Thermospheric mass density model error variance as a function of time scale

Science.gov (United States)

Emmert, J. T.; Sutton, E. K.

2017-12-01

In the increasingly crowded low-Earth orbit environment, accurate estimation of orbit prediction uncertainties is essential for collision avoidance. Poor characterization of such uncertainty can result in unnecessary and costly avoidance maneuvers (false positives) or disregard of a collision risk (false negatives). Atmospheric drag is a major source of orbit prediction uncertainty, and is particularly challenging to account for because it exerts a cumulative influence on orbital trajectories and is therefore not amenable to representation by a single uncertainty parameter. To address this challenge, we examine the variance of measured accelerometer-derived and orbit-derived mass densities with respect to predictions by thermospheric empirical models, using the data-minus-model variance as a proxy for model uncertainty. Our analysis focuses mainly on the power spectrum of the residuals, and we construct an empirical model of the variance as a function of time scale (from 1 hour to 10 years), altitude, and solar activity. We find that the power spectral density approximately follows a power-law process but with an enhancement near the 27-day solar rotation period. The residual variance increases monotonically with altitude between 250 and 550 km. There are two components to the variance dependence on solar activity: one component is 180 degrees out of phase (largest variance at solar minimum), and the other component lags 2 years behind solar maximum (largest variance in the descending phase of the solar cycle).

Kriging with Unknown Variance Components for Regional Ionospheric Reconstruction

Directory of Open Access Journals (Sweden)

Ling Huang

2017-02-01

Full Text Available Ionospheric delay effect is a critical issue that limits the accuracy of precise Global Navigation Satellite System (GNSS positioning and navigation for single-frequency users, especially in mid- and low-latitude regions where variations in the ionosphere are larger. Kriging spatial interpolation techniques have been recently introduced to model the spatial correlation and variability of ionosphere, which intrinsically assume that the ionosphere field is stochastically stationary but does not take the random observational errors into account. In this paper, by treating the spatial statistical information on ionosphere as prior knowledge and based on Total Electron Content (TEC semivariogram analysis, we use Kriging techniques to spatially interpolate TEC values. By assuming that the stochastic models of both the ionospheric signals and measurement errors are only known up to some unknown factors, we propose a new Kriging spatial interpolation method with unknown variance components for both the signals of ionosphere and TEC measurements. Variance component estimation has been integrated with Kriging to reconstruct regional ionospheric delays. The method has been applied to data from the Crustal Movement Observation Network of China (CMONOC and compared with the ordinary Kriging and polynomial interpolations with spherical cap harmonic functions, polynomial functions and low-degree spherical harmonic functions. The statistics of results indicate that the daily ionospheric variations during the experimental period characterized by the proposed approach have good agreement with the other methods, ranging from 10 to 80 TEC Unit (TECU, 1 TECU = 1 × 1016 electrons/m2 with an overall mean of 28.2 TECU. The proposed method can produce more appropriate estimations whose general TEC level is as smooth as the ordinary Kriging but with a smaller standard deviation around 3 TECU than others. The residual results show that the interpolation precision of the

Variance components estimation for farrowing traits of three purebred pigs in Korea

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Bryan Irvine Lopez

2017-09-01

Full Text Available Objective This study was conducted to estimate breed-specific variance components for total number born (TNB, number born alive (NBA and mortality rate from birth through weaning including stillbirths (MORT of three main swine breeds in Korea. In addition, the importance of including maternal genetic and service sire effects in estimation models was evaluated. Methods Records of farrowing traits from 6,412 Duroc, 18,020 Landrace, and 54,254 Yorkshire sows collected from January 2001 to September 2016 from different farms in Korea were used in the analysis. Animal models and the restricted maximum likelihood method were used to estimate variances in animal genetic, permanent environmental, maternal genetic, service sire and residuals. Results The heritability estimates ranged from 0.072 to 0.102, 0.090 to 0.099, and 0.109 to 0.121 for TNB; 0.087 to 0.110, 0.088 to 0.100, and 0.099 to 0.107 for NBA; and 0.027 to 0.031, 0.050 to 0.053, and 0.073 to 0.081 for MORT in the Duroc, Landrace and Yorkshire breeds, respectively. The proportion of the total variation due to permanent environmental effects, maternal genetic effects, and service sire effects ranged from 0.042 to 0.088, 0.001 to 0.031, and 0.001 to 0.021, respectively. Spearman rank correlations among models ranged from 0.98 to 0.99, demonstrating that the maternal genetic and service sire effects have small effects on the precision of the breeding value. Conclusion Models that include additive genetic and permanent environmental effects are suitable for farrowing traits in Duroc, Landrace, and Yorkshire populations in Korea. This breed-specific variance components estimates for litter traits can be utilized for pig improvement programs in Korea.

A Cure for Variance Inflation in High Dimensional Kernel Principal Component Analysis

DEFF Research Database (Denmark)

Abrahamsen, Trine Julie; Hansen, Lars Kai

2011-01-01

Small sample high-dimensional principal component analysis (PCA) suffers from variance inflation and lack of generalizability. It has earlier been pointed out that a simple leave-one-out variance renormalization scheme can cure the problem. In this paper we generalize the cure in two directions......: First, we propose a computationally less intensive approximate leave-one-out estimator, secondly, we show that variance inflation is also present in kernel principal component analysis (kPCA) and we provide a non-parametric renormalization scheme which can quite efficiently restore generalizability in kPCA....... As for PCA our analysis also suggests a simplified approximate expression. © 2011 Trine J. Abrahamsen and Lars K. Hansen....

Variance components and selection response for feather-pecking behavior in laying hens.

Science.gov (United States)

Su, G; Kjaer, J B; Sørensen, P

2005-01-01

Variance components and selection response for feather pecking behavior were studied by analyzing the data from a divergent selection experiment. An investigation indicated that a Box-Cox transformation with power lambda = -0.2 made the data approximately normally distributed and gave the best fit for the model. Variance components and selection response were estimated using Bayesian analysis with Gibbs sampling technique. The total variation was rather large for the investigated traits in both the low feather-pecking line (LP) and the high feather-pecking line (HP). Based on the mean of marginal posterior distribution, in the Box-Cox transformed scale, heritability for number of feather pecking bouts (FP bouts) was 0.174 in line LP and 0.139 in line HP. For number of feather-pecking pecks (FP pecks), heritability was 0.139 in line LP and 0.105 in line HP. No full-sib group effect and observation pen effect were found in the 2 traits. After 4 generations of selection, the total response for number of FP bouts in the transformed scale was 58 and 74% of the mean of the first generation in line LP and line HP, respectively. The total response for number of FP pecks was 47 and 46% of the mean of the first generation in line LP and line HP, respectively. The variance components and the realized selection response together suggest that genetic selection can be effective in minimizing FP behavior. This would be expected to reduce one of the major welfare problems in laying hens.

Simulation study on heterogeneous variance adjustment for observations with different measurement error variance

DEFF Research Database (Denmark)

Pitkänen, Timo; Mäntysaari, Esa A; Nielsen, Ulrik Sander

2013-01-01

of variance correction is developed for the same observations. As automated milking systems are becoming more popular the current evaluation model needs to be enhanced to account for the different measurement error variances of observations from automated milking systems. In this simulation study different...... models and different approaches to account for heterogeneous variance when observations have different measurement error variances were investigated. Based on the results we propose to upgrade the currently applied models and to calibrate the heterogeneous variance adjustment method to yield same genetic......The Nordic Holstein yield evaluation model describes all available milk, protein and fat test-day yields from Denmark, Finland and Sweden. In its current form all variance components are estimated from observations recorded under conventional milking systems. Also the model for heterogeneity...

An Empirical Temperature Variance Source Model in Heated Jets

Science.gov (United States)

Khavaran, Abbas; Bridges, James

2012-01-01

An acoustic analogy approach is implemented that models the sources of jet noise in heated jets. The equivalent sources of turbulent mixing noise are recognized as the differences between the fluctuating and Favre-averaged Reynolds stresses and enthalpy fluxes. While in a conventional acoustic analogy only Reynolds stress components are scrutinized for their noise generation properties, it is now accepted that a comprehensive source model should include the additional entropy source term. Following Goldstein s generalized acoustic analogy, the set of Euler equations are divided into two sets of equations that govern a non-radiating base flow plus its residual components. When the base flow is considered as a locally parallel mean flow, the residual equations may be rearranged to form an inhomogeneous third-order wave equation. A general solution is written subsequently using a Green s function method while all non-linear terms are treated as the equivalent sources of aerodynamic sound and are modeled accordingly. In a previous study, a specialized Reynolds-averaged Navier-Stokes (RANS) solver was implemented to compute the variance of thermal fluctuations that determine the enthalpy flux source strength. The main objective here is to present an empirical model capable of providing a reasonable estimate of the stagnation temperature variance in a jet. Such a model is parameterized as a function of the mean stagnation temperature gradient in the jet, and is evaluated using commonly available RANS solvers. The ensuing thermal source distribution is compared with measurements as well as computational result from a dedicated RANS solver that employs an enthalpy variance and dissipation rate model. Turbulent mixing noise predictions are presented for a wide range of jet temperature ratios from 1.0 to 3.20.

Analysis of a genetically structured variance heterogeneity model using the Box-Cox transformation.

Science.gov (United States)

Yang, Ye; Christensen, Ole F; Sorensen, Daniel

2011-02-01

Over recent years, statistical support for the presence of genetic factors operating at the level of the environmental variance has come from fitting a genetically structured heterogeneous variance model to field or experimental data in various species. Misleading results may arise due to skewness of the marginal distribution of the data. To investigate how the scale of measurement affects inferences, the genetically structured heterogeneous variance model is extended to accommodate the family of Box-Cox transformations. Litter size data in rabbits and pigs that had previously been analysed in the untransformed scale were reanalysed in a scale equal to the mode of the marginal posterior distribution of the Box-Cox parameter. In the rabbit data, the statistical evidence for a genetic component at the level of the environmental variance is considerably weaker than that resulting from an analysis in the original metric. In the pig data, the statistical evidence is stronger, but the coefficient of correlation between additive genetic effects affecting mean and variance changes sign, compared to the results in the untransformed scale. The study confirms that inferences on variances can be strongly affected by the presence of asymmetry in the distribution of data. We recommend that to avoid one important source of spurious inferences, future work seeking support for a genetic component acting on environmental variation using a parametric approach based on normality assumptions confirms that these are met.

Gene set analysis using variance component tests.

Science.gov (United States)

Huang, Yen-Tsung; Lin, Xihong

2013-06-28

Gene set analyses have become increasingly important in genomic research, as many complex diseases are contributed jointly by alterations of numerous genes. Genes often coordinate together as a functional repertoire, e.g., a biological pathway/network and are highly correlated. However, most of the existing gene set analysis methods do not fully account for the correlation among the genes. Here we propose to tackle this important feature of a gene set to improve statistical power in gene set analyses. We propose to model the effects of an independent variable, e.g., exposure/biological status (yes/no), on multiple gene expression values in a gene set using a multivariate linear regression model, where the correlation among the genes is explicitly modeled using a working covariance matrix. We develop TEGS (Test for the Effect of a Gene Set), a variance component test for the gene set effects by assuming a common distribution for regression coefficients in multivariate linear regression models, and calculate the p-values using permutation and a scaled chi-square approximation. We show using simulations that type I error is protected under different choices of working covariance matrices and power is improved as the working covariance approaches the true covariance. The global test is a special case of TEGS when correlation among genes in a gene set is ignored. Using both simulation data and a published diabetes dataset, we show that our test outperforms the commonly used approaches, the global test and gene set enrichment analysis (GSEA). We develop a gene set analyses method (TEGS) under the multivariate regression framework, which directly models the interdependence of the expression values in a gene set using a working covariance. TEGS outperforms two widely used methods, GSEA and global test in both simulation and a diabetes microarray data.

Detecting parent of origin and dominant QTL in a two-generation commercial poultry pedigree using variance component methodology

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Haley Christopher S

2009-01-01

Full Text Available Abstract Introduction Variance component QTL methodology was used to analyse three candidate regions on chicken chromosomes 1, 4 and 5 for dominant and parent-of-origin QTL effects. Data were available for bodyweight and conformation score measured at 40 days from a two-generation commercial broiler dam line. One hundred dams were nested in 46 sires with phenotypes and genotypes on 2708 offspring. Linear models were constructed to simultaneously estimate fixed, polygenic and QTL effects. Different genetic models were compared using likelihood ratio test statistics derived from the comparison of full with reduced or null models. Empirical thresholds were derived by permutation analysis. Results Dominant QTL were found for bodyweight on chicken chromosome 4 and for bodyweight and conformation score on chicken chromosome 5. Suggestive evidence for a maternally expressed QTL for bodyweight and conformation score was found on chromosome 1 in a region corresponding to orthologous imprinted regions in the human and mouse. Conclusion Initial results suggest that variance component analysis can be applied within commercial populations for the direct detection of segregating dominant and parent of origin effects.

Yield response of winter wheat cultivars to environments modeled by different variance-covariance structures in linear mixed models

Energy Technology Data Exchange (ETDEWEB)

Studnicki, M.; Mądry, W.; Noras, K.; Wójcik-Gront, E.; Gacek, E.

2016-11-01

The main objectives of multi-environmental trials (METs) are to assess cultivar adaptation patterns under different environmental conditions and to investigate genotype by environment (G×E) interactions. Linear mixed models (LMMs) with more complex variance-covariance structures have become recognized and widely used for analyzing METs data. Best practice in METs analysis is to carry out a comparison of competing models with different variance-covariance structures. Improperly chosen variance-covariance structures may lead to biased estimation of means resulting in incorrect conclusions. In this work we focused on adaptive response of cultivars on the environments modeled by the LMMs with different variance-covariance structures. We identified possible limitations of inference when using an inadequate variance-covariance structure. In the presented study we used the dataset on grain yield for 63 winter wheat cultivars, evaluated across 18 locations, during three growing seasons (2008/2009-2010/2011) from the Polish Post-registration Variety Testing System. For the evaluation of variance-covariance structures and the description of cultivars adaptation to environments, we calculated adjusted means for the combination of cultivar and location in models with different variance-covariance structures. We concluded that in order to fully describe cultivars adaptive patterns modelers should use the unrestricted variance-covariance structure. The restricted compound symmetry structure may interfere with proper interpretation of cultivars adaptive patterns. We found, that the factor-analytic structure is also a good tool to describe cultivars reaction on environments, and it can be successfully used in METs data after determining the optimal component number for each dataset. (Author)

Estimation of Genetic Variance Components Including Mutation and Epistasis using Bayesian Approach in a Selection Experiment on Body Weight in Mice

DEFF Research Database (Denmark)

Widyas, Nuzul; Jensen, Just; Nielsen, Vivi Hunnicke

Selection experiment was performed for weight gain in 13 generations of outbred mice. A total of 18 lines were included in the experiment. Nine lines were allotted to each of the two treatment diets (19.3 and 5.1 % protein). Within each diet three lines were selected upwards, three lines were...... selected downwards and three lines were kept as controls. Bayesian statistical methods are used to estimate the genetic variance components. Mixed model analysis is modified including mutation effect following the methods by Wray (1990). DIC was used to compare the model. Models including mutation effect...... have better fit compared to the model with only additive effect. Mutation as direct effect contributes 3.18% of the total phenotypic variance. While in the model with interactions between additive and mutation, it contributes 1.43% as direct effect and 1.36% as interaction effect of the total variance...

Variance Function Partially Linear Single-Index Models1.

Science.gov (United States)

Lian, Heng; Liang, Hua; Carroll, Raymond J

2015-01-01

We consider heteroscedastic regression models where the mean function is a partially linear single index model and the variance function depends upon a generalized partially linear single index model. We do not insist that the variance function depend only upon the mean function, as happens in the classical generalized partially linear single index model. We develop efficient and practical estimation methods for the variance function and for the mean function. Asymptotic theory for the parametric and nonparametric parts of the model is developed. Simulations illustrate the results. An empirical example involving ozone levels is used to further illustrate the results, and is shown to be a case where the variance function does not depend upon the mean function.

Approximation errors during variance propagation

International Nuclear Information System (INIS)

Dinsmore, Stephen

1986-01-01

Risk and reliability analyses are often performed by constructing and quantifying large fault trees. The inputs to these models are component failure events whose probability of occuring are best represented as random variables. This paper examines the errors inherent in two approximation techniques used to calculate the top event's variance from the inputs' variance. Two sample fault trees are evaluated and several three dimensional plots illustrating the magnitude of the error over a wide range of input means and variances are given

Analysis of a genetically structured variance heterogeneity model using the Box-Cox transformation

DEFF Research Database (Denmark)

Yang, Ye; Christensen, Ole Fredslund; Sorensen, Daniel

2011-01-01

of the marginal distribution of the data. To investigate how the scale of measurement affects inferences, the genetically structured heterogeneous variance model is extended to accommodate the family of Box–Cox transformations. Litter size data in rabbits and pigs that had previously been analysed...... in the untransformed scale were reanalysed in a scale equal to the mode of the marginal posterior distribution of the Box–Cox parameter. In the rabbit data, the statistical evidence for a genetic component at the level of the environmental variance is considerably weaker than that resulting from an analysis...... in the original metric. In the pig data, the statistical evidence is stronger, but the coefficient of correlation between additive genetic effects affecting mean and variance changes sign, compared to the results in the untransformed scale. The study confirms that inferences on variances can be strongly affected...

Modelling volatility by variance decomposition

DEFF Research Database (Denmark)

Amado, Cristina; Teräsvirta, Timo

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the condit...

Option valuation with the simplified component GARCH model

DEFF Research Database (Denmark)

Dziubinski, Matt P.

We introduce the Simplified Component GARCH (SC-GARCH) option pricing model, show and discuss sufficient conditions for non-negativity of the conditional variance, apply it to low-frequency and high-frequency financial data, and consider the option valuation, comparing the model performance...

Variance-based sensitivity indices for models with dependent inputs

International Nuclear Information System (INIS)

Mara, Thierry A.; Tarantola, Stefano

2012-01-01

Computational models are intensively used in engineering for risk analysis or prediction of future outcomes. Uncertainty and sensitivity analyses are of great help in these purposes. Although several methods exist to perform variance-based sensitivity analysis of model output with independent inputs only a few are proposed in the literature in the case of dependent inputs. This is explained by the fact that the theoretical framework for the independent case is set and a univocal set of variance-based sensitivity indices is defined. In the present work, we propose a set of variance-based sensitivity indices to perform sensitivity analysis of models with dependent inputs. These measures allow us to distinguish between the mutual dependent contribution and the independent contribution of an input to the model response variance. Their definition relies on a specific orthogonalisation of the inputs and ANOVA-representations of the model output. In the applications, we show the interest of the new sensitivity indices for model simplification setting. - Highlights: ► Uncertainty and sensitivity analyses are of great help in engineering. ► Several methods exist to perform variance-based sensitivity analysis of model output with independent inputs. ► We define a set of variance-based sensitivity indices for models with dependent inputs. ► Inputs mutual contributions are distinguished from their independent contributions. ► Analytical and computational tests are performed and discussed.

Estimation of breeding values for mean and dispersion, their variance and correlation using double hierarchical generalized linear models.

Science.gov (United States)

Felleki, M; Lee, D; Lee, Y; Gilmour, A R; Rönnegård, L

2012-12-01

The possibility of breeding for uniform individuals by selecting animals expressing a small response to environment has been studied extensively in animal breeding. Bayesian methods for fitting models with genetic components in the residual variance have been developed for this purpose, but have limitations due to the computational demands. We use the hierarchical (h)-likelihood from the theory of double hierarchical generalized linear models (DHGLM) to derive an estimation algorithm that is computationally feasible for large datasets. Random effects for both the mean and residual variance parts of the model are estimated together with their variance/covariance components. An important feature of the algorithm is that it can fit a correlation between the random effects for mean and variance. An h-likelihood estimator is implemented in the R software and an iterative reweighted least square (IRWLS) approximation of the h-likelihood is implemented using ASReml. The difference in variance component estimates between the two implementations is investigated, as well as the potential bias of the methods, using simulations. IRWLS gives the same results as h-likelihood in simple cases with no severe indication of bias. For more complex cases, only IRWLS could be used, and bias did appear. The IRWLS is applied on the pig litter size data previously analysed by Sorensen & Waagepetersen (2003) using Bayesian methodology. The estimates we obtained by using IRWLS are similar to theirs, with the estimated correlation between the random genetic effects being -0·52 for IRWLS and -0·62 in Sorensen & Waagepetersen (2003).

UV spectral fingerprinting and analysis of variance-principal component analysis: a useful tool for characterizing sources of variance in plant materials.

Science.gov (United States)

Luthria, Devanand L; Mukhopadhyay, Sudarsan; Robbins, Rebecca J; Finley, John W; Banuelos, Gary S; Harnly, James M

2008-07-23

UV spectral fingerprints, in combination with analysis of variance-principal components analysis (ANOVA-PCA), can differentiate between cultivars and growing conditions (or treatments) and can be used to identify sources of variance. Broccoli samples, composed of two cultivars, were grown under seven different conditions or treatments (four levels of Se-enriched irrigation waters, organic farming, and conventional farming with 100 and 80% irrigation based on crop evaporation and transpiration rate). Freeze-dried powdered samples were extracted with methanol-water (60:40, v/v) and analyzed with no prior separation. Spectral fingerprints were acquired for the UV region (220-380 nm) using a 50-fold dilution of the extract. ANOVA-PCA was used to construct subset matrices that permitted easy verification of the hypothesis that cultivar and treatment contributed to a difference in the chemical expression of the broccoli. The sums of the squares of the same matrices were used to show that cultivar, treatment, and analytical repeatability contributed 30.5, 68.3, and 1.2% of the variance, respectively.

Estimates for Genetic Variance Components in Reciprocal Recurrent Selection in Populations Derived from Maize Single-Cross Hybrids

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Matheus Costa dos Reis

2014-01-01

Full Text Available This study was carried out to obtain the estimates of genetic variance and covariance components related to intra- and interpopulation in the original populations (C0 and in the third cycle (C3 of reciprocal recurrent selection (RRS which allows breeders to define the best breeding strategy. For that purpose, the half-sib progenies of intrapopulation (P11 and P22 and interpopulation (P12 and P21 from populations 1 and 2 derived from single-cross hybrids in the 0 and 3 cycles of the reciprocal recurrent selection program were used. The intra- and interpopulation progenies were evaluated in a 10×10 triple lattice design in two separate locations. The data for unhusked ear weight (ear weight without husk and plant height were collected. All genetic variance and covariance components were estimated from the expected mean squares. The breakdown of additive variance into intrapopulation and interpopulation additive deviations (στ2 and the covariance between these and their intrapopulation additive effects (CovAτ found predominance of the dominance effect for unhusked ear weight. Plant height for these components shows that the intrapopulation additive effect explains most of the variation. Estimates for intrapopulation and interpopulation additive genetic variances confirm that populations derived from single-cross hybrids have potential for recurrent selection programs.

Modelling Changes in the Unconditional Variance of Long Stock Return Series

DEFF Research Database (Denmark)

Amado, Cristina; Teräsvirta, Timo

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta (2011...... show that the long-memory property in volatility may be explained by ignored changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the superiority of volatility forecast accuracy of the new model over the GJR-GARCH model at all...... horizons for a subset of the long return series....

Modelling changes in the unconditional variance of long stock return series

DEFF Research Database (Denmark)

Amado, Cristina; Teräsvirta, Timo

2014-01-01

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...... that the apparent long memory property in volatility may be interpreted as changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the superiority of volatility forecasting accuracy of the new model over the GJR-GARCH model at all horizons for eight...... subsets of the long return series....

Estimating Predictive Variance for Statistical Gas Distribution Modelling

International Nuclear Information System (INIS)

Lilienthal, Achim J.; Asadi, Sahar; Reggente, Matteo

2009-01-01

Recent publications in statistical gas distribution modelling have proposed algorithms that model mean and variance of a distribution. This paper argues that estimating the predictive concentration variance entails not only a gradual improvement but is rather a significant step to advance the field. This is, first, since the models much better fit the particular structure of gas distributions, which exhibit strong fluctuations with considerable spatial variations as a result of the intermittent character of gas dispersal. Second, because estimating the predictive variance allows to evaluate the model quality in terms of the data likelihood. This offers a solution to the problem of ground truth evaluation, which has always been a critical issue for gas distribution modelling. It also enables solid comparisons of different modelling approaches, and provides the means to learn meta parameters of the model, to determine when the model should be updated or re-initialised, or to suggest new measurement locations based on the current model. We also point out directions of related ongoing or potential future research work.

Prediction-error variance in Bayesian model updating: a comparative study

Science.gov (United States)

Asadollahi, Parisa; Li, Jian; Huang, Yong

2017-04-01

In Bayesian model updating, the likelihood function is commonly formulated by stochastic embedding in which the maximum information entropy probability model of prediction error variances plays an important role and it is Gaussian distribution subject to the first two moments as constraints. The selection of prediction error variances can be formulated as a model class selection problem, which automatically involves a trade-off between the average data-fit of the model class and the information it extracts from the data. Therefore, it is critical for the robustness in the updating of the structural model especially in the presence of modeling errors. To date, three ways of considering prediction error variances have been seem in the literature: 1) setting constant values empirically, 2) estimating them based on the goodness-of-fit of the measured data, and 3) updating them as uncertain parameters by applying Bayes' Theorem at the model class level. In this paper, the effect of different strategies to deal with the prediction error variances on the model updating performance is investigated explicitly. A six-story shear building model with six uncertain stiffness parameters is employed as an illustrative example. Transitional Markov Chain Monte Carlo is used to draw samples of the posterior probability density function of the structure model parameters as well as the uncertain prediction variances. The different levels of modeling uncertainty and complexity are modeled through three FE models, including a true model, a model with more complexity, and a model with modeling error. Bayesian updating is performed for the three FE models considering the three aforementioned treatments of the prediction error variances. The effect of number of measurements on the model updating performance is also examined in the study. The results are compared based on model class assessment and indicate that updating the prediction error variances as uncertain parameters at the model

Multi-Trait analysis of growth traits: fitting reduced rank models using principal components for Simmental beef cattle

Directory of Open Access Journals (Sweden)

Rodrigo Reis Mota

2016-09-01

Full Text Available ABSTRACT: The aim of this research was to evaluate the dimensional reduction of additive direct genetic covariance matrices in genetic evaluations of growth traits (range 100-730 days in Simmental cattle using principal components, as well as to estimate (covariance components and genetic parameters. Principal component analyses were conducted for five different models-one full and four reduced-rank models. Models were compared using Akaike information (AIC and Bayesian information (BIC criteria. Variance components and genetic parameters were estimated by restricted maximum likelihood (REML. The AIC and BIC values were similar among models. This indicated that parsimonious models could be used in genetic evaluations in Simmental cattle. The first principal component explained more than 96% of total variance in both models. Heritability estimates were higher for advanced ages and varied from 0.05 (100 days to 0.30 (730 days. Genetic correlation estimates were similar in both models regardless of magnitude and number of principal components. The first principal component was sufficient to explain almost all genetic variance. Furthermore, genetic parameter similarities and lower computational requirements allowed for parsimonious models in genetic evaluations of growth traits in Simmental cattle.

Downside Variance Risk Premium

OpenAIRE

Feunou, Bruno; Jahan-Parvar, Mohammad; Okou, Cedric

2015-01-01

We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor with significant prediction power for aggregate excess returns. Our empirical investigation highlights the positive and s...

Quantitative milk genomics: estimation of variance components and prediction of fatty acids in bovine milk

DEFF Research Database (Denmark)

Krag, Kristian

The composition of bovine milk fat, used for human consumption, is far from the recommendations for human fat nutrition. The aim of this PhD was to describe the variance components and prediction probabilities of individual fatty acids (FA) in bovine milk, and to evaluate the possibilities...

A Variance Distribution Model of Surface EMG Signals Based on Inverse Gamma Distribution.

Science.gov (United States)

Hayashi, Hideaki; Furui, Akira; Kurita, Yuichi; Tsuji, Toshio

2017-11-01

Objective: This paper describes the formulation of a surface electromyogram (EMG) model capable of representing the variance distribution of EMG signals. Methods: In the model, EMG signals are handled based on a Gaussian white noise process with a mean of zero for each variance value. EMG signal variance is taken as a random variable that follows inverse gamma distribution, allowing the representation of noise superimposed onto this variance. Variance distribution estimation based on marginal likelihood maximization is also outlined in this paper. The procedure can be approximated using rectified and smoothed EMG signals, thereby allowing the determination of distribution parameters in real time at low computational cost. Results: A simulation experiment was performed to evaluate the accuracy of distribution estimation using artificially generated EMG signals, with results demonstrating that the proposed model's accuracy is higher than that of maximum-likelihood-based estimation. Analysis of variance distribution using real EMG data also suggested a relationship between variance distribution and signal-dependent noise. Conclusion: The study reported here was conducted to examine the performance of a proposed surface EMG model capable of representing variance distribution and a related distribution parameter estimation method. Experiments using artificial and real EMG data demonstrated the validity of the model. Significance: Variance distribution estimated using the proposed model exhibits potential in the estimation of muscle force. Objective: This paper describes the formulation of a surface electromyogram (EMG) model capable of representing the variance distribution of EMG signals. Methods: In the model, EMG signals are handled based on a Gaussian white noise process with a mean of zero for each variance value. EMG signal variance is taken as a random variable that follows inverse gamma distribution, allowing the representation of noise superimposed onto this

Variance-based sensitivity analysis for wastewater treatment plant modelling.

Science.gov (United States)

Cosenza, Alida; Mannina, Giorgio; Vanrolleghem, Peter A; Neumann, Marc B

2014-02-01

Global sensitivity analysis (GSA) is a valuable tool to support the use of mathematical models that characterise technical or natural systems. In the field of wastewater modelling, most of the recent applications of GSA use either regression-based methods, which require close to linear relationships between the model outputs and model factors, or screening methods, which only yield qualitative results. However, due to the characteristics of membrane bioreactors (MBR) (non-linear kinetics, complexity, etc.) there is an interest to adequately quantify the effects of non-linearity and interactions. This can be achieved with variance-based sensitivity analysis methods. In this paper, the Extended Fourier Amplitude Sensitivity Testing (Extended-FAST) method is applied to an integrated activated sludge model (ASM2d) for an MBR system including microbial product formation and physical separation processes. Twenty-one model outputs located throughout the different sections of the bioreactor and 79 model factors are considered. Significant interactions among the model factors are found. Contrary to previous GSA studies for ASM models, we find the relationship between variables and factors to be non-linear and non-additive. By analysing the pattern of the variance decomposition along the plant, the model factors having the highest variance contributions were identified. This study demonstrates the usefulness of variance-based methods in membrane bioreactor modelling where, due to the presence of membranes and different operating conditions than those typically found in conventional activated sludge systems, several highly non-linear effects are present. Further, the obtained results highlight the relevant role played by the modelling approach for MBR taking into account simultaneously biological and physical processes. © 2013.

Comparison of multipoint linkage analyses for quantitative traits in the CEPH data: parametric LOD scores, variance components LOD scores, and Bayes factors.

Science.gov (United States)

Sung, Yun Ju; Di, Yanming; Fu, Audrey Q; Rothstein, Joseph H; Sieh, Weiva; Tong, Liping; Thompson, Elizabeth A; Wijsman, Ellen M

2007-01-01

We performed multipoint linkage analyses with multiple programs and models for several gene expression traits in the Centre d'Etude du Polymorphisme Humain families. All analyses provided consistent results for both peak location and shape. Variance-components (VC) analysis gave wider peaks and Bayes factors gave fewer peaks. Among programs from the MORGAN package, lm_multiple performed better than lm_markers, resulting in less Markov-chain Monte Carlo (MCMC) variability between runs, and the program lm_twoqtl provided higher LOD scores by also including either a polygenic component or an additional quantitative trait locus.

Heritability and variance components of some morphological and agronomic in alfalfa

International Nuclear Information System (INIS)

Ates, E.; Tekeli, S.

2005-01-01

Four alfalfa cultivars were investigated using randomized complete-block design with three replications. Variance components, variance coefficients and heritability values of some morphological characters, herbage yield, dry matter yield and seed yield were determined. Maximum main stem height (78.69 cm), main stem diameter (4.85 mm), leaflet width (0.93 cm), seeds/pod (6.57), herbage yield (75.64 t ha/sub -1/), dry matter yield (20.06 t ha/sub -1/) and seed yield (0.49 t ha/sub -1/) were obtained from cv. Marina. Leaflet length varied from 1.65 to 2.08 cm. The raceme length measured 3.15 to 4.38 cm in alfalfa cultivars. The highest 1000-seeds weight values (2.42-2.49 g) were found from Marina and Sitel cultivars. Heritability values of various traits were: 91.0% for main stem height, 97.6% for main stem diameter, 81.8% for leaflet length, 88.8% for leaflet width, 90.4% for leaf/stem ratio, 28.3% for racemes/main stem, 99.0% for raceme length, 99.2% for seeds/pod, 88.0% for 1000-seeds weight, 97.2% for herbage yield, 99.6% for dry matter yield and 95.4% for seed yield. (author)

Components of variance involved in estimating soil water content and water content change using a neutron moisture meter

International Nuclear Information System (INIS)

Sinclair, D.F.; Williams, J.

1979-01-01

There have been significant developments in the design and use of neutron moisture meters since Hewlett et al.(1964) investigated the sources of variance when using this instrument to estimate soil moisture. There appears to be little in the literature, however, which updates these findings. This paper aims to isolate the components of variance when moisture content and moisture change are estimated using the neutron scattering method with current technology and methods

Use of genomic models to study genetic control of environmental variance

DEFF Research Database (Denmark)

Yang, Ye; Christensen, Ole Fredslund; Sorensen, Daniel

2011-01-01

. The genomic model commonly found in the literature, with marker effects affecting mean only, is extended to investigate putative effects at the level of the environmental variance. Two classes of models are proposed and their behaviour, studied using simulated data, indicates that they are capable...... of detecting genetic variation at the level of mean and variance. Implementation is via Markov chain Monte Carlo (McMC) algorithms. The models are compared in terms of a measure of global fit, in their ability to detect QTL effects and in terms of their predictive power. The models are subsequently fitted...... to back fat thickness data in pigs. The analysis of back fat thickness shows that the data support genomic models with effects on the mean but not on the variance. The relative sizes of experiment necessary to detect effects on mean and variance is discussed and an extension of the McMC algorithm...

Using variance structure to quantify responses to perturbation in fish catches

Science.gov (United States)

Vidal, Tiffany E.; Irwin, Brian J.; Wagner, Tyler; Rudstam, Lars G.; Jackson, James R.; Bence, James R.

2017-01-01

We present a case study evaluation of gill-net catches of Walleye Sander vitreus to assess potential effects of large-scale changes in Oneida Lake, New York, including the disruption of trophic interactions by double-crested cormorants Phalacrocorax auritus and invasive dreissenid mussels. We used the empirical long-term gill-net time series and a negative binomial linear mixed model to partition the variability in catches into spatial and coherent temporal variance components, hypothesizing that variance partitioning can help quantify spatiotemporal variability and determine whether variance structure differs before and after large-scale perturbations. We found that the mean catch and the total variability of catches decreased following perturbation but that not all sampling locations responded in a consistent manner. There was also evidence of some spatial homogenization concurrent with a restructuring of the relative productivity of individual sites. Specifically, offshore sites generally became more productive following the estimated break point in the gill-net time series. These results provide support for the idea that variance structure is responsive to large-scale perturbations; therefore, variance components have potential utility as statistical indicators of response to a changing environment more broadly. The modeling approach described herein is flexible and would be transferable to other systems and metrics. For example, variance partitioning could be used to examine responses to alternative management regimes, to compare variability across physiographic regions, and to describe differences among climate zones. Understanding how individual variance components respond to perturbation may yield finer-scale insights into ecological shifts than focusing on patterns in the mean responses or total variability alone.

Principal variance component analysis of crop composition data: a case study on herbicide-tolerant cotton.

Science.gov (United States)

Harrison, Jay M; Howard, Delia; Malven, Marianne; Halls, Steven C; Culler, Angela H; Harrigan, George G; Wolfinger, Russell D

2013-07-03

Compositional studies on genetically modified (GM) and non-GM crops have consistently demonstrated that their respective levels of key nutrients and antinutrients are remarkably similar and that other factors such as germplasm and environment contribute more to compositional variability than transgenic breeding. We propose that graphical and statistical approaches that can provide meaningful evaluations of the relative impact of different factors to compositional variability may offer advantages over traditional frequentist testing. A case study on the novel application of principal variance component analysis (PVCA) in a compositional assessment of herbicide-tolerant GM cotton is presented. Results of the traditional analysis of variance approach confirmed the compositional equivalence of the GM and non-GM cotton. The multivariate approach of PVCA provided further information on the impact of location and germplasm on compositional variability relative to GM.

A principal components model of soundscape perception.

