumption of work after a SCI are an important indicator of successful reintegration in work. An active role of the rehabilitation team is recommended in drawing up a vocational reintegration plan to prepare the patient, the employer and professionals involved in the reintegration process.

Overlapping quadratic optimal control of linear time-varying commutative systems

Czech Academy of Sciences Publication Activity Database

Bakule, Lubomír; Rodellar, J.; Rossell, J. M.

2002-01-01

Roč. 40, č. 5 (2002), s. 1611-1627 ISSN 0363-0129 R&D Projects: GA AV ČR IAA2075802 Institutional research plan: CEZ:AV0Z1075907 Keywords : overlapping * optimal control * linear time-varying systems Subject RIV: BC - Control Systems Theory Impact factor: 1.441, year: 2002

An Explicit MOT-TD-VIE Solver for Time Varying Media

KAUST Repository

Sayed, Sadeed Bin

2016-03-15

An explicit marching on-in-time (MOT) scheme for solving the time domain electric field integral equation enforced on volumes with time varying dielectric permittivity is proposed. Unknowns of the integral equation and the constitutive relation, i.e., flux density and field intensity, are discretized using full and half Schaubert-Wilton-Glisson functions in space. Temporal interpolation is carried out using band limited approximate prolate spherical wave functions. The discretized coupled system of integral equation and constitutive relation is integrated in time using a PE(CE)m type linear multistep scheme. Unlike the existing MOT methods, the resulting explicit MOT scheme allows for straightforward incorporation of the time variation in the dielectric permittivity.

Time-varying Capital Requirements and Disclosure Rules

DEFF Research Database (Denmark)

Kragh, Jonas; Rangvid, Jesper

, implying that resilience in the banking system is also increased. The increase in capital ratios is partly due to a modest reduction in lending. Using a policy changes, we show that banks react stronger to changes in capital requirements when these are public. Our results further suggest that the impact......Unique and confidential Danish data allow us to identify how changes in disclosure requirements and bank-specific time-varying capital requirements affect banks' lending and capital accumu-lation decisions. We find that banks increase their capital ratios after capital requirements are increased...... of capital requirements differ for small and large banks. Large banks raise their capital ratios more, reduce lending less, and accumulate more new capital compared to small banks....

Time-varying vector fields and their flows

CERN Document Server

Jafarpour, Saber

2014-01-01

This short book provides a comprehensive and unified treatment of time-varying vector fields under a variety of regularity hypotheses, namely finitely differentiable, Lipschitz, smooth, holomorphic, and real analytic. The presentation of this material in the real analytic setting is new, as is the manner in which the various hypotheses are unified using functional analysis. Indeed, a major contribution of the book is the coherent development of locally convex topologies for the space of real analytic sections of a vector bundle, and the development of this in a manner that relates easily to classically known topologies in, for example, the finitely differentiable and smooth cases. The tools used in this development will be of use to researchers in the area of geometric functional analysis.

Delay-Dependent Guaranteed Cost Control of an Interval System with Interval Time-Varying Delay

Directory of Open Access Journals (Sweden)

Xiao Min

2009-01-01

Full Text Available This paper concerns the problem of the delay-dependent robust stability and guaranteed cost control for an interval system with time-varying delay. The interval system with matrix factorization is provided and leads to less conservative conclusions than solving a square root. The time-varying delay is assumed to belong to an interval and the derivative of the interval time-varying delay is not a restriction, which allows a fast time-varying delay; also its applicability is broad. Based on the Lyapunov-Ktasovskii approach, a delay-dependent criterion for the existence of a state feedback controller, which guarantees the closed-loop system stability, the upper bound of cost function, and disturbance attenuation lever for all admissible uncertainties as well as out perturbation, is proposed in terms of linear matrix inequalities (LMIs. The criterion is derived by free weighting matrices that can reduce the conservatism. The effectiveness has been verified in a number example and the compute results are presented to validate the proposed design method.

Bond return predictability in expansions and recessions

DEFF Research Database (Denmark)

Engsted, Tom; Møller, Stig Vinther; Jensen, Magnus David Sander

We document that over the period 1953-2011 US bond returns are predictable in expansionary periods but unpredictable during recessions. This result holds in both in-sample and out-of-sample analyses and using both univariate regressions and combination forecasting techniques. A simulation study...... but negative in recessions. The results are also consistent with tests showing that the expectations hypothesis of the term structure holds in recessions but not in expansions. However, the results for bonds are in sharp contrast to results for stocks showing that stock returns are predictable in recessions...... but not in expansions. Thus, our results indicate that there is not a common predictive pattern of stock and bond returns associated with the state of the economy....

What characterises the expectations of gamblers?

DEFF Research Database (Denmark)

Nielsen, Connie

the gamblers have erroneous thoughts of gambling, their subjective estimates of the return rates of the games, expected gains and motives of consumption and investment for playing. These aspects will help to create a picture of how rational the gamblers are and whether there are significant differences between...

Discrete-time recurrent neural networks with time-varying delays: Exponential stability analysis

International Nuclear Information System (INIS)

Liu, Yurong; Wang, Zidong; Serrano, Alan; Liu, Xiaohui

2007-01-01

This Letter is concerned with the analysis problem of exponential stability for a class of discrete-time recurrent neural networks (DRNNs) with time delays. The delay is of the time-varying nature, and the activation functions are assumed to be neither differentiable nor strict monotonic. Furthermore, the description of the activation functions is more general than the recently commonly used Lipschitz conditions. Under such mild conditions, we first prove the existence of the equilibrium point. Then, by employing a Lyapunov-Krasovskii functional, a unified linear matrix inequality (LMI) approach is developed to establish sufficient conditions for the DRNNs to be globally exponentially stable. It is shown that the delayed DRNNs are globally exponentially stable if a certain LMI is solvable, where the feasibility of such an LMI can be easily checked by using the numerically efficient Matlab LMI Toolbox. A simulation example is presented to show the usefulness of the derived LMI-based stability condition

Global exponential stability of uncertain fuzzy BAM neural networks with time-varying delays

International Nuclear Information System (INIS)

Syed Ali, M.; Balasubramaniam, P.

2009-01-01

In this paper, the Takagi-Sugeno (TS) fuzzy model representation is extended to the stability analysis for uncertain Bidirectional Associative Memory (BAM) neural networks with time-varying delays using linear matrix inequality (LMI) theory. A novel LMI-based stability criterion is obtained by LMI optimization algorithms to guarantee the exponential stability of uncertain BAM neural networks with time-varying delays which are represented by TS fuzzy models. Finally, the proposed stability conditions are demonstrated with numerical examples.

Distribution, stock composition and timing, and tagging response of wild Chinook Salmon returning to a large, free-flowing river basin

Science.gov (United States)

Eiler, John H.; Masuda, Michele; Spencer, Ted R.; Driscoll, Richard J.; Schreck, Carl B.

2014-01-01

Chinook Salmon Oncorhynchus tshawytscha returns to the Yukon River basin have declined dramatically since the late 1990s, and detailed information on the spawning distribution, stock structure, and stock timing is needed to better manage the run and facilitate conservation efforts. A total of 2,860 fish were radio-tagged in the lower basin during 2002–2004 and tracked upriver. Fish traveled to spawning areas throughout the basin, ranging from several hundred to over 3,000 km from the tagging site. Similar distribution patterns were observed across years, suggesting that the major components of the run were identified. Daily and seasonal composition estimates were calculated for the component stocks. The run was dominated by two regional components comprising over 70% of the return. Substantially fewer fish returned to other areas, ranging from 2% to 9% of the return, but their collective contribution was appreciable. Most regional components consisted of several principal stocks and a number of small, spatially isolated populations. Regional and stock composition estimates were similar across years even though differences in run abundance were reported, suggesting that the differences in abundance were not related to regional or stock-specific variability. Run timing was relatively compressed compared with that in rivers in the southern portion of the species’ range. Most stocks passed through the lower river over a 6-week period, ranging in duration from 16 to 38 d. Run timing was similar for middle- and upper-basin stocks, limiting the use of timing information for management. The lower-basin stocks were primarily later-run fish. Although differences were observed, there was general agreement between our composition and timing estimates and those from other assessment projects within the basin, suggesting that the telemetry-based estimates provided a plausible approximation of the return. However, the short duration of the run, complex stock structure, and

Estimation of time-varying reactivity by the H∞ optimal linear filter

International Nuclear Information System (INIS)

Suzuki, Katsuo; Shimazaki, Junya; Watanabe, Koiti

1995-01-01

The problem of estimating the time-varying net reactivity from flux measurements is solved for a point reactor kinetics model using a linear filtering technique in an H ∞ settings. In order to sue this technique, an appropriate dynamical model of the reactivity is constructed that can be embedded into the reactor model as one of its variables. A filter, which minimizes the H ∞ norm of the estimation error power spectrum, operates on neutron density measurements corrupted by noise and provides an estimate of the dynamic net reactivity. Computer simulations are performed to reveal the basic characteristics of the H ∞ optimal filter. The results of the simulation indicate that the filter can be used to determine the time-varying reactivity from neutron density measurements that have been corrupted by noise

Globally Asymptotic Stability of Stochastic Nonlinear Systems with Time-Varying Delays via Output Feedback Control

Directory of Open Access Journals (Sweden)

Mingzhu Song

2016-01-01

Full Text Available We address the problem of globally asymptotic stability for a class of stochastic nonlinear systems with time-varying delays. By the backstepping method and Lyapunov theory, we design a linear output feedback controller recursively based on the observable linearization for a class of stochastic nonlinear systems with time-varying delays to guarantee that the closed-loop system is globally asymptotically stable in probability. In particular, we extend the deterministic nonlinear system to stochastic nonlinear systems with time-varying delays. Finally, an example and its simulations are given to illustrate the theoretical results.

Soil erosion under multiple time-varying rainfall events

Science.gov (United States)

Heng, B. C. Peter; Barry, D. Andrew; Jomaa, Seifeddine; Sander, Graham C.

2010-05-01

Soil erosion is a function of many factors and process interactions. An erosion event produces changes in surface soil properties such as texture and hydraulic conductivity. These changes in turn alter the erosion response to subsequent events. Laboratory-scale soil erosion studies have typically focused on single independent rainfall events with constant rainfall intensities. This study investigates the effect of multiple time-varying rainfall events on soil erosion using the EPFL erosion flume. The rainfall simulator comprises ten Veejet nozzles mounted on oscillating bars 3 m above a 6 m × 2 m flume. Spray from the nozzles is applied onto the soil surface in sweeps; rainfall intensity is thus controlled by varying the sweeping frequency. Freshly-prepared soil with a uniform slope was subjected to five rainfall events at daily intervals. In each 3-h event, rainfall intensity was ramped up linearly to a maximum of 60 mm/h and then stepped down to zero. Runoff samples were collected and analysed for particle size distribution (PSD) as well as total sediment concentration. We investigate whether there is a hysteretic relationship between sediment concentration and discharge within each event and how this relationship changes from event to event. Trends in the PSD of the eroded sediment are discussed and correlated with changes in sediment concentration. Close-up imagery of the soil surface following each event highlight changes in surface soil structure with time. This study enhances our understanding of erosion processes in the field, with corresponding implications for soil erosion modelling.

Return to work after early part-time sick leave due to musculoskeletal disorders: a randomized controlled trial.