Science.gov (United States)

Axelsson, Östen; Nilsson, Mats E; Berglund, Birgitta

2010-11-01

There is a need for a model that identifies underlying dimensions of soundscape perception, and which may guide measurement and improvement of soundscape quality. With the purpose to develop such a model, a listening experiment was conducted. One hundred listeners measured 50 excerpts of binaural recordings of urban outdoor soundscapes on 116 attribute scales. The average attribute scale values were subjected to principal components analysis, resulting in three components: Pleasantness, eventfulness, and familiarity, explaining 50, 18 and 6% of the total variance, respectively. The principal-component scores were correlated with physical soundscape properties, including categories of dominant sounds and acoustic variables. Soundscape excerpts dominated by technological sounds were found to be unpleasant, whereas soundscape excerpts dominated by natural sounds were pleasant, and soundscape excerpts dominated by human sounds were eventful. These relationships remained after controlling for the overall soundscape loudness (Zwicker's N(10)), which shows that 'informational' properties are substantial contributors to the perception of soundscape. The proposed principal components model provides a framework for future soundscape research and practice. In particular, it suggests which basic dimensions are necessary to measure, how to measure them by a defined set of attribute scales, and how to promote high-quality soundscapes.

Variance squeezing and entanglement of the XX central spin model

International Nuclear Information System (INIS)

El-Orany, Faisal A A; Abdalla, M Sebawe

2011-01-01

In this paper, we study the quantum properties for a system that consists of a central atom interacting with surrounding spins through the Heisenberg XX couplings of equal strength. Employing the Heisenberg equations of motion we manage to derive an exact solution for the dynamical operators. We consider that the central atom and its surroundings are initially prepared in the excited state and in the coherent spin state, respectively. For this system, we investigate the evolution of variance squeezing and entanglement. The nonclassical effects have been remarked in the behavior of all components of the system. The atomic variance can exhibit revival-collapse phenomenon based on the value of the detuning parameter.

Variance squeezing and entanglement of the XX central spin model

Energy Technology Data Exchange (ETDEWEB)

El-Orany, Faisal A A [Department of Mathematics and Computer Science, Faculty of Science, Suez Canal University, Ismailia (Egypt); Abdalla, M Sebawe, E-mail: m.sebaweh@physics.org [Mathematics Department, College of Science, King Saud University PO Box 2455, Riyadh 11451 (Saudi Arabia)

2011-01-21

In this paper, we study the quantum properties for a system that consists of a central atom interacting with surrounding spins through the Heisenberg XX couplings of equal strength. Employing the Heisenberg equations of motion we manage to derive an exact solution for the dynamical operators. We consider that the central atom and its surroundings are initially prepared in the excited state and in the coherent spin state, respectively. For this system, we investigate the evolution of variance squeezing and entanglement. The nonclassical effects have been remarked in the behavior of all components of the system. The atomic variance can exhibit revival-collapse phenomenon based on the value of the detuning parameter.

A new interpretation and validation of variance based importance measures for models with correlated inputs

Science.gov (United States)

Hao, Wenrui; Lu, Zhenzhou; Li, Luyi

2013-05-01

In order to explore the contributions by correlated input variables to the variance of the output, a novel interpretation framework of importance measure indices is proposed for a model with correlated inputs, which includes the indices of the total correlated contribution and the total uncorrelated contribution. The proposed indices accurately describe the connotations of the contributions by the correlated input to the variance of output, and they can be viewed as the complement and correction of the interpretation about the contributions by the correlated inputs presented in "Estimation of global sensitivity indices for models with dependent variables, Computer Physics Communications, 183 (2012) 937-946". Both of them contain the independent contribution by an individual input. Taking the general form of quadratic polynomial as an illustration, the total correlated contribution and the independent contribution by an individual input are derived analytically, from which the components and their origins of both contributions of correlated input can be clarified without any ambiguity. In the special case that no square term is included in the quadratic polynomial model, the total correlated contribution by the input can be further decomposed into the variance contribution related to the correlation of the input with other inputs and the independent contribution by the input itself, and the total uncorrelated contribution can be further decomposed into the independent part by interaction between the input and others and the independent part by the input itself. Numerical examples are employed and their results demonstrate that the derived analytical expressions of the variance-based importance measure are correct, and the clarification of the correlated input contribution to model output by the analytical derivation is very important for expanding the theory and solutions of uncorrelated input to those of the correlated one.

How Reliable Are Students' Evaluations of Teaching Quality? A Variance Components Approach

Science.gov (United States)

Feistauer, Daniela; Richter, Tobias

2017-01-01

The inter-rater reliability of university students' evaluations of teaching quality was examined with cross-classified multilevel models. Students (N = 480) evaluated lectures and seminars over three years with a standardised evaluation questionnaire, yielding 4224 data points. The total variance of these student evaluations was separated into the…

MENENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL CONDITIONAL MEAN VARIANCE

Directory of Open Access Journals (Sweden)

I GEDE ERY NISCAHYANA

2016-08-01

Full Text Available When the returns of stock prices show the existence of autocorrelation and heteroscedasticity, then conditional mean variance models are suitable method to model the behavior of the stocks. In this thesis, the implementation of the conditional mean variance model to the autocorrelated and heteroscedastic return was discussed. The aim of this thesis was to assess the effect of the autocorrelated and heteroscedastic returns to the optimal solution of a portfolio. The margin of four stocks, Fortune Mate Indonesia Tbk (FMII.JK, Bank Permata Tbk (BNLI.JK, Suryamas Dutamakmur Tbk (SMDM.JK dan Semen Gresik Indonesia Tbk (SMGR.JK were estimated by GARCH(1,1 model with standard innovations following the standard normal distribution and the t-distribution.  The estimations were used to construct a portfolio. The portfolio optimal was found when the standard innovation used was t-distribution with the standard deviation of 1.4532 and the mean of 0.8023 consisting of 0.9429 (94% of FMII stock, 0.0473 (5% of  BNLI stock, 0% of SMDM stock, 1% of  SMGR stock.

Models of Postural Control: Shared Variance in Joint and COM Motions.

Directory of Open Access Journals (Sweden)

Melissa C Kilby

Full Text Available This paper investigated the organization of the postural control system in human upright stance. To this aim the shared variance between joint and 3D total body center of mass (COM motions was analyzed using multivariate canonical correlation analysis (CCA. The CCA was performed as a function of established models of postural control that varied in their joint degrees of freedom (DOF, namely, an inverted pendulum ankle model (2DOF, ankle-hip model (4DOF, ankle-knee-hip model (5DOF, and ankle-knee-hip-neck model (7DOF. Healthy young adults performed various postural tasks (two-leg and one-leg quiet stances, voluntary AP and ML sway on a foam and rigid surface of support. Based on CCA model selection procedures, the amount of shared variance between joint and 3D COM motions and the cross-loading patterns we provide direct evidence of the contribution of multi-DOF postural control mechanisms to human balance. The direct model fitting of CCA showed that incrementing the DOFs in the model through to 7DOF was associated with progressively enhanced shared variance with COM motion. In the 7DOF model, the first canonical function revealed more active involvement of all joints during more challenging one leg stances and dynamic posture tasks. Furthermore, the shared variance was enhanced during the dynamic posture conditions, consistent with a reduction of dimension. This set of outcomes shows directly the degeneracy of multivariate joint regulation in postural control that is influenced by stance and surface of support conditions.

Simultaneous estimation of cross-validation errors in least squares collocation applied for statistical testing and evaluation of the noise variance components

Science.gov (United States)

Behnabian, Behzad; Mashhadi Hossainali, Masoud; Malekzadeh, Ahad

2018-02-01

The cross-validation technique is a popular method to assess and improve the quality of prediction by least squares collocation (LSC). We present a formula for direct estimation of the vector of cross-validation errors (CVEs) in LSC which is much faster than element-wise CVE computation. We show that a quadratic form of CVEs follows Chi-squared distribution. Furthermore, a posteriori noise variance factor is derived by the quadratic form of CVEs. In order to detect blunders in the observations, estimated standardized CVE is proposed as the test statistic which can be applied when noise variances are known or unknown. We use LSC together with the methods proposed in this research for interpolation of crustal subsidence in the northern coast of the Gulf of Mexico. The results show that after detection and removing outliers, the root mean square (RMS) of CVEs and estimated noise standard deviation are reduced about 51 and 59%, respectively. In addition, RMS of LSC prediction error at data points and RMS of estimated noise of observations are decreased by 39 and 67%, respectively. However, RMS of LSC prediction error on a regular grid of interpolation points covering the area is only reduced about 4% which is a consequence of sparse distribution of data points for this case study. The influence of gross errors on LSC prediction results is also investigated by lower cutoff CVEs. It is indicated that after elimination of outliers, RMS of this type of errors is also reduced by 19.5% for a 5 km radius of vicinity. We propose a method using standardized CVEs for classification of dataset into three groups with presumed different noise variances. The noise variance components for each of the groups are estimated using restricted maximum-likelihood method via Fisher scoring technique. Finally, LSC assessment measures were computed for the estimated heterogeneous noise variance model and compared with those of the homogeneous model. The advantage of the proposed method is the

Heterogeneity of variance components for preweaning growth in Romane sheep due to the number of lambs reared

Directory of Open Access Journals (Sweden)

Poivey Jean-Paul

2011-09-01

Full Text Available Abstract Background The pre-weaning growth rate of lambs, an important component of meat market production, is affected by maternal and direct genetic effects. The French genetic evaluation model takes into account the number of lambs suckled by applying a multiplicative factor (1 for a lamb reared as a single, 0.7 for twin-reared lambs to the maternal genetic effect, in addition to including the birth*rearing type combination as a fixed effect, which acts on the mean. However, little evidence has been provided to justify the use of this multiplicative model. The two main objectives of the present study were to determine, by comparing models of analysis, 1 whether pre-weaning growth is the same trait in single- and twin-reared lambs and 2 whether the multiplicative coefficient represents a good approach for taking this possible difference into account. Methods Data on the pre-weaning growth rate, defined as the average daily gain from birth to 45 days of age on 29,612 Romane lambs born between 1987 and 2009 at the experimental farm of La Sapinière (INRA-France were used to compare eight models that account for the number of lambs per dam reared in various ways. Models were compared using the Akaike information criteria. Results The model that best fitted the data assumed that 1 direct (maternal effects correspond to the same trait regardless of the number of lambs reared, 2 the permanent environmental effects and variances associated with the dam depend on the number of lambs reared and 3 the residual variance depends on the number of lambs reared. Even though this model fitted the data better than a model that included a multiplicative coefficient, little difference was found between EBV from the different models (the correlation between EBV varied from 0.979 to 0.999. Conclusions Based on experimental data, the current genetic evaluation model can be improved to better take into account the number of lambs reared. Thus, it would be of

Multivariate Variance Targeting in the BEKK-GARCH Model

DEFF Research Database (Denmark)

Pedersen, Rasmus Søndergaard; Rahbek, Anders

2014-01-01

This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By definition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding...

Is fMRI ?noise? really noise? Resting state nuisance regressors remove variance with network structure

OpenAIRE

Bright, Molly G.; Murphy, Kevin

2015-01-01

Noise correction is a critical step towards accurate mapping of resting state BOLD fMRI connectivity. Noise sources related to head motion or physiology are typically modelled by nuisance regressors, and a generalised linear model is applied to regress out the associated signal variance. In this study, we use independent component analysis (ICA) to characterise the data variance typically discarded in this pre-processing stage in a cohort of 12 healthy volunteers. The signal variance removed ...

Multivariate Variance Targeting in the BEKK-GARCH Model

DEFF Research Database (Denmark)

Pedersen, Rasmus Søndergaard; Rahbek, Anders

This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de…nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modi…ed likelihood function, or estimating function, corresponding...

Sparse principal component analysis in medical shape modeling

Science.gov (United States)

Sjöstrand, Karl; Stegmann, Mikkel B.; Larsen, Rasmus

2006-03-01

Principal component analysis (PCA) is a widely used tool in medical image analysis for data reduction, model building, and data understanding and exploration. While PCA is a holistic approach where each new variable is a linear combination of all original variables, sparse PCA (SPCA) aims at producing easily interpreted models through sparse loadings, i.e. each new variable is a linear combination of a subset of the original variables. One of the aims of using SPCA is the possible separation of the results into isolated and easily identifiable effects. This article introduces SPCA for shape analysis in medicine. Results for three different data sets are given in relation to standard PCA and sparse PCA by simple thresholding of small loadings. Focus is on a recent algorithm for computing sparse principal components, but a review of other approaches is supplied as well. The SPCA algorithm has been implemented using Matlab and is available for download. The general behavior of the algorithm is investigated, and strengths and weaknesses are discussed. The original report on the SPCA algorithm argues that the ordering of modes is not an issue. We disagree on this point and propose several approaches to establish sensible orderings. A method that orders modes by decreasing variance and maximizes the sum of variances for all modes is presented and investigated in detail.

Multivariate Variance Targeting in the BEKK-GARCH Model

DEFF Research Database (Denmark)

Pedersen, Rasmus Søndergaard; Rahbek, Anders

This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de…nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modi…ed like- lihood function, or estimating function, corresponding...

Comment on Hoffman and Rovine (2007): SPSS MIXED can estimate models with heterogeneous variances.

Science.gov (United States)

Weaver, Bruce; Black, Ryan A

2015-06-01

Hoffman and Rovine (Behavior Research Methods, 39:101-117, 2007) have provided a very nice overview of how multilevel models can be useful to experimental psychologists. They included two illustrative examples and provided both SAS and SPSS commands for estimating the models they reported. However, upon examining the SPSS syntax for the models reported in their Table 3, we found no syntax for models 2B and 3B, both of which have heterogeneous error variances. Instead, there is syntax that estimates similar models with homogeneous error variances and a comment stating that SPSS does not allow heterogeneous errors. But that is not correct. We provide SPSS MIXED commands to estimate models 2B and 3B with heterogeneous error variances and obtain results nearly identical to those reported by Hoffman and Rovine in their Table 3. Therefore, contrary to the comment in Hoffman and Rovine's syntax file, SPSS MIXED can estimate models with heterogeneous error variances.

Multilevel models for multiple-baseline data: modeling across-participant variation in autocorrelation and residual variance.

Science.gov (United States)

Baek, Eun Kyeng; Ferron, John M

2013-03-01

Multilevel models (MLM) have been used as a method for analyzing multiple-baseline single-case data. However, some concerns can be raised because the models that have been used assume that the Level-1 error covariance matrix is the same for all participants. The purpose of this study was to extend the application of MLM of single-case data in order to accommodate across-participant variation in the Level-1 residual variance and autocorrelation. This more general model was then used in the analysis of single-case data sets to illustrate the method, to estimate the degree to which the autocorrelation and residual variances differed across participants, and to examine whether inferences about treatment effects were sensitive to whether or not the Level-1 error covariance matrix was allowed to vary across participants. The results from the analyses of five published studies showed that when the Level-1 error covariance matrix was allowed to vary across participants, some relatively large differences in autocorrelation estimates and error variance estimates emerged. The changes in modeling the variance structure did not change the conclusions about which fixed effects were statistically significant in most of the studies, but there was one exception. The fit indices did not consistently support selecting either the more complex covariance structure, which allowed the covariance parameters to vary across participants, or the simpler covariance structure. Given the uncertainty in model specification that may arise when modeling single-case data, researchers should consider conducting sensitivity analyses to examine the degree to which their conclusions are sensitive to modeling choices.

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

DEFF Research Database (Denmark)

Silvennoinen, Annastiina; Terasvirta, Timo

The topic of this paper is testing the hypothesis of constant unconditional variance in GARCH models against the alternative that the unconditional variance changes deterministically over time. Tests of this hypothesis have previously been performed as misspecification tests after fitting a GARCH...... models. An application to exchange rate returns is included....

Analysis of Gene Expression Variance in Schizophrenia Using Structural Equation Modeling

Directory of Open Access Journals (Sweden)

Anna A. Igolkina

2018-06-01

Full Text Available Schizophrenia (SCZ is a psychiatric disorder of unknown etiology. There is evidence suggesting that aberrations in neurodevelopment are a significant attribute of schizophrenia pathogenesis and progression. To identify biologically relevant molecular abnormalities affecting neurodevelopment in SCZ we used cultured neural progenitor cells derived from olfactory neuroepithelium (CNON cells. Here, we tested the hypothesis that variance in gene expression differs between individuals from SCZ and control groups. In CNON cells, variance in gene expression was significantly higher in SCZ samples in comparison with control samples. Variance in gene expression was enriched in five molecular pathways: serine biosynthesis, PI3K-Akt, MAPK, neurotrophin and focal adhesion. More than 14% of variance in disease status was explained within the logistic regression model (C-value = 0.70 by predictors accounting for gene expression in 69 genes from these five pathways. Structural equation modeling (SEM was applied to explore how the structure of these five pathways was altered between SCZ patients and controls. Four out of five pathways showed differences in the estimated relationships among genes: between KRAS and NF1, and KRAS and SOS1 in the MAPK pathway; between PSPH and SHMT2 in serine biosynthesis; between AKT3 and TSC2 in the PI3K-Akt signaling pathway; and between CRK and RAPGEF1 in the focal adhesion pathway. Our analysis provides evidence that variance in gene expression is an important characteristic of SCZ, and SEM is a promising method for uncovering altered relationships between specific genes thus suggesting affected gene regulation associated with the disease. We identified altered gene-gene interactions in pathways enriched for genes with increased variance in expression in SCZ. These pathways and loci were previously implicated in SCZ, providing further support for the hypothesis that gene expression variance plays important role in the etiology

Partitioning of the variance in the growth parameters of Erwinia carotovora on vegetable products.

Science.gov (United States)

Shorten, P R; Membré, J-M; Pleasants, A B; Kubaczka, M; Soboleva, T K

2004-06-01

The objective of this paper was to estimate and partition the variability in the microbial growth model parameters describing the growth of Erwinia carotovora on pasteurised and non-pasteurised vegetable juice from laboratory experiments performed under different temperature-varying conditions. We partitioned the model parameter variance and covariance components into effects due to temperature profile and replicate using a maximum likelihood technique. Temperature profile and replicate were treated as random effects and the food substrate was treated as a fixed effect. The replicate variance component was small indicating a high level of control in this experiment. Our analysis of the combined E. carotovora growth data sets used the Baranyi primary microbial growth model along with the Ratkowsky secondary growth model. The variability in the microbial growth parameters estimated from these microbial growth experiments is essential for predicting the mean and variance through time of the E. carotovora population size in a product supply chain and is the basis for microbiological risk assessment and food product shelf-life estimation. The variance partitioning made here also assists in the management of optimal product distribution networks by identifying elements of the supply chain contributing most to product variability. Copyright 2003 Elsevier B.V.

Modeling the subfilter scalar variance for large eddy simulation in forced isotropic turbulence

Science.gov (United States)

Cheminet, Adam; Blanquart, Guillaume

2011-11-01

Static and dynamic model for the subfilter scalar variance in homogeneous isotropic turbulence are investigated using direct numerical simulations (DNS) of a lineary forced passive scalar field. First, we introduce a new scalar forcing technique conditioned only on the scalar field which allows the fluctuating scalar field to reach a statistically stationary state. Statistical properties, including 2nd and 3rd statistical moments, spectra, and probability density functions of the scalar field have been analyzed. Using this technique, we performed constant density and variable density DNS of scalar mixing in isotropic turbulence. The results are used in an a-priori study of scalar variance models. Emphasis is placed on further studying the dynamic model introduced by G. Balarac, H. Pitsch and V. Raman [Phys. Fluids 20, (2008)]. Scalar variance models based on Bedford and Yeo's expansion are accurate for small filter width but errors arise in the inertial subrange. Results suggest that a constant coefficient computed from an assumed Kolmogorov spectrum is often sufficient to predict the subfilter scalar variance.

Toward a more robust variance-based global sensitivity analysis of model outputs

Energy Technology Data Exchange (ETDEWEB)

Tong, C

2007-10-15

Global sensitivity analysis (GSA) measures the variation of a model output as a function of the variations of the model inputs given their ranges. In this paper we consider variance-based GSA methods that do not rely on certain assumptions about the model structure such as linearity or monotonicity. These variance-based methods decompose the output variance into terms of increasing dimensionality called 'sensitivity indices', first introduced by Sobol' [25]. Sobol' developed a method of estimating these sensitivity indices using Monte Carlo simulations. McKay [13] proposed an efficient method using replicated Latin hypercube sampling to compute the 'correlation ratios' or 'main effects', which have been shown to be equivalent to Sobol's first-order sensitivity indices. Practical issues with using these variance estimators are how to choose adequate sample sizes and how to assess the accuracy of the results. This paper proposes a modified McKay main effect method featuring an adaptive procedure for accuracy assessment and improvement. We also extend our adaptive technique to the computation of second-order sensitivity indices. Details of the proposed adaptive procedure as wells as numerical results are included in this paper.

Heterogeneity of variance and its implications on dairy cattle breeding

African Journals Online (AJOL)

Milk yield data (n = 12307) from 116 Holstein-Friesian herds were grouped into three production environments based on mean and standard deviation of herd 305-day milk yield and evaluated for within herd variation using univariate animal model procedures. Variance components were estimated by derivative free REML ...

Genetic variance components for residual feed intake and feed ...

African Journals Online (AJOL)

Feeding costs of animals is a major determinant of profitability in livestock production enterprises. Genetic selection to improve feed efficiency aims to reduce feeding cost in beef cattle and thereby improve profitability. This study estimated genetic (co)variances between weaning weight and other production, reproduction ...

Estimates of variance components for postweaning feed intake and ...

African Journals Online (AJOL)

Mike

2013-03-09

Mar 9, 2013 ... transformation of RFIp and RDGp to z-scores (mean = 0.0, variance = 1.0) and then ... generation pedigree (n = 9 653) used for this analysis. ..... Nkrumah, J.D., Basarab, J.A., Wang, Z., Li, C., Price, M.A., Okine, E.K., Crews Jr., ...

Genetic heterogeneity of within-family variance of body weight in Atlantic salmon (Salmo salar).

Science.gov (United States)

Sonesson, Anna K; Odegård, Jørgen; Rönnegård, Lars

2013-10-17

Canalization is defined as the stability of a genotype against minor variations in both environment and genetics. Genetic variation in degree of canalization causes heterogeneity of within-family variance. The aims of this study are twofold: (1) quantify genetic heterogeneity of (within-family) residual variance in Atlantic salmon and (2) test whether the observed heterogeneity of (within-family) residual variance can be explained by simple scaling effects. Analysis of body weight in Atlantic salmon using a double hierarchical generalized linear model (DHGLM) revealed substantial heterogeneity of within-family variance. The 95% prediction interval for within-family variance ranged from ~0.4 to 1.2 kg2, implying that the within-family variance of the most extreme high families is expected to be approximately three times larger than the extreme low families. For cross-sectional data, DHGLM with an animal mean sub-model resulted in severe bias, while a corresponding sire-dam model was appropriate. Heterogeneity of variance was not sensitive to Box-Cox transformations of phenotypes, which implies that heterogeneity of variance exists beyond what would be expected from simple scaling effects. Substantial heterogeneity of within-family variance was found for body weight in Atlantic salmon. A tendency towards higher variance with higher means (scaling effects) was observed, but heterogeneity of within-family variance existed beyond what could be explained by simple scaling effects. For cross-sectional data, using the animal mean sub-model in the DHGLM resulted in biased estimates of variance components, which differed substantially both from a standard linear mean animal model and a sire-dam DHGLM model. Although genetic differences in canalization were observed, selection for increased canalization is difficult, because there is limited individual information for the variance sub-model, especially when based on cross-sectional data. Furthermore, potential macro

Using the Superpopulation Model for Imputations and Variance Computation in Survey Sampling

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Petr Novák

2012-03-01

Full Text Available This study is aimed at variance computation techniques for estimates of population characteristics based on survey sampling and imputation. We use the superpopulation regression model, which means that the target variable values for each statistical unit are treated as random realizations of a linear regression model with weighted variance. We focus on regression models with one auxiliary variable and no intercept, which have many applications and straightforward interpretation in business statistics. Furthermore, we deal with caseswhere the estimates are not independent and thus the covariance must be computed. We also consider chained regression models with auxiliary variables as random variables instead of constants.

Genetic variance in micro-environmental sensitivity for milk and milk quality in Walloon Holstein cattle.

Science.gov (United States)

Vandenplas, J; Bastin, C; Gengler, N; Mulder, H A

2013-09-01

Animals that are robust to environmental changes are desirable in the current dairy industry. Genetic differences in micro-environmental sensitivity can be studied through heterogeneity of residual variance between animals. However, residual variance between animals is usually assumed to be homogeneous in traditional genetic evaluations. The aim of this study was to investigate genetic heterogeneity of residual variance by estimating variance components in residual variance for milk yield, somatic cell score, contents in milk (g/dL) of 2 groups of milk fatty acids (i.e., saturated and unsaturated fatty acids), and the content in milk of one individual fatty acid (i.e., oleic acid, C18:1 cis-9), for first-parity Holstein cows in the Walloon Region of Belgium. A total of 146,027 test-day records from 26,887 cows in 747 herds were available. All cows had at least 3 records and a known sire. These sires had at least 10 cows with records and each herd × test-day had at least 5 cows. The 5 traits were analyzed separately based on fixed lactation curve and random regression test-day models for the mean. Estimation of variance components was performed by running iteratively expectation maximization-REML algorithm by the implementation of double hierarchical generalized linear models. Based on fixed lactation curve test-day mean models, heritability for residual variances ranged between 1.01×10(-3) and 4.17×10(-3) for all traits. The genetic standard deviation in residual variance (i.e., approximately the genetic coefficient of variation of residual variance) ranged between 0.12 and 0.17. Therefore, some genetic variance in micro-environmental sensitivity existed in the Walloon Holstein dairy cattle for the 5 studied traits. The standard deviations due to herd × test-day and permanent environment in residual variance ranged between 0.36 and 0.45 for herd × test-day effect and between 0.55 and 0.97 for permanent environmental effect. Therefore, nongenetic effects also

Variance component and heritability estimates of early growth traits ...

African Journals Online (AJOL)

as selection criteria for meat production in sheep (Anon, 1970; Olson et ai., 1976;. Lasslo et ai., 1985; Badenhorst et ai., 1991). If these traits are to be included in a breeding programme, accurate estimates of breeding values will be needed to optimize selection programmes. This requires a knowledge of variance and co-.

A Fay-Herriot Model with Different Random Effect Variances

Czech Academy of Sciences Publication Activity Database

Hobza, Tomáš; Morales, D.; Herrador, M.; Esteban, M.D.

2011-01-01

Roč. 40, č. 5 (2011), s. 785-797 ISSN 0361-0926 R&D Projects: GA MŠk 1M0572 Institutional research plan: CEZ:AV0Z10750506 Keywords : small area estimation * Fay-Herriot model * Linear mixed model * Labor Force Survey Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.274, year: 2011 http://library.utia.cas.cz/separaty/2011/SI/hobza-a%20fay-herriot%20model%20with%20different%20random%20effect%20variances.pdf

A Bias and Variance Analysis for Multistep-Ahead Time Series Forecasting.

Science.gov (United States)

Ben Taieb, Souhaib; Atiya, Amir F

2016-01-01

Multistep-ahead forecasts can either be produced recursively by iterating a one-step-ahead time series model or directly by estimating a separate model for each forecast horizon. In addition, there are other strategies; some of them combine aspects of both aforementioned concepts. In this paper, we present a comprehensive investigation into the bias and variance behavior of multistep-ahead forecasting strategies. We provide a detailed review of the different multistep-ahead strategies. Subsequently, we perform a theoretical study that derives the bias and variance for a number of forecasting strategies. Finally, we conduct a Monte Carlo experimental study that compares and evaluates the bias and variance performance of the different strategies. From the theoretical and the simulation studies, we analyze the effect of different factors, such as the forecast horizon and the time series length, on the bias and variance components, and on the different multistep-ahead strategies. Several lessons are learned, and recommendations are given concerning the advantages, disadvantages, and best conditions of use of each strategy.

Variance decomposition-based sensitivity analysis via neural networks

International Nuclear Information System (INIS)

Marseguerra, Marzio; Masini, Riccardo; Zio, Enrico; Cojazzi, Giacomo

2003-01-01

This paper illustrates a method for efficiently performing multiparametric sensitivity analyses of the reliability model of a given system. These analyses are of great importance for the identification of critical components in highly hazardous plants, such as the nuclear or chemical ones, thus providing significant insights for their risk-based design and management. The technique used to quantify the importance of a component parameter with respect to the system model is based on a classical decomposition of the variance. When the model of the system is realistically complicated (e.g. by aging, stand-by, maintenance, etc.), its analytical evaluation soon becomes impractical and one is better off resorting to Monte Carlo simulation techniques which, however, could be computationally burdensome. Therefore, since the variance decomposition method requires a large number of system evaluations, each one to be performed by Monte Carlo, the need arises for possibly substituting the Monte Carlo simulation model with a fast, approximated, algorithm. Here we investigate an approach which makes use of neural networks appropriately trained on the results of a Monte Carlo system reliability/availability evaluation to quickly provide with reasonable approximation, the values of the quantities of interest for the sensitivity analyses. The work was a joint effort between the Department of Nuclear Engineering of the Polytechnic of Milan, Italy, and the Institute for Systems, Informatics and Safety, Nuclear Safety Unit of the Joint Research Centre in Ispra, Italy which sponsored the project

Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium

DEFF Research Database (Denmark)

Casas, Isabel; Mao, Xiuping; Veiga, Helena

This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...... time-varying coefficient models are the ones showing considerably higher predictive power for stock market returns and financial instability during the financial crisis, suggesting that an extreme volatility period requires models that can adapt quickly to turmoil........ Moreover, a comparison of the overall results reveals that the conditional variance gains predictive power during the global financial crisis period. Furthermore, both the variance risk premium and conditional variance are determined to be predictors of future financial instability, whereas conditional...

On the Likely Utility of Hybrid Weights Optimized for Variances in Hybrid Error Covariance Models

Science.gov (United States)

Satterfield, E.; Hodyss, D.; Kuhl, D.; Bishop, C. H.

2017-12-01

Because of imperfections in ensemble data assimilation schemes, one cannot assume that the ensemble covariance is equal to the true error covariance of a forecast. Previous work demonstrated how information about the distribution of true error variances given an ensemble sample variance can be revealed from an archive of (observation-minus-forecast, ensemble-variance) data pairs. Here, we derive a simple and intuitively compelling formula to obtain the mean of this distribution of true error variances given an ensemble sample variance from (observation-minus-forecast, ensemble-variance) data pairs produced by a single run of a data assimilation system. This formula takes the form of a Hybrid weighted average of the climatological forecast error variance and the ensemble sample variance. Here, we test the extent to which these readily obtainable weights can be used to rapidly optimize the covariance weights used in Hybrid data assimilation systems that employ weighted averages of static covariance models and flow-dependent ensemble based covariance models. Univariate data assimilation and multi-variate cycling ensemble data assimilation are considered. In both cases, it is found that our computationally efficient formula gives Hybrid weights that closely approximate the optimal weights found through the simple but computationally expensive process of testing every plausible combination of weights.

A new media optimizer based on the mean-variance model

Directory of Open Access Journals (Sweden)

Pedro Jesus Fernandez

2007-01-01

Full Text Available In the financial markets, there is a well established portfolio optimization model called generalized mean-variance model (or generalized Markowitz model. This model considers that a typical investor, while expecting returns to be high, also expects returns to be as certain as possible. In this paper we introduce a new media optimization system based on the mean-variance model, a novel approach in media planning. After presenting the model in its full generality, we discuss possible advantages of the mean-variance paradigm, such as its flexibility in modeling the optimization problem, its ability of dealing with many media performance indices - satisfying most of the media plan needs - and, most important, the property of diversifying the media portfolios in a natural way, without the need to set up ad hoc constraints to enforce diversification.No mercado financeiro, existem modelos de otimização de portfólios já bem estabelecidos, denominados modelos de média-variância generalizados, ou modelos de Markowitz generalizados. Este modelo considera que um investidor típico, enquanto espera altos retornos, espera também que estes retornos sejam tão certos quanto possível. Neste artigo introduzimos um novo sistema otimizador de mídia baseado no modelo de média-variância, uma abordagem inovadora na área de planejamento de mídia. Após apresentar o modelo em sua máxima generalidade, discutimos possíveis vantagens do paradigma de média-variância, como sua flexibilidade na modelagem do problema de otimização, sua habilidade de lidar com vários índices de performance - satisfazendo a maioria dos requisitos de planejamento - e, o mais importante, a propriedade de diversificar os portfólios de mídia de uma forma natural, sem a necessidade de estipular restrições ad hoc para forçar a diversificação.

DIFFERENCES BETWEEN MEAN-VARIANCE AND MEAN-CVAR PORTFOLIO OPTIMIZATION MODELS

Directory of Open Access Journals (Sweden)

Panna Miskolczi

2016-07-01

Full Text Available Everybody heard already that one should not expect high returns without high risk, or one should not expect safety without low returns. The goal of portfolio theory is to find the balance between maximizing the return and minimizing the risk. To do so we have to first understand and measure the risk. Naturally a good risk measure has to satisfy several properties - in theory and in practise. Markowitz suggested to use the variance as a risk measure in portfolio theory. This led to the so called mean-variance model - for which Markowitz received the Nobel Prize in 1990. The model has been criticized because it is well suited for elliptical distributions but it may lead to incorrect conclusions in the case of non-elliptical distributions. Since then many risk measures have been introduced, of which the Value at Risk (VaR is the most widely used in the recent years. Despite of the widespread use of the Value at Risk there are some fundamental problems with it. It does not satisfy the subadditivity property and it ignores the severity of losses in the far tail of the profit-and-loss (P&L distribution. Moreover, its non-convexity makes VaR impossible to use in optimization problems. To come over these issues the Expected Shortfall (ES as a coherent risk measure was developed. Expected Shortfall is also called Conditional Value at Risk (CVaR. Compared to Value at Risk, ES is more sensitive to the tail behaviour of the P&L distribution function. In the first part of the paper I state the definition of these three risk measures. In the second part I deal with my main question: What is happening if we replace the variance with the Expected Shortfall in the portfolio optimization process. Do we have different optimal portfolios as a solution? And thus, does the solution suggests to decide differently in the two cases? To answer to these questions I analyse seven Hungarian stock exchange companies. First I use the mean-variance portfolio optimization model

Model Optimisasi Portofolio Investasi Mean-Variance Tanpa dan Dengan Aset Bebas Risiko pada Saham Idx30

Directory of Open Access Journals (Sweden)

Basuki Basuki

2017-07-01

Full Text Available Dalam paper ini, model optimisasi portofolio investasi Mean-Variance tanpa aset bebas risiko, atau disebut model dasar dari Markowitz telah dikaji untuk mendapatkan portofolio optimum.Berdasarkan model dasar dari Markowitz, kemudian dilakukan studi lebih lanjut pada model Mean-Variance dengan aset bebas risiko. Selanjutnya, kedua model tersebut digunakan untuk menganalisis optimisasi portofolio investasi pada beberapa saham IDX30. Dalam paper ini diasumsikan bahwa proporsi sebesar 10% diinvestasikan pada aset bebas risiko, berupa deposito yang memberikan return sebesar 7% per tahun. Berdasarkan hasil analisis optimisasi portofolio investasi pada lima saham yang dipilih didapatkan grafik permukaan efisien dari optimisasi portofolio Mean-Variance dengan aset bebas risiko, berada lebih tinggi dibandingkan optimisasi portofolio Mean-Variance tanpa aset bebas risiko. Dalam hal ini menunjukkan bahwa portofolio investasi kombinasi dari aset bebas risiko dan aset tanpa bebas risiko, lebih menguntungkan dibandingkan portofolio investasi yang hanya pada aset tanpa bebas risiko.

Using the PLUM procedure of SPSS to fit unequal variance and generalized signal detection models.

Science.gov (United States)

DeCarlo, Lawrence T

2003-02-01

The recent addition of aprocedure in SPSS for the analysis of ordinal regression models offers a simple means for researchers to fit the unequal variance normal signal detection model and other extended signal detection models. The present article shows how to implement the analysis and how to interpret the SPSS output. Examples of fitting the unequal variance normal model and other generalized signal detection models are given. The approach offers a convenient means for applying signal detection theory to a variety of research.

How to assess intra- and inter-observer agreement with quantitative PET using variance component analysis: a proposal for standardisation

International Nuclear Information System (INIS)

Gerke, Oke; Vilstrup, Mie Holm; Segtnan, Eivind Antonsen; Halekoh, Ulrich; Høilund-Carlsen, Poul Flemming

2016-01-01

Quantitative measurement procedures need to be accurate and precise to justify their clinical use. Precision reflects deviation of groups of measurement from another, often expressed as proportions of agreement, standard errors of measurement, coefficients of variation, or the Bland-Altman plot. We suggest variance component analysis (VCA) to estimate the influence of errors due to single elements of a PET scan (scanner, time point, observer, etc.) to express the composite uncertainty of repeated measurements and obtain relevant repeatability coefficients (RCs) which have a unique relation to Bland-Altman plots. Here, we present this approach for assessment of intra- and inter-observer variation with PET/CT exemplified with data from two clinical studies. In study 1, 30 patients were scanned pre-operatively for the assessment of ovarian cancer, and their scans were assessed twice by the same observer to study intra-observer agreement. In study 2, 14 patients with glioma were scanned up to five times. Resulting 49 scans were assessed by three observers to examine inter-observer agreement. Outcome variables were SUVmax in study 1 and cerebral total hemispheric glycolysis (THG) in study 2. In study 1, we found a RC of 2.46 equalling half the width of the Bland-Altman limits of agreement. In study 2, the RC for identical conditions (same scanner, patient, time point, and observer) was 2392; allowing for different scanners increased the RC to 2543. Inter-observer differences were negligible compared to differences owing to other factors; between observer 1 and 2: −10 (95 % CI: −352 to 332) and between observer 1 vs 3: 28 (95 % CI: −313 to 370). VCA is an appealing approach for weighing different sources of variation against each other, summarised as RCs. The involved linear mixed effects models require carefully considered sample sizes to account for the challenge of sufficiently accurately estimating variance components. The online version of this article (doi:10

Robust Means Modeling: An Alternative for Hypothesis Testing of Independent Means under Variance Heterogeneity and Nonnormality

Science.gov (United States)

Fan, Weihua; Hancock, Gregory R.

2012-01-01

This study proposes robust means modeling (RMM) approaches for hypothesis testing of mean differences for between-subjects designs in order to control the biasing effects of nonnormality and variance inequality. Drawing from structural equation modeling (SEM), the RMM approaches make no assumption of variance homogeneity and employ robust…

Mean-variance model for portfolio optimization with background risk based on uncertainty theory

Science.gov (United States)

Zhai, Jia; Bai, Manying

2018-04-01

The aim of this paper is to develop a mean-variance model for portfolio optimization considering the background risk, liquidity and transaction cost based on uncertainty theory. In portfolio selection problem, returns of securities and assets liquidity are assumed as uncertain variables because of incidents or lacking of historical data, which are common in economic and social environment. We provide crisp forms of the model and a hybrid intelligent algorithm to solve it. Under a mean-variance framework, we analyze the portfolio frontier characteristic considering independently additive background risk. In addition, we discuss some effects of background risk and liquidity constraint on the portfolio selection. Finally, we demonstrate the proposed models by numerical simulations.

Stochastic Fractional Programming Approach to a Mean and Variance Model of a Transportation Problem

Directory of Open Access Journals (Sweden)

V. Charles

2011-01-01

Full Text Available In this paper, we propose a stochastic programming model, which considers a ratio of two nonlinear functions and probabilistic constraints. In the former, only expected model has been proposed without caring variability in the model. On the other hand, in the variance model, the variability played a vital role without concerning its counterpart, namely, the expected model. Further, the expected model optimizes the ratio of two linear cost functions where as variance model optimize the ratio of two non-linear functions, that is, the stochastic nature in the denominator and numerator and considering expectation and variability as well leads to a non-linear fractional program. In this paper, a transportation model with stochastic fractional programming (SFP problem approach is proposed, which strikes the balance between previous models available in the literature.

Mixed model approaches for diallel analysis based on a bio-model.

Science.gov (United States)

Zhu, J; Weir, B S

1996-12-01

A MINQUE(1) procedure, which is minimum norm quadratic unbiased estimation (MINQUE) method with 1 for all the prior values, is suggested for estimating variance and covariance components in a bio-model for diallel crosses. Unbiasedness and efficiency of estimation were compared for MINQUE(1), restricted maximum likelihood (REML) and MINQUE theta which has parameter values for the prior values. MINQUE(1) is almost as efficient as MINQUE theta for unbiased estimation of genetic variance and covariance components. The bio-model is efficient and robust for estimating variance and covariance components for maternal and paternal effects as well as for nuclear effects. A procedure of adjusted unbiased prediction (AUP) is proposed for predicting random genetic effects in the bio-model. The jack-knife procedure is suggested for estimation of sampling variances of estimated variance and covariance components and of predicted genetic effects. Worked examples are given for estimation of variance and covariance components and for prediction of genetic merits.

Modelling safety of multistate systems with ageing components

Energy Technology Data Exchange (ETDEWEB)

Kołowrocki, Krzysztof; Soszyńska-Budny, Joanna [Gdynia Maritime University, Department of Mathematics ul. Morska 81-87, Gdynia 81-225 Poland (Poland)

2016-06-08

An innovative approach to safety analysis of multistate ageing systems is presented. Basic notions of the ageing multistate systems safety analysis are introduced. The system components and the system multistate safety functions are defined. The mean values and variances of the multistate systems lifetimes in the safety state subsets and the mean values of their lifetimes in the particular safety states are defined. The multi-state system risk function and the moment of exceeding by the system the critical safety state are introduced. Applications of the proposed multistate system safety models to the evaluation and prediction of the safty characteristics of the consecutive “m out of n: F” is presented as well.

Modelling safety of multistate systems with ageing components

International Nuclear Information System (INIS)

Kołowrocki, Krzysztof; Soszyńska-Budny, Joanna

2016-01-01

An innovative approach to safety analysis of multistate ageing systems is presented. Basic notions of the ageing multistate systems safety analysis are introduced. The system components and the system multistate safety functions are defined. The mean values and variances of the multistate systems lifetimes in the safety state subsets and the mean values of their lifetimes in the particular safety states are defined. The multi-state system risk function and the moment of exceeding by the system the critical safety state are introduced. Applications of the proposed multistate system safety models to the evaluation and prediction of the safty characteristics of the consecutive “m out of n: F” is presented as well.

Complementary responses to mean and variance modulations in the perfect integrate-and-fire model.

Science.gov (United States)

Pressley, Joanna; Troyer, Todd W

2009-07-01

In the perfect integrate-and-fire model (PIF), the membrane voltage is proportional to the integral of the input current since the time of the previous spike. It has been shown that the firing rate within a noise free ensemble of PIF neurons responds instantaneously to dynamic changes in the input current, whereas in the presence of white noise, model neurons preferentially pass low frequency modulations of the mean current. Here, we prove that when the input variance is perturbed while holding the mean current constant, the PIF responds preferentially to high frequency modulations. Moreover, the linear filters for mean and variance modulations are complementary, adding exactly to one. Since changes in the rate of Poisson distributed inputs lead to proportional changes in the mean and variance, these results imply that an ensemble of PIF neurons transmits a perfect replica of the time-varying input rate for Poisson distributed input. A more general argument shows that this property holds for any signal leading to proportional changes in the mean and variance of the input current.

A random variance model for detection of differential gene expression in small microarray experiments.

Science.gov (United States)

Wright, George W; Simon, Richard M

2003-12-12

Microarray techniques provide a valuable way of characterizing the molecular nature of disease. Unfortunately expense and limited specimen availability often lead to studies with small sample sizes. This makes accurate estimation of variability difficult, since variance estimates made on a gene by gene basis will have few degrees of freedom, and the assumption that all genes share equal variance is unlikely to be true. We propose a model by which the within gene variances are drawn from an inverse gamma distribution, whose parameters are estimated across all genes. This results in a test statistic that is a minor variation of those used in standard linear models. We demonstrate that the model assumptions are valid on experimental data, and that the model has more power than standard tests to pick up large changes in expression, while not increasing the rate of false positives. This method is incorporated into BRB-ArrayTools version 3.0 (http://linus.nci.nih.gov/BRB-ArrayTools.html). ftp://linus.nci.nih.gov/pub/techreport/RVM_supplement.pdf

Seismic attenuation relationship with homogeneous and heterogeneous prediction-error variance models

Science.gov (United States)

Mu, He-Qing; Xu, Rong-Rong; Yuen, Ka-Veng

2014-03-01

Peak ground acceleration (PGA) estimation is an important task in earthquake engineering practice. One of the most well-known models is the Boore-Joyner-Fumal formula, which estimates the PGA using the moment magnitude, the site-to-fault distance and the site foundation properties. In the present study, the complexity for this formula and the homogeneity assumption for the prediction-error variance are investigated and an efficiency-robustness balanced formula is proposed. For this purpose, a reduced-order Monte Carlo simulation algorithm for Bayesian model class selection is presented to obtain the most suitable predictive formula and prediction-error model for the seismic attenuation relationship. In this approach, each model class (a predictive formula with a prediction-error model) is evaluated according to its plausibility given the data. The one with the highest plausibility is robust since it possesses the optimal balance between the data fitting capability and the sensitivity to noise. A database of strong ground motion records in the Tangshan region of China is obtained from the China Earthquake Data Center for the analysis. The optimal predictive formula is proposed based on this database. It is shown that the proposed formula with heterogeneous prediction-error variance is much simpler than the attenuation model suggested by Boore, Joyner and Fumal (1993).

Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

OpenAIRE

Röring, Johan

2017-01-01

Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. Two kinds of volatility derivatives are volatility swaps and variance swaps. The problem with volatility swaps and variance swaps is that they require estimations of the future variance and volati...

Improving precision in gel electrophoresis by stepwisely decreasing variance components.

Science.gov (United States)

Schröder, Simone; Brandmüller, Asita; Deng, Xi; Ahmed, Aftab; Wätzig, Hermann

2009-10-15

Many methods have been developed in order to increase selectivity and sensitivity in proteome research. However, gel electrophoresis (GE) which is one of the major techniques in this area, is still known for its often unsatisfactory precision. Percental relative standard deviations (RSD%) up to 60% have been reported. In this case the improvement of precision and sensitivity is absolutely essential, particularly for the quality control of biopharmaceuticals. Our work reflects the remarkable and completely irregular changes of the background signal from gel to gel. This irregularity was identified as one of the governing error sources. These background changes can be strongly reduced by using a signal detection in the near-infrared (NIR) range. This particular detection method provides the most sensitive approach for conventional CCB (Colloidal Coomassie Blue) stained gels, which is reflected in a total error of just 5% (RSD%). In order to further investigate variance components in GE, an experimental Plackett-Burman screening design was performed. The influence of seven potential factors on the precision was investigated using 10 proteins with different properties analyzed by NIR detection. The results emphasized the individuality of the proteins. Completely different factors were identified to be significant for each protein. However, out of seven investigated parameters, just four showed a significant effect on some proteins, namely the parameters of: destaining time, staining temperature, changes of detergent additives (SDS and LDS) in the sample buffer, and the age of the gels. As a result, precision can only be improved individually for each protein or protein classes. Further understanding of the unique properties of proteins should enable us to improve the precision in gel electrophoresis.

Variance Components and Genetic Parameters for Milk Production and Lactation Pattern in an Ethiopian Multibreed Dairy Cattle Population

Directory of Open Access Journals (Sweden)

Gebregziabher Gebreyohannes

2013-09-01

Full Text Available The objective of this study was to estimate variance components and genetic parameters for lactation milk yield (LY, lactation length (LL, average milk yield per day (YD, initial milk yield (IY, peak milk yield (PY, days to peak (DP and parameters (ln(a and c of the modified incomplete gamma function (MIG in an Ethiopian multibreed dairy cattle population. The dataset was composed of 5,507 lactation records collected from 1,639 cows in three locations (Bako, Debre Zeit and Holetta in Ethiopia from 1977 to 2010. Parameters for MIG were obtained from regression analysis of monthly test-day milk data on days in milk. The cows were purebred (Bos indicus Boran (B and Horro (H and their crosses with different fractions of Friesian (F, Jersey (J and Simmental (S. There were 23 breed groups (B, H, and their crossbreds with F, J, and S in the population. Fixed and mixed models were used to analyse the data. The fixed model considered herd-year-season, parity and breed group as fixed effects, and residual as random. The single and two-traits mixed animal repeatability models, considered the fixed effects of herd-year-season and parity subclasses, breed as a function of cow H, F, J, and S breed fractions and general heterosis as a function of heterozygosity, and the random additive animal, permanent environment, and residual effects. For the analysis of LY, LL was added as a fixed covariate to all models. Variance components and genetic parameters were estimated using average information restricted maximum likelihood procedures. The results indicated that all traits were affected (p<0.001 by the considered fixed effects. High grade B×F cows (3/16B 13/16F had the highest least squares means (LSM for LY (2,490±178.9 kg, IY (10.5±0.8 kg, PY (12.7±0.9 kg, YD (7.6±0.55 kg and LL (361.4±31.2 d, while B cows had the lowest LSM values for these traits. The LSM of LY, IY, YD, and PY tended to increase from the first to the fifth parity. Single-trait analyses

Efficient Cardinality/Mean-Variance Portfolios

OpenAIRE

Brito, R. Pedro; Vicente, Luís Nunes

2014-01-01

International audience; We propose a novel approach to handle cardinality in portfolio selection, by means of a biobjective cardinality/mean-variance problem, allowing the investor to analyze the efficient tradeoff between return-risk and number of active positions. Recent progress in multiobjective optimization without derivatives allow us to robustly compute (in-sample) the whole cardinality/mean-variance efficient frontier, for a variety of data sets and mean-variance models. Our results s...

Confidence Interval Approximation For Treatment Variance In ...

African Journals Online (AJOL)

In a random effects model with a single factor, variation is partitioned into two as residual error variance and treatment variance. While a confidence interval can be imposed on the residual error variance, it is not possible to construct an exact confidence interval for the treatment variance. This is because the treatment ...

A zero-variance-based scheme for variance reduction in Monte Carlo criticality

Energy Technology Data Exchange (ETDEWEB)

Christoforou, S.; Hoogenboom, J. E. [Delft Univ. of Technology, Mekelweg 15, 2629 JB Delft (Netherlands)

2006-07-01

A zero-variance scheme is derived and proven theoretically for criticality cases, and a simplified transport model is used for numerical demonstration. It is shown in practice that by appropriate biasing of the transition and collision kernels, a significant reduction in variance can be achieved. This is done using the adjoint forms of the emission and collision densities, obtained from a deterministic calculation, according to the zero-variance scheme. By using an appropriate algorithm, the figure of merit of the simulation increases by up to a factor of 50, with the possibility of an even larger improvement. In addition, it is shown that the biasing speeds up the convergence of the initial source distribution. (authors)

A zero-variance-based scheme for variance reduction in Monte Carlo criticality

International Nuclear Information System (INIS)

Christoforou, S.; Hoogenboom, J. E.

2006-01-01

A zero-variance scheme is derived and proven theoretically for criticality cases, and a simplified transport model is used for numerical demonstration. It is shown in practice that by appropriate biasing of the transition and collision kernels, a significant reduction in variance can be achieved. This is done using the adjoint forms of the emission and collision densities, obtained from a deterministic calculation, according to the zero-variance scheme. By using an appropriate algorithm, the figure of merit of the simulation increases by up to a factor of 50, with the possibility of an even larger improvement. In addition, it is shown that the biasing speeds up the convergence of the initial source distribution. (authors)

Sensitivity analysis using contribution to sample variance plot: Application to a water hammer model

International Nuclear Information System (INIS)

Tarantola, S.; Kopustinskas, V.; Bolado-Lavin, R.; Kaliatka, A.; Ušpuras, E.; Vaišnoras, M.

2012-01-01

This paper presents “contribution to sample variance plot”, a natural extension of the “contribution to the sample mean plot”, which is a graphical tool for global sensitivity analysis originally proposed by Sinclair. These graphical tools have a great potential to display graphically sensitivity information given a generic input sample and its related model realizations. The contribution to the sample variance can be obtained at no extra computational cost, i.e. from the same points used for deriving the contribution to the sample mean and/or scatter-plots. The proposed approach effectively instructs the analyst on how to achieve a targeted reduction of the variance, by operating on the extremes of the input parameters' ranges. The approach is tested against a known benchmark for sensitivity studies, the Ishigami test function, and a numerical model simulating the behaviour of a water hammer effect in a piping system.

Genetic factors explain half of all variance in serum eosinophil cationic protein

DEFF Research Database (Denmark)

Elmose, Camilla; Sverrild, Asger; van der Sluis, Sophie

2014-01-01

with variation in serum ECP and to determine the relative proportion of the variation in ECP due to genetic and non-genetic factors, in an adult twin sample. METHODS: A sample of 575 twins, selected through a proband with self-reported asthma, had serum ECP, lung function, airway responsiveness to methacholine......, exhaled nitric oxide, and skin test reactivity, measured. Linear regression analysis and variance component models were used to study factors associated with variation in ECP and the relative genetic influence on ECP levels. RESULTS: Sex (regression coefficient = -0.107, P ... was statistically non-significant (r = -0.11, P = 0.50). CONCLUSION: Around half of all variance in serum ECP is explained by genetic factors. Serum ECP is influenced by sex, BMI, and airway responsiveness. Serum ECP and airway responsiveness seem not to share genetic variance....

The Variance Composition of Firm Growth Rates

Directory of Open Access Journals (Sweden)

Luiz Artur Ledur Brito

2009-04-01

Full Text Available Firms exhibit a wide variability in growth rates. This can be seen as another manifestation of the fact that firms are different from one another in several respects. This study investigated this variability using the variance components technique previously used to decompose the variance of financial performance. The main source of variation in growth rates, responsible for more than 40% of total variance, corresponds to individual, idiosyncratic firm aspects and not to industry, country, or macroeconomic conditions prevailing in specific years. Firm growth, similar to financial performance, is mostly unique to specific firms and not an industry or country related phenomenon. This finding also justifies using growth as an alternative outcome of superior firm resources and as a complementary dimension of competitive advantage. This also links this research with the resource-based view of strategy. Country was the second source of variation with around 10% of total variance. The analysis was done using the Compustat Global database with 80,320 observations, comprising 13,221 companies in 47 countries, covering the years of 1994 to 2002. It also compared the variance structure of growth to the variance structure of financial performance in the same sample.

Regional sensitivity analysis using revised mean and variance ratio functions

International Nuclear Information System (INIS)

Wei, Pengfei; Lu, Zhenzhou; Ruan, Wenbin; Song, Jingwen

2014-01-01

The variance ratio function, derived from the contribution to sample variance (CSV) plot, is a regional sensitivity index for studying how much the output deviates from the original mean of model output when the distribution range of one input is reduced and to measure the contribution of different distribution ranges of each input to the variance of model output. In this paper, the revised mean and variance ratio functions are developed for quantifying the actual change of the model output mean and variance, respectively, when one reduces the range of one input. The connection between the revised variance ratio function and the original one is derived and discussed. It is shown that compared with the classical variance ratio function, the revised one is more suitable to the evaluation of model output variance due to reduced ranges of model inputs. A Monte Carlo procedure, which needs only a set of samples for implementing it, is developed for efficiently computing the revised mean and variance ratio functions. The revised mean and variance ratio functions are compared with the classical ones by using the Ishigami function. At last, they are applied to a planar 10-bar structure

Is fMRI "noise" really noise? Resting state nuisance regressors remove variance with network structure.

Science.gov (United States)

Bright, Molly G; Murphy, Kevin

2015-07-01

Noise correction is a critical step towards accurate mapping of resting state BOLD fMRI connectivity. Noise sources related to head motion or physiology are typically modelled by nuisance regressors, and a generalised linear model is applied to regress out the associated signal variance. In this study, we use independent component analysis (ICA) to characterise the data variance typically discarded in this pre-processing stage in a cohort of 12 healthy volunteers. The signal variance removed by 24, 12, 6, or only 3 head motion parameters demonstrated network structure typically associated with functional connectivity, and certain networks were discernable in the variance extracted by as few as 2 physiologic regressors. Simulated nuisance regressors, unrelated to the true data noise, also removed variance with network structure, indicating that any group of regressors that randomly sample variance may remove highly structured "signal" as well as "noise." Furthermore, to support this we demonstrate that random sampling of the original data variance continues to exhibit robust network structure, even when as few as 10% of the original volumes are considered. Finally, we examine the diminishing returns of increasing the number of nuisance regressors used in pre-processing, showing that excessive use of motion regressors may do little better than chance in removing variance within a functional network. It remains an open challenge to understand the balance between the benefits and confounds of noise correction using nuisance regressors. Copyright © 2015. Published by Elsevier Inc.

Variance-based Sensitivity Analysis of Large-scale Hydrological Model to Prepare an Ensemble-based SWOT-like Data Assimilation Experiments

Science.gov (United States)

Emery, C. M.; Biancamaria, S.; Boone, A. A.; Ricci, S. M.; Garambois, P. A.; Decharme, B.; Rochoux, M. C.

2015-12-01

Land Surface Models (LSM) coupled with River Routing schemes (RRM), are used in Global Climate Models (GCM) to simulate the continental part of the water cycle. They are key component of GCM as they provide boundary conditions to atmospheric and oceanic models. However, at global scale, errors arise mainly from simplified physics, atmospheric forcing, and input parameters. More particularly, those used in RRM, such as river width, depth and friction coefficients, are difficult to calibrate and are mostly derived from geomorphologic relationships, which may not always be realistic. In situ measurements are then used to calibrate these relationships and validate the model, but global in situ data are very sparse. Additionally, due to the lack of existing global river geomorphology database and accurate forcing, models are run at coarse resolution. This is typically the case of the ISBA-TRIP model used in this study.A complementary alternative to in-situ data are satellite observations. In this regard, the Surface Water and Ocean Topography (SWOT) satellite mission, jointly developed by NASA/CNES/CSA/UKSA and scheduled for launch around 2020, should be very valuable to calibrate RRM parameters. It will provide maps of water surface elevation for rivers wider than 100 meters over continental surfaces in between 78°S and 78°N and also direct observation of river geomorphological parameters such as width ans slope.Yet, before assimilating such kind of data, it is needed to analyze RRM temporal sensitivity to time-constant parameters. This study presents such analysis over large river basins for the TRIP RRM. Model output uncertainty, represented by unconditional variance, is decomposed into ordered contribution from each parameter. Doing a time-dependent analysis allows then to identify to which parameters modeled water level and discharge are the most sensitive along a hydrological year. The results show that local parameters directly impact water levels, while

Asymmetries in conditional mean variance: modelling stock returns by asMA-asQGARCH

NARCIS (Netherlands)

de Gooijer, J.G.; Brännäs, K.

2004-01-01

We propose a nonlinear time series model where both the conditional mean and the conditional variance are asymmetric functions of past information. The model is particularly useful for analysing financial time series where it has been noted that there is an asymmetric impact of good news and bad

Model determination in a case of heterogeneity of variance using sampling techniques.

Science.gov (United States)

Varona, L; Moreno, C; Garcia-Cortes, L A; Altarriba, J

1997-01-12

A sampling determination procedure has been described in a case of heterogeneity of variance. The procedure makes use of the predictive distributions of each data given the rest of the data and the structure of the assumed model. The computation of these predictive distributions is carried out using a Gibbs Sampling procedure. The final criterion to compare between models is the Mean Square Error between the expectation of predictive distributions and real data. The procedure has been applied to a data set of weight at 210 days in the Spanish Pirenaica beef cattle breed. Three proposed models have been compared: (a) Single Trait Animal Model; (b) Heterogeneous Variance Animal Model; and (c) Multiple Trait Animal Model. After applying the procedure, the most adjusted model was the Heterogeneous Variance Animal Model. This result is probably due to a compromise between the complexity of the model and the amount of available information. The estimated heritabilities under the preferred model have been 0.489 ± 0.076 for males and 0.331 ± 0.082 for females. RESUMEN: Contraste de modelos en un caso de heterogeneidad de varianzas usando métodos de muestreo Se ha descrito un método de contraste de modelos mediante técnicas de muestreo en un caso de heterogeneidad de varianza entre sexos. El procedimiento utiliza las distribucviones predictivas de cada dato, dado el resto de datos y la estructura del modelo. El criterio para coparar modelos es el error cuadrático medio entre la esperanza de las distribuciones predictivas y los datos reales. El procedimiento se ha aplicado en datos de peso a los 210 días en la raza bovina Pirenaica. Se han propuesto tres posibles modelos: (a) Modelo Animal Unicaracter; (b) Modelo Animal con Varianzas Heterogéneas; (c) Modelo Animal Multicaracter. El modelo mejor ajustado fue el Modelo Animal con Varianzas Heterogéneas. Este resultado es probablemente debido a un compromiso entre la complejidad del modelo y la cantidad de datos

A simple algorithm to estimate genetic variance in an animal threshold model using Bayesian inference Genetics Selection Evolution 2010, 42:29

DEFF Research Database (Denmark)

Ødegård, Jørgen; Meuwissen, Theo HE; Heringstad, Bjørg

2010-01-01

Background In the genetic analysis of binary traits with one observation per animal, animal threshold models frequently give biased heritability estimates. In some cases, this problem can be circumvented by fitting sire- or sire-dam models. However, these models are not appropriate in cases where...... records exist for the parents). Furthermore, the new algorithm showed much faster Markov chain mixing properties for genetic parameters (similar to the sire-dam model). Conclusions The new algorithm to estimate genetic parameters via Gibbs sampling solves the bias problems typically occurring in animal...... individual records exist on parents. Therefore, the aim of our study was to develop a new Gibbs sampling algorithm for a proper estimation of genetic (co)variance components within an animal threshold model framework. Methods In the proposed algorithm, individuals are classified as either "informative...

A COSMIC VARIANCE COOKBOOK

International Nuclear Information System (INIS)

Moster, Benjamin P.; Rix, Hans-Walter; Somerville, Rachel S.; Newman, Jeffrey A.

2011-01-01

Deep pencil beam surveys ( 2 ) are of fundamental importance for studying the high-redshift universe. However, inferences about galaxy population properties (e.g., the abundance of objects) are in practice limited by 'cosmic variance'. This is the uncertainty in observational estimates of the number density of galaxies arising from the underlying large-scale density fluctuations. This source of uncertainty can be significant, especially for surveys which cover only small areas and for massive high-redshift galaxies. Cosmic variance for a given galaxy population can be determined using predictions from cold dark matter theory and the galaxy bias. In this paper, we provide tools for experiment design and interpretation. For a given survey geometry, we present the cosmic variance of dark matter as a function of mean redshift z-bar and redshift bin size Δz. Using a halo occupation model to predict galaxy clustering, we derive the galaxy bias as a function of mean redshift for galaxy samples of a given stellar mass range. In the linear regime, the cosmic variance of these galaxy samples is the product of the galaxy bias and the dark matter cosmic variance. We present a simple recipe using a fitting function to compute cosmic variance as a function of the angular dimensions of the field, z-bar , Δz, and stellar mass m * . We also provide tabulated values and a software tool. The accuracy of the resulting cosmic variance estimates (δσ v /σ v ) is shown to be better than 20%. We find that for GOODS at z-bar =2 and with Δz = 0.5, the relative cosmic variance of galaxies with m * >10 11 M sun is ∼38%, while it is ∼27% for GEMS and ∼12% for COSMOS. For galaxies of m * ∼ 10 10 M sun , the relative cosmic variance is ∼19% for GOODS, ∼13% for GEMS, and ∼6% for COSMOS. This implies that cosmic variance is a significant source of uncertainty at z-bar =2 for small fields and massive galaxies, while for larger fields and intermediate mass galaxies, cosmic

Asymmetries in conditional mean and variance: Modelling stock returns by asMA-asQGARCH

NARCIS (Netherlands)

Brännäs, K.; de Gooijer, J.G.

2000-01-01

The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the condi- tional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries

Principal components analysis in clinical studies.

Science.gov (United States)

Zhang, Zhongheng; Castelló, Adela

2017-09-01

In multivariate analysis, independent variables are usually correlated to each other which can introduce multicollinearity in the regression models. One approach to solve this problem is to apply principal components analysis (PCA) over these variables. This method uses orthogonal transformation to represent sets of potentially correlated variables with principal components (PC) that are linearly uncorrelated. PCs are ordered so that the first PC has the largest possible variance and only some components are selected to represent the correlated variables. As a result, the dimension of the variable space is reduced. This tutorial illustrates how to perform PCA in R environment, the example is a simulated dataset in which two PCs are responsible for the majority of the variance in the data. Furthermore, the visualization of PCA is highlighted.

Correction for Measurement Error from Genotyping-by-Sequencing in Genomic Variance and Genomic Prediction Models

DEFF Research Database (Denmark)

Ashraf, Bilal; Janss, Luc; Jensen, Just

sample). The GBSeq data can be used directly in genomic models in the form of individual SNP allele-frequency estimates (e.g., reference reads/total reads per polymorphic site per individual), but is subject to measurement error due to the low sequencing depth per individual. Due to technical reasons....... In the current work we show how the correction for measurement error in GBSeq can also be applied in whole genome genomic variance and genomic prediction models. Bayesian whole-genome random regression models are proposed to allow implementation of large-scale SNP-based models with a per-SNP correction...... for measurement error. We show correct retrieval of genomic explained variance, and improved genomic prediction when accounting for the measurement error in GBSeq data...

Static models, recursive estimators and the zero-variance approach

KAUST Repository

Rubino, Gerardo

2016-01-07

When evaluating dependability aspects of complex systems, most models belong to the static world, where time is not an explicit variable. These models suffer from the same problems than dynamic ones (stochastic processes), such as the frequent combinatorial explosion of the state spaces. In the Monte Carlo domain, on of the most significant difficulties is the rare event situation. In this talk, we describe this context and a recent technique that appears to be at the top performance level in the area, where we combined ideas that lead to very fast estimation procedures with another approach called zero-variance approximation. Both ideas produced a very efficient method that has the right theoretical property concerning robustness, the Bounded Relative Error one. Some examples illustrate the results.

Is fMRI “noise” really noise? Resting state nuisance regressors remove variance with network structure

Science.gov (United States)

Bright, Molly G.; Murphy, Kevin

2015-01-01

Noise correction is a critical step towards accurate mapping of resting state BOLD fMRI connectivity. Noise sources related to head motion or physiology are typically modelled by nuisance regressors, and a generalised linear model is applied to regress out the associated signal variance. In this study, we use independent component analysis (ICA) to characterise the data variance typically discarded in this pre-processing stage in a cohort of 12 healthy volunteers. The signal variance removed by 24, 12, 6, or only 3 head motion parameters demonstrated network structure typically associated with functional connectivity, and certain networks were discernable in the variance extracted by as few as 2 physiologic regressors. Simulated nuisance regressors, unrelated to the true data noise, also removed variance with network structure, indicating that any group of regressors that randomly sample variance may remove highly structured “signal” as well as “noise.” Furthermore, to support this we demonstrate that random sampling of the original data variance continues to exhibit robust network structure, even when as few as 10% of the original volumes are considered. Finally, we examine the diminishing returns of increasing the number of nuisance regressors used in pre-processing, showing that excessive use of motion regressors may do little better than chance in removing variance within a functional network. It remains an open challenge to understand the balance between the benefits and confounds of noise correction using nuisance regressors. PMID:25862264

The modified Black-Scholes model via constant elasticity of variance for stock options valuation

Science.gov (United States)

Edeki, S. O.; Owoloko, E. A.; Ugbebor, O. O.

2016-02-01

In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model.

A spatial mean-variance MIP model for energy market risk analysis

International Nuclear Information System (INIS)

Yu, Zuwei

2003-01-01

The paper presents a short-term market risk model based on the Markowitz mean-variance method for spatial electricity markets. The spatial nature is captured using the correlation of geographically separated markets and the consideration of wheeling administration. The model also includes transaction costs and other practical constraints, resulting in a mixed integer programming (MIP) model. The incorporation of those practical constraints makes the model more attractive than the traditional Markowitz portfolio model with continuity. A case study is used to illustrate the practical application of the model. The results show that the MIP portfolio efficient frontier is neither smooth nor concave. The paper also considers the possible extension of the model to other energy markets, including natural gas and oil markets

A spatial mean-variance MIP model for energy market risk analysis

International Nuclear Information System (INIS)

Zuwei Yu

2003-01-01

The paper presents a short-term market risk model based on the Markowitz mean-variance method for spatial electricity markets. The spatial nature is captured using the correlation of geographically separated markets and the consideration of wheeling administration. The model also includes transaction costs and other practical constraints, resulting in a mixed integer programming (MIP) model. The incorporation of those practical constraints makes the model more attractive than the traditional Markowitz portfolio model with continuity. A case study is used to illustrate the practical application of the model. The results show that the MIP portfolio efficient frontier is neither smooth nor concave. The paper also considers the possible extension of the model to other energy markets, including natural gas and oil markets. (author)

A spatial mean-variance MIP model for energy market risk analysis

Energy Technology Data Exchange (ETDEWEB)

Zuwei Yu [Purdue University, West Lafayette, IN (United States). Indiana State Utility Forecasting Group and School of Industrial Engineering

2003-05-01

The paper presents a short-term market risk model based on the Markowitz mean-variance method for spatial electricity markets. The spatial nature is captured using the correlation of geographically separated markets and the consideration of wheeling administration. The model also includes transaction costs and other practical constraints, resulting in a mixed integer programming (MIP) model. The incorporation of those practical constraints makes the model more attractive than the traditional Markowitz portfolio model with continuity. A case study is used to illustrate the practical application of the model. The results show that the MIP portfolio efficient frontier is neither smooth nor concave. The paper also considers the possible extension of the model to other energy markets, including natural gas and oil markets. (author)

A spatial mean-variance MIP model for energy market risk analysis

Energy Technology Data Exchange (ETDEWEB)

Yu, Zuwei [Indiana State Utility Forecasting Group and School of Industrial Engineering, Purdue University, Room 334, 1293 A.A. Potter, West Lafayette, IN 47907 (United States)

2003-05-01

The paper presents a short-term market risk model based on the Markowitz mean-variance method for spatial electricity markets. The spatial nature is captured using the correlation of geographically separated markets and the consideration of wheeling administration. The model also includes transaction costs and other practical constraints, resulting in a mixed integer programming (MIP) model. The incorporation of those practical constraints makes the model more attractive than the traditional Markowitz portfolio model with continuity. A case study is used to illustrate the practical application of the model. The results show that the MIP portfolio efficient frontier is neither smooth nor concave. The paper also considers the possible extension of the model to other energy markets, including natural gas and oil markets.

Modeling heterogeneous (co)variances from adjacent-SNP groups improves genomic prediction for milk protein composition traits

DEFF Research Database (Denmark)

Gebreyesus, Grum; Lund, Mogens Sandø; Buitenhuis, Albert Johannes

2017-01-01

Accurate genomic prediction requires a large reference population, which is problematic for traits that are expensive to measure. Traits related to milk protein composition are not routinely recorded due to costly procedures and are considered to be controlled by a few quantitative trait loci...... of large effect. The amount of variation explained may vary between regions leading to heterogeneous (co)variance patterns across the genome. Genomic prediction models that can efficiently take such heterogeneity of (co)variances into account can result in improved prediction reliability. In this study, we...... developed and implemented novel univariate and bivariate Bayesian prediction models, based on estimates of heterogeneous (co)variances for genome segments (BayesAS). Available data consisted of milk protein composition traits measured on cows and de-regressed proofs of total protein yield derived for bulls...

Portfolio optimization using median-variance approach

Science.gov (United States)

Wan Mohd, Wan Rosanisah; Mohamad, Daud; Mohamed, Zulkifli

2013-04-01

Optimization models have been applied in many decision-making problems particularly in portfolio selection. Since the introduction of Markowitz's theory of portfolio selection, various approaches based on mathematical programming have been introduced such as mean-variance, mean-absolute deviation, mean-variance-skewness and conditional value-at-risk (CVaR) mainly to maximize return and minimize risk. However most of the approaches assume that the distribution of data is normal and this is not generally true. As an alternative, in this paper, we employ the median-variance approach to improve the portfolio optimization. This approach has successfully catered both types of normal and non-normal distribution of data. With this actual representation, we analyze and compare the rate of return and risk between the mean-variance and the median-variance based portfolio which consist of 30 stocks from Bursa Malaysia. The results in this study show that the median-variance approach is capable to produce a lower risk for each return earning as compared to the mean-variance approach.

Constructive Epistemic Modeling: A Hierarchical Bayesian Model Averaging Method

Science.gov (United States)

Tsai, F. T. C.; Elshall, A. S.

2014-12-01

Constructive epistemic modeling is the idea that our understanding of a natural system through a scientific model is a mental construct that continually develops through learning about and from the model. Using the hierarchical Bayesian model averaging (HBMA) method [1], this study shows that segregating different uncertain model components through a BMA tree of posterior model probabilities, model prediction, within-model variance, between-model variance and total model variance serves as a learning tool [2]. First, the BMA tree of posterior model probabilities permits the comparative evaluation of the candidate propositions of each uncertain model component. Second, systemic model dissection is imperative for understanding the individual contribution of each uncertain model component to the model prediction and variance. Third, the hierarchical representation of the between-model variance facilitates the prioritization of the contribution of each uncertain model component to the overall model uncertainty. We illustrate these concepts using the groundwater modeling of a siliciclastic aquifer-fault system. The sources of uncertainty considered are from geological architecture, formation dip, boundary conditions and model parameters. The study shows that the HBMA analysis helps in advancing knowledge about the model rather than forcing the model to fit a particularly understanding or merely averaging several candidate models. [1] Tsai, F. T.-C., and A. S. Elshall (2013), Hierarchical Bayesian model averaging for hydrostratigraphic modeling: Uncertainty segregation and comparative evaluation. Water Resources Research, 49, 5520-5536, doi:10.1002/wrcr.20428. [2] Elshall, A.S., and F. T.-C. Tsai (2014). Constructive epistemic modeling of groundwater flow with geological architecture and boundary condition uncertainty under Bayesian paradigm, Journal of Hydrology, 517, 105-119, doi: 10.1016/j.jhydrol.2014.05.027.