Science.gov (United States)

Viikari-Juntura, Eira; Kausto, Johanna; Shiri, Rahman; Kaila-Kangas, Leena; Takala, Esa-Pekka; Karppinen, Jaro; Miranda, Helena; Luukkonen, Ritva; Martimo, Kari-Pekka

2012-03-01

The purpose of this study was to assess the effects of early part-time sick leave on return to work (RTW) and sickness absence among patients with musculoskeletal disorders. A randomized controlled trial was conducted in six occupational health units of medium- and large-size enterprises. Patients aged 18-60 years with musculoskeletal disorders (N=63) unable to perform their regular work were randomly allocated to part- or full-time sick leave. In the former group, workload was reduced by restricting work time by about a half. Remaining work tasks were modified when necessary, as specified in a "fit note" from the physician. The main outcomes were time to return to regular work activities and sickness absence during 12-month follow-up. Time to RTW sustained for ≥4 weeks was shorter in the intervention group (median 12 versus 20 days, P=0.10). Hazard ratio of RTW adjusted for age was 1.60 [95% confidence interval (95% CI) 0.98-2.63] and 1.76 (95% CI 1.21-2.56) after further adjustment for pain interference with sleep and previous sickness absence at baseline. Total sickness absence during the 12-month follow-up was about 20% lower in the intervention than the control group. Compliance with the intervention was high with no discontinuations of part-time sick leave due to musculoskeletal reasons. Early part-time sick leave may provide a faster and more sustainable return to regular duties than full-time sick leave among patients with musculoskeletal disorders. This is the first study to show that work participation can be safely increased with early part-time sick leave.

Changing mortality and average cohort life expectancy

Directory of Open Access Journals (Sweden)

Robert Schoen

2005-10-01

Full Text Available Period life expectancy varies with changes in mortality, and should not be confused with the life expectancy of those alive during that period. Given past and likely future mortality changes, a recent debate has arisen on the usefulness of the period life expectancy as the leading measure of survivorship. An alternative aggregate measure of period mortality which has been seen as less sensitive to period changes, the cross-sectional average length of life (CAL has been proposed as an alternative, but has received only limited empirical or analytical examination. Here, we introduce a new measure, the average cohort life expectancy (ACLE, to provide a precise measure of the average length of life of cohorts alive at a given time. To compare the performance of ACLE with CAL and with period and cohort life expectancy, we first use population models with changing mortality. Then the four aggregate measures of mortality are calculated for England and Wales, Norway, and Switzerland for the years 1880 to 2000. CAL is found to be sensitive to past and present changes in death rates. ACLE requires the most data, but gives the best representation of the survivorship of cohorts present at a given time.

Investment Strategy Based on Aviation Accidents: Are there abnormal returns?

Directory of Open Access Journals (Sweden)

Marcos Rosa Costa

2013-06-01

Full Text Available This article investigates whether an investment strategy based on aviation accidents can generate abnormal returns. We performed an event study considering all the aviation accidents with more than 10 fatalities in the period from 1998 to 2009 and the stock market performance of the respective airlines and aircraft manufacturers in the days after the event. The tests performed were based on the model of Campbell, Lo & MacKinlay (1997 for definition of abnormal returns, by means of linear regression between the firms’ stock returns and the return of a market portfolio used as a benchmark. This enabled projecting the expected future returns of the airlines and aircraft makers, for comparison with the observed returns after each event. The result obtained suggests that an investment strategy based on aviation accidents is feasible because abnormal returns can be obtained in the period immediately following an aviation disaster.

Work and pregnancy: individual and organizational factors influencing organizational commitment, timing of maternity leave, and return to work.

Science.gov (United States)

Lyness, K S; Thompson, C A; Francesco, A M; Judiesch, M K

1999-10-01

This study surveys pregnant women to examine the individual and organizational factors related with organizational commitment, planned timing of maternity leaves and return to work after childbirth. The survey was conducted on 86 pregnant women; among them, 73% were White, 8% were Asian, 7% were African-American, 6% were Hispanic, and 1% were Native-American respondents. The findings revealed that women whose organizations offered guaranteed jobs after childbirth planned to work later into their pregnancies and to return to work sooner after childbirth. Also, women who perceived supportive work-family cultures were more committed to their organizations and planned to return more quickly after childbirth than women who perceived less supportive cultures. Furthermore, women with less traditional attitudes towards parenting planned to work later into their pregnancies and return to work sooner after childbirth.

Exponential stability of switched linear systems with time-varying delay

Directory of Open Access Journals (Sweden)

Satiracoo Pairote

2007-11-01

Full Text Available We use a Lyapunov-Krasovskii functional approach to establish the exponential stability of linear systems with time-varying delay. Our delay-dependent condition allows to compute simultaneously the two bounds that characterize the exponential stability rate of the solution. A simple procedure for constructing switching rule is also presented.

Relay selection in cooperative communication systems over continuous time-varying fading channel

Directory of Open Access Journals (Sweden)

Ke Geng

2017-02-01

Full Text Available In this paper, we study relay selection under outdated channel state information (CSI in a decode-and-forward (DF cooperative system. Unlike previous researches on cooperative communication under outdated CSI, we consider that the channel varies continuously over time, i.e., the channel not only changes between relay selection and data transmission but also changes during data transmission. Thus the level of accuracy of the CSI used in relay selection degrades with data transmission. We first evaluate the packet error rate (PER of the cooperative system under continuous time-varying fading channel, and find that the PER performance deteriorates more seriously under continuous time-varying fading channel than when the channel is assumed to be constant during data transmission. Then, we propose a repeated relay selection (RRS strategy to improve the PER performance, in which the forwarded data is divided into multiple segments and relay is reselected before the transmission of each segment based on the updated CSI. Finally, we propose a combined relay selection (CRS strategy which takes advantage of three different relay selection strategies to further mitigate the impact of outdated CSI.

US stock market efficiency over weekly, monthly, quarterly and yearly time scales

Science.gov (United States)

Rodriguez, E.; Aguilar-Cornejo, M.; Femat, R.; Alvarez-Ramirez, J.

2014-11-01

In financial markets, the weak form of the efficient market hypothesis implies that price returns are serially uncorrelated sequences. In other words, prices should follow a random walk behavior. Recent developments in evolutionary economic theory (Lo, 2004) have tailored the concept of adaptive market hypothesis (AMH) by proposing that market efficiency is not an all-or-none concept, but rather market efficiency is a characteristic that varies continuously over time and across markets. Within the AMH framework, this work considers the Dow Jones Index Average (DJIA) for studying the deviations from the random walk behavior over time. It is found that the market efficiency also varies over different time scales, from weeks to years. The well-known detrended fluctuation analysis was used for the characterization of the serial correlations of the return sequences. The results from the empirical showed that interday and intraday returns are more serially correlated than overnight returns. Also, some insights in the presence of business cycles (e.g., Juglar and Kuznets) are provided in terms of time variations of the scaling exponent.

One-dimensional radionuclide transport under time-varying conditions

International Nuclear Information System (INIS)

Gelbard, F.; Olague, N.E.; Longsine, D.E.

1990-01-01

This paper discusses new analytical and numerical solutions presented for one-dimensional radionuclide transport under time-varying fluid-flow conditions including radioactive decay. The analytical solution assumes that all radionuclides have identical retardation factors, and is limited to instantaneous releases. The numerical solution does not have these limitations, but is tested against the limiting case given for the analytical solution. Reasonable agreement between the two solutions was found. Examples are given for the transport of a three-member radionuclide chain transported over distances and flow rates comparable to those reported for Yucca Mountain, the proposed disposal site for high-level nuclear waste

Generalized Projective Synchronization between Two Complex Networks with Time-Varying Coupling Delay

International Nuclear Information System (INIS)

Mei, Sun; Chang-Yan, Zeng; Li-Xin, Tian

2009-01-01

Generalized projective synchronization (GPS) between two complex networks with time-varying coupling delay is investigated. Based on the Lyapunov stability theory, a nonlinear controller and adaptive updated laws are designed. Feasibility of the proposed scheme is proven in theory. Moreover, two numerical examples are presented, using the energy resource system and Lü's system [Physica A 382 (2007) 672] as the nodes of the networks. GPS between two energy resource complex networks with time-varying coupling delay is achieved. This study can widen the application range of the generalized synchronization methods and will be instructive for the demand–supply of energy resource in some regions of China

Compensating Unknown Time-Varying Delay in Opto-Electronic Platform Tracking Servo System

Directory of Open Access Journals (Sweden)

Ruihong Xie

2017-05-01

Full Text Available This paper investigates the problem of compensating miss-distance delay in opto-electronic platform tracking servo system. According to the characteristic of LOS (light-of-sight motion, we setup the Markovian process model and compensate this unknown time-varying delay by feed-forward forecasting controller based on robust H∞ control. Finally, simulation based on double closed-loop PI (Proportion Integration control system indicates that the proposed method is effective for compensating unknown time-varying delay. Tracking experiments on the opto-electronic platform indicate that RMS (root-mean-square error is 1.253 mrad when tracking 10° 0.2 Hz signal.

Generalized Projective Synchronization between Two Complex Networks with Time-Varying Coupling Delay

Science.gov (United States)

Sun, Mei; Zeng, Chang-Yan; Tian, Li-Xin

2009-01-01

Generalized projective synchronization (GPS) between two complex networks with time-varying coupling delay is investigated. Based on the Lyapunov stability theory, a nonlinear controller and adaptive updated laws are designed. Feasibility of the proposed scheme is proven in theory. Moreover, two numerical examples are presented, using the energy resource system and Lü's system [Physica A 382 (2007) 672] as the nodes of the networks. GPS between two energy resource complex networks with time-varying coupling delay is achieved. This study can widen the application range of the generalized synchronization methods and will be instructive for the demand-supply of energy resource in some regions of China.

Intercoalescence time distribution of incomplete gene genealogies in temporally varying populations, and applications in population genetic inference.

Science.gov (United States)

Chen, Hua

2013-03-01

Tracing back to a specific time T in the past, the genealogy of a sample of haplotypes may not have reached their common ancestor and may leave m lineages extant. For such an incomplete genealogy truncated at a specific time T in the past, the distribution and expectation of the intercoalescence times conditional on T are derived in an exact form in this paper for populations of deterministically time-varying sizes, specifically, for populations growing exponentially. The derived intercoalescence time distribution can be integrated to the coalescent-based joint allele frequency spectrum (JAFS) theory, and is useful for population genetic inference from large-scale genomic data, without relying on computationally intensive approaches, such as importance sampling and Markov Chain Monte Carlo (MCMC) methods. The inference of several important parameters relying on this derived conditional distribution is demonstrated: quantifying population growth rate and onset time, and estimating the number of ancestral lineages at a specific ancient time. Simulation studies confirm validity of the derivation and statistical efficiency of the methods using the derived intercoalescence time distribution. Two examples of real data are given to show the inference of the population growth rate of a European sample from the NIEHS Environmental Genome Project, and the number of ancient lineages of 31 mitochondrial genomes from Tibetan populations. © 2013 Blackwell Publishing Ltd/University College London.

Multi-pulse chaotic motions of a rotor-active magnetic bearing system with time-varying stiffness

International Nuclear Information System (INIS)

Zhang, W.; Yao, M.H.; Zhan, X.P.

2006-01-01

In this paper, we investigate the Shilnikov type multi-pulse chaotic dynamics for a rotor-active magnetic bearings (AMB) system with 8-pole legs and the time-varying stiffness. The stiffness in the AMB is considered as the time-varying in a periodic form. The dimensionless equation of motion for the rotor-AMB system with the time-varying stiffness in the horizontal and vertical directions is a two-degree-of-freedom nonlinear system with quadratic and cubic nonlinearities and parametric excitation. The asymptotic perturbation method is used to obtain the averaged equations in the case of primary parametric resonance and 1/2 subharmonic resonance. It is found from the numerical results that there are the phenomena of the Shilnikov type multi-pulse chaotic motions for the rotor-AMB system. A new jumping phenomenon is discovered in the rotor-AMB system with the time-varying stiffness

Risk of portfolio with simulated returns based on copula model

Science.gov (United States)

Razak, Ruzanna Ab; Ismail, Noriszura

2015-02-01

The commonly used tool for measuring risk of a portfolio with equally weighted stocks is variance-covariance method. Under extreme circumstances, this method leads to significant underestimation of actual risk due to its multivariate normality assumption of the joint distribution of stocks. The purpose of this research is to compare the actual risk of portfolio with the simulated risk of portfolio in which the joint distribution of two return series is predetermined. The data used is daily stock prices from the ASEAN market for the period January 2000 to December 2012. The copula approach is applied to capture the time varying dependence among the return series. The results shows that the chosen copula families are not suitable to present the dependence structures of each bivariate returns. Exception for the Philippines-Thailand pair where by t copula distribution appears to be the appropriate choice to depict its dependence. Assuming that the t copula distribution is the joint distribution of each paired series, simulated returns is generated and value-at-risk (VaR) is then applied to evaluate the risk of each portfolio consisting of two simulated return series. The VaR estimates was found to be symmetrical due to the simulation of returns via elliptical copula-GARCH approach. By comparison, it is found that the actual risks are underestimated for all pairs of portfolios except for Philippines-Thailand. This study was able to show that disregard of the non-normal dependence structure of two series will result underestimation of actual risk of the portfolio.