Minimum Variance Portfolios in the Brazilian Equity Market

Directory of Open Access Journals (Sweden)

Alexandre Rubesam

2013-03-01

Full Text Available We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the minimum variance portfolios to those of the following benchmarks: (i the IBOVESPA equity index, (ii an equally-weighted portfolio, (iii the maximum Sharpe ratio portfolio and (iv the maximum growth portfolio. Our results show that the minimum variance portfolio has higher returns with lower risk compared to the benchmarks. We also consider long-short 130/30 minimum variance portfolios and obtain similar results. The minimum variance portfolio invests in relatively few stocks with low βs measured with respect to the IBOVESPA index, being easily replicable by individual and institutional investors alike.

Estimating spatial and temporal components of variation in count data using negative binomial mixed models

Science.gov (United States)

Irwin, Brian J.; Wagner, Tyler; Bence, James R.; Kepler, Megan V.; Liu, Weihai; Hayes, Daniel B.

2013-01-01

Partitioning total variability into its component temporal and spatial sources is a powerful way to better understand time series and elucidate trends. The data available for such analyses of fish and other populations are usually nonnegative integer counts of the number of organisms, often dominated by many low values with few observations of relatively high abundance. These characteristics are not well approximated by the Gaussian distribution. We present a detailed description of a negative binomial mixed-model framework that can be used to model count data and quantify temporal and spatial variability. We applied these models to data from four fishery-independent surveys of Walleyes Sander vitreus across the Great Lakes basin. Specifically, we fitted models to gill-net catches from Wisconsin waters of Lake Superior; Oneida Lake, New York; Saginaw Bay in Lake Huron, Michigan; and Ohio waters of Lake Erie. These long-term monitoring surveys varied in overall sampling intensity, the total catch of Walleyes, and the proportion of zero catches. Parameter estimation included the negative binomial scaling parameter, and we quantified the random effects as the variations among gill-net sampling sites, the variations among sampled years, and site × year interactions. This framework (i.e., the application of a mixed model appropriate for count data in a variance-partitioning context) represents a flexible approach that has implications for monitoring programs (e.g., trend detection) and for examining the potential of individual variance components to serve as response metrics to large-scale anthropogenic perturbations or ecological changes.

Dynamic Mean-Variance Asset Allocation

OpenAIRE

Basak, Suleyman; Chabakauri, Georgy

2009-01-01

Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple structure that also inherits several conventional properties of static models. We also identify a probability measure that incorporates intertemporal hedging demands and facilitates much tractability in ...

A note on minimum-variance theory and beyond

Energy Technology Data Exchange (ETDEWEB)

Feng Jianfeng [Department of Informatics, Sussex University, Brighton, BN1 9QH (United Kingdom); Tartaglia, Giangaetano [Physics Department, Rome University ' La Sapienza' , Rome 00185 (Italy); Tirozzi, Brunello [Physics Department, Rome University ' La Sapienza' , Rome 00185 (Italy)

2004-04-30

We revisit the minimum-variance theory proposed by Harris and Wolpert (1998 Nature 394 780-4), discuss the implications of the theory on modelling the firing patterns of single neurons and analytically find the optimal control signals, trajectories and velocities. Under the rate coding assumption, input control signals employed in the minimum-variance theory should be Fitts processes rather than Poisson processes. Only if information is coded by interspike intervals, Poisson processes are in agreement with the inputs employed in the minimum-variance theory. For the integrate-and-fire model with Fitts process inputs, interspike intervals of efferent spike trains are very irregular. We introduce diffusion approximations to approximate neural models with renewal process inputs and present theoretical results on calculating moments of interspike intervals of the integrate-and-fire model. Results in Feng, et al (2002 J. Phys. A: Math. Gen. 35 7287-304) are generalized. In conclusion, we present a complete picture on the minimum-variance theory ranging from input control signals, to model outputs, and to its implications on modelling firing patterns of single neurons.

A note on minimum-variance theory and beyond

International Nuclear Information System (INIS)

Feng Jianfeng; Tartaglia, Giangaetano; Tirozzi, Brunello

2004-01-01

We revisit the minimum-variance theory proposed by Harris and Wolpert (1998 Nature 394 780-4), discuss the implications of the theory on modelling the firing patterns of single neurons and analytically find the optimal control signals, trajectories and velocities. Under the rate coding assumption, input control signals employed in the minimum-variance theory should be Fitts processes rather than Poisson processes. Only if information is coded by interspike intervals, Poisson processes are in agreement with the inputs employed in the minimum-variance theory. For the integrate-and-fire model with Fitts process inputs, interspike intervals of efferent spike trains are very irregular. We introduce diffusion approximations to approximate neural models with renewal process inputs and present theoretical results on calculating moments of interspike intervals of the integrate-and-fire model. Results in Feng, et al (2002 J. Phys. A: Math. Gen. 35 7287-304) are generalized. In conclusion, we present a complete picture on the minimum-variance theory ranging from input control signals, to model outputs, and to its implications on modelling firing patterns of single neurons

The Efficiency of Split Panel Designs in an Analysis of Variance Model

Science.gov (United States)

Wang, Wei-Guo; Liu, Hai-Jun

2016-01-01

We consider split panel design efficiency in analysis of variance models, that is, the determination of the cross-sections series optimal proportion in all samples, to minimize parametric best linear unbiased estimators of linear combination variances. An orthogonal matrix is constructed to obtain manageable expression of variances. On this basis, we derive a theorem for analyzing split panel design efficiency irrespective of interest and budget parameters. Additionally, relative estimator efficiency based on the split panel to an estimator based on a pure panel or a pure cross-section is present. The analysis shows that the gains from split panel can be quite substantial. We further consider the efficiency of split panel design, given a budget, and transform it to a constrained nonlinear integer programming. Specifically, an efficient algorithm is designed to solve the constrained nonlinear integer programming. Moreover, we combine one at time designs and factorial designs to illustrate the algorithm’s efficiency with an empirical example concerning monthly consumer expenditure on food in 1985, in the Netherlands, and the efficient ranges of the algorithm parameters are given to ensure a good solution. PMID:27163447

Estimation of additive and dominance variance for reproductive traits from different models in Duroc purebred

Directory of Open Access Journals (Sweden)

Talerngsak Angkuraseranee

2010-05-01

Full Text Available The additive and dominance genetic variances of 5,801 Duroc reproductive and growth records were estimated usingBULPF90 PC-PACK. Estimates were obtained for number born alive (NBA, birth weight (BW, number weaned (NW, andweaning weight (WW. Data were analyzed using two mixed model equations. The first model included fixed effects andrandom effects identifying inbreeding depression, additive gene effect and permanent environments effects. The secondmodel was similar to the first model, but included the dominance genotypic effect. Heritability estimates of NBA, BW, NWand WW from the two models were 0.1558/0.1716, 0.1616/0.1737, 0.0372/0.0874 and 0.1584/0.1516 respectively. Proportionsof dominance effect to total phenotypic variance from the dominance model were 0.1024, 0.1625, 0.0470, and 0.1536 for NBA,BW, NW and WW respectively. Dominance effects were found to have sizable influence on the litter size traits analyzed.Therefore, genetic evaluation with the dominance model (Model 2 is found more appropriate than the animal model (Model 1.

On estimation of the noise variance in high-dimensional linear models

OpenAIRE

Golubev, Yuri; Krymova, Ekaterina

2017-01-01

We consider the problem of recovering the unknown noise variance in the linear regression model. To estimate the nuisance (a vector of regression coefficients) we use a family of spectral regularisers of the maximum likelihood estimator. The noise estimation is based on the adaptive normalisation of the squared error. We derive the upper bound for the concentration of the proposed method around the ideal estimator (the case of zero nuisance).

Variance in binary stellar population synthesis

Science.gov (United States)

Breivik, Katelyn; Larson, Shane L.

2016-03-01

In the years preceding LISA, Milky Way compact binary population simulations can be used to inform the science capabilities of the mission. Galactic population simulation efforts generally focus on high fidelity models that require extensive computational power to produce a single simulated population for each model. Each simulated population represents an incomplete sample of the functions governing compact binary evolution, thus introducing variance from one simulation to another. We present a rapid Monte Carlo population simulation technique that can simulate thousands of populations in less than a week, thus allowing a full exploration of the variance associated with a binary stellar evolution model.

A Model-Free No-arbitrage Price Bound for Variance Options

Energy Technology Data Exchange (ETDEWEB)

Bonnans, J. Frederic, E-mail: frederic.bonnans@inria.fr [Ecole Polytechnique, INRIA-Saclay (France); Tan Xiaolu, E-mail: xiaolu.tan@polytechnique.edu [Ecole Polytechnique, CMAP (France)

2013-08-01

We suggest a numerical approximation for an optimization problem, motivated by its applications in finance to find the model-free no-arbitrage bound of variance options given the marginal distributions of the underlying asset. A first approximation restricts the computation to a bounded domain. Then we propose a gradient projection algorithm together with the finite difference scheme to solve the optimization problem. We prove the general convergence, and derive some convergence rate estimates. Finally, we give some numerical examples to test the efficiency of the algorithm.

Multi-objective mean-variance-skewness model for generation portfolio allocation in electricity markets

Energy Technology Data Exchange (ETDEWEB)

Pindoriya, N.M.; Singh, S.N. [Department of Electrical Engineering, Indian Institute of Technology Kanpur, Kanpur 208016 (India); Singh, S.K. [Indian Institute of Management Lucknow, Lucknow 226013 (India)

2010-10-15

This paper proposes an approach for generation portfolio allocation based on mean-variance-skewness (MVS) model which is an extension of the classical mean-variance (MV) portfolio theory, to deal with assets whose return distribution is non-normal. The MVS model allocates portfolios optimally by considering the maximization of both the expected return and skewness of portfolio return while simultaneously minimizing the risk. Since, it is competing and conflicting non-smooth multi-objective optimization problem, this paper employed a multi-objective particle swarm optimization (MOPSO) based meta-heuristic technique to provide Pareto-optimal solution in a single simulation run. Using a case study of the PJM electricity market, the performance of the MVS portfolio theory based method and the classical MV method is compared. It has been found that the MVS portfolio theory based method can provide significantly better portfolios in the situation where non-normally distributed assets exist for trading. (author)

Multi-objective mean-variance-skewness model for generation portfolio allocation in electricity markets

International Nuclear Information System (INIS)

Pindoriya, N.M.; Singh, S.N.; Singh, S.K.

2010-01-01

This paper proposes an approach for generation portfolio allocation based on mean-variance-skewness (MVS) model which is an extension of the classical mean-variance (MV) portfolio theory, to deal with assets whose return distribution is non-normal. The MVS model allocates portfolios optimally by considering the maximization of both the expected return and skewness of portfolio return while simultaneously minimizing the risk. Since, it is competing and conflicting non-smooth multi-objective optimization problem, this paper employed a multi-objective particle swarm optimization (MOPSO) based meta-heuristic technique to provide Pareto-optimal solution in a single simulation run. Using a case study of the PJM electricity market, the performance of the MVS portfolio theory based method and the classical MV method is compared. It has been found that the MVS portfolio theory based method can provide significantly better portfolios in the situation where non-normally distributed assets exist for trading. (author)

Estimating quadratic variation using realized variance

DEFF Research Database (Denmark)

Barndorff-Nielsen, Ole Eiler; Shephard, N.

2002-01-01

with a rather general SV model - which is a special case of the semimartingale model. Then QV is integrated variance and we can derive the asymptotic distribution of the RV and its rate of convergence. These results do not require us to specify a model for either the drift or volatility functions, although we...... have to impose some weak regularity assumptions. We illustrate the use of the limit theory on some exchange rate data and some stock data. We show that even with large values of M the RV is sometimes a quite noisy estimator of integrated variance. Copyright © 2002 John Wiley & Sons, Ltd....

Impact of Damping Uncertainty on SEA Model Response Variance

Science.gov (United States)

Schiller, Noah; Cabell, Randolph; Grosveld, Ferdinand

2010-01-01

Statistical Energy Analysis (SEA) is commonly used to predict high-frequency vibroacoustic levels. This statistical approach provides the mean response over an ensemble of random subsystems that share the same gross system properties such as density, size, and damping. Recently, techniques have been developed to predict the ensemble variance as well as the mean response. However these techniques do not account for uncertainties in the system properties. In the present paper uncertainty in the damping loss factor is propagated through SEA to obtain more realistic prediction bounds that account for both ensemble and damping variance. The analysis is performed on a floor-equipped cylindrical test article that resembles an aircraft fuselage. Realistic bounds on the damping loss factor are determined from measurements acquired on the sidewall of the test article. The analysis demonstrates that uncertainties in damping have the potential to significantly impact the mean and variance of the predicted response.

Revision: Variance Inflation in Regression

Directory of Open Access Journals (Sweden)

D. R. Jensen

2013-01-01

the intercept; and (iv variance deflation may occur, where ill-conditioned data yield smaller variances than their orthogonal surrogates. Conventional VIFs have all regressors linked, or none, often untenable in practice. Beyond these, our models enable the unlinking of regressors that can be unlinked, while preserving dependence among those intrinsically linked. Moreover, known collinearity indices are extended to encompass angles between subspaces of regressors. To reaccess ill-conditioned data, we consider case studies ranging from elementary examples to data from the literature.

Component Reification in Systems Modelling

DEFF Research Database (Denmark)

Bendisposto, Jens; Hallerstede, Stefan

When modelling concurrent or distributed systems in Event-B, we often obtain models where the structure of the connected components is specified by constants. Their behaviour is specified by the non-deterministic choice of event parameters for events that operate on shared variables. From a certain......? These components may still refer to shared variables. Events of these components should not refer to the constants specifying the structure. The non-deterministic choice between these components should not be via parameters. We say the components are reified. We need to address how the reified components get...... reflected into the original model. This reflection should indicate the constraints on how to connect the components....

A Decomposition Algorithm for Mean-Variance Economic Model Predictive Control of Stochastic Linear Systems

DEFF Research Database (Denmark)

Sokoler, Leo Emil; Dammann, Bernd; Madsen, Henrik

2014-01-01

This paper presents a decomposition algorithm for solving the optimal control problem (OCP) that arises in Mean-Variance Economic Model Predictive Control of stochastic linear systems. The algorithm applies the alternating direction method of multipliers to a reformulation of the OCP...

Influence of Family Structure on Variance Decomposition

DEFF Research Database (Denmark)

Edwards, Stefan McKinnon; Sarup, Pernille Merete; Sørensen, Peter

Partitioning genetic variance by sets of randomly sampled genes for complex traits in D. melanogaster and B. taurus, has revealed that population structure can affect variance decomposition. In fruit flies, we found that a high likelihood ratio is correlated with a high proportion of explained ge...... capturing pure noise. Therefore it is necessary to use both criteria, high likelihood ratio in favor of a more complex genetic model and proportion of genetic variance explained, to identify biologically important gene groups...

Genetic Variance in Homophobia: Evidence from Self- and Peer Reports.

Science.gov (United States)

Zapko-Willmes, Alexandra; Kandler, Christian

2018-01-01

The present twin study combined self- and peer assessments of twins' general homophobia targeting gay men in order to replicate previous behavior genetic findings across different rater perspectives and to disentangle self-rater-specific variance from common variance in self- and peer-reported homophobia (i.e., rater-consistent variance). We hypothesized rater-consistent variance in homophobia to be attributable to genetic and nonshared environmental effects, and self-rater-specific variance to be partially accounted for by genetic influences. A sample of 869 twins and 1329 peer raters completed a seven item scale containing cognitive, affective, and discriminatory homophobic tendencies. After correction for age and sex differences, we found most of the genetic contributions (62%) and significant nonshared environmental contributions (16%) to individual differences in self-reports on homophobia to be also reflected in peer-reported homophobia. A significant genetic component, however, was self-report-specific (38%), suggesting that self-assessments alone produce inflated heritability estimates to some degree. Different explanations are discussed.

Factor structure underlying components of allostatic load.

Directory of Open Access Journals (Sweden)

Jeanne M McCaffery

Full Text Available Allostatic load is a commonly used metric of health risk based on the hypothesis that recurrent exposure to environmental demands (e.g., stress engenders a progressive dysregulation of multiple physiological systems. Prominent indicators of response to environmental challenges, such as stress-related hormones, sympatho-vagal balance, or inflammatory cytokines, comprise primary allostatic mediators. Secondary mediators reflect ensuing biological alterations that accumulate over time and confer risk for clinical disease but overlap substantially with a second metric of health risk, the metabolic syndrome. Whether allostatic load mediators covary and thus warrant treatment as a unitary construct remains to be established and, in particular, the relation of allostatic load parameters to the metabolic syndrome requires elucidation. Here, we employ confirmatory factor analysis to test: 1 whether a single common factor underlies variation in physiological systems associated with allostatic load; and 2 whether allostatic load parameters continue to load on a single common factor if a second factor representing the metabolic syndrome is also modeled. Participants were 645 adults from Allegheny County, PA (30-54 years old, 82% non-Hispanic white, 52% female who were free of confounding medications. Model fitting supported a single, second-order factor underlying variance in the allostatic load components available in this study (metabolic, inflammatory and vagal measures. Further, this common factor reflecting covariation among allostatic load components persisted when a latent factor representing metabolic syndrome facets was conjointly modeled. Overall, this study provides novel evidence that the modeled allostatic load components do share common variance as hypothesized. Moreover, the common variance suggests the existence of statistical coherence above and beyond that attributable to the metabolic syndrome.

Variance analysis of forecasted streamflow maxima in a wet temperate climate

Science.gov (United States)

Al Aamery, Nabil; Fox, James F.; Snyder, Mark; Chandramouli, Chandra V.

2018-05-01

Coupling global climate models, hydrologic models and extreme value analysis provides a method to forecast streamflow maxima, however the elusive variance structure of the results hinders confidence in application. Directly correcting the bias of forecasts using the relative change between forecast and control simulations has been shown to marginalize hydrologic uncertainty, reduce model bias, and remove systematic variance when predicting mean monthly and mean annual streamflow, prompting our investigation for maxima streamflow. We assess the variance structure of streamflow maxima using realizations of emission scenario, global climate model type and project phase, downscaling methods, bias correction, extreme value methods, and hydrologic model inputs and parameterization. Results show that the relative change of streamflow maxima was not dependent on systematic variance from the annual maxima versus peak over threshold method applied, albeit we stress that researchers strictly adhere to rules from extreme value theory when applying the peak over threshold method. Regardless of which method is applied, extreme value model fitting does add variance to the projection, and the variance is an increasing function of the return period. Unlike the relative change of mean streamflow, results show that the variance of the maxima's relative change was dependent on all climate model factors tested as well as hydrologic model inputs and calibration. Ensemble projections forecast an increase of streamflow maxima for 2050 with pronounced forecast standard error, including an increase of +30(±21), +38(±34) and +51(±85)% for 2, 20 and 100 year streamflow events for the wet temperate region studied. The variance of maxima projections was dominated by climate model factors and extreme value analyses.

Dominance genetic variance for traits under directional selection in Drosophila serrata.

Science.gov (United States)

Sztepanacz, Jacqueline L; Blows, Mark W

2015-05-01

In contrast to our growing understanding of patterns of additive genetic variance in single- and multi-trait combinations, the relative contribution of nonadditive genetic variance, particularly dominance variance, to multivariate phenotypes is largely unknown. While mechanisms for the evolution of dominance genetic variance have been, and to some degree remain, subject to debate, the pervasiveness of dominance is widely recognized and may play a key role in several evolutionary processes. Theoretical and empirical evidence suggests that the contribution of dominance variance to phenotypic variance may increase with the correlation between a trait and fitness; however, direct tests of this hypothesis are few. Using a multigenerational breeding design in an unmanipulated population of Drosophila serrata, we estimated additive and dominance genetic covariance matrices for multivariate wing-shape phenotypes, together with a comprehensive measure of fitness, to determine whether there is an association between directional selection and dominance variance. Fitness, a trait unequivocally under directional selection, had no detectable additive genetic variance, but significant dominance genetic variance contributing 32% of the phenotypic variance. For single and multivariate morphological traits, however, no relationship was observed between trait-fitness correlations and dominance variance. A similar proportion of additive and dominance variance was found to contribute to phenotypic variance for single traits, and double the amount of additive compared to dominance variance was found for the multivariate trait combination under directional selection. These data suggest that for many fitness components a positive association between directional selection and dominance genetic variance may not be expected. Copyright © 2015 by the Genetics Society of America.

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...

Stable "trait" variance of temperament as a predictor of the temporal course of depression and social phobia.

Science.gov (United States)

Naragon-Gainey, Kristin; Gallagher, Matthew W; Brown, Timothy A

2013-08-01

A large body of research has found robust associations between dimensions of temperament (e.g., neuroticism, extraversion) and the mood and anxiety disorders. However, mood-state distortion (i.e., the tendency for current mood state to bias ratings of temperament) likely confounds these associations, rendering their interpretation and validity unclear. This issue is of particular relevance to clinical populations who experience elevated levels of general distress. The current study used the "trait-state-occasion" latent variable model (D. A. Cole, N. C. Martin, & J. H. Steiger, 2005) to separate the stable components of temperament from transient, situational influences such as current mood state. We examined the predictive power of the time-invariant components of temperament on the course of depression and social phobia in a large, treatment-seeking sample with mood and/or anxiety disorders (N = 826). Participants were assessed 3 times over the course of 1 year, using interview and self-report measures; most participants received treatment during this time. Results indicated that both neuroticism/behavioral inhibition (N/BI) and behavioral activation/positive affect (BA/P) consisted largely of stable, time-invariant variance (57% to 78% of total variance). Furthermore, the time-invariant components of N/BI and BA/P were uniquely and incrementally predictive of change in depression and social phobia, adjusting for initial symptom levels. These results suggest that the removal of state variance bolsters the effect of temperament on psychopathology among clinically distressed individuals. Implications for temperament-psychopathology models, psychopathology assessment, and the stability of traits are discussed. PsycINFO Database Record (c) 2013 APA, all rights reserved.

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

International Nuclear Information System (INIS)

Ankirchner, Stefan; Dermoune, Azzouz

2011-01-01

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

Energy Technology Data Exchange (ETDEWEB)

Ankirchner, Stefan, E-mail: ankirchner@hcm.uni-bonn.de [Rheinische Friedrich-Wilhelms-Universitaet Bonn, Institut fuer Angewandte Mathematik, Hausdorff Center for Mathematics (Germany); Dermoune, Azzouz, E-mail: Azzouz.Dermoune@math.univ-lille1.fr [Universite des Sciences et Technologies de Lille, Laboratoire Paul Painleve UMR CNRS 8524 (France)

2011-08-15

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

Variance-based Salt Body Reconstruction

KAUST Repository

Ovcharenko, Oleg

2017-05-26

Seismic inversions of salt bodies are challenging when updating velocity models based on Born approximation- inspired gradient methods. We propose a variance-based method for velocity model reconstruction in regions complicated by massive salt bodies. The novel idea lies in retrieving useful information from simultaneous updates corresponding to different single frequencies. Instead of the commonly used averaging of single-iteration monofrequency gradients, our algorithm iteratively reconstructs salt bodies in an outer loop based on updates from a set of multiple frequencies after a few iterations of full-waveform inversion. The variance among these updates is used to identify areas where considerable cycle-skipping occurs. In such areas, we update velocities by interpolating maximum velocities within a certain region. The result of several recursive interpolations is later used as a new starting model to improve results of conventional full-waveform inversion. An application on part of the BP 2004 model highlights the evolution of the proposed approach and demonstrates its effectiveness.

Variance swap payoffs, risk premia and extreme market conditions

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco

This paper estimates the Variance Risk Premium (VRP) directly from synthetic variance swap payoffs. Since variance swap payoffs are highly volatile, we extract the VRP by using signal extraction techniques based on a state-space representation of our model in combination with a simple economic....... The latter variables and the VRP generate different return predictability on the major US indices. A factor model is proposed to extract a market VRP which turns out to be priced when considering Fama and French portfolios....

Variance estimation in the analysis of microarray data

KAUST Repository

Wang, Yuedong

2009-04-01

Microarrays are one of the most widely used high throughput technologies. One of the main problems in the area is that conventional estimates of the variances that are required in the t-statistic and other statistics are unreliable owing to the small number of replications. Various methods have been proposed in the literature to overcome this lack of degrees of freedom problem. In this context, it is commonly observed that the variance increases proportionally with the intensity level, which has led many researchers to assume that the variance is a function of the mean. Here we concentrate on estimation of the variance as a function of an unknown mean in two models: the constant coefficient of variation model and the quadratic variance-mean model. Because the means are unknown and estimated with few degrees of freedom, naive methods that use the sample mean in place of the true mean are generally biased because of the errors-in-variables phenomenon. We propose three methods for overcoming this bias. The first two are variations on the theme of the so-called heteroscedastic simulation-extrapolation estimator, modified to estimate the variance function consistently. The third class of estimators is entirely different, being based on semiparametric information calculations. Simulations show the power of our methods and their lack of bias compared with the naive method that ignores the measurement error. The methodology is illustrated by using microarray data from leukaemia patients.

Fundamentals of exploratory analysis of variance

CERN Document Server

Hoaglin, David C; Tukey, John W

2009-01-01

The analysis of variance is presented as an exploratory component of data analysis, while retaining the customary least squares fitting methods. Balanced data layouts are used to reveal key ideas and techniques for exploration. The approach emphasizes both the individual observations and the separate parts that the analysis produces. Most chapters include exercises and the appendices give selected percentage points of the Gaussian, t, F chi-squared and studentized range distributions.

The Genealogical Consequences of Fecundity Variance Polymorphism

Science.gov (United States)

Taylor, Jesse E.

2009-01-01

The genealogical consequences of within-generation fecundity variance polymorphism are studied using coalescent processes structured by genetic backgrounds. I show that these processes have three distinctive features. The first is that the coalescent rates within backgrounds are not jointly proportional to the infinitesimal variance, but instead depend only on the frequencies and traits of genotypes containing each allele. Second, the coalescent processes at unlinked loci are correlated with the genealogy at the selected locus; i.e., fecundity variance polymorphism has a genomewide impact on genealogies. Third, in diploid models, there are infinitely many combinations of fecundity distributions that have the same diffusion approximation but distinct coalescent processes; i.e., in this class of models, ancestral processes and allele frequency dynamics are not in one-to-one correspondence. Similar properties are expected to hold in models that allow for heritable variation in other traits that affect the coalescent effective population size, such as sex ratio or fecundity and survival schedules. PMID:19433628

Estimating the encounter rate variance in distance sampling

Science.gov (United States)

Fewster, R.M.; Buckland, S.T.; Burnham, K.P.; Borchers, D.L.; Jupp, P.E.; Laake, J.L.; Thomas, L.

2009-01-01

The dominant source of variance in line transect sampling is usually the encounter rate variance. Systematic survey designs are often used to reduce the true variability among different realizations of the design, but estimating the variance is difficult and estimators typically approximate the variance by treating the design as a simple random sample of lines. We explore the properties of different encounter rate variance estimators under random and systematic designs. We show that a design-based variance estimator improves upon the model-based estimator of Buckland et al. (2001, Introduction to Distance Sampling. Oxford: Oxford University Press, p. 79) when transects are positioned at random. However, if populations exhibit strong spatial trends, both estimators can have substantial positive bias under systematic designs. We show that poststratification is effective in reducing this bias. ?? 2008, The International Biometric Society.

A more realistic estimate of the variances and systematic errors in spherical harmonic geomagnetic field models

DEFF Research Database (Denmark)

Lowes, F.J.; Olsen, Nils

2004-01-01

Most modern spherical harmonic geomagnetic models based on satellite data include estimates of the variances of the spherical harmonic coefficients of the model; these estimates are based on the geometry of the data and the fitting functions, and on the magnitude of the residuals. However...

GSEVM v.2: MCMC software to analyse genetically structured environmental variance models

DEFF Research Database (Denmark)

Ibáñez-Escriche, N; Garcia, M; Sorensen, D

2010-01-01

This note provides a description of software that allows to fit Bayesian genetically structured variance models using Markov chain Monte Carlo (MCMC). The gsevm v.2 program was written in Fortran 90. The DOS and Unix executable programs, the user's guide, and some example files are freely available...... for research purposes at http://www.bdporc.irta.es/estudis.jsp. The main feature of the program is to compute Monte Carlo estimates of marginal posterior distributions of parameters of interest. The program is quite flexible, allowing the user to fit a variety of linear models at the level of the mean...

An update on modeling dose-response relationships: Accounting for correlated data structure and heterogeneous error variance in linear and nonlinear mixed models.

Science.gov (United States)

Gonçalves, M A D; Bello, N M; Dritz, S S; Tokach, M D; DeRouchey, J M; Woodworth, J C; Goodband, R D

2016-05-01

Advanced methods for dose-response assessments are used to estimate the minimum concentrations of a nutrient that maximizes a given outcome of interest, thereby determining nutritional requirements for optimal performance. Contrary to standard modeling assumptions, experimental data often present a design structure that includes correlations between observations (i.e., blocking, nesting, etc.) as well as heterogeneity of error variances; either can mislead inference if disregarded. Our objective is to demonstrate practical implementation of linear and nonlinear mixed models for dose-response relationships accounting for correlated data structure and heterogeneous error variances. To illustrate, we modeled data from a randomized complete block design study to evaluate the standardized ileal digestible (SID) Trp:Lys ratio dose-response on G:F of nursery pigs. A base linear mixed model was fitted to explore the functional form of G:F relative to Trp:Lys ratios and assess model assumptions. Next, we fitted 3 competing dose-response mixed models to G:F, namely a quadratic polynomial (QP) model, a broken-line linear (BLL) ascending model, and a broken-line quadratic (BLQ) ascending model, all of which included heteroskedastic specifications, as dictated by the base model. The GLIMMIX procedure of SAS (version 9.4) was used to fit the base and QP models and the NLMIXED procedure was used to fit the BLL and BLQ models. We further illustrated the use of a grid search of initial parameter values to facilitate convergence and parameter estimation in nonlinear mixed models. Fit between competing dose-response models was compared using a maximum likelihood-based Bayesian information criterion (BIC). The QP, BLL, and BLQ models fitted on G:F of nursery pigs yielded BIC values of 353.7, 343.4, and 345.2, respectively, thus indicating a better fit of the BLL model. The BLL breakpoint estimate of the SID Trp:Lys ratio was 16.5% (95% confidence interval [16.1, 17.0]). Problems with

Stable “Trait” Variance of Temperament as a Predictor of the Temporal Course of Depression and Social Phobia

Science.gov (United States)

Naragon-Gainey, Kristin; Gallagher, Matthew W.; Brown, Timothy A.

2013-01-01

A large body of research has found robust associations between dimensions of temperament (e.g., neuroticism, extraversion) and the mood and anxiety disorders. However, mood-state distortion (i.e., the tendency for current mood state to bias ratings of temperament) likely confounds these associations, rendering their interpretation and validity unclear. This issue is of particular relevance to clinical populations who experience elevated levels of general distress. The current study used the “trait-state-occasion” latent variable model (Cole, Martin, & Steiger, 2005) to separate the stable components of temperament from transient, situational influences such as current mood state. We examined the predictive power of the time-invariant components of temperament on the course of depression and social phobia in a large, treatment-seeking sample with mood and/or anxiety disorders (N = 826). Participants were assessed three times over the course of one year, using interview and self-report measures; most participants received treatment during this time. Results indicated that both neuroticism/behavioral inhibition (N/BI) and behavioral activation/positive affect (BA/P) consisted largely of stable, time-invariant variance (57% to 78% of total variance). Furthermore, the time-invariant components of N/BI and BA/P were uniquely and incrementally predictive of change in depression and social phobia, adjusting for initial symptom levels. These results suggest that the removal of state variance bolsters the effect of temperament on psychopathology among clinically distressed individuals. Implications for temperament-psychopathology models, psychopathology assessment, and the stability of traits are discussed. PMID:24016004

Regional income inequality model based on theil index decomposition and weighted variance coeficient

Science.gov (United States)

Sitepu, H. R.; Darnius, O.; Tambunan, W. N.

2018-03-01

Regional income inequality is an important issue in the study on economic development of a certain region. Rapid economic development may not in accordance with people’s per capita income. The method of measuring the regional income inequality has been suggested by many experts. This research used Theil index and weighted variance coefficient in order to measure the regional income inequality. Regional income decomposition which becomes the productivity of work force and their participation in regional income inequality, based on Theil index, can be presented in linear relation. When the economic assumption in j sector, sectoral income value, and the rate of work force are used, the work force productivity imbalance can be decomposed to become the component in sectors and in intra-sectors. Next, weighted variation coefficient is defined in the revenue and productivity of the work force. From the quadrate of the weighted variation coefficient result, it was found that decomposition of regional revenue imbalance could be analyzed by finding out how far each component contribute to regional imbalance which, in this research, was analyzed in nine sectors of economic business.

A Mean-Variance Criterion for Economic Model Predictive Control of Stochastic Linear Systems

DEFF Research Database (Denmark)

Sokoler, Leo Emil; Dammann, Bernd; Madsen, Henrik

2014-01-01

, the tractability of the resulting optimal control problem is addressed. We use a power management case study to compare different variations of the mean-variance strategy with EMPC based on the certainty equivalence principle. The certainty equivalence strategy is much more computationally efficient than the mean......-variance strategies, but it does not account for the variance of the uncertain parameters. Openloop simulations suggest that a single-stage mean-variance approach yields a significantly lower operating cost than the certainty equivalence strategy. In closed-loop, the single-stage formulation is overly conservative...... be modified to perform almost as well as the two-stage mean-variance formulation. Nevertheless, we argue that the mean-variance approach can be used both as a strategy for evaluating less computational demanding methods such as the certainty equivalence method, and as an individual control strategy when...

Decomposition of Variance for Spatial Cox Processes.

Science.gov (United States)

Jalilian, Abdollah; Guan, Yongtao; Waagepetersen, Rasmus

2013-03-01

Spatial Cox point processes is a natural framework for quantifying the various sources of variation governing the spatial distribution of rain forest trees. We introduce a general criterion for variance decomposition for spatial Cox processes and apply it to specific Cox process models with additive or log linear random intensity functions. We moreover consider a new and flexible class of pair correlation function models given in terms of normal variance mixture covariance functions. The proposed methodology is applied to point pattern data sets of locations of tropical rain forest trees.

Ant Colony Optimization for Markowitz Mean-Variance Portfolio Model

Science.gov (United States)

Deng, Guang-Feng; Lin, Woo-Tsong

This work presents Ant Colony Optimization (ACO), which was initially developed to be a meta-heuristic for combinatorial optimization, for solving the cardinality constraints Markowitz mean-variance portfolio model (nonlinear mixed quadratic programming problem). To our knowledge, an efficient algorithmic solution for this problem has not been proposed until now. Using heuristic algorithms in this case is imperative. Numerical solutions are obtained for five analyses of weekly price data for the following indices for the period March, 1992 to September, 1997: Hang Seng 31 in Hong Kong, DAX 100 in Germany, FTSE 100 in UK, S&P 100 in USA and Nikkei 225 in Japan. The test results indicate that the ACO is much more robust and effective than Particle swarm optimization (PSO), especially for low-risk investment portfolios.

Component Composition Using Feature Models

DEFF Research Database (Denmark)

Eichberg, Michael; Klose, Karl; Mitschke, Ralf

2010-01-01

interface description languages. If this variability is relevant when selecting a matching component then human interaction is required to decide which components can be bound. We propose to use feature models for making this variability explicit and (re-)enabling automatic component binding. In our...... approach, feature models are one part of service specifications. This enables to declaratively specify which service variant is provided by a component. By referring to a service's variation points, a component that requires a specific service can list the requirements on the desired variant. Using...... these specifications, a component environment can then determine if a binding of the components exists that satisfies all requirements. The prototypical environment Columbus demonstrates the feasibility of the approach....

The influence of mean climate trends and climate variance on beaver survival and recruitment dynamics.

Science.gov (United States)

Campbell, Ruairidh D; Nouvellet, Pierre; Newman, Chris; Macdonald, David W; Rosell, Frank

2012-09-01

Ecologists are increasingly aware of the importance of environmental variability in natural systems. Climate change is affecting both the mean and the variability in weather and, in particular, the effect of changes in variability is poorly understood. Organisms are subject to selection imposed by both the mean and the range of environmental variation experienced by their ancestors. Changes in the variability in a critical environmental factor may therefore have consequences for vital rates and population dynamics. Here, we examine ≥90-year trends in different components of climate (precipitation mean and coefficient of variation (CV); temperature mean, seasonal amplitude and residual variance) and consider the effects of these components on survival and recruitment in a population of Eurasian beavers (n = 242) over 13 recent years. Within climatic data, no trends in precipitation were detected, but trends in all components of temperature were observed, with mean and residual variance increasing and seasonal amplitude decreasing over time. A higher survival rate was linked (in order of influence based on Akaike weights) to lower precipitation CV (kits, juveniles and dominant adults), lower residual variance of temperature (dominant adults) and lower mean precipitation (kits and juveniles). No significant effects were found on the survival of nondominant adults, although the sample size for this category was low. Greater recruitment was linked (in order of influence) to higher seasonal amplitude of temperature, lower mean precipitation, lower residual variance in temperature and higher precipitation CV. Both climate means and variance, thus proved significant to population dynamics; although, overall, components describing variance were more influential than those describing mean values. That environmental variation proves significant to a generalist, wide-ranging species, at the slow end of the slow-fast continuum of life histories, has broad implications for

Computation of mean and variance of the radiotherapy dose for PCA-modeled random shape and position variations of the target.

Science.gov (United States)

Budiarto, E; Keijzer, M; Storchi, P R M; Heemink, A W; Breedveld, S; Heijmen, B J M

2014-01-20

Radiotherapy dose delivery in the tumor and surrounding healthy tissues is affected by movements and deformations of the corresponding organs between fractions. The random variations may be characterized by non-rigid, anisotropic principal component analysis (PCA) modes. In this article new dynamic dose deposition matrices, based on established PCA modes, are introduced as a tool to evaluate the mean and the variance of the dose at each target point resulting from any given set of fluence profiles. The method is tested for a simple cubic geometry and for a prostate case. The movements spread out the distributions of the mean dose and cause the variance of the dose to be highest near the edges of the beams. The non-rigidity and anisotropy of the movements are reflected in both quantities. The dynamic dose deposition matrices facilitate the inclusion of the mean and the variance of the dose in the existing fluence-profile optimizer for radiotherapy planning, to ensure robust plans with respect to the movements.

Computation of mean and variance of the radiotherapy dose for PCA-modeled random shape and position variations of the target

International Nuclear Information System (INIS)

Budiarto, E; Keijzer, M; Heemink, A W; Storchi, P R M; Breedveld, S; Heijmen, B J M

2014-01-01

Radiotherapy dose delivery in the tumor and surrounding healthy tissues is affected by movements and deformations of the corresponding organs between fractions. The random variations may be characterized by non-rigid, anisotropic principal component analysis (PCA) modes. In this article new dynamic dose deposition matrices, based on established PCA modes, are introduced as a tool to evaluate the mean and the variance of the dose at each target point resulting from any given set of fluence profiles. The method is tested for a simple cubic geometry and for a prostate case. The movements spread out the distributions of the mean dose and cause the variance of the dose to be highest near the edges of the beams. The non-rigidity and anisotropy of the movements are reflected in both quantities. The dynamic dose deposition matrices facilitate the inclusion of the mean and the variance of the dose in the existing fluence-profile optimizer for radiotherapy planning, to ensure robust plans with respect to the movements. (paper)

A class of multi-period semi-variance portfolio for petroleum exploration and development

Science.gov (United States)

Guo, Qiulin; Li, Jianzhong; Zou, Caineng; Guo, Yujuan; Yan, Wei

2012-10-01

Variance is substituted by semi-variance in Markowitz's portfolio selection model. For dynamic valuation on exploration and development projects, one period portfolio selection is extended to multi-period. In this article, a class of multi-period semi-variance exploration and development portfolio model is formulated originally. Besides, a hybrid genetic algorithm, which makes use of the position displacement strategy of the particle swarm optimiser as a mutation operation, is applied to solve the multi-period semi-variance model. For this class of portfolio model, numerical results show that the mode is effective and feasible.

Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

OpenAIRE

Ma, Hui-qiang

2014-01-01

We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance effici...

Mixed model with spatial variance-covariance structure for accommodating of local stationary trend and its influence on multi-environmental crop variety trial assessment

Energy Technology Data Exchange (ETDEWEB)

Negash, A. W.; Mwambi, H.; Zewotir, T.; Eweke, G.

2014-06-01

The most common procedure for analyzing multi-environmental trials is based on the assumption that the residual error variance is homogenous across all locations considered. However, this may often be unrealistic, and therefore limit the accuracy of variety evaluation or the reliability of variety recommendations. The objectives of this study were to show the advantages of mixed models with spatial variance-covariance structures, and direct implications of model choice on the inference of varietal performance, ranking and testing based on two multi-environmental data sets from realistic national trials. A model comparison with a {chi}{sup 2}-test for the trials in the two data sets (wheat data set BW00RVTI and barley data set BW01RVII) suggested that selected spatial variance-covariance structures fitted the data significantly better than the ANOVA model. The forms of optimally-fitted spatial variance-covariance, ranking and consistency ratio test were not the same from one trial (location) to the other. Linear mixed models with single stage analysis including spatial variance-covariance structure with a group factor of location on the random model also improved the real estimation of genotype effect and their ranking. The model also improved varietal performance estimation because of its capacity to handle additional sources of variation, location and genotype by location (environment) interaction variation and accommodating of local stationary trend. (Author)

Decomposition of variance in terms of conditional means

Directory of Open Access Journals (Sweden)

Alessandro Figà Talamanca

2013-05-01

Full Text Available Two different sets of data are used to test an apparently new approach to the analysis of the variance of a numerical variable which depends on qualitative variables. We suggest that this approach be used to complement other existing techniques to study the interdependence of the variables involved. According to our method, the variance is expressed as a sum of orthogonal components, obtained as differences of conditional means, with respect to the qualitative characters. The resulting expression for the variance depends on the ordering in which the characters are considered. We suggest an algorithm which leads to an ordering which is deemed natural. The first set of data concerns the score achieved by a population of students on an entrance examination based on a multiple choice test with 30 questions. In this case the qualitative characters are dyadic and correspond to correct or incorrect answer to each question. The second set of data concerns the delay to obtain the degree for a population of graduates of Italian universities. The variance in this case is analyzed with respect to a set of seven specific qualitative characters of the population studied (gender, previous education, working condition, parent's educational level, field of study, etc..

The Tripartite Model of Risk Perception (TRIRISK): Distinguishing Deliberative, Affective, and Experiential Components of Perceived Risk.

Science.gov (United States)

Ferrer, Rebecca A; Klein, William M P; Persoskie, Alexander; Avishai-Yitshak, Aya; Sheeran, Paschal

2016-10-01

Although risk perception is a key predictor in health behavior theories, current conceptions of risk comprise only one (deliberative) or two (deliberative vs. affective/experiential) dimensions. This research tested a tripartite model that distinguishes among deliberative, affective, and experiential components of risk perception. In two studies, and in relation to three common diseases (cancer, heart disease, diabetes), we used confirmatory factor analyses to examine the factor structure of the tripartite risk perception (TRIRISK) model and compared the fit of the TRIRISK model to dual-factor and single-factor models. In a third study, we assessed concurrent validity by examining the impact of cancer diagnosis on (a) levels of deliberative, affective, and experiential risk perception, and (b) the strength of relations among risk components, and tested predictive validity by assessing relations with behavioral intentions to prevent cancer. The tripartite factor structure was supported, producing better model fit across diseases (studies 1 and 2). Inter-correlations among the components were significantly smaller among participants who had been diagnosed with cancer, suggesting that affected populations make finer-grained distinctions among risk perceptions (study 3). Moreover, all three risk perception components predicted unique variance in intentions to engage in preventive behavior (study 3). The TRIRISK model offers both a novel conceptualization of health-related risk perceptions, and new measures that enhance predictive validity beyond that engendered by unidimensional and bidimensional models. The present findings have implications for the ways in which risk perceptions are targeted in health behavior change interventions, health communications, and decision aids.

Forecasting the variance and return of Mexican financial series with symmetric GARCH models

Directory of Open Access Journals (Sweden)

Fátima Irina VILLALBA PADILLA

2013-03-01

Full Text Available The present research shows the application of the generalized autoregresive conditional heteroskedasticity models (GARCH in order to forecast the variance and return of the IPC, the EMBI, the weighted-average government funding rate, the fix exchange rate and the Mexican oil reference, as important tools for investment decisions. Forecasts in-sample and out-of-sample are performed. The covered period involves from 2005 to 2011.

Variance computations for functional of absolute risk estimates.

Science.gov (United States)

Pfeiffer, R M; Petracci, E

2011-07-01

We present a simple influence function based approach to compute the variances of estimates of absolute risk and functions of absolute risk. We apply this approach to criteria that assess the impact of changes in the risk factor distribution on absolute risk for an individual and at the population level. As an illustration we use an absolute risk prediction model for breast cancer that includes modifiable risk factors in addition to standard breast cancer risk factors. Influence function based variance estimates for absolute risk and the criteria are compared to bootstrap variance estimates.

An Analysis of Variance Approach for the Estimation of Response Time Distributions in Tests

Science.gov (United States)

Attali, Yigal

2010-01-01

Generalizability theory and analysis of variance methods are employed, together with the concept of objective time pressure, to estimate response time distributions and the degree of time pressure in timed tests. By estimating response time variance components due to person, item, and their interaction, and fixed effects due to item types and…

Developing a Model Component

Science.gov (United States)

Fields, Christina M.

2013-01-01

The Spaceport Command and Control System (SCCS) Simulation Computer Software Configuration Item (CSCI) is responsible for providing simulations to support test and verification of SCCS hardware and software. The Universal Coolant Transporter System (UCTS) was a Space Shuttle Orbiter support piece of the Ground Servicing Equipment (GSE). The initial purpose of the UCTS was to provide two support services to the Space Shuttle Orbiter immediately after landing at the Shuttle Landing Facility. The UCTS is designed with the capability of servicing future space vehicles; including all Space Station Requirements necessary for the MPLM Modules. The Simulation uses GSE Models to stand in for the actual systems to support testing of SCCS systems during their development. As an intern at Kennedy Space Center (KSC), my assignment was to develop a model component for the UCTS. I was given a fluid component (dryer) to model in Simulink. I completed training for UNIX and Simulink. The dryer is a Catch All replaceable core type filter-dryer. The filter-dryer provides maximum protection for the thermostatic expansion valve and solenoid valve from dirt that may be in the system. The filter-dryer also protects the valves from freezing up. I researched fluid dynamics to understand the function of my component. The filter-dryer was modeled by determining affects it has on the pressure and velocity of the system. I used Bernoulli's Equation to calculate the pressure and velocity differential through the dryer. I created my filter-dryer model in Simulink and wrote the test script to test the component. I completed component testing and captured test data. The finalized model was sent for peer review for any improvements. I participated in Simulation meetings and was involved in the subsystem design process and team collaborations. I gained valuable work experience and insight into a career path as an engineer.

R package MVR for Joint Adaptive Mean-Variance Regularization and Variance Stabilization.

Science.gov (United States)

Dazard, Jean-Eudes; Xu, Hua; Rao, J Sunil

2011-01-01

We present an implementation in the R language for statistical computing of our recent non-parametric joint adaptive mean-variance regularization and variance stabilization procedure. The method is specifically suited for handling difficult problems posed by high-dimensional multivariate datasets ( p ≫ n paradigm), such as in 'omics'-type data, among which are that the variance is often a function of the mean, variable-specific estimators of variances are not reliable, and tests statistics have low powers due to a lack of degrees of freedom. The implementation offers a complete set of features including: (i) normalization and/or variance stabilization function, (ii) computation of mean-variance-regularized t and F statistics, (iii) generation of diverse diagnostic plots, (iv) synthetic and real 'omics' test datasets, (v) computationally efficient implementation, using C interfacing, and an option for parallel computing, (vi) manual and documentation on how to setup a cluster. To make each feature as user-friendly as possible, only one subroutine per functionality is to be handled by the end-user. It is available as an R package, called MVR ('Mean-Variance Regularization'), downloadable from the CRAN.

Validation of consistency of Mendelian sampling variance.

Science.gov (United States)

Tyrisevä, A-M; Fikse, W F; Mäntysaari, E A; Jakobsen, J; Aamand, G P; Dürr, J; Lidauer, M H

2018-03-01

Experiences from international sire evaluation indicate that the multiple-trait across-country evaluation method is sensitive to changes in genetic variance over time. Top bulls from birth year classes with inflated genetic variance will benefit, hampering reliable ranking of bulls. However, none of the methods available today enable countries to validate their national evaluation models for heterogeneity of genetic variance. We describe a new validation method to fill this gap comprising the following steps: estimating within-year genetic variances using Mendelian sampling and its prediction error variance, fitting a weighted linear regression between the estimates and the years under study, identifying possible outliers, and defining a 95% empirical confidence interval for a possible trend in the estimates. We tested the specificity and sensitivity of the proposed validation method with simulated data using a real data structure. Moderate (M) and small (S) size populations were simulated under 3 scenarios: a control with homogeneous variance and 2 scenarios with yearly increases in phenotypic variance of 2 and 10%, respectively. Results showed that the new method was able to estimate genetic variance accurately enough to detect bias in genetic variance. Under the control scenario, the trend in genetic variance was practically zero in setting M. Testing cows with an average birth year class size of more than 43,000 in setting M showed that tolerance values are needed for both the trend and the outlier tests to detect only cases with a practical effect in larger data sets. Regardless of the magnitude (yearly increases in phenotypic variance of 2 or 10%) of the generated trend, it deviated statistically significantly from zero in all data replicates for both cows and bulls in setting M. In setting S with a mean of 27 bulls in a year class, the sampling error and thus the probability of a false-positive result clearly increased. Still, overall estimated genetic

Genetic and environmental variances of bone microarchitecture and bone remodeling markers: a twin study.

Science.gov (United States)

Bjørnerem, Åshild; Bui, Minh; Wang, Xiaofang; Ghasem-Zadeh, Ali; Hopper, John L; Zebaze, Roger; Seeman, Ego

2015-03-01

All genetic and environmental factors contributing to differences in bone structure between individuals mediate their effects through the final common cellular pathway of bone modeling and remodeling. We hypothesized that genetic factors account for most of the population variance of cortical and trabecular microstructure, in particular intracortical porosity and medullary size - void volumes (porosity), which establish the internal bone surface areas or interfaces upon which modeling and remodeling deposit or remove bone to configure bone microarchitecture. Microarchitecture of the distal tibia and distal radius and remodeling markers were measured for 95 monozygotic (MZ) and 66 dizygotic (DZ) white female twin pairs aged 40 to 61 years. Images obtained using high-resolution peripheral quantitative computed tomography were analyzed using StrAx1.0, a nonthreshold-based software that quantifies cortical matrix and porosity. Genetic and environmental components of variance were estimated under the assumptions of the classic twin model. The data were consistent with the proportion of variance accounted for by genetic factors being: 72% to 81% (standard errors ∼18%) for the distal tibial total, cortical, and medullary cross-sectional area (CSA); 67% and 61% for total cortical porosity, before and after adjusting for total CSA, respectively; 51% for trabecular volumetric bone mineral density (vBMD; all p accounted for 47% to 68% of the variance (all p ≤ 0.001). Cross-twin cross-trait correlations between tibial cortical porosity and medullary CSA were higher for MZ (rMZ  = 0.49) than DZ (rDZ  = 0.27) pairs before (p = 0.024), but not after (p = 0.258), adjusting for total CSA. For the remodeling markers, the data were consistent with genetic factors accounting for 55% to 62% of the variance. We infer that middle-aged women differ in their bone microarchitecture and remodeling markers more because of differences in their genetic factors than

Heterogeneidade dos componentes de variância na produção de leite e seus efeitos nas estimativas de herdabilidade e repetibilidade Heterogeneity of variance components in milk production and their effects on estimates of heritability and repeatability

Directory of Open Access Journals (Sweden)

Elmer Francisco Valencia Tapia

2011-06-01

Full Text Available Avaliou-se a heterogeneidade dos componentes de variância e seu efeito nas estimativas de herdabilidade e repetibilidade da produção de leite de bovinos da raça Holandesa. Os rebanhos foram agrupados de acordo com o nível de produção (baixo, médio e alto e avaliados na escala não transformada, raiz quadrada e logarítmica. Os componentes de variância foram estimados pelo método de máxima verossimilhança restrita. O modelo animal incluiu os efeitos fixos de rebanho-ano-estação e das covariáveis duração da lactação (efeito linear e idade da vaca ao parto (efeito linear e quadrático e os efeitos aleatórios genético aditivo direto, de ambiente permanente e residual. Na escala não transformada, todos os componentes de variância foram heterogêneos entre os três níveis de produção. Nesta escala, a variância residual e a fenotípica estavam associadas positivamente com o nível de produção enquanto que na escala logarítmica a associação foi negativa. A heterogeneidade da variância fenotípica e de seus componentes afetou mais as estimativas de herdabilidade que as da repetibilidade. A eficiência do processo de seleção para produção de leite poderá ser afetada pelo nível de produção em que forem estimados os parâmetros genéticos.It was evaluated the heterogeneity of components of phenotypic variance and its effects on the heritability and repeatability estimates for milk yield in Holstein cattle. The herds were grouped according to their level of production (low, medium and high and evaluated in the non-transformed, square-root and logarithmic scale. Variance components were estimated using a restricted maximum likelihood method based on an animal model that included fixed effects of herd-year-season, and as covariates the linear effect of lactation duration and the linear and quadratic effects of cow's age at calving and the random direct additive genetic, permanent environment and residual effects. In the

A versatile omnibus test for detecting mean and variance heterogeneity.

Science.gov (United States)

Cao, Ying; Wei, Peng; Bailey, Matthew; Kauwe, John S K; Maxwell, Taylor J

2014-01-01

Recent research has revealed loci that display variance heterogeneity through various means such as biological disruption, linkage disequilibrium (LD), gene-by-gene (G × G), or gene-by-environment interaction. We propose a versatile likelihood ratio test that allows joint testing for mean and variance heterogeneity (LRT(MV)) or either effect alone (LRT(M) or LRT(V)) in the presence of covariates. Using extensive simulations for our method and others, we found that all parametric tests were sensitive to nonnormality regardless of any trait transformations. Coupling our test with the parametric bootstrap solves this issue. Using simulations and empirical data from a known mean-only functional variant, we demonstrate how LD can produce variance-heterogeneity loci (vQTL) in a predictable fashion based on differential allele frequencies, high D', and relatively low r² values. We propose that a joint test for mean and variance heterogeneity is more powerful than a variance-only test for detecting vQTL. This takes advantage of loci that also have mean effects without sacrificing much power to detect variance only effects. We discuss using vQTL as an approach to detect G × G interactions and also how vQTL are related to relationship loci, and how both can create prior hypothesis for each other and reveal the relationships between traits and possibly between components of a composite trait.

Genotypic-specific variance in Caenorhabditis elegans lifetime fecundity.

Science.gov (United States)

Diaz, S Anaid; Viney, Mark

2014-06-01

Organisms live in heterogeneous environments, so strategies that maximze fitness in such environments will evolve. Variation in traits is important because it is the raw material on which natural selection acts during evolution. Phenotypic variation is usually thought to be due to genetic variation and/or environmentally induced effects. Therefore, genetically identical individuals in a constant environment should have invariant traits. Clearly, genetically identical individuals do differ phenotypically, usually thought to be due to stochastic processes. It is now becoming clear, especially from studies of unicellular species, that phenotypic variance among genetically identical individuals in a constant environment can be genetically controlled and that therefore, in principle, this can be subject to selection. However, there has been little investigation of these phenomena in multicellular species. Here, we have studied the mean lifetime fecundity (thus a trait likely to be relevant to reproductive success), and variance in lifetime fecundity, in recently-wild isolates of the model nematode Caenorhabditis elegans. We found that these genotypes differed in their variance in lifetime fecundity: some had high variance in fecundity, others very low variance. We find that this variance in lifetime fecundity was negatively related to the mean lifetime fecundity of the lines, and that the variance of the lines was positively correlated between environments. We suggest that the variance in lifetime fecundity may be a bet-hedging strategy used by this species.

Estimation of measurement variances

International Nuclear Information System (INIS)

Anon.

1981-01-01

In the previous two sessions, it was assumed that the measurement error variances were known quantities when the variances of the safeguards indices were calculated. These known quantities are actually estimates based on historical data and on data generated by the measurement program. Session 34 discusses how measurement error parameters are estimated for different situations. The various error types are considered. The purpose of the session is to enable participants to: (1) estimate systematic error variances from standard data; (2) estimate random error variances from data as replicate measurement data; (3) perform a simple analysis of variances to characterize the measurement error structure when biases vary over time

A mean–variance objective for robust production optimization in uncertain geological scenarios

DEFF Research Database (Denmark)

Capolei, Andrea; Suwartadi, Eka; Foss, Bjarne

2014-01-01

directly. In the mean–variance bi-criterion objective function risk appears directly, it also considers an ensemble of reservoir models, and has robust optimization as a special extreme case. The mean–variance objective is common for portfolio optimization problems in finance. The Markowitz portfolio...... optimization problem is the original and simplest example of a mean–variance criterion for mitigating risk. Risk is mitigated in oil production by including both the expected NPV (mean of NPV) and the risk (variance of NPV) for the ensemble of possible reservoir models. With the inclusion of the risk...

Generalized structured component analysis a component-based approach to structural equation modeling

CERN Document Server

Hwang, Heungsun

2014-01-01

Winner of the 2015 Sugiyama Meiko Award (Publication Award) of the Behaviormetric Society of Japan Developed by the authors, generalized structured component analysis is an alternative to two longstanding approaches to structural equation modeling: covariance structure analysis and partial least squares path modeling. Generalized structured component analysis allows researchers to evaluate the adequacy of a model as a whole, compare a model to alternative specifications, and conduct complex analyses in a straightforward manner. Generalized Structured Component Analysis: A Component-Based Approach to Structural Equation Modeling provides a detailed account of this novel statistical methodology and its various extensions. The authors present the theoretical underpinnings of generalized structured component analysis and demonstrate how it can be applied to various empirical examples. The book enables quantitative methodologists, applied researchers, and practitioners to grasp the basic concepts behind this new a...

Capturing option anomalies with a variance-dependent pricing kernel

NARCIS (Netherlands)

Christoffersen, P.; Heston, S.; Jacobs, K.

2013-01-01

We develop a GARCH option model with a variance premium by combining the Heston-Nandi (2000) dynamic with a new pricing kernel that nests Rubinstein (1976) and Brennan (1979). While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is

Variance-in-Mean Effects of the Long Forward-Rate Slope

DEFF Research Database (Denmark)

Christiansen, Charlotte

2005-01-01

This paper contains an empirical analysis of the dependence of the long forward-rate slope on the long-rate variance. The long forward-rate slope and the long rate are described by a bivariate GARCH-in-mean model. In accordance with theory, a negative long-rate variance-in-mean effect for the long...... forward-rate slope is documented. Thus, the greater the long-rate variance, the steeper the long forward-rate curve slopes downward (the long forward-rate slope is negative). The variance-in-mean effect is both statistically and economically significant....

Mean-variance analysis of block-iterative reconstruction algorithms modeling 3D detector response in SPECT

Science.gov (United States)

Lalush, D. S.; Tsui, B. M. W.

1998-06-01

We study the statistical convergence properties of two fast iterative reconstruction algorithms, the rescaled block-iterative (RBI) and ordered subset (OS) EM algorithms, in the context of cardiac SPECT with 3D detector response modeling. The Monte Carlo method was used to generate nearly noise-free projection data modeling the effects of attenuation, detector response, and scatter from the MCAT phantom. One thousand noise realizations were generated with an average count level approximating a typical T1-201 cardiac study. Each noise realization was reconstructed using the RBI and OS algorithms for cases with and without detector response modeling. For each iteration up to twenty, we generated mean and variance images, as well as covariance images for six specific locations. Both OS and RBI converged in the mean to results that were close to the noise-free ML-EM result using the same projection model. When detector response was not modeled in the reconstruction, RBI exhibited considerably lower noise variance than OS for the same resolution. When 3D detector response was modeled, the RBI-EM provided a small improvement in the tradeoff between noise level and resolution recovery, primarily in the axial direction, while OS required about half the number of iterations of RBI to reach the same resolution. We conclude that OS is faster than RBI, but may be sensitive to errors in the projection model. Both OS-EM and RBI-EM are effective alternatives to the EVIL-EM algorithm, but noise level and speed of convergence depend on the projection model used.

On the Endogeneity of the Mean-Variance Efficient Frontier.

Science.gov (United States)

Somerville, R. A.; O'Connell, Paul G. J.

2002-01-01

Explains that the endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in portfolio selection literature and in widely used textbooks. Demonstrates endogeneity and discusses the impact of parameter changes on the mean-variance efficient frontier and on the beta coefficients of individual…

Towards the ultimate variance-conserving convection scheme

International Nuclear Information System (INIS)

Os, J.J.A.M. van; Uittenbogaard, R.E.

2004-01-01

In the past various arguments have been used for applying kinetic energy-conserving advection schemes in numerical simulations of incompressible fluid flows. One argument is obeying the programmed dissipation by viscous stresses or by sub-grid stresses in Direct Numerical Simulation and Large Eddy Simulation, see e.g. [Phys. Fluids A 3 (7) (1991) 1766]. Another argument is that, according to e.g. [J. Comput. Phys. 6 (1970) 392; 1 (1966) 119], energy-conserving convection schemes are more stable i.e. by prohibiting a spurious blow-up of volume-integrated energy in a closed volume without external energy sources. In the above-mentioned references it is stated that nonlinear instability is due to spatial truncation rather than to time truncation and therefore these papers are mainly concerned with the spatial integration. In this paper we demonstrate that discretized temporal integration of a spatially variance-conserving convection scheme can induce non-energy conserving solutions. In this paper the conservation of the variance of a scalar property is taken as a simple model for the conservation of kinetic energy. In addition, the derivation and testing of a variance-conserving scheme allows for a clear definition of kinetic energy-conserving advection schemes for solving the Navier-Stokes equations. Consequently, we first derive and test a strictly variance-conserving space-time discretization for the convection term in the convection-diffusion equation. Our starting point is the variance-conserving spatial discretization of the convection operator presented by Piacsek and Williams [J. Comput. Phys. 6 (1970) 392]. In terms of its conservation properties, our variance-conserving scheme is compared to other spatially variance-conserving schemes as well as with the non-variance-conserving schemes applied in our shallow-water solver, see e.g. [Direct and Large-eddy Simulation Workshop IV, ERCOFTAC Series, Kluwer Academic Publishers, 2001, pp. 409-287

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

International Nuclear Information System (INIS)

Zhou, X.Y.; Li, D.

2000-01-01

This paper is concerned with a continuous-time mean-variance portfolio selection model that is formulated as a bicriteria optimization problem. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. By putting weights on the two criteria one obtains a single objective stochastic control problem which is however not in the standard form due to the variance term involved. It is shown that this nonstandard problem can be 'embedded' into a class of auxiliary stochastic linear-quadratic (LQ) problems. The stochastic LQ control model proves to be an appropriate and effective framework to study the mean-variance problem in light of the recent development on general stochastic LQ problems with indefinite control weighting matrices. This gives rise to the efficient frontier in a closed form for the original portfolio selection problem

Genetic Variance Partitioning and Genome-Wide Prediction with Allele Dosage Information in Autotetraploid Potato.

Science.gov (United States)

Endelman, Jeffrey B; Carley, Cari A Schmitz; Bethke, Paul C; Coombs, Joseph J; Clough, Mark E; da Silva, Washington L; De Jong, Walter S; Douches, David S; Frederick, Curtis M; Haynes, Kathleen G; Holm, David G; Miller, J Creighton; Muñoz, Patricio R; Navarro, Felix M; Novy, Richard G; Palta, Jiwan P; Porter, Gregory A; Rak, Kyle T; Sathuvalli, Vidyasagar R; Thompson, Asunta L; Yencho, G Craig

2018-05-01

As one of the world's most important food crops, the potato ( Solanum tuberosum L.) has spurred innovation in autotetraploid genetics, including in the use of SNP arrays to determine allele dosage at thousands of markers. By combining genotype and pedigree information with phenotype data for economically important traits, the objectives of this study were to (1) partition the genetic variance into additive vs. nonadditive components, and (2) determine the accuracy of genome-wide prediction. Between 2012 and 2017, a training population of 571 clones was evaluated for total yield, specific gravity, and chip fry color. Genomic covariance matrices for additive ( G ), digenic dominant ( D ), and additive × additive epistatic ( G # G ) effects were calculated using 3895 markers, and the numerator relationship matrix ( A ) was calculated from a 13-generation pedigree. Based on model fit and prediction accuracy, mixed model analysis with G was superior to A for yield and fry color but not specific gravity. The amount of additive genetic variance captured by markers was 20% of the total genetic variance for specific gravity, compared to 45% for yield and fry color. Within the training population, including nonadditive effects improved accuracy and/or bias for all three traits when predicting total genotypic value. When six F 1 populations were used for validation, prediction accuracy ranged from 0.06 to 0.63 and was consistently lower (0.13 on average) without allele dosage information. We conclude that genome-wide prediction is feasible in potato and that it will improve selection for breeding value given the substantial amount of nonadditive genetic variance in elite germplasm. Copyright © 2018 by the Genetics Society of America.

Estimates of variance components for postweaning feed intake and ...

African Journals Online (AJOL)

Feed efficiency is of major economic importance in beef production. The objective of this work was to evaluate alternative measures of feed efficiency for use in genetic evaluation. To meet this objective, genetic parameters were estimated for the components of efficiency. These parameters were then used in multiple-trait ...

Statistical Tests for Mixed Linear Models

CERN Document Server

Khuri, André I; Sinha, Bimal K

2011-01-01

An advanced discussion of linear models with mixed or random effects. In recent years a breakthrough has occurred in our ability to draw inferences from exact and optimum tests of variance component models, generating much research activity that relies on linear models with mixed and random effects. This volume covers the most important research of the past decade as well as the latest developments in hypothesis testing. It compiles all currently available results in the area of exact and optimum tests for variance component models and offers the only comprehensive treatment for these models a

The Impact of Jump Distributions on the Implied Volatility of Variance

DEFF Research Database (Denmark)

Nicolato, Elisa; Pisani, Camilla; Pedersen, David Sloth

2017-01-01

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by augmenting it with jumps in the instantaneous variance process. In this framework, we consider both realized variance options and VIX options, and we examine the impact of the distribution...... of jumps on the associated implied volatility smile. We provide sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In particular, by selecting alternative jump distributions, we show that one can obtain fundamentally different shapes...

Stochastic Modeling Of Wind Turbine Drivetrain Components

DEFF Research Database (Denmark)

Rafsanjani, Hesam Mirzaei; Sørensen, John Dalsgaard

2014-01-01

reliable components are needed for wind turbine. In this paper focus is on reliability of critical components in drivetrain such as bearings and shafts. High failure rates of these components imply a need for more reliable components. To estimate the reliability of these components, stochastic models...... are needed for initial defects and damage accumulation. In this paper, stochastic models are formulated considering some of the failure modes observed in these components. The models are based on theoretical considerations, manufacturing uncertainties, size effects of different scales. It is illustrated how...

MCNP variance reduction overview

International Nuclear Information System (INIS)

Hendricks, J.S.; Booth, T.E.

1985-01-01

The MCNP code is rich in variance reduction features. Standard variance reduction methods found in most Monte Carlo codes are available as well as a number of methods unique to MCNP. We discuss the variance reduction features presently in MCNP as well as new ones under study for possible inclusion in future versions of the code

Studying Variance in the Galactic Ultra-compact Binary Population

Science.gov (United States)

Larson, Shane; Breivik, Katelyn

2017-01-01

In the years preceding LISA, Milky Way compact binary population simulations can be used to inform the science capabilities of the mission. Galactic population simulation efforts generally focus on high fidelity models that require extensive computational power to produce a single simulated population for each model. Each simulated population represents an incomplete sample of the functions governing compact binary evolution, thus introducing variance from one simulation to another. We present a rapid Monte Carlo population simulation technique that can simulate thousands of populations on week-long timescales, thus allowing a full exploration of the variance associated with a binary stellar evolution model.

Spectral Ambiguity of Allan Variance

Science.gov (United States)

Greenhall, C. A.

1996-01-01

We study the extent to which knowledge of Allan variance and other finite-difference variances determines the spectrum of a random process. The variance of first differences is known to determine the spectrum. We show that, in general, the Allan variance does not. A complete description of the ambiguity is given.

Components in models of learning: Different operationalisations and relations between components

Directory of Open Access Journals (Sweden)

Mirkov Snežana

2013-01-01

Full Text Available This paper provides the presentation of different operationalisations of components in different models of learning. Special emphasis is on the empirical verifications of relations between components. Starting from the research of congruence between learning motives and strategies, underlying the general model of school learning that comprises different approaches to learning, we have analyzed the empirical verifications of factor structure of instruments containing the scales of motives and learning strategies corresponding to these motives. Considering the problems in the conceptualization of the achievement approach to learning, we have discussed the ways of operational sing the goal orientations and exploring their role in using learning strategies, especially within the model of the regulation of constructive learning processes. This model has served as the basis for researching learning styles that are the combination of a large number of components. Complex relations between the components point to the need for further investigation of the constructs involved in various models. We have discussed the findings and implications of the studies of relations between the components involved in different models, especially between learning motives/goals and learning strategies. We have analyzed the role of regulation in the learning process, whose elaboration, as indicated by empirical findings, can contribute to a more precise operationalisation of certain learning components. [Projekat Ministarstva nauke Republike Srbije, br. 47008: Unapređivanje kvaliteta i dostupnosti obrazovanja u procesima modernizacije Srbije i br. 179034: Od podsticanja inicijative, saradnje i stvaralaštva u obrazovanju do novih uloga i identiteta u društvu

Variance decomposition shows the importance of human-climate feedbacks in the Earth system

Science.gov (United States)

Calvin, K. V.; Bond-Lamberty, B. P.; Jones, A. D.; Shi, X.; Di Vittorio, A. V.; Thornton, P. E.

2017-12-01

The human and Earth systems are intricately linked: climate influences agricultural production, renewable energy potential, and water availability, for example, while anthropogenic emissions from industry and land use change alter temperature and precipitation. Such feedbacks have the potential to significantly alter future climate change. Current climate change projections contain significant uncertainties, however, and because Earth System Models do not generally include dynamic human (demography, economy, energy, water, land use) components, little is known about how climate feedbacks contribute to that uncertainty. Here we use variance decomposition of a novel coupled human-earth system model to show that the influence of human-climate feedbacks can be as large as 17% of the total variance in the near term for global mean temperature rise, and 11% in the long term for cropland area. The near-term contribution of energy and land use feedbacks to the climate on global mean temperature rise is as large as that from model internal variability, a factor typically considered in modeling studies. Conversely, the contribution of climate feedbacks to cropland extent, while non-negligible, is less than that from socioeconomics, policy, or model. Previous assessments have largely excluded these feedbacks, with the climate community focusing on uncertainty due to internal variability, scenario, and model and the integrated assessment community focusing on uncertainty due to socioeconomics, technology, policy, and model. Our results set the stage for a new generation of models and hypothesis testing to determine when and how bidirectional feedbacks between human and Earth systems should be considered in future assessments of climate change.

A Visual Model for the Variance and Standard Deviation

Science.gov (United States)

Orris, J. B.

2011-01-01

This paper shows how the variance and standard deviation can be represented graphically by looking at each squared deviation as a graphical object--in particular, as a square. A series of displays show how the standard deviation is the size of the average square.

Variance estimates for transport in stochastic media by means of the master equation

International Nuclear Information System (INIS)

Pautz, S. D.; Franke, B. C.; Prinja, A. K.

2013-01-01

The master equation has been used to examine properties of transport in stochastic media. It has been shown previously that not only may the Levermore-Pomraning (LP) model be derived from the master equation for a description of ensemble-averaged transport quantities, but also that equations describing higher-order statistical moments may be obtained. We examine in greater detail the equations governing the second moments of the distribution of the angular fluxes, from which variances may be computed. We introduce a simple closure for these equations, as well as several models for estimating the variances of derived transport quantities. We revisit previous benchmarks for transport in stochastic media in order to examine the error of these new variance models. We find, not surprisingly, that the errors in these variance estimates are at least as large as the corresponding estimates of the average, and sometimes much larger. We also identify patterns in these variance estimates that may help guide the construction of more accurate models. (authors)

An entropy approach to size and variance heterogeneity

NARCIS (Netherlands)

Balasubramanyan, L.; Stefanou, S.E.; Stokes, J.R.