Dual Extended Kalman Filter for the Identification of Time-Varying Human Manual Control Behavior

Science.gov (United States)

Popovici, Alexandru; Zaal, Peter M. T.; Pool, Daan M.

2017-01-01

A Dual Extended Kalman Filter was implemented for the identification of time-varying human manual control behavior. Two filters that run concurrently were used, a state filter that estimates the equalization dynamics, and a parameter filter that estimates the neuromuscular parameters and time delay. Time-varying parameters were modeled as a random walk. The filter successfully estimated time-varying human control behavior in both simulated and experimental data. Simple guidelines are proposed for the tuning of the process and measurement covariance matrices and the initial parameter estimates. The tuning was performed on simulation data, and when applied on experimental data, only an increase in measurement process noise power was required in order for the filter to converge and estimate all parameters. A sensitivity analysis to initial parameter estimates showed that the filter is more sensitive to poor initial choices of neuromuscular parameters than equalization parameters, and bad choices for initial parameters can result in divergence, slow convergence, or parameter estimates that do not have a real physical interpretation. The promising results when applied to experimental data, together with its simple tuning and low dimension of the state-space, make the use of the Dual Extended Kalman Filter a viable option for identifying time-varying human control parameters in manual tracking tasks, which could be used in real-time human state monitoring and adaptive human-vehicle haptic interfaces.

A new time-varying harmonic decomposition structure based on recursive hanning window

NARCIS (Netherlands)

Martins, C.H.; Silva, L.R.M.; Duque, C.A.; Cerqueira, A.S.; Teixeira, E.C.; Ribeiro, P.F.

2012-01-01

Analysis of power quality phenomena under time-varying conditions has become an important subject as the complexity of the grid increases. As a consequence, several methods have been developed/applied also to study power quality parameters during transient conditions such as time-frequency methods.

Estimating the Returns to Firm-Sponsored on-the-Job and Classroom Training

OpenAIRE

Benoit Dostie

2010-01-01

In this paper, we estimate returns to classroom and on-the-job firm-sponsored training in terms of value-added per worker using longitudinal linked employee-employer Canadian data from 1999 to 2006. We estimate a standard production function controlling for endogenous training decisions because of perceived net benefits and time-varying market conditions using dynamic panel GMM methods. We find that employees who undertook classroom training are 11 percent more productive than otherwise simil...

An Expectation Maximization Algorithm to Model Failure Times by Continuous-Time Markov Chains

Directory of Open Access Journals (Sweden)

Qihong Duan

2010-01-01

Full Text Available In many applications, the failure rate function may present a bathtub shape curve. In this paper, an expectation maximization algorithm is proposed to construct a suitable continuous-time Markov chain which models the failure time data by the first time reaching the absorbing state. Assume that a system is described by methods of supplementary variables, the device of stage, and so on. Given a data set, the maximum likelihood estimators of the initial distribution and the infinitesimal transition rates of the Markov chain can be obtained by our novel algorithm. Suppose that there are m transient states in the system and that there are n failure time data. The devised algorithm only needs to compute the exponential of m×m upper triangular matrices for O(nm2 times in each iteration. Finally, the algorithm is applied to two real data sets, which indicates the practicality and efficiency of our algorithm.

Application of Statistical Linear Time-Varying System Theory to Modeling of High Grazing Angle Sea Clutter

Science.gov (United States)

2017-10-25

9 3.2 Time -Frequency Power Distribution at Channel Output .................................................. 16 3.3...describes the distribution of the radar return as a function of lag τ and correlation time ∆t [1, 3]. In an airborne pulse-Doppler radar system we can...obtained by interpolating data points taken from Figure 7.13 from [37]. 3.2 Time -Frequency Power Distribution at Channel Output One of the goals of pulse

Uniform stability for time-varying infinite-dimensional discrete linear systems

International Nuclear Information System (INIS)

Kubrusly, C.S.

1988-09-01

Stability for time-varying discrete linear systems in a Banach space is investigated. On the one hand, it established a fairly complete collection of necessary and sufficient conditions for uniform asymptotic equistability for input-free systems. This includes uniform and strong power equistability, and uniform and strong l p -equistability, among other technical conditions which also play essential role in stability theory. On other hand, it is shown that uniform asymptotic equistability for input-free systems is equivalent to each of the following concepts of uniform stability for forced systems: l p -input l p -state, c o -input c o -state, bounded-input bounded-state, l p>1 -input bounded-state, c sub (o)-input bounded-state, and convergent-input bounded-state; which are also equivalent to their nonuniform counterparts. For time-varying convergent systems, the above is also equivalent to convergent-input convergent-state stability. The proofs presented here are all ''elementary'' in the sense that they are based essentially only on the Banach-Steinhaus theorem. (autor) [pt

Neutron fluctuations in a medium randomly varying in time

International Nuclear Information System (INIS)

Lenard, Pal; Imre, Pazsit

2005-01-01

The master equation approach, which has traditionally been used for the calculation of neutron fluctuations in zero power systems with constant parameters, is extended to a case when the parameters of the system change randomly in time. We consider a forward type master equation for the probability distribution of the number of particles in a multiplying system whose properties jump randomly between two discrete states, both with and without an external source. The first two factorial moments are calculated, including the covariance. This model can be considered the unification of stochastic methods that were used either in a constant multiplying medium via the master equation technique, or in a fluctuating medium via the Langevin technique. In contrast to these methods, the one presented here can calculate the inherent noise in time-varying systems. The results obtained show a much richer characteristics of the zero power noise than that in constant systems. Even the concept of criticality has to be given a probabilistic interpretation. The asymptotic behaviour of the variance will be also qualitatively different from that in constant systems. The covariance of the neutron number in a subcritical system with a source, and the corresponding power spectrum, shows both the inherent and parametrically induced noise components. The results are relevant in medium power subcritical systems where the zero power noise is still significant, but they also have a bearing on all types of branching processes, such as evolution of biological systems, spreading of epidemics etc., which are set in a time-varying environment. (authors)

Neutron fluctuations in a medium randomly varying in time

Energy Technology Data Exchange (ETDEWEB)

Lenard, Pal [KFKI Atomic Energy Research Institute, Budapest (Hungary); Imre, Pazsit [Chalmers Univ. of Technology, Dept. of Nuclear Engineering, SE, Goteborg (Sweden)

2005-07-01

The master equation approach, which has traditionally been used for the calculation of neutron fluctuations in zero power systems with constant parameters, is extended to a case when the parameters of the system change randomly in time. We consider a forward type master equation for the probability distribution of the number of particles in a multiplying system whose properties jump randomly between two discrete states, both with and without an external source. The first two factorial moments are calculated, including the covariance. This model can be considered the unification of stochastic methods that were used either in a constant multiplying medium via the master equation technique, or in a fluctuating medium via the Langevin technique. In contrast to these methods, the one presented here can calculate the inherent noise in time-varying systems. The results obtained show a much richer characteristics of the zero power noise than that in constant systems. Even the concept of criticality has to be given a probabilistic interpretation. The asymptotic behaviour of the variance will be also qualitatively different from that in constant systems. The covariance of the neutron number in a subcritical system with a source, and the corresponding power spectrum, shows both the inherent and parametrically induced noise components. The results are relevant in medium power subcritical systems where the zero power noise is still significant, but they also have a bearing on all types of branching processes, such as evolution of biological systems, spreading of epidemics etc., which are set in a time-varying environment. (authors)

Optimal Consumption and Investment under Time-Varying Relative Risk Aversion

DEFF Research Database (Denmark)

Steffensen, Mogens

2011-01-01

We consider the continuous time consumption-investment problem originally formalized and solved by Merton in case of constant relative risk aversion. We present a complete solution for the case where relative risk aversion with respect to consumption varies with time, having in mind an investor...... with age-dependent risk aversion. This provides a new motivation for life-cycle investment rules. We study the optimal consumption and investment rules, in particular in the case where the relative risk aversion with respect to consumption is increasing with age....

Detection of dynamically varying interaural time differences

DEFF Research Database (Denmark)

Kohlrausch, Armin; Le Goff, Nicolas; Breebaart, Jeroen

2010-01-01

of fringes surrounding the probe is equal to the addition of the effects of the individual fringes. In this contribution, we present behavioral data for the same experimental condition, called dynamically varying ITD detection, but for a wider range of probe and fringe durations. Probe durations varied...

Mean Square Exponential Stability of Stochastic Switched System with Interval Time-Varying Delays

Directory of Open Access Journals (Sweden)

Manlika Rajchakit

2012-01-01

Full Text Available This paper is concerned with mean square exponential stability of switched stochastic system with interval time-varying delays. The time delay is any continuous function belonging to a given interval, but not necessary to be differentiable. By constructing a suitable augmented Lyapunov-Krasovskii functional combined with Leibniz-Newton’s formula, a switching rule for the mean square exponential stability of switched stochastic system with interval time-varying delays and new delay-dependent sufficient conditions for the mean square exponential stability of the switched stochastic system are first established in terms of LMIs. Numerical example is given to show the effectiveness of the obtained result.

H ∞ synchronization of the coronary artery system with input time-varying delay

International Nuclear Information System (INIS)

Li Xiao-Meng; Zhao Zhan-Shan; Sun Lian-Kun; Zhang Jing

2016-01-01

This paper investigates the H ∞ synchronization of the coronary artery system with input delay and disturbance. We focus on reducing the conservatism of existing synchronization strategies. Base on the triple integral forms of the Lyapunov–Krasovskii functional (LKF), we utilize single and double integral forms of Wirtinger-based inequality to guarantee that the synchronization feedback controller has good performance against time-varying delay and external disturbance. The effectiveness of our strategy can be exhibited by simulations under the different time-varying delays and different disturbances. (paper)

Tracking time-varying coefficient-functions

DEFF Research Database (Denmark)

Nielsen, Henrik Aalborg; Nielsen, Torben Skov; Joensen, Alfred K.

2000-01-01

is a combination of recursive least squares with exponential forgetting and local polynomial regression. It is argued, that it is appropriate to let the forgetting factor vary with the value of the external signal which is the argument of the coefficient functions. Some of the key properties of the modified method...... are studied by simulation...

Return to Golf After Lumbar Fusion.

Science.gov (United States)

Shifflett, Grant D; Hellman, Michael D; Louie, Philip K; Mikhail, Christopher; Park, Kevin U; Phillips, Frank M

Spinal fusion surgery is being increasingly performed, yet few studies have focused on return to recreational sports after lumbar fusion and none have specifically analyzed return to golf. Most golfers successfully return to sport after lumbar fusion surgery. Case series. Level 4. All patients who underwent 1- or 2-level primary lumbar fusion surgery for degenerative pathologies performed by a single surgeon between January 2008 and October 2012 and had at least 1-year follow-up were included. Patients completed a specifically designed golf survey. Surveys were mailed, given during follow-up clinic, or answered during telephone contact. A total of 353 patients met the inclusion and exclusion criteria, with 200 responses (57%) to the questionnaire producing 34 golfers. The average age of golfers was 57 years (range, 32-79 years). In 79% of golfers, preoperative back and/or leg pain significantly affected their ability to play golf. Within 1 year from surgery, 65% of patients returned to practice and 52% returned to course play. Only 29% of patients stated that continued back/leg pain limited their play. Twenty-five patients (77%) were able to play the same amount of golf or more than before fusion surgery. Of those providing handicaps, 12 (80%) reported the same or an improved handicap. More than 50% of golfers return to on-course play within 1 year of lumbar fusion surgery. The majority of golfers can return to preoperative levels in terms of performance (handicap) and frequency of play. This investigation offers insight into when golfers return to sport after lumbar fusion surgery and provides surgeons with information to set realistic expectations postoperatively.

Women in post-trafficking services in moldova: diagnostic interviews over two time periods to assess returning women's mental health

Directory of Open Access Journals (Sweden)

Gorceag Lilia T

2011-04-01

Full Text Available Abstract Background Trafficking in women is a widespread human rights violation commonly associated with poor mental health. Yet, to date, no studies have used psychiatric diagnostic assessment to identify common forms of mental distress among survivors returning to their home country. Methods A longitudinal study was conducted of women aged 18 and over who returned to Moldova between December 2007 and December 2008 registered by the International Organisation for Migration as a survivor of human trafficking. Psychiatric diagnoses in women at a mean of 6 months after return (range 2-12 months were made by a trained Moldavian psychiatrist using the Structured Clinical Interview for DSM-IV, and compared with diagnoses recorded in the same women within 5 days of return. We described the socio-demographic characteristics of the women in the sample including both pre and post-trafficking information. We then described the distribution of mental health diagnoses recorded during the crisis intervention phase (1-5 days after return and the re-integration phase (2-12 months after return. We compared diagnoses at the patient level between the two time points by tabulating the diagnoses and carrying out a kappa test of agreement and the Stuart-Maxwell test for marginal homogeneity (an extension of the McNemar test to kxk table. Results 120/176 (68% eligible women participated. At 2-12 months after their return, 54% met criteria for at least one psychiatric diagnoses comprising post-traumatic stress disorder (PTSD alone (16%; co-morbid PTSD (20%; other anxiety or mood disorder (18%. 85% of women who had been diagnosed in the crisis phase with co-morbid PTSD or with another anxiety or mood disorder sustained a diagnosis of any psychiatric disorder when followed up during rehabilitation. Conclusions Trafficked women returning to their country of origin are likely to suffer serious psychological distress that may endure well beyond the time they return. Women

Time-varying coefficient estimation in SURE models. Application to portfolio management

DEFF Research Database (Denmark)

Casas, Isabel; Ferreira, Eva; Orbe, Susan

This paper provides a detailed analysis of the asymptotic properties of a kernel estimator for a Seemingly Unrelated Regression Equations model with time-varying coefficients (tv-SURE) under very general conditions. Theoretical results together with a simulation study differentiates the cases...

Effects of varying feeding times on fertility and hatchability of broiler ...

African Journals Online (AJOL)

Effects of varying feeding times on fertility and hatchability of broiler chicken breeders in a tropical environment. ... Journal Home > Vol 65, No 4 (2017) > ... Prior to the eighth week data collection, the birds were allowed to get accustomed to ...

Temporal expectancy in the context of a theory of visual attention.

Science.gov (United States)

Vangkilde, Signe; Petersen, Anders; Bundesen, Claus

2013-10-19

Temporal expectation is expectation with respect to the timing of an event such as the appearance of a certain stimulus. In this paper, temporal expectancy is investigated in the context of the theory of visual attention (TVA), and we begin by summarizing the foundations of this theoretical framework. Next, we present a parametric experiment exploring the effects of temporal expectation on perceptual processing speed in cued single-stimulus letter recognition with unspeeded motor responses. The length of the cue-stimulus foreperiod was exponentially distributed with one of six hazard rates varying between blocks. We hypothesized that this manipulation would result in a distinct temporal expectation in each hazard rate condition. Stimulus exposures were varied such that both the temporal threshold of conscious perception (t0 ms) and the perceptual processing speed (v letters s(-1)) could be estimated using TVA. We found that the temporal threshold t0 was unaffected by temporal expectation, but the perceptual processing speed v was a strikingly linear function of the logarithm of the hazard rate of the stimulus presentation. We argue that the effects on the v values were generated by changes in perceptual biases, suggesting that our perceptual biases are directly related to our temporal expectations.

Temporal expectancy in the context of a theory of visual attention

Science.gov (United States)

Vangkilde, Signe; Petersen, Anders; Bundesen, Claus

2013-01-01

Temporal expectation is expectation with respect to the timing of an event such as the appearance of a certain stimulus. In this paper, temporal expectancy is investigated in the context of the theory of visual attention (TVA), and we begin by summarizing the foundations of this theoretical framework. Next, we present a parametric experiment exploring the effects of temporal expectation on perceptual processing speed in cued single-stimulus letter recognition with unspeeded motor responses. The length of the cue–stimulus foreperiod was exponentially distributed with one of six hazard rates varying between blocks. We hypothesized that this manipulation would result in a distinct temporal expectation in each hazard rate condition. Stimulus exposures were varied such that both the temporal threshold of conscious perception (t0 ms) and the perceptual processing speed (v letters s−1) could be estimated using TVA. We found that the temporal threshold t0 was unaffected by temporal expectation, but the perceptual processing speed v was a strikingly linear function of the logarithm of the hazard rate of the stimulus presentation. We argue that the effects on the v values were generated by changes in perceptual biases, suggesting that our perceptual biases are directly related to our temporal expectations. PMID:24018716

Synchronization of Hierarchical Time-Varying Neural Networks Based on Asynchronous and Intermittent Sampled-Data Control.

Science.gov (United States)

Xiong, Wenjun; Patel, Ragini; Cao, Jinde; Zheng, Wei Xing

In this brief, our purpose is to apply asynchronous and intermittent sampled-data control methods to achieve the synchronization of hierarchical time-varying neural networks. The asynchronous and intermittent sampled-data controllers are proposed for two reasons: 1) the controllers may not transmit the control information simultaneously and 2) the controllers cannot always exist at any time . The synchronization is then discussed for a kind of hierarchical time-varying neural networks based on the asynchronous and intermittent sampled-data controllers. Finally, the simulation results are given to illustrate the usefulness of the developed criteria.In this brief, our purpose is to apply asynchronous and intermittent sampled-data control methods to achieve the synchronization of hierarchical time-varying neural networks. The asynchronous and intermittent sampled-data controllers are proposed for two reasons: 1) the controllers may not transmit the control information simultaneously and 2) the controllers cannot always exist at any time . The synchronization is then discussed for a kind of hierarchical time-varying neural networks based on the asynchronous and intermittent sampled-data controllers. Finally, the simulation results are given to illustrate the usefulness of the developed criteria.

Modal Vibration Control in Periodic Time-Varying Structures with Focus on Rotor Blade Systems

DEFF Research Database (Denmark)

Christensen, Rene Hardam; Santos, Ilmar

2004-01-01

of active modal controllers. The main aim is to reduce vibrations in periodic time-varying structures. Special emphasis is given to vibration control of coupled bladed rotor systems. A state feedback modal control law is developed based on modal analysis in periodic time-varying structures. The first step...... in the procedure is a transformation of the model into a time-invariant modal form by applying the modal matrices, which are also periodic time-variant. Due to coupled rotor and blade motions complex vibration modes occur in the modal transformed state space model. This implies that the modal transformed model...

Modeling the distribution of extreme share return in Malaysia using Generalized Extreme Value (GEV) distribution

Science.gov (United States)

Hasan, Husna; Radi, Noor Fadhilah Ahmad; Kassim, Suraiya

2012-05-01

Extreme share return in Malaysia is studied. The monthly, quarterly, half yearly and yearly maximum returns are fitted to the Generalized Extreme Value (GEV) distribution. The Augmented Dickey Fuller (ADF) and Phillips Perron (PP) tests are performed to test for stationarity, while Mann-Kendall (MK) test is for the presence of monotonic trend. Maximum Likelihood Estimation (MLE) is used to estimate the parameter while L-moments estimate (LMOM) is used to initialize the MLE optimization routine for the stationary model. Likelihood ratio test is performed to determine the best model. Sherman's goodness of fit test is used to assess the quality of convergence of the GEV distribution by these monthly, quarterly, half yearly and yearly maximum. Returns levels are then estimated for prediction and planning purposes. The results show all maximum returns for all selection periods are stationary. The Mann-Kendall test indicates the existence of trend. Thus, we ought to model for non-stationary model too. Model 2, where the location parameter is increasing with time is the best for all selection intervals. Sherman's goodness of fit test shows that monthly, quarterly, half yearly and yearly maximum converge to the GEV distribution. From the results, it seems reasonable to conclude that yearly maximum is better for the convergence to the GEV distribution especially if longer records are available. Return level estimates, which is the return level (in this study return amount) that is expected to be exceeded, an average, once every t time periods starts to appear in the confidence interval of T = 50 for quarterly, half yearly and yearly maximum.

State space modeling of time-varying contemporaneous and lagged relations in connectivity maps.

Science.gov (United States)

Molenaar, Peter C M; Beltz, Adriene M; Gates, Kathleen M; Wilson, Stephen J

2016-01-15

Most connectivity mapping techniques for neuroimaging data assume stationarity (i.e., network parameters are constant across time), but this assumption does not always hold true. The authors provide a description of a new approach for simultaneously detecting time-varying (or dynamic) contemporaneous and lagged relations in brain connectivity maps. Specifically, they use a novel raw data likelihood estimation technique (involving a second-order extended Kalman filter/smoother embedded in a nonlinear optimizer) to determine the variances of the random walks associated with state space model parameters and their autoregressive components. The authors illustrate their approach with simulated and blood oxygen level-dependent functional magnetic resonance imaging data from 30 daily cigarette smokers performing a verbal working memory task, focusing on seven regions of interest (ROIs). Twelve participants had dynamic directed functional connectivity maps: Eleven had one or more time-varying contemporaneous ROI state loadings, and one had a time-varying autoregressive parameter. Compared to smokers without dynamic maps, smokers with dynamic maps performed the task with greater accuracy. Thus, accurate detection of dynamic brain processes is meaningfully related to behavior in a clinical sample. Published by Elsevier Inc.

Evaluation of a real-time PCR assay for malaria diagnosis in patients from Vietnam and in returned travellers.

Science.gov (United States)

Vo, Thi Kim Duy; Bigot, Patricia; Gazin, Pierre; Sinou, Veronique; De Pina, Jean Jacques; Huynh, Dinh Chien; Fumoux, Francis; Parzy, Daniel

2007-05-01

Real-time PCR diagnosis of malaria has advantages over traditional microscopic methods, especially when parasitaemia is low and when dealing with mixed infections. We have developed a new real-time PCR with specific genes in each Plasmodium species present only in one copy to identify the four pathogenic Plasmodium spp. for humans. The sensitivity was less than 25 parasites/microl. No cross-hybridisation was observed with human DNA or among the four Plasmodium spp. Using LightCycler PCR and conventional microscopy, we compared the diagnosis of malaria in patients from Vietnam and in returned European travellers with suspicion of malaria. In patients from Vietnam with suspicion of malaria, one mixed infection was observed by PCR only; the remaining data (54 of 55 patients) correlated with microscopy. In 79 patients without symptoms, low parasitaemia was detected in 7 samples by microscopy and in 16 samples by PCR. In returned travellers, PCR results were correlated with microscopy for all four species in 48 of 56 samples. The eight discrepant results were resolved in favour of real-time PCR diagnosis. This new real-time PCR is a rapid, accurate and efficient method for malaria diagnosis in returned travellers as well as for epidemiological studies or antimalarial efficiency trials in the field.