2012-01-01

In this paper, we investigate the effect of bank size differences on cost efficiency heterogeneity using a heteroskedastic stochastic frontier model. This model is implemented by using an information theoretic maximum entropy approach. We explicitly model both bank size and variance heterogeneity

Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method

Directory of Open Access Journals (Sweden)

Younes Elahi

2014-01-01

Full Text Available We propose a new approach to optimizing portfolios to mean-variance-CVaR (MVC model. Although of several researches have studied the optimal MVC model of portfolio, the linear weighted sum method (LWSM was not implemented in the area. The aim of this paper is to investigate the optimal portfolio model based on MVC via LWSM. With this method, the solution of the MVC model of portfolio as the multiobjective problem is presented. In data analysis section, this approach in investing on two assets is investigated. An MVC model of the multiportfolio was implemented in MATLAB and tested on the presented problem. It is shown that, by using three objective functions, it helps the investors to manage their portfolio better and thereby minimize the risk and maximize the return of the portfolio. The main goal of this study is to modify the current models and simplify it by using LWSM to obtain better results.

An Efficient Data Compression Model Based on Spatial Clustering and Principal Component Analysis in Wireless Sensor Networks

Directory of Open Access Journals (Sweden)

Yihang Yin

2015-08-01

Full Text Available Wireless sensor networks (WSNs have been widely used to monitor the environment, and sensors in WSNs are usually power constrained. Because inner-node communication consumes most of the power, efficient data compression schemes are needed to reduce the data transmission to prolong the lifetime of WSNs. In this paper, we propose an efficient data compression model to aggregate data, which is based on spatial clustering and principal component analysis (PCA. First, sensors with a strong temporal-spatial correlation are grouped into one cluster for further processing with a novel similarity measure metric. Next, sensor data in one cluster are aggregated in the cluster head sensor node, and an efficient adaptive strategy is proposed for the selection of the cluster head to conserve energy. Finally, the proposed model applies principal component analysis with an error bound guarantee to compress the data and retain the definite variance at the same time. Computer simulations show that the proposed model can greatly reduce communication and obtain a lower mean square error than other PCA-based algorithms.

An Efficient Data Compression Model Based on Spatial Clustering and Principal Component Analysis in Wireless Sensor Networks.

Science.gov (United States)

Yin, Yihang; Liu, Fengzheng; Zhou, Xiang; Li, Quanzhong

2015-08-07

Wireless sensor networks (WSNs) have been widely used to monitor the environment, and sensors in WSNs are usually power constrained. Because inner-node communication consumes most of the power, efficient data compression schemes are needed to reduce the data transmission to prolong the lifetime of WSNs. In this paper, we propose an efficient data compression model to aggregate data, which is based on spatial clustering and principal component analysis (PCA). First, sensors with a strong temporal-spatial correlation are grouped into one cluster for further processing with a novel similarity measure metric. Next, sensor data in one cluster are aggregated in the cluster head sensor node, and an efficient adaptive strategy is proposed for the selection of the cluster head to conserve energy. Finally, the proposed model applies principal component analysis with an error bound guarantee to compress the data and retain the definite variance at the same time. Computer simulations show that the proposed model can greatly reduce communication and obtain a lower mean square error than other PCA-based algorithms.

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

DEFF Research Database (Denmark)

Christoffersen, Peter; Heston, Steven; Jacobs, Kris

2013-01-01

We develop a GARCH option model with a new pricing kernel allowing for a variance premium. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it U shaped. We present new semiparametric...... evidence to confirm this U-shaped relationship between the risk-neutral and physical probability densities. The new pricing kernel substantially improves our ability to reconcile the time-series properties of stock returns with the cross-section of option prices. It provides a unified explanation...... for the implied volatility puzzle, the overreaction of long-term options to changes in short-term variance, and the fat tails of the risk-neutral return distribution relative to the physical distribution....

Isolating Trait and Method Variance in the Measurement of Callous and Unemotional Traits.

Science.gov (United States)

Paiva-Salisbury, Melissa L; Gill, Andrew D; Stickle, Timothy R

2017-09-01

To examine hypothesized influence of method variance from negatively keyed items in measurement of callous-unemotional (CU) traits, nine a priori confirmatory factor analysis model comparisons of the Inventory of Callous-Unemotional Traits were evaluated on multiple fit indices and theoretical coherence. Tested models included a unidimensional model, a three-factor model, a three-bifactor model, an item response theory-shortened model, two item-parceled models, and three correlated trait-correlated method minus one models (unidimensional, correlated three-factor, and bifactor). Data were self-reports of 234 adolescents (191 juvenile offenders, 43 high school students; 63% male; ages 11-17 years). Consistent with hypotheses, models accounting for method variance substantially improved fit to the data. Additionally, bifactor models with a general CU factor better fit the data compared with correlated factor models, suggesting a general CU factor is important to understanding the construct of CU traits. Future Inventory of Callous-Unemotional Traits analyses should account for method variance from item keying and response bias to isolate trait variance.

On Mean-Variance Hedging of Bond Options with Stochastic Risk Premium Factor

NARCIS (Netherlands)

Aihara, ShinIchi; Bagchi, Arunabha; Kumar, Suresh K.

2014-01-01

We consider the mean-variance hedging problem for pricing bond options using the yield curve as the observation. The model considered contains infinite-dimensional noise sources with the stochastically- varying risk premium. Hence our model is incomplete. We consider mean-variance hedging under the

Modeling the degradation of nuclear components

International Nuclear Information System (INIS)

Stock, D.; Samanta, P.; Vesely, W.

1993-01-01

This paper describes component level reliability models that use information on degradation to predict component reliability, and which have been used to evaluate different maintenance and testing policies. The models are based on continuous time Markov processes, and are a generalization of reliability models currently used in Probabilistic Risk Assessment. An explanation of the models, the model parameters, and an example of how these models can be used to evaluate maintenance policies are discussed

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 ...

Low Variance Couplings for Stochastic Models of Intracellular Processes with Time-Dependent Rate Functions.

Science.gov (United States)

Anderson, David F; Yuan, Chaojie

2018-04-18

A number of coupling strategies are presented for stochastically modeled biochemical processes with time-dependent parameters. In particular, the stacked coupling is introduced and is shown via a number of examples to provide an exceptionally low variance between the generated paths. This coupling will be useful in the numerical computation of parametric sensitivities and the fast estimation of expectations via multilevel Monte Carlo methods. We provide the requisite estimators in both cases.

A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management

Directory of Open Access Journals (Sweden)

Hui-qiang Ma

2015-01-01

Full Text Available We consider a continuous-time mean-variance asset-liability management problem in a market with random market parameters; that is, interest rate, appreciation rates, and volatility rates are considered to be stochastic processes. By using the theories of stochastic linear-quadratic (LQ optimal control and backward stochastic differential equations (BSDEs, we tackle this problem and derive optimal investment strategies as well as the mean-variance efficient frontier analytically in terms of the solution of BSDEs. We find that the efficient frontier is still a parabola in a market with random parameters. Comparing with the existing results, we also find that the liability does not affect the feasibility of the mean-variance portfolio selection problem. However, in an incomplete market with random parameters, the liability can not be fully hedged.

Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

Directory of Open Access Journals (Sweden)

Hui-qiang Ma

2014-01-01

Full Text Available We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance efficient frontier analytically. The results show that the mean-variance efficient frontier is still a parabola in the mean-variance plane, and the optimal strategies depend not only on the total wealth but also on the stock price. Moreover, some numerical examples are given to analyze the sensitivity of the efficient frontier with respect to the elasticity parameter and to illustrate the results presented in this paper. The numerical results show that the price of risk decreases as the elasticity coefficient increases.

Variance in parametric images: direct estimation from parametric projections

International Nuclear Information System (INIS)

Maguire, R.P.; Leenders, K.L.; Spyrou, N.M.

2000-01-01

Recent work has shown that it is possible to apply linear kinetic models to dynamic projection data in PET in order to calculate parameter projections. These can subsequently be back-projected to form parametric images - maps of parameters of physiological interest. Critical to the application of these maps, to test for significant changes between normal and pathophysiology, is an assessment of the statistical uncertainty. In this context, parametric images also include simple integral images from, e.g., [O-15]-water used to calculate statistical parametric maps (SPMs). This paper revisits the concept of parameter projections and presents a more general formulation of the parameter projection derivation as well as a method to estimate parameter variance in projection space, showing which analysis methods (models) can be used. Using simulated pharmacokinetic image data we show that a method based on an analysis in projection space inherently calculates the mathematically rigorous pixel variance. This results in an estimation which is as accurate as either estimating variance in image space during model fitting, or estimation by comparison across sets of parametric images - as might be done between individuals in a group pharmacokinetic PET study. The method based on projections has, however, a higher computational efficiency, and is also shown to be more precise, as reflected in smooth variance distribution images when compared to the other methods. (author)

The influence of SO4 and NO3 to the acidity (pH) of rainwater using minimum variance quadratic unbiased estimation (MIVQUE) and maximum likelihood methods

Science.gov (United States)

Dilla, Shintia Ulfa; Andriyana, Yudhie; Sudartianto

2017-03-01

Acid rain causes many bad effects in life. It is formed by two strong acids, sulfuric acid (H2SO4) and nitric acid (HNO3), where sulfuric acid is derived from SO2 and nitric acid from NOx {x=1,2}. The purpose of the research is to find out the influence of So4 and NO3 levels contained in the rain to the acidity (pH) of rainwater. The data are incomplete panel data with two-way error component model. The panel data is a collection of some of the observations that observed from time to time. It is said incomplete if each individual has a different amount of observation. The model used in this research is in the form of random effects model (REM). Minimum variance quadratic unbiased estimation (MIVQUE) is used to estimate the variance error components, while maximum likelihood estimation is used to estimate the parameters. As a result, we obtain the following model: Ŷ* = 0.41276446 - 0.00107302X1 + 0.00215470X2.

Adjustment of heterogenous variances and a calving year effect in ...

African Journals Online (AJOL)

Data at the beginning and at the end of lactation period, have higher variances than tests in the middle of the lactation. Furthermore, first lactations have lower mean and variances compared to second and third lactations. This is a deviation from the basic assumptions required for the application of repeatability models.

Markov switching mean-variance frontier dynamics: theory and international evidence

OpenAIRE

M. Guidolin; F. Ria

2010-01-01

It is well-known that regime switching models are able to capture the presence of rich non-linear patterns in the joint distribution of asset returns. After reviewing key concepts and technical issues related to specifying, estimating, and using multivariate Markov switching models in financial applications, in this paper we map the presence of regimes in means, variances, and covariances of asset returns into explicit dynamics of the Markowitz mean-variance frontier. In particular, we show b...

The role of respondents’ comfort for variance in stated choice surveys

DEFF Research Database (Denmark)

Emang, Diana; Lundhede, Thomas; Thorsen, Bo Jellesmark

2017-01-01

they complete surveys correlates with the error variance in stated choice models of their responses. Comfort-related variables are included in the scale functions of the scaled multinomial logit models. The hypothesis was that higher comfort reduces error variance in answers, as revealed by a higher scale...... parameter and vice versa. Information on, e.g., sleep and time since eating (higher comfort) correlated with scale heterogeneity, and produced lower error variance when controlled for in the model. That respondents’ comfort may influence choice behavior suggests that knowledge of the respondents’ activity......Preference elicitation among outdoor recreational users is subject to measurement errors that depend, in part, on survey planning. This study uses data from a choice experiment survey on recreational SCUBA diving to investigate whether self-reported information on respondents’ comfort when...

Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model.

Science.gov (United States)

Jurczyk, Jan; Eckrot, Alexander; Morgenstern, Ingo

2016-01-01

The world is still recovering from the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been connected to the systemic risks within markets by several studies in the aftermath of this crisis. We study 37 different US indices which cover almost all aspects of the US economy and show that monitoring an average investor's behaviour can be used to quantify times of increased risk. In this paper the overall investing strategy is approximated by the ground-states of the mean-variance model along the efficient frontier bound to real world constraints. Changes in the behaviour of the average investor is utlilized as a early warning sign.

Pricing perpetual American options under multiscale stochastic elasticity of variance

International Nuclear Information System (INIS)

Yoon, Ji-Hun

2015-01-01

Highlights: • We study the effects of the stochastic elasticity of variance on perpetual American option. • Our SEV model consists of a fast mean-reverting factor and a slow mean-revering factor. • A slow scale factor has a very significant impact on the option price. • We analyze option price structures through the market prices of elasticity risk. - Abstract: This paper studies pricing the perpetual American options under a constant elasticity of variance type of underlying asset price model where the constant elasticity is replaced by a fast mean-reverting Ornstein–Ulenbeck process and a slowly varying diffusion process. By using a multiscale asymptotic analysis, we find the impact of the stochastic elasticity of variance on the option prices and the optimal exercise prices with respect to model parameters. Our results enhance the existing option price structures in view of flexibility and applicability through the market prices of elasticity risk

Adaptive increase in force variance during fatigue in tasks with low redundancy.

Science.gov (United States)

Singh, Tarkeshwar; S K M, Varadhan; Zatsiorsky, Vladimir M; Latash, Mark L

2010-11-26

We tested a hypothesis that fatigue of an element (a finger) leads to an adaptive neural strategy that involves an increase in force variability in the other finger(s) and an increase in co-variation of commands to fingers to keep total force variability relatively unchanged. We tested this hypothesis using a system with small redundancy (two fingers) and a marginally redundant system (with an additional constraint related to the total moment of force produced by the fingers, unstable condition). The subjects performed isometric accurate rhythmic force production tasks by the index (I) finger and two fingers (I and middle, M) pressing together before and after a fatiguing exercise by the I finger. Fatigue led to a large increase in force variance in the I-finger task and a smaller increase in the IM-task. We quantified two components of variance in the space of hypothetical commands to fingers, finger modes. Under both stable and unstable conditions, there was a large increase in the variance component that did not affect total force and a much smaller increase in the component that did. This resulted in an increase in an index of the force-stabilizing synergy. These results indicate that marginal redundancy is sufficient to allow the central nervous system to use adaptive increase in variability to shield important variables from effects of fatigue. We offer an interpretation of these results based on a recent development of the equilibrium-point hypothesis known as the referent configuration hypothesis. Copyright © 2010 Elsevier Ireland Ltd. All rights reserved.

Neuroticism explains unwanted variance in Implicit Association Tests of personality: Possible evidence for an affective valence confound

Directory of Open Access Journals (Sweden)

Monika eFleischhauer

2013-09-01

Full Text Available Meta-analytic data highlight the value of the Implicit Association Test (IAT as an indirect measure of personality. Based on evidence suggesting that confounding factors such as cognitive abilities contribute to the IAT effect, this study provides a first investigation of whether basic personality traits explain unwanted variance in the IAT. In a gender-balanced sample of 204 volunteers, the Big-Five dimensions were assessed via self-report, peer-report, and IAT. By means of structural equation modeling, latent Big-Five personality factors (based on self- and peer-report were estimated and their predictive value for unwanted variance in the IAT was examined. In a first analysis, unwanted variance was defined in the sense of method-specific variance which may result from differences in task demands between the two IAT block conditions and which can be mirrored by the absolute size of the IAT effects. In a second analysis, unwanted variance was examined in a broader sense defined as those systematic variance components in the raw IAT scores that are not explained by the latent implicit personality factors. In contrast to the absolute IAT scores, this also considers biases associated with the direction of IAT effects (i.e., whether they are positive or negative in sign, biases that might result, for example, from the IAT’s stimulus or category features. None of the explicit Big-Five factors was predictive for method-specific variance in the IATs (first analysis. However, when considering unwanted variance that goes beyond pure method-specific variance (second analysis, a substantial effect of neuroticism occurred that may have been driven by the affective valence of IAT attribute categories and the facilitated processing of negative stimuli, typically associated with neuroticism. The findings thus point to the necessity of using attribute category labels and stimuli of similar affective valence in personality IATs to avoid confounding due to

Variance in exposed perturbations impairs retention of visuomotor adaptation.

Science.gov (United States)

Canaveral, Cesar Augusto; Danion, Frédéric; Berrigan, Félix; Bernier, Pierre-Michel

2017-11-01

Sensorimotor control requires an accurate estimate of the state of the body. The brain optimizes state estimation by combining sensory signals with predictions of the sensory consequences of motor commands using a forward model. Given that both sensory signals and predictions are uncertain (i.e., noisy), the brain optimally weights the relative reliance on each source of information during adaptation. In support, it is known that uncertainty in the sensory predictions influences the rate and generalization of visuomotor adaptation. We investigated whether uncertainty in the sensory predictions affects the retention of a new visuomotor relationship. This was done by exposing three separate groups to a visuomotor rotation whose mean was common at 15° counterclockwise but whose variance around the mean differed (i.e., SD of 0°, 3.2°, or 4.5°). Retention was assessed by measuring the persistence of the adapted behavior in a no-vision phase. Results revealed that mean reach direction late in adaptation was similar across groups, suggesting it depended mainly on the mean of exposed rotations and was robust to differences in variance. However, retention differed across groups, with higher levels of variance being associated with a more rapid reversion toward nonadapted behavior. A control experiment ruled out the possibility that differences in retention were accounted for by differences in success rates. Exposure to variable rotations may have increased the uncertainty in sensory predictions, making the adapted forward model more labile and susceptible to change or decay. NEW & NOTEWORTHY The brain predicts the sensory consequences of motor commands through a forward model. These predictions are subject to uncertainty. We use visuomotor adaptation and modulate uncertainty in the sensory predictions by manipulating the variance in exposed rotations. Results reveal that variance does not influence the final extent of adaptation but selectively impairs the retention of

Analysis of Molecular Variance Inferred from Metric Distances among DNA Haplotypes: Application to Human Mitochondrial DNA Restriction Data

OpenAIRE

Excoffier, L.; Smouse, P. E.; Quattro, J. M.

1992-01-01

We present here a framework for the study of molecular variation within a single species. Information on DNA haplotype divergence is incorporated into an analysis of variance format, derived from a matrix of squared-distances among all pairs of haplotypes. This analysis of molecular variance (AMOVA) produces estimates of variance components and F-statistic analogs, designated here as φ-statistics, reflecting the correlation of haplotypic diversity at different levels of hierarchical subdivisi...

A characterization of optimal portfolios under the tail mean-variance criterion

OpenAIRE

Owadally, I.; Landsman, Z.

2013-01-01

The tail mean–variance model was recently introduced for use in risk management and portfolio choice; it involves a criterion that focuses on the risk of rare but large losses, which is particularly important when losses have heavy-tailed distributions. If returns or losses follow a multivariate elliptical distribution, the use of risk measures that satisfy certain well-known properties is equivalent to risk management in the classical mean–variance framework. The tail mean–variance criterion...

Modelling and forecasting WIG20 daily returns

DEFF Research Database (Denmark)

Amado, Cristina; Silvennoinen, Annestiina; Terasvirta, Timo

of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticity....

Beyond the Mean: Sensitivities of the Variance of Population Growth.

Science.gov (United States)

Trotter, Meredith V; Krishna-Kumar, Siddharth; Tuljapurkar, Shripad

2013-03-01

Populations in variable environments are described by both a mean growth rate and a variance of stochastic population growth. Increasing variance will increase the width of confidence bounds around estimates of population size, growth, probability of and time to quasi-extinction. However, traditional sensitivity analyses of stochastic matrix models only consider the sensitivity of the mean growth rate. We derive an exact method for calculating the sensitivity of the variance in population growth to changes in demographic parameters. Sensitivities of the variance also allow a new sensitivity calculation for the cumulative probability of quasi-extinction. We apply this new analysis tool to an empirical dataset on at-risk polar bears to demonstrate its utility in conservation biology We find that in many cases a change in life history parameters will increase both the mean and variance of population growth of polar bears. This counterintuitive behaviour of the variance complicates predictions about overall population impacts of management interventions. Sensitivity calculations for cumulative extinction risk factor in changes to both mean and variance, providing a highly useful quantitative tool for conservation management. The mean stochastic growth rate and its sensitivities do not fully describe the dynamics of population growth. The use of variance sensitivities gives a more complete understanding of population dynamics and facilitates the calculation of new sensitivities for extinction processes.

A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations

International Nuclear Information System (INIS)

Vidal-Codina, F.; Nguyen, N.C.; Giles, M.B.; Peraire, J.

2015-01-01

We present a model and variance reduction method for the fast and reliable computation of statistical outputs of stochastic elliptic partial differential equations. Our method consists of three main ingredients: (1) the hybridizable discontinuous Galerkin (HDG) discretization of elliptic partial differential equations (PDEs), which allows us to obtain high-order accurate solutions of the governing PDE; (2) the reduced basis method for a new HDG discretization of the underlying PDE to enable real-time solution of the parameterized PDE in the presence of stochastic parameters; and (3) a multilevel variance reduction method that exploits the statistical correlation among the different reduced basis approximations and the high-fidelity HDG discretization to accelerate the convergence of the Monte Carlo simulations. The multilevel variance reduction method provides efficient computation of the statistical outputs by shifting most of the computational burden from the high-fidelity HDG approximation to the reduced basis approximations. Furthermore, we develop a posteriori error estimates for our approximations of the statistical outputs. Based on these error estimates, we propose an algorithm for optimally choosing both the dimensions of the reduced basis approximations and the sizes of Monte Carlo samples to achieve a given error tolerance. We provide numerical examples to demonstrate the performance of the proposed method

Variance inflation in high dimensional Support Vector Machines

DEFF Research Database (Denmark)

Abrahamsen, Trine Julie; Hansen, Lars Kai

2013-01-01

Many important machine learning models, supervised and unsupervised, are based on simple Euclidean distance or orthogonal projection in a high dimensional feature space. When estimating such models from small training sets we face the problem that the span of the training data set input vectors...... the case of Support Vector Machines (SVMS) and we propose a non-parametric scheme to restore proper generalizability. We illustrate the algorithm and its ability to restore performance on a wide range of benchmark data sets....... follow a different probability law with less variance. While the problem and basic means to reconstruct and deflate are well understood in unsupervised learning, the case of supervised learning is less well understood. We here investigate the effect of variance inflation in supervised learning including...

Variance of the number of tumors in a model for the induction of osteosarcoma by alpha radiation

International Nuclear Information System (INIS)

Groer, P.G.; Marshall, J.H.

1976-01-01

An earlier report on a model for the induction of osteosarcoma by alpha radiation gave differential equations for the mean numbers of normal, transformed, and malignant cells. In this report we show that for a constant dose rate the variance of the number of cells at each stage and time is equal to the corresponding mean, so the numbers of tumors predicted by the model have a Poisson distribution about their mean values

Variance Reduction Techniques in Monte Carlo Methods

NARCIS (Netherlands)

Kleijnen, Jack P.C.; Ridder, A.A.N.; Rubinstein, R.Y.

2010-01-01

Monte Carlo methods are simulation algorithms to estimate a numerical quantity in a statistical model of a real system. These algorithms are executed by computer programs. Variance reduction techniques (VRT) are needed, even though computer speed has been increasing dramatically, ever since the

Decomposition of variance for spatial Cox processes

DEFF Research Database (Denmark)

Jalilian, Abdollah; Guan, Yongtao; Waagepetersen, Rasmus

Spatial Cox point processes is a natural framework for quantifying the various sources of variation governing the spatial distribution of rain forest trees. We introduce a general criterion for variance decomposition for spatial Cox processes and apply it to specific Cox process models...

Decomposition of variance for spatial Cox processes

DEFF Research Database (Denmark)

Jalilian, Abdollah; Guan, Yongtao; Waagepetersen, Rasmus

2013-01-01

Spatial Cox point processes is a natural framework for quantifying the various sources of variation governing the spatial distribution of rain forest trees. We introduce a general criterion for variance decomposition for spatial Cox processes and apply it to specific Cox process models...

Tweaking the Four-Component Model

Science.gov (United States)

Curzer, Howard J.

2014-01-01

By maintaining that moral functioning depends upon four components (sensitivity, judgment, motivation, and character), the Neo-Kohlbergian account of moral functioning allows for uneven moral development within individuals. However, I argue that the four-component model does not go far enough. I offer a more accurate account of moral functioning…

Structural changes and out-of-sample prediction of realized range-based variance in the stock market

Science.gov (United States)

Gong, Xu; Lin, Boqiang

2018-03-01

This paper aims to examine the effects of structural changes on forecasting the realized range-based variance in the stock market. Considering structural changes in variance in the stock market, we develop the HAR-RRV-SC model on the basis of the HAR-RRV model. Subsequently, the HAR-RRV and HAR-RRV-SC models are used to forecast the realized range-based variance of S&P 500 Index. We find that there are many structural changes in variance in the U.S. stock market, and the period after the financial crisis contains more structural change points than the period before the financial crisis. The out-of-sample results show that the HAR-RRV-SC model significantly outperforms the HAR-BV model when they are employed to forecast the 1-day, 1-week, and 1-month realized range-based variances, which means that structural changes can improve out-of-sample prediction of realized range-based variance. The out-of-sample results remain robust across the alternative rolling fixed-window, the alternative threshold value in ICSS algorithm, and the alternative benchmark models. More importantly, we believe that considering structural changes can help improve the out-of-sample performances of most of other existing HAR-RRV-type models in addition to the models used in this paper.

Variance decomposition in stochastic simulators.

Science.gov (United States)

Le Maître, O P; Knio, O M; Moraes, A

2015-06-28

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Variance decomposition in stochastic simulators

Science.gov (United States)

Le Maître, O. P.; Knio, O. M.; Moraes, A.

2015-06-01

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Variance decomposition in stochastic simulators

Energy Technology Data Exchange (ETDEWEB)

Le Maître, O. P., E-mail: olm@limsi.fr [LIMSI-CNRS, UPR 3251, Orsay (France); Knio, O. M., E-mail: knio@duke.edu [Department of Mechanical Engineering and Materials Science, Duke University, Durham, North Carolina 27708 (United States); Moraes, A., E-mail: alvaro.moraesgutierrez@kaust.edu.sa [King Abdullah University of Science and Technology, Thuwal (Saudi Arabia)

2015-06-28

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Variance decomposition in stochastic simulators

KAUST Repository

Le Maî tre, O. P.; Knio, O. M.; Moraes, Alvaro

2015-01-01

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model.

Directory of Open Access Journals (Sweden)

Jan Jurczyk

Full Text Available The world is still recovering from the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been connected to the systemic risks within markets by several studies in the aftermath of this crisis. We study 37 different US indices which cover almost all aspects of the US economy and show that monitoring an average investor's behaviour can be used to quantify times of increased risk. In this paper the overall investing strategy is approximated by the ground-states of the mean-variance model along the efficient frontier bound to real world constraints. Changes in the behaviour of the average investor is utlilized as a early warning sign.

Note on an Identity Between Two Unbiased Variance Estimators for the Grand Mean in a Simple Random Effects Model.

Science.gov (United States)

Levin, Bruce; Leu, Cheng-Shiun

2013-01-01

We demonstrate the algebraic equivalence of two unbiased variance estimators for the sample grand mean in a random sample of subjects from an infinite population where subjects provide repeated observations following a homoscedastic random effects model.

Relative variance of the mean-squared pressure in multimode media: rehabilitating former approaches.

Science.gov (United States)

Monsef, Florian; Cozza, Andrea; Rodrigues, Dominique; Cellard, Patrick; Durocher, Jean-Noel

2014-11-01

The commonly accepted model for the relative variance of transmission functions in room acoustics, derived by Weaver, aims at including the effects of correlation between eigenfrequencies. This model is based on an analytical expression of the relative variance derived by means of an approximated correlation function. The relevance of the approximation used for modeling such correlation is questioned here. Weaver's model was motivated by the fact that earlier models derived by Davy and Lyon assumed independent eigenfrequencies and led to an overestimation with respect to relative variances found in practice. It is shown here that this overestimation is due to an inadequate truncation of the modal expansion, and to an improper choice of the frequency range over which ensemble averages of the eigenfrequencies is defined. An alternative definition is proposed, settling the inconsistency; predicted relative variances are found to be in good agreement with experimental data. These results rehabilitate former approaches that were based on independence assumptions between eigenfrequencies. Some former studies showed that simpler correlation models could be used to predict the statistics of some field-related physical quantity at low modal overlap. The present work confirms that this is also the case when dealing with transmission functions.

Cusping, transport and variance of solutions to generalized Fokker-Planck equations

Science.gov (United States)

Carnaffan, Sean; Kawai, Reiichiro

2017-06-01

We study properties of solutions to generalized Fokker-Planck equations through the lens of the probability density functions of anomalous diffusion processes. In particular, we examine solutions in terms of their cusping, travelling wave behaviours, and variance, within the framework of stochastic representations of generalized Fokker-Planck equations. We give our analysis in the cases of anomalous diffusion driven by the inverses of the stable, tempered stable and gamma subordinators, demonstrating the impact of changing the distribution of waiting times in the underlying anomalous diffusion model. We also analyse the cases where the underlying anomalous diffusion contains a Lévy jump component in the parent process, and when a diffusion process is time changed by an uninverted Lévy subordinator. On the whole, we present a combination of four criteria which serve as a theoretical basis for model selection, statistical inference and predictions for physical experiments on anomalously diffusing systems. We discuss possible applications in physical experiments, including, with reference to specific examples, the potential for model misclassification and how combinations of our four criteria may be used to overcome this issue.

A geometric approach to multiperiod mean variance optimization of assets and liabilities

OpenAIRE

Leippold, Markus; Trojani, Fabio; Vanini, Paolo

2005-01-01

We present a geometric approach to discrete time multiperiod mean variance portfolio optimization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decomposed in an orthogonal set of basis strategies, each having a clear economic interpretation. This implies that the corresponding multi period mean variance frontiers are spanned by an orthogonal basis of dynamic returns. Spec...

Estimating additive and non-additive genetic variances and predicting genetic merits using genome-wide dense single nucleotide polymorphism markers.

Directory of Open Access Journals (Sweden)

Guosheng Su

Full Text Available Non-additive genetic variation is usually ignored when genome-wide markers are used to study the genetic architecture and genomic prediction of complex traits in human, wild life, model organisms or farm animals. However, non-additive genetic effects may have an important contribution to total genetic variation of complex traits. This study presented a genomic BLUP model including additive and non-additive genetic effects, in which additive and non-additive genetic relation matrices were constructed from information of genome-wide dense single nucleotide polymorphism (SNP markers. In addition, this study for the first time proposed a method to construct dominance relationship matrix using SNP markers and demonstrated it in detail. The proposed model was implemented to investigate the amounts of additive genetic, dominance and epistatic variations, and assessed the accuracy and unbiasedness of genomic predictions for daily gain in pigs. In the analysis of daily gain, four linear models were used: 1 a simple additive genetic model (MA, 2 a model including both additive and additive by additive epistatic genetic effects (MAE, 3 a model including both additive and dominance genetic effects (MAD, and 4 a full model including all three genetic components (MAED. Estimates of narrow-sense heritability were 0.397, 0.373, 0.379 and 0.357 for models MA, MAE, MAD and MAED, respectively. Estimated dominance variance and additive by additive epistatic variance accounted for 5.6% and 9.5% of the total phenotypic variance, respectively. Based on model MAED, the estimate of broad-sense heritability was 0.506. Reliabilities of genomic predicted breeding values for the animals without performance records were 28.5%, 28.8%, 29.2% and 29.5% for models MA, MAE, MAD and MAED, respectively. In addition, models including non-additive genetic effects improved unbiasedness of genomic predictions.

Decomposition of variance for spatial Cox processes

DEFF Research Database (Denmark)

Jalilian, Abdollah; Guan, Yongtao; Waagepetersen, Rasmus

Spatial Cox point processes is a natural framework for quantifying the various sources of variation governing the spatial distribution of rain forest trees. We introducea general criterion for variance decomposition for spatial Cox processes and apply it to specific Cox process models with additive...

Integration of Simulink Models with Component-based Software Models

DEFF Research Database (Denmark)

Marian, Nicolae

2008-01-01

Model based development aims to facilitate the development of embedded control systems by emphasizing the separation of the design level from the implementation level. Model based design involves the use of multiple models that represent different views of a system, having different semantics...... of abstract system descriptions. Usually, in mechatronics systems, design proceeds by iterating model construction, model analysis, and model transformation. Constructing a MATLAB/Simulink model, a plant and controller behavior is simulated using graphical blocks to represent mathematical and logical...... constraints. COMDES (Component-based Design of Software for Distributed Embedded Systems) is such a component-based system framework developed by the software engineering group of Mads Clausen Institute for Product Innovation (MCI), University of Southern Denmark. Once specified, the software model has...

History matching of a complex epidemiological model of human immunodeficiency virus transmission by using variance emulation.

Science.gov (United States)

Andrianakis, I; Vernon, I; McCreesh, N; McKinley, T J; Oakley, J E; Nsubuga, R N; Goldstein, M; White, R G

2017-08-01

Complex stochastic models are commonplace in epidemiology, but their utility depends on their calibration to empirical data. History matching is a (pre)calibration method that has been applied successfully to complex deterministic models. In this work, we adapt history matching to stochastic models, by emulating the variance in the model outputs, and therefore accounting for its dependence on the model's input values. The method proposed is applied to a real complex epidemiological model of human immunodeficiency virus in Uganda with 22 inputs and 18 outputs, and is found to increase the efficiency of history matching, requiring 70% of the time and 43% fewer simulator evaluations compared with a previous variant of the method. The insight gained into the structure of the human immunodeficiency virus model, and the constraints placed on it, are then discussed.

Multilevel covariance regression with correlated random effects in the mean and variance structure.

Science.gov (United States)

Quintero, Adrian; Lesaffre, Emmanuel

2017-09-01

Multivariate regression methods generally assume a constant covariance matrix for the observations. In case a heteroscedastic model is needed, the parametric and nonparametric covariance regression approaches can be restrictive in the literature. We propose a multilevel regression model for the mean and covariance structure, including random intercepts in both components and allowing for correlation between them. The implied conditional covariance function can be different across clusters as a result of the random effect in the variance structure. In addition, allowing for correlation between the random intercepts in the mean and covariance makes the model convenient for skewedly distributed responses. Furthermore, it permits us to analyse directly the relation between the mean response level and the variability in each cluster. Parameter estimation is carried out via Gibbs sampling. We compare the performance of our model to other covariance modelling approaches in a simulation study. Finally, the proposed model is applied to the RN4CAST dataset to identify the variables that impact burnout of nurses in Belgium. © 2017 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

Detection of Outliers in Panel Data of Intervention Effects Model Based on Variance of Remainder Disturbance

Directory of Open Access Journals (Sweden)

Yanfang Lyu

2015-01-01

Full Text Available The presence of outliers can result in seriously biased parameter estimates. In order to detect outliers in panel data models, this paper presents a modeling method to assess the intervention effects based on the variance of remainder disturbance using an arbitrary strictly positive twice continuously differentiable function. This paper also provides a Lagrange Multiplier (LM approach to detect and identify a general type of outlier. Furthermore, fixed effects models and random effects models are discussed to identify outliers and the corresponding LM test statistics are given. The LM test statistics for an individual-based model to detect outliers are given as a particular case. Finally, this paper performs an application using panel data and explains the advantages of the proposed method.

GPR image analysis to locate water leaks from buried pipes by applying variance filters

Science.gov (United States)

Ocaña-Levario, Silvia J.; Carreño-Alvarado, Elizabeth P.; Ayala-Cabrera, David; Izquierdo, Joaquín

2018-05-01

Nowadays, there is growing interest in controlling and reducing the amount of water lost through leakage in water supply systems (WSSs). Leakage is, in fact, one of the biggest problems faced by the managers of these utilities. This work addresses the problem of leakage in WSSs by using GPR (Ground Penetrating Radar) as a non-destructive method. The main objective is to identify and extract features from GPR images such as leaks and components in a controlled laboratory condition by a methodology based on second order statistical parameters and, using the obtained features, to create 3D models that allows quick visualization of components and leaks in WSSs from GPR image analysis and subsequent interpretation. This methodology has been used before in other fields and provided promising results. The results obtained with the proposed methodology are presented, analyzed, interpreted and compared with the results obtained by using a well-established multi-agent based methodology. These results show that the variance filter is capable of highlighting the characteristics of components and anomalies, in an intuitive manner, which can be identified by non-highly qualified personnel, using the 3D models we develop. This research intends to pave the way towards future intelligent detection systems that enable the automatic detection of leaks in WSSs.

Origin and consequences of the relationship between protein mean and variance.

Science.gov (United States)

Vallania, Francesco Luigi Massimo; Sherman, Marc; Goodwin, Zane; Mogno, Ilaria; Cohen, Barak Alon; Mitra, Robi David

2014-01-01

Cell-to-cell variance in protein levels (noise) is a ubiquitous phenomenon that can increase fitness by generating phenotypic differences within clonal populations of cells. An important challenge is to identify the specific molecular events that control noise. This task is complicated by the strong dependence of a protein's cell-to-cell variance on its mean expression level through a power-law like relationship (σ2∝μ1.69). Here, we dissect the nature of this relationship using a stochastic model parameterized with experimentally measured values. This framework naturally recapitulates the power-law like relationship (σ2∝μ1.6) and accurately predicts protein variance across the yeast proteome (r2 = 0.935). Using this model we identified two distinct mechanisms by which protein variance can be increased. Variables that affect promoter activation, such as nucleosome positioning, increase protein variance by changing the exponent of the power-law relationship. In contrast, variables that affect processes downstream of promoter activation, such as mRNA and protein synthesis, increase protein variance in a mean-dependent manner following the power-law. We verified our findings experimentally using an inducible gene expression system in yeast. We conclude that the power-law-like relationship between noise and protein mean is due to the kinetics of promoter activation. Our results provide a framework for understanding how molecular processes shape stochastic variation across the genome.

Variance Component Quantitative Trait Locus Analysis for Body Weight Traits in Purebred Korean Native Chicken

Directory of Open Access Journals (Sweden)

Muhammad Cahyadi

2016-01-01

Full Text Available Quantitative trait locus (QTL is a particular region of the genome containing one or more genes associated with economically important quantitative traits. This study was conducted to identify QTL regions for body weight and growth traits in purebred Korean native chicken (KNC. F1 samples (n = 595 were genotyped using 127 microsatellite markers and 8 single nucleotide polymorphisms that covered 2,616.1 centi Morgan (cM of map length for 26 autosomal linkage groups. Body weight traits were measured every 2 weeks from hatch to 20 weeks of age. Weight of half carcass was also collected together with growth rate. A multipoint variance component linkage approach was used to identify QTLs for the body weight traits. Two significant QTLs for growth were identified on chicken chromosome 3 (GGA3 for growth 16 to18 weeks (logarithm of the odds [LOD] = 3.24, Nominal p value = 0.0001 and GGA4 for growth 6 to 8 weeks (LOD = 2.88, Nominal p value = 0.0003. Additionally, one significant QTL and three suggestive QTLs were detected for body weight traits in KNC; significant QTL for body weight at 4 weeks (LOD = 2.52, nominal p value = 0.0007 and suggestive QTL for 8 weeks (LOD = 1.96, Nominal p value = 0.0027 were detected on GGA4; QTLs were also detected for two different body weight traits: body weight at 16 weeks on GGA3 and body weight at 18 weeks on GGA19. Additionally, two suggestive QTLs for carcass weight were detected at 0 and 70 cM on GGA19. In conclusion, the current study identified several significant and suggestive QTLs that affect growth related traits in a unique resource pedigree in purebred KNC. This information will contribute to improving the body weight traits in native chicken breeds, especially for the Asian native chicken breeds.

Phenotypic variance explained by local ancestry in admixed African Americans.

Science.gov (United States)

Shriner, Daniel; Bentley, Amy R; Doumatey, Ayo P; Chen, Guanjie; Zhou, Jie; Adeyemo, Adebowale; Rotimi, Charles N

2015-01-01

We surveyed 26 quantitative traits and disease outcomes to understand the proportion of phenotypic variance explained by local ancestry in admixed African Americans. After inferring local ancestry as the number of African-ancestry chromosomes at hundreds of thousands of genotyped loci across all autosomes, we used a linear mixed effects model to estimate the variance explained by local ancestry in two large independent samples of unrelated African Americans. We found that local ancestry at major and polygenic effect genes can explain up to 20 and 8% of phenotypic variance, respectively. These findings provide evidence that most but not all additive genetic variance is explained by genetic markers undifferentiated by ancestry. These results also inform the proportion of health disparities due to genetic risk factors and the magnitude of error in association studies not controlling for local ancestry.

Joint Adaptive Mean-Variance Regularization and Variance Stabilization of High Dimensional Data.

Science.gov (United States)

Dazard, Jean-Eudes; Rao, J Sunil

2012-07-01

The paper addresses a common problem in the analysis of high-dimensional high-throughput "omics" data, which is parameter estimation across multiple variables in a set of data where the number of variables is much larger than the sample size. Among the problems posed by this type of data are that variable-specific estimators of variances are not reliable and variable-wise tests statistics have low power, both due to a lack of degrees of freedom. In addition, it has been observed in this type of data that the variance increases as a function of the mean. We introduce a non-parametric adaptive regularization procedure that is innovative in that : (i) it employs a novel "similarity statistic"-based clustering technique to generate local-pooled or regularized shrinkage estimators of population parameters, (ii) the regularization is done jointly on population moments, benefiting from C. Stein's result on inadmissibility, which implies that usual sample variance estimator is improved by a shrinkage estimator using information contained in the sample mean. From these joint regularized shrinkage estimators, we derived regularized t-like statistics and show in simulation studies that they offer more statistical power in hypothesis testing than their standard sample counterparts, or regular common value-shrinkage estimators, or when the information contained in the sample mean is simply ignored. Finally, we show that these estimators feature interesting properties of variance stabilization and normalization that can be used for preprocessing high-dimensional multivariate data. The method is available as an R package, called 'MVR' ('Mean-Variance Regularization'), downloadable from the CRAN website.

Impact of time-inhomogeneous jumps and leverage type effects on returns and realised variances

DEFF Research Database (Denmark)

Veraart, Almut

This paper studies the effect of time-inhomogeneous jumps and leverage type effects on realised variance calculations when the logarithmic asset price is given by a Lévy-driven stochastic volatility model. In such a model, the realised variance is an inconsistent estimator of the integrated...

A Filtering of Incomplete GNSS Position Time Series with Probabilistic Principal Component Analysis

Science.gov (United States)

Gruszczynski, Maciej; Klos, Anna; Bogusz, Janusz

2018-04-01

For the first time, we introduced the probabilistic principal component analysis (pPCA) regarding the spatio-temporal filtering of Global Navigation Satellite System (GNSS) position time series to estimate and remove Common Mode Error (CME) without the interpolation of missing values. We used data from the International GNSS Service (IGS) stations which contributed to the latest International Terrestrial Reference Frame (ITRF2014). The efficiency of the proposed algorithm was tested on the simulated incomplete time series, then CME was estimated for a set of 25 stations located in Central Europe. The newly applied pPCA was compared with previously used algorithms, which showed that this method is capable of resolving the problem of proper spatio-temporal filtering of GNSS time series characterized by different observation time span. We showed, that filtering can be carried out with pPCA method when there exist two time series in the dataset having less than 100 common epoch of observations. The 1st Principal Component (PC) explained more than 36% of the total variance represented by time series residuals' (series with deterministic model removed), what compared to the other PCs variances (less than 8%) means that common signals are significant in GNSS residuals. A clear improvement in the spectral indices of the power-law noise was noticed for the Up component, which is reflected by an average shift towards white noise from - 0.98 to - 0.67 (30%). We observed a significant average reduction in the accuracy of stations' velocity estimated for filtered residuals by 35, 28 and 69% for the North, East, and Up components, respectively. CME series were also subjected to analysis in the context of environmental mass loading influences of the filtering results. Subtraction of the environmental loading models from GNSS residuals provides to reduction of the estimated CME variance by 20 and 65% for horizontal and vertical components, respectively.

Development of phased mission analysis program with Monte Carlo method. Improvement of the variance reduction technique with biasing towards top event

International Nuclear Information System (INIS)

Yang Jinan; Mihara, Takatsugu

1998-12-01

This report presents a variance reduction technique to estimate the reliability and availability of highly complex systems during phased mission time using the Monte Carlo simulation. In this study, we introduced the variance reduction technique with a concept of distance between the present system state and the cut set configurations. Using this technique, it becomes possible to bias the transition from the operating states to the failed states of components towards the closest cut set. Therefore a component failure can drive the system towards a cut set configuration more effectively. JNC developed the PHAMMON (Phased Mission Analysis Program with Monte Carlo Method) code which involved the two kinds of variance reduction techniques: (1) forced transition, and (2) failure biasing. However, these techniques did not guarantee an effective reduction in variance. For further improvement, a variance reduction technique incorporating the distance concept was introduced to the PHAMMON code and the numerical calculation was carried out for the different design cases of decay heat removal system in a large fast breeder reactor. Our results indicate that the technique addition of this incorporating distance concept is an effective means of further reducing the variance. (author)

Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance

International Nuclear Information System (INIS)

Ewald, Christian-Oliver; Nawar, Roy; Siu, Tak Kuen

2013-01-01

We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded assets exhibit jumps, by trading in the underlying asset. We provide a general expression for the hedging strategy which minimizes the variance of the terminal hedging error, in terms of stochastic integral representations of the payoffs of the options involved. This formula is then applied to compute hedge ratios for common options in various models with jumps, leading to easily computable expressions. As a benchmark we take the standard Black–Scholes and Merton delta hedges. We show that in natural gas option markets minimal variance hedging with underlying consistently outperform the benchmarks by quite a margin. - Highlights: ► We derive hedging strategies for European type options written on natural gas futures. ► These are tested empirically using Henry Hub natural gas futures and options data. ► We find that our hedges systematically outperform classical benchmarks

Validation of anthropometry and foot-to-foot bioelectrical resistance against a three-component model to assess total body fat in children: the IDEFICS study.

Science.gov (United States)

Bammann, K; Huybrechts, I; Vicente-Rodriguez, G; Easton, C; De Vriendt, T; Marild, S; Mesana, M I; Peeters, M W; Reilly, J J; Sioen, I; Tubic, B; Wawro, N; Wells, J C; Westerterp, K; Pitsiladis, Y; Moreno, L A

2013-04-01

To compare different field methods for estimating body fat mass with a reference value derived by a three-component (3C) model in pre-school and school children across Europe. Multicentre validation study. Seventy-eight preschool/school children aged 4-10 years from four different European countries. A standard measurement protocol was carried out in all children by trained field workers. A 3C model was used as the reference method. The field methods included height and weight measurement, circumferences measured at four sites, skinfold measured at two-six sites and foot-to-foot bioelectrical resistance (BIA) via TANITA scales. With the exception of height and neck circumference, all single measurements were able to explain at least 74% of the fat-mass variance in the sample. In combination, circumference models were superior to skinfold models and height-weight models. The best predictions were given by trunk models (combining skinfold and circumference measurements) that explained 91% of the observed fat-mass variance. The optimal data-driven model for our sample includes hip circumference, triceps skinfold and total body mass minus resistance index, and explains 94% of the fat-mass variance with 2.44 kg fat mass limits of agreement. In all investigated models, prediction errors were associated with fat mass, although to a lesser degree in the investigated skinfold models, arm models and the data-driven models. When studying total body fat in childhood populations, anthropometric measurements will give biased estimations as compared to gold standard measurements. Nevertheless, our study shows that when combining circumference and skinfold measurements, estimations of fat mass can be obtained with a limit of agreement of 1.91 kg in normal weight children and of 2.94 kg in overweight or obese children.

Cumulative Prospect Theory, Option Returns, and the Variance Premium

NARCIS (Netherlands)

Baele, Lieven; Driessen, Joost; Ebert, Sebastian; Londono Yarce, J.M.; Spalt, Oliver

The variance premium and the pricing of out-of-the-money (OTM) equity index options are major challenges to standard asset pricing models. We develop a tractable equilibrium model with Cumulative Prospect Theory (CPT) preferences that can overcome both challenges. The key insight is that the

Time Reversal Migration for Passive Sources Using a Maximum Variance Imaging Condition

KAUST Repository

Wang, H.; Alkhalifah, Tariq Ali

2017-01-01

The conventional time-reversal imaging approach for micro-seismic or passive source location is based on focusing the back-propagated wavefields from each recorded trace in a source image. It suffers from strong background noise and limited acquisition aperture, which may create unexpected artifacts and cause error in the source location. To overcome such a problem, we propose a new imaging condition for microseismic imaging, which is based on comparing the amplitude variance in certain windows, and use it to suppress the artifacts as well as find the right location for passive sources. Instead of simply searching for the maximum energy point in the back-propagated wavefield, we calculate the amplitude variances over a window moving in both space and time axis to create a highly resolved passive event image. The variance operation has negligible cost compared with the forward/backward modeling operations, which reveals that the maximum variance imaging condition is efficient and effective. We test our approach numerically on a simple three-layer model and on a piece of the Marmousi model as well, both of which have shown reasonably good results.

Time Reversal Migration for Passive Sources Using a Maximum Variance Imaging Condition

KAUST Repository

Wang, H.

2017-05-26

The conventional time-reversal imaging approach for micro-seismic or passive source location is based on focusing the back-propagated wavefields from each recorded trace in a source image. It suffers from strong background noise and limited acquisition aperture, which may create unexpected artifacts and cause error in the source location. To overcome such a problem, we propose a new imaging condition for microseismic imaging, which is based on comparing the amplitude variance in certain windows, and use it to suppress the artifacts as well as find the right location for passive sources. Instead of simply searching for the maximum energy point in the back-propagated wavefield, we calculate the amplitude variances over a window moving in both space and time axis to create a highly resolved passive event image. The variance operation has negligible cost compared with the forward/backward modeling operations, which reveals that the maximum variance imaging condition is efficient and effective. We test our approach numerically on a simple three-layer model and on a piece of the Marmousi model as well, both of which have shown reasonably good results.

Interactions between photodegradation components

Directory of Open Access Journals (Sweden)

Abdollahi Yadollah

2012-09-01

Full Text Available Abstract Background The interactions of p-cresol photocatalytic degradation components were studied by response surface methodology. The study was designed by central composite design using the irradiation time, pH, the amount of photocatalyst and the p-cresol concentration as variables. The design was performed to obtain photodegradation % as actual responses. The actual responses were fitted with linear, two factor interactions, cubic and quadratic model to select an appropriate model. The selected model was validated by analysis of variance which provided evidences such as high F-value (845.09, very low P-value (2 = 0.999, adjusted R-squared (Radj2 = 0.998, predicted R-squared (Rpred2 = 0.994 and the adequate precision (95.94. Results From the validated model demonstrated that the component had interaction with irradiation time under 180 min of the time while the interaction with pH was above pH 9. Moreover, photocatalyst and p-cresol had interaction at minimal amount of photocatalyst (p-cresol. Conclusion These variables are interdependent and should be simultaneously considered during the photodegradation process, which is one of the advantages of the response surface methodology over the traditional laboratory method.

A log-sinh transformation for data normalization and variance stabilization

Science.gov (United States)

Wang, Q. J.; Shrestha, D. L.; Robertson, D. E.; Pokhrel, P.

2012-05-01

When quantifying model prediction uncertainty, it is statistically convenient to represent model errors that are normally distributed with a constant variance. The Box-Cox transformation is the most widely used technique to normalize data and stabilize variance, but it is not without limitations. In this paper, a log-sinh transformation is derived based on a pattern of errors commonly seen in hydrological model predictions. It is suited to applications where prediction variables are positively skewed and the spread of errors is seen to first increase rapidly, then slowly, and eventually approach a constant as the prediction variable becomes greater. The log-sinh transformation is applied in two case studies, and the results are compared with one- and two-parameter Box-Cox transformations.

Regime shifts in mean-variance efficient frontiers: some international evidence

OpenAIRE

Massimo Guidolin; Federica Ria

2010-01-01

Regime switching models have been assuming a central role in financial applications because of their well-known ability to capture the presence of rich non-linear patterns in the joint distribution of asset returns. This paper examines how the presence of regimes in means, variances, and correlations of asset returns translates into explicit dynamics of the Markowitz mean-variance frontier. In particular, the paper shows both theoretically and through an application to international equity po...

Some asymptotic theory for variance function smoothing | Kibua ...

African Journals Online (AJOL)

Simple selection of the smoothing parameter is suggested. Both homoscedastic and heteroscedastic regression models are considered. Keywords: Asymptotic, Smoothing, Kernel, Bandwidth, Bias, Variance, Mean squared error, Homoscedastic, Heteroscedastic. > East African Journal of Statistics Vol. 1 (1) 2005: pp. 9-22 ...

An ontology for component-based models of water resource systems

Science.gov (United States)

Elag, Mostafa; Goodall, Jonathan L.

2013-08-01

Component-based modeling is an approach for simulating water resource systems where a model is composed of a set of components, each with a defined modeling objective, interlinked through data exchanges. Component-based modeling frameworks are used within the hydrologic, atmospheric, and earth surface dynamics modeling communities. While these efforts have been advancing, it has become clear that the water resources modeling community in particular, and arguably the larger earth science modeling community as well, faces a challenge of fully and precisely defining the metadata for model components. The lack of a unified framework for model component metadata limits interoperability between modeling communities and the reuse of models across modeling frameworks due to ambiguity about the model and its capabilities. To address this need, we propose an ontology for water resources model components that describes core concepts and relationships using the Web Ontology Language (OWL). The ontology that we present, which is termed the Water Resources Component (WRC) ontology, is meant to serve as a starting point that can be refined over time through engagement by the larger community until a robust knowledge framework for water resource model components is achieved. This paper presents the methodology used to arrive at the WRC ontology, the WRC ontology itself, and examples of how the ontology can aid in component-based water resources modeling by (i) assisting in identifying relevant models, (ii) encouraging proper model coupling, and (iii) facilitating interoperability across earth science modeling frameworks.

The phenotypic variance gradient - a novel concept.

Science.gov (United States)

Pertoldi, Cino; Bundgaard, Jørgen; Loeschcke, Volker; Barker, James Stuart Flinton

2014-11-01

Evolutionary ecologists commonly use reaction norms, which show the range of phenotypes produced by a set of genotypes exposed to different environments, to quantify the degree of phenotypic variance and the magnitude of plasticity of morphometric and life-history traits. Significant differences among the values of the slopes of the reaction norms are interpreted as significant differences in phenotypic plasticity, whereas significant differences among phenotypic variances (variance or coefficient of variation) are interpreted as differences in the degree of developmental instability or canalization. We highlight some potential problems with this approach to quantifying phenotypic variance and suggest a novel and more informative way to plot reaction norms: namely "a plot of log (variance) on the y-axis versus log (mean) on the x-axis, with a reference line added". This approach gives an immediate impression of how the degree of phenotypic variance varies across an environmental gradient, taking into account the consequences of the scaling effect of the variance with the mean. The evolutionary implications of the variation in the degree of phenotypic variance, which we call a "phenotypic variance gradient", are discussed together with its potential interactions with variation in the degree of phenotypic plasticity and canalization.

Integration of Simulink Models with Component-based Software Models

Directory of Open Access Journals (Sweden)

MARIAN, N.

2008-06-01

Full Text Available Model based development aims to facilitate the development of embedded control systems by emphasizing the separation of the design level from the implementation level. Model based design involves the use of multiple models that represent different views of a system, having different semantics of abstract system descriptions. Usually, in mechatronics systems, design proceeds by iterating model construction, model analysis, and model transformation. Constructing a MATLAB/Simulink model, a plant and controller behavior is simulated using graphical blocks to represent mathematical and logical constructs and process flow, then software code is generated. A Simulink model is a representation of the design or implementation of a physical system that satisfies a set of requirements. A software component-based system aims to organize system architecture and behavior as a means of computation, communication and constraints, using computational blocks and aggregates for both discrete and continuous behavior, different interconnection and execution disciplines for event-based and time-based controllers, and so on, to encompass the demands to more functionality, at even lower prices, and with opposite constraints. COMDES (Component-based Design of Software for Distributed Embedded Systems is such a component-based system framework developed by the software engineering group of Mads Clausen Institute for Product Innovation (MCI, University of Southern Denmark. Once specified, the software model has to be analyzed. One way of doing that is to integrate in wrapper files the model back into Simulink S-functions, and use its extensive simulation features, thus allowing an early exploration of the possible design choices over multiple disciplines. The paper describes a safe translation of a restricted set of MATLAB/Simulink blocks to COMDES software components, both for continuous and discrete behavior, and the transformation of the software system into the S

Evolution of Genetic Variance during Adaptive Radiation.

Science.gov (United States)

Walter, Greg M; Aguirre, J David; Blows, Mark W; Ortiz-Barrientos, Daniel

2018-04-01

Genetic correlations between traits can concentrate genetic variance into fewer phenotypic dimensions that can bias evolutionary trajectories along the axis of greatest genetic variance and away from optimal phenotypes, constraining the rate of evolution. If genetic correlations limit adaptation, rapid adaptive divergence between multiple contrasting environments may be difficult. However, if natural selection increases the frequency of rare alleles after colonization of new environments, an increase in genetic variance in the direction of selection can accelerate adaptive divergence. Here, we explored adaptive divergence of an Australian native wildflower by examining the alignment between divergence in phenotype mean and divergence in genetic variance among four contrasting ecotypes. We found divergence in mean multivariate phenotype along two major axes represented by different combinations of plant architecture and leaf traits. Ecotypes also showed divergence in the level of genetic variance in individual traits and the multivariate distribution of genetic variance among traits. Divergence in multivariate phenotypic mean aligned with divergence in genetic variance, with much of the divergence in phenotype among ecotypes associated with changes in trait combinations containing substantial levels of genetic variance. Overall, our results suggest that natural selection can alter the distribution of genetic variance underlying phenotypic traits, increasing the amount of genetic variance in the direction of natural selection and potentially facilitating rapid adaptive divergence during an adaptive radiation.

The Effect of Multidimensional Motivation Interventions on Cognitive and Behavioral Components of Motivation: Testing Martin's Model

Directory of Open Access Journals (Sweden)

Fatemeh PooraghaRoodbarde

2017-04-01

Full Text Available Objective: The present study aimed at examining the effect of multidimensional motivation interventions based on Martin's model on cognitive and behavioral components of motivation.Methods: The research design was prospective with pretest, posttest, and follow-up, and 2 experimental groups. In this study, 90 students (45 participants in the experimental group and 45 in the control group constituted the sample of the study, and they were selected by available sampling method. Motivation interventions were implemented for fifteen 60-minute sessions 3 times a week, which lasted for about 2 months. Data were analyzed using repeated measures multivariate variance analysis test.Results: The findings revealed that multidimensional motivation interventions resulted in a significant increase in the scores of cognitive components such as self-efficacy, mastery goal, test anxiety, and feeling of lack of control, and behavioral components such as task management. The results of one-month follow-up indicated the stability of the created changes in test anxiety and cognitive strategies; however, no significant difference was found between the 2 groups at the follow-up in self-efficacy, mastery goals, source of control, and motivation.Conclusions: The research evidence indicated that academic motivation is a multidimensional component and is affected by cognitive and behavioral factors; therefore, researchers, teachers, and other authorities should attend to these factors to increase academic motivation.

Age Differences in the Variance of Personality Characteristics

Czech Academy of Sciences Publication Activity Database

Mottus, R.; Allik, J.; Hřebíčková, Martina; Kööts-Ausmees, L.; Realo, A.

2016-01-01

Roč. 30, č. 1 (2016), s. 4-11 ISSN 0890-2070 R&D Projects: GA ČR GA13-25656S Institutional support: RVO:68081740 Keywords : variance * individual differences * personality * five-factor model Subject RIV: AN - Psychology Impact factor: 3.707, year: 2016

Fluoride in the Serra Geral Aquifer System: Source Evaluation Using Stable Isotopes and Principal Component Analysis

OpenAIRE

Nanni, Arthur Schmidt; Roisenberg, Ari; de Hollanda, Maria Helena Bezerra Maia; Marimon, Maria Paula Casagrande; Viero, Antonio Pedro; Scheibe, Luiz Fernando

2013-01-01

Groundwater with anomalous fluoride content and water mixture patterns were studied in the fractured Serra Geral Aquifer System, a basaltic to rhyolitic geological unit, using a principal component analysis interpretation of groundwater chemical data from 309 deep wells distributed in the Rio Grande do Sul State, Southern Brazil. A four-component model that explains 81% of the total variance in the Principal Component Analysis is suggested. Six hydrochemical groups were identified. δ18O and δ...

Real time damage detection using recursive principal components and time varying auto-regressive modeling

Science.gov (United States)

Krishnan, M.; Bhowmik, B.; Hazra, B.; Pakrashi, V.

2018-02-01

In this paper, a novel baseline free approach for continuous online damage detection of multi degree of freedom vibrating structures using Recursive Principal Component Analysis (RPCA) in conjunction with Time Varying Auto-Regressive Modeling (TVAR) is proposed. In this method, the acceleration data is used to obtain recursive proper orthogonal components online using rank-one perturbation method, followed by TVAR modeling of the first transformed response, to detect the change in the dynamic behavior of the vibrating system from its pristine state to contiguous linear/non-linear-states that indicate damage. Most of the works available in the literature deal with algorithms that require windowing of the gathered data owing to their data-driven nature which renders them ineffective for online implementation. Algorithms focussed on mathematically consistent recursive techniques in a rigorous theoretical framework of structural damage detection is missing, which motivates the development of the present framework that is amenable for online implementation which could be utilized along with suite experimental and numerical investigations. The RPCA algorithm iterates the eigenvector and eigenvalue estimates for sample covariance matrices and new data point at each successive time instants, using the rank-one perturbation method. TVAR modeling on the principal component explaining maximum variance is utilized and the damage is identified by tracking the TVAR coefficients. This eliminates the need for offline post processing and facilitates online damage detection especially when applied to streaming data without requiring any baseline data. Numerical simulations performed on a 5-dof nonlinear system under white noise excitation and El Centro (also known as 1940 Imperial Valley earthquake) excitation, for different damage scenarios, demonstrate the robustness of the proposed algorithm. The method is further validated on results obtained from case studies involving

The infinitesimal model: Definition, derivation, and implications.

Science.gov (United States)

Barton, N H; Etheridge, A M; Véber, A

2017-12-01

Our focus here is on the infinitesimal model. In this model, one or several quantitative traits are described as the sum of a genetic and a non-genetic component, the first being distributed within families as a normal random variable centred at the average of the parental genetic components, and with a variance independent of the parental traits. Thus, the variance that segregates within families is not perturbed by selection, and can be predicted from the variance components. This does not necessarily imply that the trait distribution across the whole population should be Gaussian, and indeed selection or population structure may have a substantial effect on the overall trait distribution. One of our main aims is to identify some general conditions on the allelic effects for the infinitesimal model to be accurate. We first review the long history of the infinitesimal model in quantitative genetics. Then we formulate the model at the phenotypic level in terms of individual trait values and relationships between individuals, but including different evolutionary processes: genetic drift, recombination, selection, mutation, population structure, …. We give a range of examples of its application to evolutionary questions related to stabilising selection, assortative mating, effective population size and response to selection, habitat preference and speciation. We provide a mathematical justification of the model as the limit as the number M of underlying loci tends to infinity of a model with Mendelian inheritance, mutation and environmental noise, when the genetic component of the trait is purely additive. We also show how the model generalises to include epistatic effects. We prove in particular that, within each family, the genetic components of the individual trait values in the current generation are indeed normally distributed with a variance independent of ancestral traits, up to an error of order 1∕M. Simulations suggest that in some cases the convergence

Prediction error variance and expected response to selection, when selection is based on the best predictor - for Gaussian and threshold characters, traits following a Poisson mixed model and survival traits

DEFF Research Database (Denmark)

Andersen, Anders Holst; Korsgaard, Inge Riis; Jensen, Just

2002-01-01

In this paper, we consider selection based on the best predictor of animal additive genetic values in Gaussian linear mixed models, threshold models, Poisson mixed models, and log normal frailty models for survival data (including models with time-dependent covariates with associated fixed...... or random effects). In the different models, expressions are given (when these can be found - otherwise unbiased estimates are given) for prediction error variance, accuracy of selection and expected response to selection on the additive genetic scale and on the observed scale. The expressions given for non...... Gaussian traits are generalisations of the well-known formulas for Gaussian traits - and reflect, for Poisson mixed models and frailty models for survival data, the hierarchal structure of the models. In general the ratio of the additive genetic variance to the total variance in the Gaussian part...

A flexible model for the mean and variance functions, with application to medical cost data.

Science.gov (United States)

Chen, Jinsong; Liu, Lei; Zhang, Daowen; Shih, Ya-Chen T

2013-10-30

Medical cost data are often skewed to the right and heteroscedastic, having a nonlinear relation with covariates. To tackle these issues, we consider an extension to generalized linear models by assuming nonlinear associations of covariates in the mean function and allowing the variance to be an unknown but smooth function of the mean. We make no further assumption on the distributional form. The unknown functions are described by penalized splines, and the estimation is carried out using nonparametric quasi-likelihood. Simulation studies show the flexibility and advantages of our approach. We apply the model to the annual medical costs of heart failure patients in the clinical data repository at the University of Virginia Hospital System. Copyright © 2013 John Wiley & Sons, Ltd.

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

DEFF Research Database (Denmark)

Lanne, Markku; Nyberg, Henri

We propose a new generalized forecast error variance decomposition with the property that the proportions of the impact accounted for by innovations in each variable sum to unity. Our decomposition is based on the well-established concept of the generalized impulse response function. The use of t...

Allowing variance may enlarge the safe operating space for exploited ecosystems.

Science.gov (United States)

Carpenter, Stephen R; Brock, William A; Folke, Carl; van Nes, Egbert H; Scheffer, Marten

2015-11-17

Variable flows of food, water, or other ecosystem services complicate planning. Management strategies that decrease variability and increase predictability may therefore be preferred. However, actions to decrease variance over short timescales (2-4 y), when applied continuously, may lead to long-term ecosystem changes with adverse consequences. We investigated the effects of managing short-term variance in three well-understood models of ecosystem services: lake eutrophication, harvest of a wild population, and yield of domestic herbivores on a rangeland. In all cases, actions to decrease variance can increase the risk of crossing critical ecosystem thresholds, resulting in less desirable ecosystem states. Managing to decrease short-term variance creates ecosystem fragility by changing the boundaries of safe operating spaces, suppressing information needed for adaptive management, cancelling signals of declining resilience, and removing pressures that may build tolerance of stress. Thus, the management of variance interacts strongly and inseparably with the management of resilience. By allowing for variation, learning, and flexibility while observing change, managers can detect opportunities and problems as they develop while sustaining the capacity to deal with them.

AN ADAPTIVE OPTIMAL KALMAN FILTER FOR STOCHASTIC VIBRATION CONTROL SYSTEM WITH UNKNOWN NOISE VARIANCES

Institute of Scientific and Technical Information of China (English)

Li Shu; Zhuo Jiashou; Ren Qingwen

2000-01-01

In this paper, an optimal criterion is presented for adaptive Kalman filter in a control sys tem with unknown variances of stochastic vibration by constructing a function of noise variances and minimizing the function. We solve the model and measure variances by using DFP optimal method to guarantee the results of Kalman filter to be optimized. Finally, the control of vibration can be implemented by LQG method.

Algebraic aspects of evolution partial differential equation arising in the study of constant elasticity of variance model from financial mathematics

Science.gov (United States)

Motsepa, Tanki; Aziz, Taha; Fatima, Aeeman; Khalique, Chaudry Masood

2018-03-01

The optimal investment-consumption problem under the constant elasticity of variance (CEV) model is investigated from the perspective of Lie group analysis. The Lie symmetry group of the evolution partial differential equation describing the CEV model is derived. The Lie point symmetries are then used to obtain an exact solution of the governing model satisfying a standard terminal condition. Finally, we construct conservation laws of the underlying equation using the general theorem on conservation laws.

An efficient sampling approach for variance-based sensitivity analysis based on the law of total variance in the successive intervals without overlapping

Science.gov (United States)

Yun, Wanying; Lu, Zhenzhou; Jiang, Xian

2018-06-01

To efficiently execute the variance-based global sensitivity analysis, the law of total variance in the successive intervals without overlapping is proved at first, on which an efficient space-partition sampling-based approach is subsequently proposed in this paper. Through partitioning the sample points of output into different subsets according to different inputs, the proposed approach can efficiently evaluate all the main effects concurrently by one group of sample points. In addition, there is no need for optimizing the partition scheme in the proposed approach. The maximum length of subintervals is decreased by increasing the number of sample points of model input variables in the proposed approach, which guarantees the convergence condition of the space-partition approach well. Furthermore, a new interpretation on the thought of partition is illuminated from the perspective of the variance ratio function. Finally, three test examples and one engineering application are employed to demonstrate the accuracy, efficiency and robustness of the proposed approach.

A study of heterogeneity of environmental variance for slaughter weight in pigs

DEFF Research Database (Denmark)

Ibánez-Escriche, N; Varona, L; Sorensen, D

2008-01-01

This work presents an analysis of heterogeneity of environmental variance for slaughter weight (175 days) in pigs. This heterogeneity is associated with systematic and additive genetic effects. The model also postulates the presence of additive genetic effects affecting the mean and environmental...... variance. The study reveals the presence of genetic variation at the level of the mean and the variance, but an absence of correlation, or a small negative correlation, between both types of additive genetic effects. In addition, we show that both, the additive genetic effects on the mean and those...... on environmental variance have an important influence upon the future economic performance of selected individuals...

Feature-based component model for design of embedded systems

Science.gov (United States)

Zha, Xuan Fang; Sriram, Ram D.

2004-11-01

An embedded system is a hybrid of hardware and software, which combines software's flexibility and hardware real-time performance. Embedded systems can be considered as assemblies of hardware and software components. An Open Embedded System Model (OESM) is currently being developed at NIST to provide a standard representation and exchange protocol for embedded systems and system-level design, simulation, and testing information. This paper proposes an approach to representing an embedded system feature-based model in OESM, i.e., Open Embedded System Feature Model (OESFM), addressing models of embedded system artifacts, embedded system components, embedded system features, and embedded system configuration/assembly. The approach provides an object-oriented UML (Unified Modeling Language) representation for the embedded system feature model and defines an extension to the NIST Core Product Model. The model provides a feature-based component framework allowing the designer to develop a virtual embedded system prototype through assembling virtual components. The framework not only provides a formal precise model of the embedded system prototype but also offers the possibility of designing variation of prototypes whose members are derived by changing certain virtual components with different features. A case study example is discussed to illustrate the embedded system model.

Feedback loops and temporal misalignment in component-based hydrologic modeling

Science.gov (United States)

Elag, Mostafa M.; Goodall, Jonathan L.; Castronova, Anthony M.

2011-12-01

In component-based modeling, a complex system is represented as a series of loosely integrated components with defined interfaces and data exchanges that allow the components to be coupled together through shared boundary conditions. Although the component-based paradigm is commonly used in software engineering, it has only recently been applied for modeling hydrologic and earth systems. As a result, research is needed to test and verify the applicability of the approach for modeling hydrologic systems. The objective of this work was therefore to investigate two aspects of using component-based software architecture for hydrologic modeling: (1) simulation of feedback loops between components that share a boundary condition and (2) data transfers between temporally misaligned model components. We investigated these topics using a simple case study where diffusion of mass is modeled across a water-sediment interface. We simulated the multimedia system using two model components, one for the water and one for the sediment, coupled using the Open Modeling Interface (OpenMI) standard. The results were compared with a more conventional numerical approach for solving the system where the domain is represented by a single multidimensional array. Results showed that the component-based approach was able to produce the same results obtained with the more conventional numerical approach. When the two components were temporally misaligned, we explored the use of different interpolation schemes to minimize mass balance error within the coupled system. The outcome of this work provides evidence that component-based modeling can be used to simulate complicated feedback loops between systems and guidance as to how different interpolation schemes minimize mass balance error introduced when components are temporally misaligned.

On the multiplicity of option prices under CEV with positive elasticity of variance

NARCIS (Netherlands)

Veestraeten, D.

2017-01-01

The discounted stock price under the Constant Elasticity of Variance model is not a martingale when the elasticity of variance is positive. Two expressions for the European call price then arise, namely the price for which put-call parity holds and the price that represents the lowest cost of

On the multiplicity of option prices under CEV with positive elasticity of variance

NARCIS (Netherlands)

Veestraeten, D.

2014-01-01

The discounted stock price under the Constant Elasticity of Variance (CEV) model is a strict local martingale when the elasticity of variance is positive. Two expressions for the European call price then arise, namely the risk-neutral call price and an alternative price that is linked to the unique

Model-integrating software components engineering flexible software systems

CERN Document Server

Derakhshanmanesh, Mahdi

2015-01-01

In his study, Mahdi Derakhshanmanesh builds on the state of the art in modeling by proposing to integrate models into running software on the component-level without translating them to code. Such so-called model-integrating software exploits all advantages of models: models implicitly support a good separation of concerns, they are self-documenting and thus improve understandability and maintainability and in contrast to model-driven approaches there is no synchronization problem anymore between the models and the code generated from them. Using model-integrating components, software will be

Model reduction by weighted Component Cost Analysis

Science.gov (United States)

Kim, Jae H.; Skelton, Robert E.

1990-01-01

Component Cost Analysis considers any given system driven by a white noise process as an interconnection of different components, and assigns a metric called 'component cost' to each component. These component costs measure the contribution of each component to a predefined quadratic cost function. A reduced-order model of the given system may be obtained by deleting those components that have the smallest component costs. The theory of Component Cost Analysis is extended to include finite-bandwidth colored noises. The results also apply when actuators have dynamics of their own. Closed-form analytical expressions of component costs are also derived for a mechanical system described by its modal data. This is very useful to compute the modal costs of very high order systems. A numerical example for MINIMAST system is presented.

Subacute casemix classification for stroke rehabilitation in Australia. How well does AN-SNAP v2 explain variance in outcomes?