Exponential stability for stochastic delayed recurrent neural networks with mixed time-varying delays and impulses: the continuous-time case

International Nuclear Information System (INIS)

Karthik Raja, U; Leelamani, A; Raja, R; Samidurai, R

2013-01-01

In this paper, the exponential stability for a class of stochastic neural networks with time-varying delays and impulsive effects is considered. By constructing suitable Lyapunov functionals and by using the linear matrix inequality optimization approach, we obtain sufficient delay-dependent criteria to ensure the exponential stability of stochastic neural networks with time-varying delays and impulses. Two numerical examples with simulation results are provided to illustrate the effectiveness of the obtained results over those already existing in the literature. (paper)

A discrete time-varying internal model-based approach for high precision tracking of a multi-axis servo gantry.

Science.gov (United States)

Zhang, Zhen; Yan, Peng; Jiang, Huan; Ye, Peiqing

2014-09-01

In this paper, we consider the discrete time-varying internal model-based control design for high precision tracking of complicated reference trajectories generated by time-varying systems. Based on a novel parallel time-varying internal model structure, asymptotic tracking conditions for the design of internal model units are developed, and a low order robust time-varying stabilizer is further synthesized. In a discrete time setting, the high precision tracking control architecture is deployed on a Voice Coil Motor (VCM) actuated servo gantry system, where numerical simulations and real time experimental results are provided, achieving the tracking errors around 3.5‰ for frequency-varying signals. Copyright © 2014 ISA. Published by Elsevier Ltd. All rights reserved.

Epidemiology of Sports-Related Concussions in National Collegiate Athletic Association Athletes From 2009-2010 to 2013-2014: Symptom Prevalence, Symptom Resolution Time, and Return-to-Play Time.

Science.gov (United States)

Wasserman, Erin B; Kerr, Zachary Y; Zuckerman, Scott L; Covassin, Tracey

2016-01-01

Limited data exist among collegiate student-athletes on the epidemiology of sports-related concussion (SRC) outcomes, such as symptoms, symptom resolution time, and return-to-play time. This study used the National Collegiate Athletic Association (NCAA) Injury Surveillance Program (ISP) to describe the epidemiology of SRC outcomes in 25 collegiate sports. Descriptive epidemiology study. SRC data from the NCAA ISP during the 2009-2010 to 2013-2014 academic years were analyzed regarding symptoms, time to resolution of symptoms, and time to return to play. Findings were also stratified by sex in sex-comparable sports (ie, ice hockey, soccer, basketball, lacrosse, baseball/softball) and whether SRCs were reported as recurrent. Of the 1670 concussions reported during the 2009-2010 to 2013-2014 academic years, an average (±SD) of 5.29 ± 2.94 concussion symptoms were reported, with the most common being headache (92.2%) and dizziness (68.9%). Most concussions had symptoms resolve within 1 week (60.1%); however, 6.2% had a symptom resolution time of over 4 weeks. Additionally, 8.9% of concussions required over 4 weeks before return to play. The proportion of SRCs that required at least 1 week before return to play increased from 42.7% in 2009-2010 to 70.2% in 2013-2014 (linear trend, P sports analyses, the average number of symptoms and symptom resolution time did not differ by sex. However, a larger proportion of concussions in male athletes included amnesia and disorientation; a larger proportion of concussions in female athletes included headache, excess drowsiness, and nausea/vomiting. A total of 151 SRCs (9.0%) were reported as recurrent. The average number of symptoms reported with recurrent SRCs (5.99 ± 3.43) was greater than that of nonrecurrent SRCs (5.22 ± 2.88; P = .01). A greater proportion of recurrent SRCs also resulted in a long symptom resolution time (14.6% vs 5.4%, respectively; P time (21.2% vs 7.7%, respectively; P time may indicate changing

Neuromuscular mechanisms and neural strategies in the control of time-varying muscle contractions.

Science.gov (United States)

Erimaki, Sophia; Agapaki, Orsalia M; Christakos, Constantinos N

2013-09-01

The organization of the neural input to motoneurons that underlies time-varying muscle force is assumed to depend on muscle transfer characteristics and neural strategies or control modes utilizing sensory signals. We jointly addressed these interlinked, but previously studied individually and partially, issues for sinusoidal (range 0.5-5.0 Hz) force-tracking contractions of a human finger muscle. Using spectral and correlation analyses of target signal, force signal, and motor unit (MU) discharges, we studied 1) patterns of such discharges, allowing inferences on the motoneuronal input; 2) transformation of MU population activity (EMG) into quasi-sinusoidal force; and 3) relation of force oscillation to target, carrying information on the input's organization. A broad view of force control mechanisms and strategies emerged. Specifically, synchronized MU and EMG modulations, reflecting a frequency-modulated motoneuronal input, accompanied the force variations. Gain and delay drops between EMG modulation and force oscillation, critical for the appropriate organization of this input, occurred with increasing target frequency. According to our analyses, gain compensation was achieved primarily through rhythmical activation/deactivation of higher-threshold MUs and secondarily through the adaptation of the input's strength expected during tracking tasks. However, the input's timing was not adapted to delay behaviors and seemed to depend on the control modes employed. Thus, for low-frequency targets, the force oscillation was highly coherent with, but led, a target, this timing error being compatible with predictive feedforward control partly based on the target's derivatives. In contrast, the force oscillation was weakly coherent, but in phase, with high-frequency targets, suggesting control mainly based on a target's rhythm.

Real-time Kalman filter implementation for active feedforward control of time-varying broadband noise and vibrations

NARCIS (Netherlands)

Ophem, S. van; Berkhoff, A.P.

2012-01-01

Tracking behavior and the rate of convergence are critical properties in active noise control applications with time-varying disturbance spectra. As compared to the standard filtered-reference Least Mean Square (LMS) algorithm, improved convergence can be obtained with schemes based on

Estimation of Time-Varying Coherence and Its Application in Understanding Brain Functional Connectivity

Directory of Open Access Journals (Sweden)

Cheng Liu

2010-01-01

Full Text Available Time-varying coherence is a powerful tool for revealing functional dynamics between different regions in the brain. In this paper, we address ways of estimating evolutionary spectrum and coherence using the general Cohen's class distributions. We show that the intimate connection between the Cohen's class-based spectra and the evolutionary spectra defined on the locally stationary time series can be linked by the kernel functions of the Cohen's class distributions. The time-varying spectra and coherence are further generalized with the Stockwell transform, a multiscale time-frequency representation. The Stockwell measures can be studied in the framework of the Cohen's class distributions with a generalized frequency-dependent kernel function. A magnetoencephalography study using the Stockwell coherence reveals an interesting temporal interaction between contralateral and ipsilateral motor cortices under the multisource interference task.

Robust outer synchronization between two nonlinear complex networks with parametric disturbances and mixed time-varying delays

Science.gov (United States)

Zhang, Chuan; Wang, Xingyuan; Luo, Chao; Li, Junqiu; Wang, Chunpeng

2018-03-01

In this paper, we focus on the robust outer synchronization problem between two nonlinear complex networks with parametric disturbances and mixed time-varying delays. Firstly, a general complex network model is proposed. Besides the nonlinear couplings, the network model in this paper can possess parametric disturbances, internal time-varying delay, discrete time-varying delay and distributed time-varying delay. Then, according to the robust control strategy, linear matrix inequality and Lyapunov stability theory, several outer synchronization protocols are strictly derived. Simple linear matrix controllers are designed to driver the response network synchronize to the drive network. Additionally, our results can be applied on the complex networks without parametric disturbances. Finally, by utilizing the delayed Lorenz chaotic system as the dynamics of all nodes, simulation examples are given to demonstrate the effectiveness of our theoretical results.

Improvement of and Parameter Identification for the Bimodal Time-Varying Modified Kanai-Tajimi Power Spectral Model

Directory of Open Access Journals (Sweden)

Huiguo Chen

2017-01-01

Full Text Available Based on the Kanai-Tajimi power spectrum filtering method proposed by Du Xiuli et al., a genetic algorithm and a quadratic optimization identification technique are employed to improve the bimodal time-varying modified Kanai-Tajimi power spectral model and the parameter identification method proposed by Vlachos et al. Additionally, a method for modeling time-varying power spectrum parameters for ground motion is proposed. The 8244 Orion and Chi-Chi earthquake accelerograms are selected as examples for time-varying power spectral model parameter identification and ground motion simulations to verify the feasibility and effectiveness of the improved bimodal time-varying modified Kanai-Tajimi power spectral model. The results of this study provide important references for designing ground motion inputs for seismic analyses of major engineering structures.

Time-varying spectral analysis revealing differential effects of sevoflurane anaesthesia: non-rhythmic-to-rhythmic ratio.

Science.gov (United States)

Lin, Y-T; Wu, H-T; Tsao, J; Yien, H-W; Hseu, S-S

2014-02-01

Heart rate variability (HRV) may reflect various physiological dynamics. In particular, variation of R-R peak interval (RRI) of electrocardiography appears regularly oscillatory in deeper levels of anaesthesia and less regular in lighter levels of anaesthesia. We proposed a new index, non-rhythmic-to-rhythmic ratio (NRR), to quantify this feature and investigated its potential to estimate depth of anaesthesia. Thirty-one female patients were enrolled in this prospective study. The oscillatory pattern transition of RRI was visualised by the time-varying power spectrum and quantified by NRR. The prediction of anaesthetic events, including skin incision, first reaction of motor movement during emergence period, loss of consciousness (LOC) and return of consciousness (ROC) by NRR were evaluated by serial prediction probability (PK ) analysis; the ability to predict the decrease of effect-site sevoflurane concentration was also evaluated. The results were compared with Bispectral Index (BIS). NRR well-predicted first reaction (PK  > 0.90) 30 s ahead, earlier than BIS and significantly better than HRV indices. NRR well-correlated with sevoflurane concentration, although its correlation was inferior to BIS, while HRV indices had no such correlation. BIS indicated LOC and ROC best. Our findings suggest that NRR provides complementary information to BIS regarding the differential effects of anaesthetics on the brain, especially the subcortical motor activity. © 2014 The Acta Anaesthesiologica Scandinavica Foundation. Published by John Wiley & Sons Ltd.

Stock return predictability and market integration: The role of global and local information

Directory of Open Access Journals (Sweden)

David G. McMillan

2016-12-01

Full Text Available This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following work on market integration, to include a more general definition of the global factor, based on principal components analysis. Results identify three global expected returns factors, one related to the major stock markets of the US, UK and Asia and one related to the other markets analysed. The third component is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing the principal components based factors to a US return factor and local market only factors, as well as the historical mean benchmark finds supportive evidence for the former approach. It is hoped that the results from this paper will be informative on three counts. First, to academics interested in understanding the dynamics asset price movement. Second, to market participants who aim to time the market and engage in portfolio and risk management. Third, to those (policy makers and others who are interested in linkages across international markets and the nature and degree of integration.

Worklife expectancy in a cohort of Danish employees aged 55-65 years

DEFF Research Database (Denmark)

Pedersen, Jacob; Bjorner, Jakob Bue

2017-01-01

after age 57. At age 55, employees with poor SRH could be expected to spend approximately 12 months on long-term sick leave and 9-10 months unemployed before they retired - regardless of ERP membership. ERP members with poor SRH could be expected to spend 4.6 years working, while non-members could......Background: Work life expectancy (WLE) expresses the expected time a person will remain in the labor market until he or she retires. This paper compares a life table approach to estimating WLE to an approach based on multi-state proportional hazards models. The two methods are used to estimate WLE...... in Danish members and non-members of an early retirement pensioning (ERP) scheme according to levels of health. Methods: In 2008, data on self-rated health (SRH) was collected from 5212 employees 55-65 years of age. Data on previous and subsequent long-term sickness absence, unemployment, returning to work...

Motivational goals, group identifications, and psychosocial adjustment of returning migrants: The case of Jews returning to Russia.

Science.gov (United States)

Tartakovsky, Eugene; Patrakov, Eduard; Nikulina, Marina

2017-12-01

The present study investigated the motivational goals, group identifications, and psychosocial adjustment of Jews who returned to Russia after emigrating from the republics of the Former Soviet Union to different countries (n = 151). To gain a deeper understanding of these returning migrants, their traits were compared with those of Jews living in Russia who did not emigrate (n = 935). Compared to locals, returnees reported a higher preference for the openness to change and self-enhancement values and a lower preference for the conservation values; there was no difference in the self-transcendence values. Returning migrants had a relatively weak affiliation with the home country: they had a weaker identification with the home country than with the country of emigration, their identification with Russians was weaker than that among Jews who did not emigrate from Russia, and their intention to emigrate (again) from Russia was greater than that among locals. However, the Jewish identification of returning migrants was similar to that of locals. The adjustment of returning migrants varied across different dimensions: their economic adjustment was better than that of locals; however, the interpersonal adjustment of returnees was less successful than among locals. © 2016 International Union of Psychological Science.

Estimating time-varying RSA to examine psychophysiological linkage of marital dyads.

Science.gov (United States)

Gates, Kathleen M; Gatzke-Kopp, Lisa M; Sandsten, Maria; Blandon, Alysia Y

2015-08-01

One of the primary tenets of polyvagal theory dictates that parasympathetic influence on heart rate, often estimated by respiratory sinus arrhythmia (RSA), shifts rapidly in response to changing environmental demands. The current standard analytic approach of aggregating RSA estimates across time to arrive at one value fails to capture this dynamic property within individuals. By utilizing recent methodological developments that enable precise RSA estimates at smaller time intervals, we demonstrate the utility of computing time-varying RSA for assessing psychophysiological linkage (or synchrony) in husband-wife dyads using time-locked data collected in a naturalistic setting. © 2015 Society for Psychophysiological Research.

Multimodal Pilot Behavior in Multi-Axis Tracking Tasks with Time-Varying Motion Cueing Gains

Science.gov (United States)

Zaal, P. M. T; Pool, D. M.

2014-01-01

In a large number of motion-base simulators, adaptive motion filters are utilized to maximize the use of the available motion envelope of the motion system. However, not much is known about how the time-varying characteristics of such adaptive filters affect pilots when performing manual aircraft control. This paper presents the results of a study investigating the effects of time-varying motion filter gains on pilot control behavior and performance. An experiment was performed in a motion-base simulator where participants performed a simultaneous roll and pitch tracking task, while the roll and/or pitch motion filter gains changed over time. Results indicate that performance increases over time with increasing motion gains. This increase is a result of a time-varying adaptation of pilots' equalization dynamics, characterized by increased visual and motion response gains and decreased visual lead time constants. Opposite trends are found for decreasing motion filter gains. Even though the trends in both controlled axes are found to be largely the same, effects are less significant in roll. In addition, results indicate minor cross-coupling effects between pitch and roll, where a cueing variation in one axis affects the behavior adopted in the other axis.

Wavelet ridge diagnosis of time-varying elliptical signals with application to an oceanic eddy

OpenAIRE

Lilly , J. M.; Gascard , Jean-Claude

2006-01-01

International audience; A method for diagnosing the physical properties of a time-varying ellipse is presented. This essentially involves extending the notion of instantaneous frequency to the bivariate case. New complications, and possibilities, arise from the fact that there are several meaningful forms in which a time-varying ellipse may be represented. A perturbation analysis valid for the near-circular case clarifies these issues. Diagnosis of the ellipse properties may then be performed...

A qualitative study of changes in expectations over time among patients with chronic low back pain seeking four CAM therapies.

Science.gov (United States)

Eaves, Emery R; Sherman, Karen J; Ritenbaugh, Cheryl; Hsu, Clarissa; Nichter, Mark; Turner, Judith A; Cherkin, Daniel C

2015-02-05

The relationship between patient expectations about a treatment and the treatment outcomes, particularly for Complementary and Alternative Medicine (CAM) therapies, is not well understood. Using qualitative data from a larger study to develop a valid expectancy questionnaire for use with participants starting new CAM therapies, we examined how participants' expectations of treatment changed over the course of a therapy. We conducted semi-structured qualitative interviews with 64 participants initiating one of four CAM therapies (yoga, chiropractic, acupuncture, massage) for chronic low back pain. Participants just starting treatment were interviewed up to three times over a period of 3 months. Interviews were transcribed verbatim and analyzed using a qualitative mixed methods approach incorporating immersion/crystallization and matrix analysis for a decontexualization and recontextualization approach to understand changes in thematic emphasis over time. Pre-treatment expectations consisted of conjecture about whether or not the CAM therapy could relieve pain and improve participation in meaningful activities. Expectations tended to shift over the course of treatment to be more inclusive of broader lifestyle factors, the need for long-term pain management strategies and attention to long-term quality of life and wellness. Although a shift toward greater acceptance of chronic pain and the need for strategies to keep pain from flaring was observed across participants regardless of therapy, participants varied in their assessments of whether increased awareness of the need for ongoing self-care and maintenance strategies was considered a "positive outcome". Regardless of how participants evaluated the outcome of treatment, participants from all four therapies reported increased awareness, acceptance of the chronic nature of pain, and attention to the need to take responsibility for their own health. The shift in treatment expectations to greater acceptance of pain and

Multiscale Analysis of the Predictability of Stock Returns

Directory of Open Access Journals (Sweden)

Paweł Fiedor

2015-06-01

Full Text Available Due to the strong complexity of financial markets, economics does not have a unified theory of price formation in financial markets. The most common assumption is the Efficient-Market Hypothesis, which has been attacked by a number of researchers, using different tools. There were varying degrees to which these tools complied with the formal definitions of efficiency and predictability. In our earlier work, we analysed the predictability of stock returns at two time scales using the entropy rate, which can be directly linked to the mathematical definition of predictability. Nonetheless, none of the above-mentioned studies allow any general understanding of how the financial markets work, beyond disproving the Efficient-Market Hypothesis. In our previous study, we proposed the Maximum Entropy Production Principle, which uses the entropy rate to create a general principle underlying the price formation processes. Both of these studies show that the predictability of price changes is higher at the transaction level intraday scale than the scale of daily returns, but ignore all scales in between. In this study we extend these ideas using the multiscale entropy analysis framework to enhance our understanding of the predictability of price formation processes at various time scales.

Applications, dosimetry and biological interactions of static and time-varying magnetic fields

International Nuclear Information System (INIS)

Tenforde, T.S.

1988-08-01

The primary topics of this presentation include: (1) the applications of magnetic fields in research, industry, and medical technologies; (2) mechanisms of interaction of static and time-varying magnetic fields with living systems; (3) human health effects of exposure to static and time-varying magnetic fields in occupational, medical, and residential settings; and (4) recent advances in the dosimetry of extremely-low-frequency electromagnetic fields. The discussion of these topics is centered about two issues of considerable contemporary interest: (1) potential health effects of the fields used in magnetic resonance imaging and in vivo spectroscopy, and (2) the controversial issue of whether exposure to extremely-low-frequency (ELF) electromagnetic fields in the home and workplace leads to an elevated risk of cancer. 11 refs

A simple analytical model for dynamics of time-varying target leverage ratios

Science.gov (United States)

Lo, C. F.; Hui, C. H.

2012-03-01

In this paper we have formulated a simple theoretical model for the dynamics of the time-varying target leverage ratio of a firm under some assumptions based upon empirical observations. In our theoretical model the time evolution of the target leverage ratio of a firm can be derived self-consistently from a set of coupled Ito's stochastic differential equations governing the leverage ratios of an ensemble of firms by the nonlinear Fokker-Planck equation approach. The theoretically derived time paths of the target leverage ratio bear great resemblance to those used in the time-dependent stationary-leverage (TDSL) model [Hui et al., Int. Rev. Financ. Analy. 15, 220 (2006)]. Thus, our simple model is able to provide a theoretical foundation for the selected time paths of the target leverage ratio in the TDSL model. We also examine how the pace of the adjustment of a firm's target ratio, the volatility of the leverage ratio and the current leverage ratio affect the dynamics of the time-varying target leverage ratio. Hence, with the proposed dynamics of the time-dependent target leverage ratio, the TDSL model can be readily applied to generate the default probabilities of individual firms and to assess the default risk of the firms.

Delay-Dependent Guaranteed Cost H∞ Control of an Interval System with Interval Time-Varying Delay

Directory of Open Access Journals (Sweden)

Zhongke Shi

2009-01-01

Full Text Available This paper concerns the problem of the delay-dependent robust stability and guaranteed cost H∞ control for an interval system with time-varying delay. The interval system with matrix factorization is provided and leads to less conservative conclusions than solving a square root. The time-varying delay is assumed to belong to an interval and the derivative of the interval time-varying delay is not a restriction, which allows a fast time-varying delay; also its applicability is broad. Based on the Lyapunov-Ktasovskii approach, a delay-dependent criterion for the existence of a state feedback controller, which guarantees the closed-loop system stability, the upper bound of cost function, and disturbance attenuation lever for all admissible uncertainties as well as out perturbation, is proposed in terms of linear matrix inequalities (LMIs. The criterion is derived by free weighting matrices that can reduce the conservatism. The effectiveness has been verified in a number example and the compute results are presented to validate the proposed design method.

Observation of time-varying photoconductivity and persistent photoconductivity in porous silicon

DEFF Research Database (Denmark)

Frello, T.; Veje, E.; Leistiko, Otto

1996-01-01

We have observed time-varying photoconductivity and persistent photoconductivity in porous silicon, both with time-evolution scales of the order of several minutes or hours. The time evolutions depend on the wavelength and the intensity of the illuminating light. The data indicate the presence...... of at least two competing mechanisms, one is tentatively related to photoinduced creation of charge carriers in the silicon substrate followed by diffusion into the porous silicon layer, and the other is tentatively related to desorption of hydrogen from the porous silicon. ©1996 American Institute of Physics....

Concussion Incidence and Return-to-Play Time in National Basketball Association Players: Results From 2006 to 2014.

Science.gov (United States)

Padaki, Ajay S; Cole, Brian J; Ahmad, Christopher S

2016-09-01

Various research efforts have studied concussions in the National Football League, Major League Baseball, and the National Hockey League. However, no study has investigated the incidence and return-to-play trends in the National Basketball Association (NBA), which this study aims to do. Increased media scrutiny and public awareness, in addition to the institution of a league-wide concussion protocol, may have resulted in more conservative return-to-play practices. Descriptive epidemiology study. All concussions to NBA players that were publicly reported in the media from the beginning of the 2006 NBA season to the end of the 2014 season were included. The incidence and return-to-play statistics were generated by synthesizing information from publicly available records. There were 134 publicly reported concussions to NBA players from the beginning of the 2006 season to the conclusion of the 2014 season, resulting in an average of 14.9 concussions per season. The incidence has not changed significantly during this time span. The average games missed after a concussion from 2006 to 2010 was 1.6, significantly less than the 5.0 games missed from 2011 to 2014, following the institution of the NBA concussion protocol (P = .023). Although the incidence of publicly reported concussions in the NBA has not changed appreciably over the past 9 seasons, the time missed after a concussion has. While players often returned in the same game in the 2006 season, the combination of implemented policy, national coverage, medical staff awareness, and player education may have contributed to players now missing an average of 4 to 6 games after a concussion. A multitude of factors has resulted in more conservative return-to-play practices for NBA players after concussions. © 2016 The Author(s).

An analysis of security price risk and return among publicly traded pharmacy corporations.

Science.gov (United States)

Gilligan, Adrienne M; Skrepnek, Grant H

2013-01-01

Community pharmacies have been subject to intense and increasing competition in the past several decades. To determine the security price risk and rate of return of publicly traded pharmacy corporations present on the major U.S. stock exchanges from 1930 to 2009. The Center of Research in Security Prices (CRSP) database was used to examine monthly security-level stock market prices in this observational retrospective study. The primary outcome of interest was the equity risk premium, with analyses focusing upon financial metrics associated with risk and return based upon modern portfolio theory (MPT) including: abnormal returns (i.e., alpha), volatility (i.e., beta), and percentage of returns explained (i.e., adjusted R(2)). Three equilibrium models were estimated using random-effects generalized least squares (GLS): 1) the Capital Asset Pricing Model (CAPM); 2) Fama-French Three-Factor Model; and 3) Carhart Four-Factor Model. Seventy-five companies were examined from 1930 to 2009, with overall adjusted R(2) values ranging from 0.13 with the CAPM to 0.16 with the Four-Factor model. Alpha was not significant within any of the equilibrium models across the entire 80-year time period, though was found from 1999 to 2009 in the Three- and Four-Factor models to be associated with a large, significant, and negative risk-adjusted abnormal returns of -33.84%. Volatility varied across specific time periods based upon the financial model employed. This investigation of risk and return within publicly listed pharmacy corporations from 1930 to 2009 found that substantial losses were incurred particularly from 1999 to 2009, with risk-adjusted security valuations decreasing by one-third. Copyright © 2013 Elsevier Inc. All rights reserved.

Identification of time-varying structural dynamic systems - An artificial intelligence approach

Science.gov (United States)

Glass, B. J.; Hanagud, S.

1992-01-01

An application of the artificial intelligence-derived methodologies of heuristic search and object-oriented programming to the problem of identifying the form of the model and the associated parameters of a time-varying structural dynamic system is presented in this paper. Possible model variations due to changes in boundary conditions or configurations of a structure are organized into a taxonomy of models, and a variant of best-first search is used to identify the model whose simulated response best matches that of the current physical structure. Simulated model responses are verified experimentally. An output-error approach is used in a discontinuous model space, and an equation-error approach is used in the parameter space. The advantages of the AI methods used, compared with conventional programming techniques for implementing knowledge structuring and inheritance, are discussed. Convergence conditions and example problems have been discussed. In the example problem, both the time-varying model and its new parameters have been identified when changes occur.

Monopoly models with time-varying demand function

Science.gov (United States)

Cavalli, Fausto; Naimzada, Ahmad

2018-05-01

We study a family of monopoly models for markets characterized by time-varying demand functions, in which a boundedly rational agent chooses output levels on the basis of a gradient adjustment mechanism. After presenting the model for a generic framework, we analytically study the case of cyclically alternating demand functions. We show that both the perturbation size and the agent's reactivity to profitability variation signals can have counterintuitive roles on the resulting period-2 cycles and on their stability. In particular, increasing the perturbation size can have both a destabilizing and a stabilizing effect on the resulting dynamics. Moreover, in contrast with the case of time-constant demand functions, the agent's reactivity is not just destabilizing, but can improve stability, too. This means that a less cautious behavior can provide better performance, both with respect to stability and to achieved profits. We show that, even if the decision mechanism is very simple and is not able to always provide the optimal production decisions, achieved profits are very close to those optimal. Finally, we show that in agreement with the existing empirical literature, the price series obtained simulating the proposed model exhibit a significant deviation from normality and large volatility, in particular when underlying deterministic dynamics become unstable and complex.

Time-varying block codes for synchronisation errors: maximum a posteriori decoder and practical issues

Directory of Open Access Journals (Sweden)

Johann A. Briffa

2014-06-01

Full Text Available In this study, the authors consider time-varying block (TVB codes, which generalise a number of previous synchronisation error-correcting codes. They also consider various practical issues related to maximum a posteriori (MAP decoding of these codes. Specifically, they give an expression for the expected distribution of drift between transmitter and receiver because of synchronisation errors. They determine an appropriate choice for state space limits based on the drift probability distribution. In turn, they obtain an expression for the decoder complexity under given channel conditions in terms of the state space limits used. For a given state space, they also give a number of optimisations that reduce the algorithm complexity with no further loss of decoder performance. They also show how the MAP decoder can be used in the absence of known frame boundaries, and demonstrate that an appropriate choice of decoder parameters allows the decoder to approach the performance when frame boundaries are known, at the expense of some increase in complexity. Finally, they express some existing constructions as TVB codes, comparing performance with published results and showing that improved performance is possible by taking advantage of the flexibility of TVB codes.

Time-varying parameter models for catchments with land use change: the importance of model structure

Science.gov (United States)

Pathiraja, Sahani; Anghileri, Daniela; Burlando, Paolo; Sharma, Ashish; Marshall, Lucy; Moradkhani, Hamid

2018-05-01

Rapid population and economic growth in Southeast Asia has been accompanied by extensive land use change with consequent impacts on catchment hydrology. Modeling methodologies capable of handling changing land use conditions are therefore becoming ever more important and are receiving increasing attention from hydrologists. A recently developed data-assimilation-based framework that allows model parameters to vary through time in response to signals of change in observations is considered for a medium-sized catchment (2880 km2) in northern Vietnam experiencing substantial but gradual land cover change. We investigate the efficacy of the method as well as the importance of the chosen model structure in ensuring the success of a time-varying parameter method. The method was used with two lumped daily conceptual models (HBV and HyMOD) that gave good-quality streamflow predictions during pre-change conditions. Although both time-varying parameter models gave improved streamflow predictions under changed conditions compared to the time-invariant parameter model, persistent biases for low flows were apparent in the HyMOD case. It was found that HyMOD was not suited to representing the modified baseflow conditions, resulting in extreme and unrealistic time-varying parameter estimates. This work shows that the chosen model can be critical for ensuring the time-varying parameter framework successfully models streamflow under changing land cover conditions. It can also be used to determine whether land cover changes (and not just meteorological factors) contribute to the observed hydrologic changes in retrospective studies where the lack of a paired control catchment precludes such an assessment.

Time-varying parameter models for catchments with land use change: the importance of model structure

Directory of Open Access Journals (Sweden)

S. Pathiraja

2018-05-01

Full Text Available Rapid population and economic growth in Southeast Asia has been accompanied by extensive land use change with consequent impacts on catchment hydrology. Modeling methodologies capable of handling changing land use conditions are therefore becoming ever more important and are receiving increasing attention from hydrologists. A recently developed data-assimilation-based framework that allows model parameters to vary through time in response to signals of change in observations is considered for a medium-sized catchment (2880 km2 in northern Vietnam experiencing substantial but gradual land cover change. We investigate the efficacy of the method as well as the importance of the chosen model structure in ensuring the success of a time-varying parameter method. The method was used with two lumped daily conceptual models (HBV and HyMOD that gave good-quality streamflow predictions during pre-change conditions. Although both time-varying parameter models gave improved streamflow predictions under changed conditions compared to the time-invariant parameter model, persistent biases for low flows were apparent in the HyMOD case. It was found that HyMOD was not suited to representing the modified baseflow conditions, resulting in extreme and unrealistic time-varying parameter estimates. This work shows that the chosen model can be critical for ensuring the time-varying parameter framework successfully models streamflow under changing land cover conditions. It can also be used to determine whether land cover changes (and not just meteorological factors contribute to the observed hydrologic changes in retrospective studies where the lack of a paired control catchment precludes such an assessment.

Response-only modal identification using random decrement algorithm with time-varying threshold level

International Nuclear Information System (INIS)

Lin, Chang Sheng; Tseng, Tse Chuan

2014-01-01

Modal Identification from response data only is studied for structural systems under nonstationary ambient vibration. The topic of this paper is the estimation of modal parameters from nonstationary ambient vibration data by applying the random decrement algorithm with time-varying threshold level. In the conventional random decrement algorithm, the threshold level for evaluating random dec signatures is defined as the standard deviation value of response data of the reference channel. The distortion of random dec signatures may be, however, induced by the error involved in noise from the original response data in practice. To improve the accuracy of identification, a modification of the sampling procedure in random decrement algorithm is proposed for modal-parameter identification from the nonstationary ambient response data. The time-varying threshold level is presented for the acquisition of available sample time history to perform averaging analysis, and defined as the temporal root-mean-square function of structural response, which can appropriately describe a wide variety of nonstationary behaviors in reality, such as the time-varying amplitude (variance) of a nonstationary process in a seismic record. Numerical simulations confirm the validity and robustness of the proposed modal-identification method from nonstationary ambient response data under noisy conditions.

Robust pre-specified time synchronization of chaotic systems by employing time-varying switching surfaces in the sliding mode control scheme

Science.gov (United States)

Khanzadeh, Alireza; Pourgholi, Mahdi

2016-08-01

In the conventional chaos synchronization methods, the time at which two chaotic systems are synchronized, is usually unknown and depends on initial conditions. In this work based on Lyapunov stability theory a sliding mode controller with time-varying switching surfaces is proposed to achieve chaos synchronization at a pre-specified time for the first time. The proposed controller is able to synchronize chaotic systems precisely at any time when we want. Moreover, by choosing the time-varying switching surfaces in a way that the reaching phase is eliminated, the synchronization becomes robust to uncertainties and exogenous disturbances. Simulation results are presented to show the effectiveness of the proposed method of stabilizing and synchronizing chaotic systems with complete robustness to uncertainty and disturbances exactly at a pre-specified time.

Robust pre-specified time synchronization of chaotic systems by employing time-varying switching surfaces in the sliding mode control scheme

International Nuclear Information System (INIS)

Khanzadeh, Alireza; Pourgholi, Mahdi

2016-01-01

In the conventional chaos synchronization methods, the time at which two chaotic systems are synchronized, is usually unknown and depends on initial conditions. In this work based on Lyapunov stability theory a sliding mode controller with time-varying switching surfaces is proposed to achieve chaos synchronization at a pre-specified time for the first time. The proposed controller is able to synchronize chaotic systems precisely at any time when we want. Moreover, by choosing the time-varying switching surfaces in a way that the reaching phase is eliminated, the synchronization becomes robust to uncertainties and exogenous disturbances. Simulation results are presented to show the effectiveness of the proposed method of stabilizing and synchronizing chaotic systems with complete robustness to uncertainty and disturbances exactly at a pre-specified time. (paper)

Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights

NARCIS (Netherlands)

L.F. Hoogerheide (Lennart); R.H. Kleijn (Richard); H.K. van Dijk (Herman); M.J.C.M. Verbeek (Marno)

2009-01-01

textabstractSeveral Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time

Time-varying metamaterials based on graphene-wrapped microwires: Modeling and potential applications

Science.gov (United States)

Salary, Mohammad Mahdi; Jafar-Zanjani, Samad; Mosallaei, Hossein

2018-03-01

The successful realization of metamaterials and metasurfaces requires the judicious choice of constituent elements. In this paper, we demonstrate the implementation of time-varying metamaterials in the terahertz frequency regime by utilizing graphene-wrapped microwires as building blocks and modulation of graphene conductivity through exterior electrical gating. These elements enable enhancement of light-graphene interaction by utilizing optical resonances associated with Mie scattering, yielding a large tunability and modulation depth. We develop a semianalytical framework based on transition-matrix formulation for modeling and analysis of periodic and aperiodic arrays of such time-varying building blocks. The proposed method is validated against full-wave numerical results obtained using the finite-difference time-domain method. It provides an ideal tool for mathematical synthesis and analysis of space-time gradient metamaterials, eliminating the need for computationally expensive numerical models. Moreover, it allows for a wider exploration of exotic space-time scattering phenomena in time-modulated metamaterials. We apply the method to explore the role of modulation parameters in the generation of frequency harmonics and their emerging wavefronts. Several potential applications of such platforms are demonstrated, including frequency conversion, holographic generation of frequency harmonics, and spatiotemporal manipulation of light. The presented results provide key physical insights to design time-modulated functional metadevices using various building blocks and open up new directions in the emerging paradigm of time-modulated metamaterials.

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

DEFF Research Database (Denmark)

Engsted, Tom; Pedersen, Thomas Quistgaard

. For the majority of countries news about future returns is the main driver, and both real interest rates and risk premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have......Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ‡ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return volatility...... a common factor among the majority of countries. However, in a minority of countries (Germany, Japan, and the Netherlands) return movements have been basically unrelated to return movements in other countries....

Parametric output-only identification of time-varying structures using a kernel recursive extended least squares TARMA approach

Science.gov (United States)

Ma, Zhi-Sai; Liu, Li; Zhou, Si-Da; Yu, Lei; Naets, Frank; Heylen, Ward; Desmet, Wim

2018-01-01

The problem of parametric output-only identification of time-varying structures in a recursive manner is considered. A kernelized time-dependent autoregressive moving average (TARMA) model is proposed by expanding the time-varying model parameters onto the basis set of kernel functions in a reproducing kernel Hilbert space. An exponentially weighted kernel recursive extended least squares TARMA identification scheme is proposed, and a sliding-window technique is subsequently applied to fix the computational complexity for each consecutive update, allowing the method to operate online in time-varying environments. The proposed sliding-window exponentially weighted kernel recursive extended least squares TARMA method is employed for the identification of a laboratory time-varying structure consisting of a simply supported beam and a moving mass sliding on it. The proposed method is comparatively assessed against an existing recursive pseudo-linear regression TARMA method via Monte Carlo experiments and shown to be capable of accurately tracking the time-varying dynamics. Furthermore, the comparisons demonstrate the superior achievable accuracy, lower computational complexity and enhanced online identification capability of the proposed kernel recursive extended least squares TARMA approach.

Time-varying exchange rate pass-through: experiences of some industrial countries

OpenAIRE

Toshitaka Sekine

2006-01-01

This paper estimates exchange rate pass-through of six major industrial countries using a time-varying parameter with stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices (first-stage pass-through) and those of import price movements to consumer prices (second-stage pass-through). The paper finds that both stages of pass-through have declined over time for all the sample countries. The decline in second-stage pass-throu...

Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns

Science.gov (United States)

Hu, John Wei-Shan; Lin, Chien-Yu

2014-01-01

The aim of this paper is to examine the impact of temperature shock on both near-month and far-month natural gas and heating oil futures returns by extending the weather and storage models of the previous study. Several notable findings from the empirical studies are presented. First, the expected temperature shock significantly and positively affects both the near-month and far-month natural gas and heating oil futures returns. Next, significant temperature shock has effect on both the conditional mean and volatility of natural gas and heating oil prices. The results indicate that expected inventory surprises significantly and negatively affects the far-month natural gas futures returns. Moreover, volatility of natural gas futures returns is higher on Thursdays and that of near-month heating oil futures returns is higher on Wednesdays than other days. Finally, it is found that storage announcement for natural gas significantly affects near-month and far-month natural gas futures returns. Furthermore, both natural gas and heating oil futures returns are affected more by the weighted average temperature reported by multiple weather reporting stations than that reported by a single weather reporting station. PMID:25133233

A delay-dependent LMI approach to dynamics analysis of discrete-time recurrent neural networks with time-varying delays

International Nuclear Information System (INIS)

Song, Qiankun; Wang, Zidong

2007-01-01

In this Letter, the analysis problem for the existence and stability of periodic solutions is investigated for a class of general discrete-time recurrent neural networks with time-varying delays. For the neural networks under study, a generalized activation function is considered, and the traditional assumptions on the boundedness, monotony and differentiability of the activation functions are removed. By employing the latest free-weighting matrix method, an appropriate Lyapunov-Krasovskii functional is constructed and several sufficient conditions are established to ensure the existence, uniqueness, and globally exponential stability of the periodic solution for the addressed neural network. The conditions are dependent on both the lower bound and upper bound of the time-varying time delays. Furthermore, the conditions are expressed in terms of the linear matrix inequalities (LMIs), which can be checked numerically using the effective LMI toolbox in MATLAB. Two simulation examples are given to show the effectiveness and less conservatism of the proposed criteria

Achieving Synchronization in Arrays of Coupled Differential Systems with Time-Varying Couplings

Directory of Open Access Journals (Sweden)

Xinlei Yi

2013-01-01

Full Text Available We study complete synchronization of the complex dynamical networks described by linearly coupled ordinary differential equation systems (LCODEs. Here, the coupling is timevarying in both network structure and reaction dynamics. Inspired by our previous paper (Lu et al. (2007-2008, the extended Hajnal diameter is introduced and used to measure the synchronization in a general differential system. Then we find that the Hajnal diameter of the linear system induced by the time-varying coupling matrix and the largest Lyapunov exponent of the synchronized system play the key roles in synchronization analysis of LCODEs with identity inner coupling matrix. As an application, we obtain a general sufficient condition guaranteeing directed time-varying graph to reach consensus. Example with numerical simulation is provided to show the effectiveness of the theoretical results.

Nonlinear systems time-varying parameter estimation: Application to induction motors

Energy Technology Data Exchange (ETDEWEB)

Kenne, Godpromesse [Laboratoire d' Automatique et d' Informatique Appliquee (LAIA), Departement de Genie Electrique, IUT FOTSO Victor, Universite de Dschang, B.P. 134 Bandjoun (Cameroon); Ahmed-Ali, Tarek [Ecole Nationale Superieure des Ingenieurs des Etudes et Techniques d' Armement (ENSIETA), 2 Rue Francois Verny, 29806 Brest Cedex 9 (France); Lamnabhi-Lagarrigue, F. [Laboratoire des Signaux et Systemes (L2S), C.N.R.S-SUPELEC, Universite Paris XI, 3 Rue Joliot Curie, 91192 Gif-sur-Yvette (France); Arzande, Amir [Departement Energie, Ecole Superieure d' Electricite-SUPELEC, 3 Rue Joliot Curie, 91192 Gif-sur-Yvette (France)

2008-11-15

In this paper, an algorithm for time-varying parameter estimation for a large class of nonlinear systems is presented. The proof of the convergence of the estimates to their true values is achieved using Lyapunov theories and does not require that the classical persistent excitation condition be satisfied by the input signal. Since the induction motor (IM) is widely used in several industrial sectors, the algorithm developed is potentially useful for adjusting the controller parameters of variable speed drives. The method proposed is simple and easily implementable in real-time. The application of this approach to on-line estimation of the rotor resistance of IM shows a rapidly converging estimate in spite of measurement noise, discretization effects, parameter uncertainties (e.g. inaccuracies on motor inductance values) and modeling inaccuracies. The robustness analysis for this IM application also revealed that the proposed scheme is insensitive to the stator resistance variations within a wide range. The merits of the proposed algorithm in the case of on-line time-varying rotor resistance estimation are demonstrated via experimental results in various operating conditions of the induction motor. The experimental results obtained demonstrate that the application of the proposed algorithm to update on-line the parameters of an adaptive controller (e.g. IM and synchronous machines adaptive control) can improve the efficiency of the industrial process. The other interesting features of the proposed method include fault detection/estimation and adaptive control of IM and synchronous machines. (author)

A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns

Science.gov (United States)

Li, Xiang; Zhang, Yang; Wong, Hau-San; Qin, Zhongfeng

2009-11-01

Portfolio selection theory with fuzzy returns has been well developed and widely applied. Within the framework of credibility theory, several fuzzy portfolio selection models have been proposed such as mean-variance model, entropy optimization model, chance constrained programming model and so on. In order to solve these nonlinear optimization models, a hybrid intelligent algorithm is designed by integrating simulated annealing algorithm, neural network and fuzzy simulation techniques, where the neural network is used to approximate the expected value and variance for fuzzy returns and the fuzzy simulation is used to generate the training data for neural network. Since these models are used to be solved by genetic algorithm, some comparisons between the hybrid intelligent algorithm and genetic algorithm are given in terms of numerical examples, which imply that the hybrid intelligent algorithm is robust and more effective. In particular, it reduces the running time significantly for large size problems.

Rate Control for Network-Coded Multipath Relaying with Time-Varying Connectivity

Science.gov (United States)

2010-12-10

Armen Babikyan, Nathaniel M. Jones, Thomas H. Shake, and Andrew P. Worthen MIT Lincoln Laboratory 244 Wood Street Lexington, MA 02420 DDRE, 1777...delay U U U U SAR 11 Zach Sweet 781-981-5997 1 Rate Control for Network-Coded Multipath Relaying with Time-Varying Connectivity Brooke Shrader, Armen

The Scalp Time-Varying Networks of N170: Reference, Latency, and Information Flow

Directory of Open Access Journals (Sweden)

Yin Tian

2018-04-01

Full Text Available Using the scalp time-varying network method, the present study is the first to investigate the temporal influence of the reference on N170, a negative event-related potential component (ERP appeared about 170 ms that is elicited by facial recognition, in the network levels. Two kinds of scalp electroencephalogram (EEG references, namely, AR (average of all recording channels and reference electrode standardization technique (REST, were comparatively investigated via the time-varying processing of N170. Results showed that the latency and amplitude of N170 were significantly different between REST and AR, with the former being earlier and smaller. In particular, the information flow from right temporal-parietal P8 to left P7 in the time-varying network was earlier in REST than that in AR, and this phenomenon was reproduced by simulation, in which the performance of REST was closer to the true case at source level. These findings indicate that reference plays a crucial role in ERP data interpretation, and importantly, the newly developed approximate zero-reference REST would be a superior choice for precise evaluation of the scalp spatio-temporal changes relating to various cognitive events.

Asymptotic distributions of coalescence times and ancestral lineage numbers for populations with temporally varying size.

Science.gov (United States)

Chen, Hua; Chen, Kun

2013-07-01

The distributions of coalescence times and ancestral lineage numbers play an essential role in coalescent modeling and ancestral inference. Both exact distributions of coalescence times and ancestral lineage numbers are expressed as the sum of alternating series, and the terms in the series become numerically intractable for large samples. More computationally attractive are their asymptotic distributions, which were derived in Griffiths (1984) for populations with constant size. In this article, we derive the asymptotic distributions of coalescence times and ancestral lineage numbers for populations with temporally varying size. For a sample of size n, denote by Tm the mth coalescent time, when m + 1 lineages coalesce into m lineages, and An(t) the number of ancestral lineages at time t back from the current generation. Similar to the results in Griffiths (1984), the number of ancestral lineages, An(t), and the coalescence times, Tm, are asymptotically normal, with the mean and variance of these distributions depending on the population size function, N(t). At the very early stage of the coalescent, when t → 0, the number of coalesced lineages n - An(t) follows a Poisson distribution, and as m → n, $$n\\left(n-1\\right){T}_{m}/2N\\left(0\\right)$$ follows a gamma distribution. We demonstrate the accuracy of the asymptotic approximations by comparing to both exact distributions and coalescent simulations. Several applications of the theoretical results are also shown: deriving statistics related to the properties of gene genealogies, such as the time to the most recent common ancestor (TMRCA) and the total branch length (TBL) of the genealogy, and deriving the allele frequency spectrum for large genealogies. With the advent of genomic-level sequencing data for large samples, the asymptotic distributions are expected to have wide applications in theoretical and methodological development for population genetic inference.

Research on Adaptive Neural Network Control System Based on Nonlinear U-Model with Time-Varying Delay

Directory of Open Access Journals (Sweden)

Fengxia Xu

2014-01-01

Full Text Available U-model can approximate a large class of smooth nonlinear time-varying delay system to any accuracy by using time-varying delay parameters polynomial. This paper proposes a new approach, namely, U-model approach, to solving the problems of analysis and synthesis for nonlinear systems. Based on the idea of discrete-time U-model with time-varying delay, the identification algorithm of adaptive neural network is given for the nonlinear model. Then, the controller is designed by using the Newton-Raphson formula and the stability analysis is given for the closed-loop nonlinear systems. Finally, illustrative examples are given to show the validity and applicability of the obtained results.

Robust stability for uncertain stochastic fuzzy BAM neural networks with time-varying delays

Science.gov (United States)