Science.gov (United States)

Kohler, Friedbert; Renton, Roger; Dickson, Hugh G; Estell, John; Connolly, Carol E

2011-02-01

We sought the best predictors for length of stay, discharge destination and functional improvement for inpatients undergoing rehabilitation following a stroke and compared these predictors against AN-SNAP v2. The Oxfordshire classification subgroup, sociodemographic data and functional data were collected for patients admitted between 1997 and 2007, with a diagnosis of recent stroke. The data were factor analysed using Principal Components Analysis for categorical data (CATPCA). Categorical regression analyses was performed to determine the best predictors of length of stay, discharge destination, and functional improvement. A total of 1154 patients were included in the study. Principal components analysis indicated that the data were effectively unidimensional, with length of stay being the most important component. Regression analysis demonstrated that the best predictor was the admission motor FIM score, explaining 38.9% of variance for length of stay, 37.4%.of variance for functional improvement and 16% of variance for discharge destination. The best explanatory variable in our inpatient rehabilitation service is the admission motor FIM. AN- SNAP v2 classification is a less effective explanatory variable. This needs to be taken into account when using AN-SNAP v2 classification for clinical or funding purposes.

A load factor based mean-variance analysis for fuel diversification

Energy Technology Data Exchange (ETDEWEB)

Gotham, Douglas; Preckel, Paul; Ruangpattana, Suriya [State Utility Forecasting Group, Purdue University, West Lafayette, IN (United States); Muthuraman, Kumar [McCombs School of Business, University of Texas, Austin, TX (United States); Rardin, Ronald [Department of Industrial Engineering, University of Arkansas, Fayetteville, AR (United States)

2009-03-15

Fuel diversification implies the selection of a mix of generation technologies for long-term electricity generation. The goal is to strike a good balance between reduced costs and reduced risk. The method of analysis that has been advocated and adopted for such studies is the mean-variance portfolio analysis pioneered by Markowitz (Markowitz, H., 1952. Portfolio selection. Journal of Finance 7(1) 77-91). However the standard mean-variance methodology, does not account for the ability of various fuels/technologies to adapt to varying loads. Such analysis often provides results that are easily dismissed by regulators and practitioners as unacceptable, since load cycles play critical roles in fuel selection. To account for such issues and still retain the convenience and elegance of the mean-variance approach, we propose a variant of the mean-variance analysis using the decomposition of the load into various types and utilizing the load factors of each load type. We also illustrate the approach using data for the state of Indiana and demonstrate the ability of the model in providing useful insights. (author)

Efficient transfer of sensitivity information in multi-component models

International Nuclear Information System (INIS)

Abdel-Khalik, Hany S.; Rabiti, Cristian

2011-01-01

In support of adjoint-based sensitivity analysis, this manuscript presents a new method to efficiently transfer adjoint information between components in a multi-component model, whereas the output of one component is passed as input to the next component. Often, one is interested in evaluating the sensitivities of the responses calculated by the last component to the inputs of the first component in the overall model. The presented method has two advantages over existing methods which may be classified into two broad categories: brute force-type methods and amalgamated-type methods. First, the presented method determines the minimum number of adjoint evaluations for each component as opposed to the brute force-type methods which require full evaluation of all sensitivities for all responses calculated by each component in the overall model, which proves computationally prohibitive for realistic problems. Second, the new method treats each component as a black-box as opposed to amalgamated-type methods which requires explicit knowledge of the system of equations associated with each component in order to reach the minimum number of adjoint evaluations. (author)

A componential model of human interaction with graphs: 1. Linear regression modeling

Science.gov (United States)

Gillan, Douglas J.; Lewis, Robert

1994-01-01

Task analyses served as the basis for developing the Mixed Arithmetic-Perceptual (MA-P) model, which proposes (1) that people interacting with common graphs to answer common questions apply a set of component processes-searching for indicators, encoding the value of indicators, performing arithmetic operations on the values, making spatial comparisons among indicators, and repsonding; and (2) that the type of graph and user's task determine the combination and order of the components applied (i.e., the processing steps). Two experiments investigated the prediction that response time will be linearly related to the number of processing steps according to the MA-P model. Subjects used line graphs, scatter plots, and stacked bar graphs to answer comparison questions and questions requiring arithmetic calculations. A one-parameter version of the model (with equal weights for all components) and a two-parameter version (with different weights for arithmetic and nonarithmetic processes) accounted for 76%-85% of individual subjects' variance in response time and 61%-68% of the variance taken across all subjects. The discussion addresses possible modifications in the MA-P model, alternative models, and design implications from the MA-P model.

Genetic variants influencing phenotypic variance heterogeneity.

Science.gov (United States)

Ek, Weronica E; Rask-Andersen, Mathias; Karlsson, Torgny; Enroth, Stefan; Gyllensten, Ulf; Johansson, Åsa

2018-03-01

Most genetic studies identify genetic variants associated with disease risk or with the mean value of a quantitative trait. More rarely, genetic variants associated with variance heterogeneity are considered. In this study, we have identified such variance single-nucleotide polymorphisms (vSNPs) and examined if these represent biological gene × gene or gene × environment interactions or statistical artifacts caused by multiple linked genetic variants influencing the same phenotype. We have performed a genome-wide study, to identify vSNPs associated with variance heterogeneity in DNA methylation levels. Genotype data from over 10 million single-nucleotide polymorphisms (SNPs), and DNA methylation levels at over 430 000 CpG sites, were analyzed in 729 individuals. We identified vSNPs for 7195 CpG sites (P mean DNA methylation levels. We further showed that variance heterogeneity between genotypes mainly represents additional, often rare, SNPs in linkage disequilibrium (LD) with the respective vSNP and for some vSNPs, multiple low frequency variants co-segregating with one of the vSNP alleles. Therefore, our results suggest that variance heterogeneity of DNA methylation mainly represents phenotypic effects by multiple SNPs, rather than biological interactions. Such effects may also be important for interpreting variance heterogeneity of more complex clinical phenotypes.

Aligning Event Logs to Task-Time Matrix Clinical Pathways in BPMN for Variance Analysis.

Science.gov (United States)

Yan, Hui; Van Gorp, Pieter; Kaymak, Uzay; Lu, Xudong; Ji, Lei; Chiau, Choo Chiap; Korsten, Hendrikus H M; Duan, Huilong

2018-03-01

Clinical pathways (CPs) are popular healthcare management tools to standardize care and ensure quality. Analyzing CP compliance levels and variances is known to be useful for training and CP redesign purposes. Flexible semantics of the business process model and notation (BPMN) language has been shown to be useful for the modeling and analysis of complex protocols. However, in practical cases one may want to exploit that CPs often have the form of task-time matrices. This paper presents a new method parsing complex BPMN models and aligning traces to the models heuristically. A case study on variance analysis is undertaken, where a CP from the practice and two large sets of patients data from an electronic medical record (EMR) database are used. The results demonstrate that automated variance analysis between BPMN task-time models and real-life EMR data are feasible, whereas that was not the case for the existing analysis techniques. We also provide meaningful insights for further improvement.

Pump Component Model in SPACE Code

International Nuclear Information System (INIS)

Kim, Byoung Jae; Kim, Kyoung Doo

2010-08-01

This technical report describes the pump component model in SPACE code. A literature survey was made on pump models in existing system codes. The models embedded in SPACE code were examined to check the confliction with intellectual proprietary rights. Design specifications, computer coding implementation, and test results are included in this report

Application of principal component analysis (PCA) as a sensory assessment tool for fermented food products.

Science.gov (United States)

Ghosh, Debasree; Chattopadhyay, Parimal

2012-06-01

The objective of the work was to use the method of quantitative descriptive analysis (QDA) to describe the sensory attributes of the fermented food products prepared with the incorporation of lactic cultures. Panellists were selected and trained to evaluate various attributes specially color and appearance, body texture, flavor, overall acceptability and acidity of the fermented food products like cow milk curd and soymilk curd, idli, sauerkraut and probiotic ice cream. Principal component analysis (PCA) identified the six significant principal components that accounted for more than 90% of the variance in the sensory attribute data. Overall product quality was modelled as a function of principal components using multiple least squares regression (R (2) = 0.8). The result from PCA was statistically analyzed by analysis of variance (ANOVA). These findings demonstrate the utility of quantitative descriptive analysis for identifying and measuring the fermented food product attributes that are important for consumer acceptability.

Principal component analysis in an experimental cold flow model of a fluid catalytic cracking unit by gammametry

International Nuclear Information System (INIS)

Araujo, Janeo Severino C. de; Dantas, Carlos Costa; Santos, Valdemir A. dos; Souza, Jose Edson G. de; Luna-Finkler, Christine L.

2009-01-01

The fluid dynamic behavior of riser of a cold flow model of a Fluid Catalytic Cracking Unit (FCCU) was investigated. The experimental data were obtained by the nuclear technique of gamma transmission. A gamma source was placed diametrically opposite to a detector in any straight section of the riser. The gas-solid flow through riser was monitored with a source of Americium-241 what allowed obtaining information of the axial solid concentration without flow disturbance and also identifying the dependence of this concentration profile with several independent variables. The MatLab R and Statistica R software were used. Statistica tool employed was the Principal Components Analysis (PCA), that consisted of the job of the data organization, through two-dimensional head offices to allow extract relevant information about the importance of the independent variables on axial solid concentration in a cold flow riser. The variables investigated were mass flow rate of solid, mass flow rate of gas, pressure in the riser base and the relative height in the riser. The first two components reached about 98 % of accumulated percentage of explained variance. (author)

Component aging and reliability trends in Loviisa Nuclear Power Plant

International Nuclear Information System (INIS)

Jankala, K.E.; Vaurio, J.K.

1989-01-01

A plant-specific reliability data collection and analysis system has been developed at the Loviisa Nuclear Power Plant to perform tests for component aging and analysis of reliability trends. The system yields both mean values an uncertainty distribution information for reliability parameters to be used in the PSA project underway and in living-PSA applications. Several different trend models are included in the reliability analysis system. Simple analytical expressions have been derived from the parameters of these models, and their variances have been obtained using the information matrix. This paper is focused on the details of the learning/aging models and the estimation of their parameters and statistical accuracies. Applications to the historical data of the Loviisa plant are presented. The results indicate both up- and down-trends in failure rates as well as individuality between nominally identical components

How Many Separable Sources? Model Selection In Independent Components Analysis

DEFF Research Database (Denmark)

Woods, Roger P.; Hansen, Lars Kai; Strother, Stephen

2015-01-01

among potential model categories with differing numbers of Gaussian components. Based on simulation studies, the assumptions and approximations underlying the Akaike Information Criterion do not hold in this setting, even with a very large number of observations. Cross-validation is a suitable, though....../Principal Components Analysis (mixed ICA/PCA) model described here accommodates one or more Gaussian components in the independent components analysis model and uses principal components analysis to characterize contributions from this inseparable Gaussian subspace. Information theory can then be used to select from...... might otherwise be questionable. Failure of the Akaike Information Criterion in model selection also has relevance in traditional independent components analysis where all sources are assumed non-Gaussian....

Genetic control of residual variance of yearling weight in Nellore beef cattle.

Science.gov (United States)

Iung, L H S; Neves, H H R; Mulder, H A; Carvalheiro, R

2017-04-01

There is evidence for genetic variability in residual variance of livestock traits, which offers the potential for selection for increased uniformity of production. Different statistical approaches have been employed to study this topic; however, little is known about the concordance between them. The aim of our study was to investigate the genetic heterogeneity of residual variance on yearling weight (YW; 291.15 ± 46.67) in a Nellore beef cattle population; to compare the results of the statistical approaches, the two-step approach and the double hierarchical generalized linear model (DHGLM); and to evaluate the effectiveness of power transformation to accommodate scale differences. The comparison was based on genetic parameters, accuracy of EBV for residual variance, and cross-validation to assess predictive performance of both approaches. A total of 194,628 yearling weight records from 625 sires were used in the analysis. The results supported the hypothesis of genetic heterogeneity of residual variance on YW in Nellore beef cattle and the opportunity of selection, measured through the genetic coefficient of variation of residual variance (0.10 to 0.12 for the two-step approach and 0.17 for DHGLM, using an untransformed data set). However, low estimates of genetic variance associated with positive genetic correlations between mean and residual variance (about 0.20 for two-step and 0.76 for DHGLM for an untransformed data set) limit the genetic response to selection for uniformity of production while simultaneously increasing YW itself. Moreover, large sire families are needed to obtain accurate estimates of genetic merit for residual variance, as indicated by the low heritability estimates (Box-Cox transformation was able to decrease the dependence of the variance on the mean and decreased the estimates of genetic parameters for residual variance. The transformation reduced but did not eliminate all the genetic heterogeneity of residual variance, highlighting

Estimation of (co)variances for genomic regions of flexible sizes

DEFF Research Database (Denmark)

Sørensen, Lars P; Janss, Luc; Madsen, Per

2012-01-01

was used. There was a clear difference in the region-wise patterns of genomic correlation among combinations of traits, with distinctive peaks indicating the presence of pleiotropic QTL. CONCLUSIONS: The results show that it is possible to estimate, genome-wide and region-wise genomic (co)variances......BACKGROUND: Multi-trait genomic models in a Bayesian context can be used to estimate genomic (co)variances, either for a complete genome or for genomic regions (e.g. per chromosome) for the purpose of multi-trait genomic selection or to gain further insight into the genomic architecture of related...... with a common prior distribution for the marker allele substitution effects and estimation of the hyperparameters in this prior distribution from the progeny means data. From the Markov chain Monte Carlo samples of the allele substitution effects, genomic (co)variances were calculated on a whole-genome level...

Parameter uncertainty effects on variance-based sensitivity analysis

International Nuclear Information System (INIS)

Yu, W.; Harris, T.J.

2009-01-01

In the past several years there has been considerable commercial and academic interest in methods for variance-based sensitivity analysis. The industrial focus is motivated by the importance of attributing variance contributions to input factors. A more complete understanding of these relationships enables companies to achieve goals related to quality, safety and asset utilization. In a number of applications, it is possible to distinguish between two types of input variables-regressive variables and model parameters. Regressive variables are those that can be influenced by process design or by a control strategy. With model parameters, there are typically no opportunities to directly influence their variability. In this paper, we propose a new method to perform sensitivity analysis through a partitioning of the input variables into these two groupings: regressive variables and model parameters. A sequential analysis is proposed, where first an sensitivity analysis is performed with respect to the regressive variables. In the second step, the uncertainty effects arising from the model parameters are included. This strategy can be quite useful in understanding process variability and in developing strategies to reduce overall variability. When this method is used for nonlinear models which are linear in the parameters, analytical solutions can be utilized. In the more general case of models that are nonlinear in both the regressive variables and the parameters, either first order approximations can be used, or numerically intensive methods must be used

Per-pixel bias-variance decomposition of continuous errors in data-driven geospatial modeling: A case study in environmental remote sensing

Science.gov (United States)

Gao, Jing; Burt, James E.

2017-12-01

This study investigates the usefulness of a per-pixel bias-variance error decomposition (BVD) for understanding and improving spatially-explicit data-driven models of continuous variables in environmental remote sensing (ERS). BVD is a model evaluation method originated from machine learning and have not been examined for ERS applications. Demonstrated with a showcase regression tree model mapping land imperviousness (0-100%) using Landsat images, our results showed that BVD can reveal sources of estimation errors, map how these sources vary across space, reveal the effects of various model characteristics on estimation accuracy, and enable in-depth comparison of different error metrics. Specifically, BVD bias maps can help analysts identify and delineate model spatial non-stationarity; BVD variance maps can indicate potential effects of ensemble methods (e.g. bagging), and inform efficient training sample allocation - training samples should capture the full complexity of the modeled process, and more samples should be allocated to regions with more complex underlying processes rather than regions covering larger areas. Through examining the relationships between model characteristics and their effects on estimation accuracy revealed by BVD for both absolute and squared errors (i.e. error is the absolute or the squared value of the difference between observation and estimate), we found that the two error metrics embody different diagnostic emphases, can lead to different conclusions about the same model, and may suggest different solutions for performance improvement. We emphasize BVD's strength in revealing the connection between model characteristics and estimation accuracy, as understanding this relationship empowers analysts to effectively steer performance through model adjustments.

How Many Separable Sources? Model Selection In Independent Components Analysis

Science.gov (United States)

Woods, Roger P.; Hansen, Lars Kai; Strother, Stephen

2015-01-01

Unlike mixtures consisting solely of non-Gaussian sources, mixtures including two or more Gaussian components cannot be separated using standard independent components analysis methods that are based on higher order statistics and independent observations. The mixed Independent Components Analysis/Principal Components Analysis (mixed ICA/PCA) model described here accommodates one or more Gaussian components in the independent components analysis model and uses principal components analysis to characterize contributions from this inseparable Gaussian subspace. Information theory can then be used to select from among potential model categories with differing numbers of Gaussian components. Based on simulation studies, the assumptions and approximations underlying the Akaike Information Criterion do not hold in this setting, even with a very large number of observations. Cross-validation is a suitable, though computationally intensive alternative for model selection. Application of the algorithm is illustrated using Fisher's iris data set and Howells' craniometric data set. Mixed ICA/PCA is of potential interest in any field of scientific investigation where the authenticity of blindly separated non-Gaussian sources might otherwise be questionable. Failure of the Akaike Information Criterion in model selection also has relevance in traditional independent components analysis where all sources are assumed non-Gaussian. PMID:25811988

The Pricing of European Options Under the Constant Elasticity of Variance with Stochastic Volatility

Science.gov (United States)

Bock, Bounghun; Choi, Sun-Yong; Kim, Jeong-Hoon

This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier option near the zero elasticity of variance. The accuracy of the approximation is provided in a rigorous manner. A numerical experiment for implied volatilities shows that the hybrid model improves some of the well-known models in view of fitting the data for different maturities.

Adjustment of Measurements with Multiplicative Errors: Error Analysis, Estimates of the Variance of Unit Weight, and Effect on Volume Estimation from LiDAR-Type Digital Elevation Models

Directory of Open Access Journals (Sweden)

Yun Shi

2014-01-01

Full Text Available Modern observation technology has verified that measurement errors can be proportional to the true values of measurements such as GPS, VLBI baselines and LiDAR. Observational models of this type are called multiplicative error models. This paper is to extend the work of Xu and Shimada published in 2000 on multiplicative error models to analytical error analysis of quantities of practical interest and estimates of the variance of unit weight. We analytically derive the variance-covariance matrices of the three least squares (LS adjustments, the adjusted measurements and the corrections of measurements in multiplicative error models. For quality evaluation, we construct five estimators for the variance of unit weight in association of the three LS adjustment methods. Although LiDAR measurements are contaminated with multiplicative random errors, LiDAR-based digital elevation models (DEM have been constructed as if they were of additive random errors. We will simulate a model landslide, which is assumed to be surveyed with LiDAR, and investigate the effect of LiDAR-type multiplicative error measurements on DEM construction and its effect on the estimate of landslide mass volume from the constructed DEM.

Mean-Variance portfolio optimization when each asset has individual uncertain exit-time

Directory of Open Access Journals (Sweden)

Reza Keykhaei

2016-12-01

Full Text Available The standard Markowitz Mean-Variance optimization model is a single-period portfolio selection approach where the exit-time (or the time-horizon is deterministic. ‎In this paper we study the Mean-Variance portfolio selection problem ‎with ‎uncertain ‎exit-time ‎when ‎each ‎has ‎individual uncertain ‎xit-time‎, ‎which generalizes the Markowitz's model‎. ‎‎‎‎‎‎We provide some conditions under which the optimal portfolio of the generalized problem is independent of the exit-times distributions. Also, ‎‎it is shown that under some general circumstances, the sets of optimal portfolios‎ ‎in the generalized model and the standard model are the same‎.

On discrete stochastic processes with long-lasting time dependence in the variance

Science.gov (United States)

Queirós, S. M. D.

2008-11-01

In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a memory of qm-exponencial, form (eqm=1 x=ex). Specifically, we inspect the self-correlation function of squared random variables as well as the kurtosis. In addition, by numerical procedures, we infer the stationary probability density function of both of the heteroskedastic random variables and the variance, the multiscaling properties, the first-passage times distribution, and the dependence degree. Finally, we introduce an asymmetric variance version of the model that enables us to reproduce the so-called leverage effect in financial markets.

Speed Variance and Its Influence on Accidents.

Science.gov (United States)

Garber, Nicholas J.; Gadirau, Ravi

A study was conducted to investigate the traffic engineering factors that influence speed variance and to determine to what extent speed variance affects accident rates. Detailed analyses were carried out to relate speed variance with posted speed limit, design speeds, and other traffic variables. The major factor identified was the difference…

Intercentre variance in patient reported outcomes is lower than objective rheumatoid arthritis activity measures

DEFF Research Database (Denmark)

Khan, Nasim Ahmed; Spencer, Horace Jack; Nikiphorou, Elena

2017-01-01

Objective: To assess intercentre variability in the ACR core set measures, DAS28 based on three variables (DAS28v3) and Routine Assessment of Patient Index Data 3 in a multinational study. Methods: Seven thousand and twenty-three patients were recruited (84 centres; 30 countries) using a standard...... built to adjust for the remaining ACR core set measure (for each ACR core set measure or each composite index), socio-demographics and medical characteristics. ANOVA and analysis of covariance models yielded similar results, and ANOVA tables were used to present variance attributable to recruiting...... centre. Results: The proportion of variances attributable to recruiting centre was lower for patient reported outcomes (PROs: pain, HAQ, patient global) compared with objective measures (joint counts, ESR, physician global) in all models. In the full model, variance in PROs attributable to recruiting...

Mean-Variance-Validation Technique for Sequential Kriging Metamodels

International Nuclear Information System (INIS)

Lee, Tae Hee; Kim, Ho Sung

2010-01-01

The rigorous validation of the accuracy of metamodels is an important topic in research on metamodel techniques. Although a leave-k-out cross-validation technique involves a considerably high computational cost, it cannot be used to measure the fidelity of metamodels. Recently, the mean 0 validation technique has been proposed to quantitatively determine the accuracy of metamodels. However, the use of mean 0 validation criterion may lead to premature termination of a sampling process even if the kriging model is inaccurate. In this study, we propose a new validation technique based on the mean and variance of the response evaluated when sequential sampling method, such as maximum entropy sampling, is used. The proposed validation technique is more efficient and accurate than the leave-k-out cross-validation technique, because instead of performing numerical integration, the kriging model is explicitly integrated to accurately evaluate the mean and variance of the response evaluated. The error in the proposed validation technique resembles a root mean squared error, thus it can be used to determine a stop criterion for sequential sampling of metamodels

Determination of the Conditional-Constant Component of the Bank’s Current Liabilities

Directory of Open Access Journals (Sweden)

Anatoly Pavlovich Vozhzhov

2016-03-01

Full Text Available The article deals with the questions of the definition of the semi-constant component of current liabilities of a bank. The purpose of this article is to develop a scientific and methodological approach to determine the semi-constant component of the current liabilities of a bank under the conditions of the complexity of data acquisition and processing of the data on factors that influence on demand deposits. The main hypothesis is the assumption of the heterogeneity of the variance of the daily cumulative sum of demand deposits. The analysis of scientific and methodological approaches that allow determining a stable component of current liabilities proves the need for further improvement of scientific instruments. In particular, a coefficient analysis that is proposed by some of the scholars, mainly, considers the average values of turnover on accounts, which in turn, can vary considerably throughout the calendar year. The use of the probability distributions to determine the expected value of the constant sum of deposits is possible only in the case of “ideal” financial conditions, when the impact of factors on the aggregate sum of deposits is not taken into account. The developed statistical models leave out the possible heterogeneity of the dispersion of this balance. In the article, it is proposed to apply econometric methods, namely, the methods of time series analysis to test the hypothesis of the variance heterogeneity of the cumulative sum of demand deposits, using daily data. In particular, the formalization and evaluation of EGARCH-model parameters are conducted. The EGARCH-model allows to take into account the non-linear, asymmetric effects of fluctuations in the financial series. The determination of the conditionalconstant component of demand deposits is proposed on the basis of the revealed regularities. The results of the research prove the hypothesis of the non-stationary character of the variance in daily balance of demand

Adding a Parameter Increases the Variance of an Estimated Regression Function

Science.gov (United States)

Withers, Christopher S.; Nadarajah, Saralees

2011-01-01

The linear regression model is one of the most popular models in statistics. It is also one of the simplest models in statistics. It has received applications in almost every area of science, engineering and medicine. In this article, the authors show that adding a predictor to a linear model increases the variance of the estimated regression…

Multidimensional adaptive testing with a minimum error-variance criterion

NARCIS (Netherlands)

van der Linden, Willem J.

1997-01-01

The case of adaptive testing under a multidimensional logistic response model is addressed. An adaptive algorithm is proposed that minimizes the (asymptotic) variance of the maximum-likelihood (ML) estimator of a linear combination of abilities of interest. The item selection criterion is a simple

Interpreting the concordance statistic of a logistic regression model: relation to the variance and odds ratio of a continuous explanatory variable.

Science.gov (United States)

Austin, Peter C; Steyerberg, Ewout W

2012-06-20

When outcomes are binary, the c-statistic (equivalent to the area under the Receiver Operating Characteristic curve) is a standard measure of the predictive accuracy of a logistic regression model. An analytical expression was derived under the assumption that a continuous explanatory variable follows a normal distribution in those with and without the condition. We then conducted an extensive set of Monte Carlo simulations to examine whether the expressions derived under the assumption of binormality allowed for accurate prediction of the empirical c-statistic when the explanatory variable followed a normal distribution in the combined sample of those with and without the condition. We also examine the accuracy of the predicted c-statistic when the explanatory variable followed a gamma, log-normal or uniform distribution in combined sample of those with and without the condition. Under the assumption of binormality with equality of variances, the c-statistic follows a standard normal cumulative distribution function with dependence on the product of the standard deviation of the normal components (reflecting more heterogeneity) and the log-odds ratio (reflecting larger effects). Under the assumption of binormality with unequal variances, the c-statistic follows a standard normal cumulative distribution function with dependence on the standardized difference of the explanatory variable in those with and without the condition. In our Monte Carlo simulations, we found that these expressions allowed for reasonably accurate prediction of the empirical c-statistic when the distribution of the explanatory variable was normal, gamma, log-normal, and uniform in the entire sample of those with and without the condition. The discriminative ability of a continuous explanatory variable cannot be judged by its odds ratio alone, but always needs to be considered in relation to the heterogeneity of the population.

Local variances in biomonitoring

International Nuclear Information System (INIS)

Wolterbeek, H.T.

1999-01-01

The present study deals with the (larger-scaled) biomonitoring survey and specifically focuses on the sampling site. In most surveys, the sampling site is simply selected or defined as a spot of (geographical) dimensions which is small relative to the dimensions of the total survey area. Implicitly it is assumed that the sampling site is essentially homogeneous with respect to the investigated variation in survey parameters. As such, the sampling site is mostly regarded as 'the basic unit' of the survey. As a logical consequence, the local (sampling site) variance should also be seen as a basic and important characteristic of the survey. During the study, work is carried out to gain more knowledge of the local variance. Multiple sampling is carried out at a specific site (tree bark, mosses, soils), multi-elemental analyses are carried out by NAA, and local variances are investigated by conventional statistics, factor analytical techniques, and bootstrapping. Consequences of the outcomes are discussed in the context of sampling, sample handling and survey quality. (author)

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....

Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

DEFF Research Database (Denmark)

Amado, Cristina; Teräsvirta, Timo

-run and the short-run dynamic behaviour of the volatilities. The structure of the conditional correlation matrix is assumed to be either time independent or to vary over time. We apply our model to pairs of seven daily stock returns belonging to the S&P 500 composite index and traded at the New York Stock Exchange......In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over time...... by incorporating a nonstationary component in the variance equations. The modelling technique to determine the parametric structure of this time-varying component is based on a sequence of specification Lagrange multiplier-type tests derived in Amado and Teräsvirta (2011). The variance equations combine the long...

A probabilistic model for component-based shape synthesis

KAUST Repository

Kalogerakis, Evangelos

2012-07-01

We present an approach to synthesizing shapes from complex domains, by identifying new plausible combinations of components from existing shapes. Our primary contribution is a new generative model of component-based shape structure. The model represents probabilistic relationships between properties of shape components, and relates them to learned underlying causes of structural variability within the domain. These causes are treated as latent variables, leading to a compact representation that can be effectively learned without supervision from a set of compatibly segmented shapes. We evaluate the model on a number of shape datasets with complex structural variability and demonstrate its application to amplification of shape databases and to interactive shape synthesis. © 2012 ACM 0730-0301/2012/08-ART55.

A three-component analytic model of long-term climate change

Science.gov (United States)

Pratt, V. R.

2011-12-01

On the premise that fast climate fluctuations up to and including the 11-year solar cycle play a negligible role in long-term climate forecasting, we remove these from the 160-year HADCRUT3 global land-sea temperature record and model the result as the sum of a log-raised-exponential (log(b+exp(t))) and two sine waves of respective periods 56 and 75 years coinciding in phase in 1925. The latter two can be understood equivalently as a 62-year-period "carrier" modulated with a 440-year period that peaked in 1925 and vanished in 1705. This model gives an excellent fit, explaining 98% of the variance (r^2) of long-term climate over the 160 years. We derive the first component as the composition of Arrhenius's 1896 logarithmic dependence of surface temperature on CO2 with Hofmann's 2009 raised-exponential dependence of CO2 on time, but interpret its fit to the data as the net anthropogenic contribution incorporating all greenhouse and aerosol emissions and relevant feedbacks, bearing in mind the rapid growth in both population and technology. The 56-year oscillation matches the largest component of the Atlantic Multidecadal Oscillation, while the 75-year one is near an oscillation often judged to be in the vicinity of 70 years. The expected 1705 cancellation is about two decades earlier than suggested by Gray et al's tree-ring proxy for the AMO during 1567-1990 [Gray GPL 31, L12205]. While there is no consensus on the origin of ocean oscillations, the oscillations in geomagnetic secular variation noted by Nagata and Rimitake in 1963 and Slaucitajs and Winch in 1965, of respective periods 77 years and 61 years, correspond strikingly with our 76-year oscillation and 62-year "carrier." This model has a number of benefits. Simplicity. It is easily explained to a lay audience in response to the frequently voiced concern that the temperature record is poorly correlated with the CO2 record alone. It shows that the transition from natural to anthropogenic influences on long

Development of a treatability variance guidance document for US DOE mixed-waste streams

International Nuclear Information System (INIS)

Scheuer, N.; Spikula, R.; Harms, T.

1990-03-01

In response to the US Department of Energy's (DOE's) anticipated need for variances from the Resource Conservation and Recovery Act (RCRA) Land Disposal Restrictions (LDRs), a treatability variance guidance document was prepared. The guidance manual is for use by DOE facilities and operations offices. The manual was prepared as a part of an ongoing effort by DOE-EH to provide guidance for the operations offices and facilities to comply with the RCRA (LDRs). A treatability variance is an alternative treatment standard granted by EPA for a restricted waste. Such a variance is not an exemption from the requirements of the LDRs, but rather is an alternative treatment standard that must be met before land disposal. The manual, Guidance For Obtaining Variance From the Treatment Standards of the RCRA Land Disposal Restrictions (1), leads the reader through the process of evaluating whether a variance from the treatment standard is a viable approach and through the data-gathering and data-evaluation processes required to develop a petition requesting a variance. The DOE review and coordination process is also described and model language for use in petitions for DOE radioactive mixed waste (RMW) is provided. The guidance manual focuses on RMW streams, however the manual also is applicable to nonmixed, hazardous waste streams. 4 refs

Modeling Attitude Variance in Small UAS’s for Acoustic Signature Simplification Using Experimental Design in a Hardware-in-the-Loop Simulation

Science.gov (United States)

2015-03-26

response. Additionally, choosing correlated levels for multiple factors results in multicollinearity which can cause problems such as model...misspecification or large variances and covariances for the regression coefficients. A good way to avoid multicollinearity is to use orthogonal, factorial

Recognition Memory zROC Slopes for Items with Correct versus Incorrect Source Decisions Discriminate the Dual Process and Unequal Variance Signal Detection Models

Science.gov (United States)

Starns, Jeffrey J.; Rotello, Caren M.; Hautus, Michael J.

2014-01-01

We tested the dual process and unequal variance signal detection models by jointly modeling recognition and source confidence ratings. The 2 approaches make unique predictions for the slope of the recognition memory zROC function for items with correct versus incorrect source decisions. The standard bivariate Gaussian version of the unequal…

Dealing with multicollinearity in predicting egg components from egg weight and egg dimension

Directory of Open Access Journals (Sweden)

Tarek M. Shafey

2014-10-01

Full Text Available Measurements of 174 eggs from meat-type breeder flock (Ross at 36 weeks of age were used to study the problem of multicollinearity (MC instability in the estimation of egg components of yolk weight (YKWT, albumen weight (ALBWT and eggshell weight (SHWT. Egg weight (EGWT, egg shape index (ESI=egg width (EGWD*100/egg length (EGL and their interaction (EGWTESI were used in the context of un-centred vs centred data and principal components regression (PCR models. The pairwise phenotypic correlations, variance inflation factor (VIF, eigenvalues, condition index (CI, and variance proportions were examined. Egg weight had positive correlations with EGWD and EGL (r=0.56 and 0.50, respectively; P<0.0001 and EGL had a negative correlation with ESI (r=-0.79; P<0.0001. The highest correlation was observed between EGWT and ALBWT (r=0.94; P<0.0001, while the lowest was between EGWD and SHWT (r=0.33; P<0.0001. Multicollinearity problems were found in EGWT, ESI and their interaction as shown by VIF (>10, eigenvalues (near zero, CI (>30 and high corresponding proportions of variance of EGWT, ESI and EGWTESI with respect to EGWTESI. Results from this study suggest that mean centring and PCR were appropriate to overcome the MC instability in the estimation of egg components from EGWT and ESI. These methods improved the meaning of intercept values and produced much lower standard error values for regression coefficients than those from un-centred data.

Use of hypotheses for analysis of variance Models: Challenging the current practice

NARCIS (Netherlands)

van Wesel, F.; Boeije, H.R.; Hoijtink, H

2013-01-01

In social science research, hypotheses about group means are commonly tested using analysis of variance. While deemed to be formulated as specifically as possible to test social science theory, they are often defined in general terms. In this article we use two studies to explore the current

Self-esteem Is Mostly Stable Across Young Adulthood: Evidence from Latent STARTS Models.

Science.gov (United States)

Wagner, Jenny; Lüdtke, Oliver; Trautwein, Ulrich

2016-08-01

How stable is self-esteem? This long-standing debate has led to different conclusions across different areas of psychology. Longitudinal data and up-to-date statistical models have recently indicated that self-esteem has stable and autoregressive trait-like components and state-like components. We applied latent STARTS models with the goal of replicating previous findings in a longitudinal sample of young adults (N = 4,532; Mage  = 19.60, SD = 0.85; 55% female). In addition, we applied multigroup models to extend previous findings on different patterns of stability for men versus women and for people with high versus low levels of depressive symptoms. We found evidence for the general pattern of a major proportion of stable and autoregressive trait variance and a smaller yet substantial amount of state variance in self-esteem across 10 years. Furthermore, multigroup models suggested substantial differences in the variance components: Females showed more state variability than males. Individuals with higher levels of depressive symptoms showed more state and less autoregressive trait variance in self-esteem. Results are discussed with respect to the ongoing trait-state debate and possible implications of the group differences that we found in the stability of self-esteem. © 2015 Wiley Periodicals, Inc.

Image Enhancement via Subimage Histogram Equalization Based on Mean and Variance

Science.gov (United States)

2017-01-01

This paper puts forward a novel image enhancement method via Mean and Variance based Subimage Histogram Equalization (MVSIHE), which effectively increases the contrast of the input image with brightness and details well preserved compared with some other methods based on histogram equalization (HE). Firstly, the histogram of input image is divided into four segments based on the mean and variance of luminance component, and the histogram bins of each segment are modified and equalized, respectively. Secondly, the result is obtained via the concatenation of the processed subhistograms. Lastly, the normalization method is deployed on intensity levels, and the integration of the processed image with the input image is performed. 100 benchmark images from a public image database named CVG-UGR-Database are used for comparison with other state-of-the-art methods. The experiment results show that the algorithm can not only enhance image information effectively but also well preserve brightness and details of the original image. PMID:29403529

Image Enhancement via Subimage Histogram Equalization Based on Mean and Variance

Directory of Open Access Journals (Sweden)

Liyun Zhuang

2017-01-01

Full Text Available This paper puts forward a novel image enhancement method via Mean and Variance based Subimage Histogram Equalization (MVSIHE, which effectively increases the contrast of the input image with brightness and details well preserved compared with some other methods based on histogram equalization (HE. Firstly, the histogram of input image is divided into four segments based on the mean and variance of luminance component, and the histogram bins of each segment are modified and equalized, respectively. Secondly, the result is obtained via the concatenation of the processed subhistograms. Lastly, the normalization method is deployed on intensity levels, and the integration of the processed image with the input image is performed. 100 benchmark images from a public image database named CVG-UGR-Database are used for comparison with other state-of-the-art methods. The experiment results show that the algorithm can not only enhance image information effectively but also well preserve brightness and details of the original image.

Image Enhancement via Subimage Histogram Equalization Based on Mean and Variance.

Science.gov (United States)

Zhuang, Liyun; Guan, Yepeng

2017-01-01

This paper puts forward a novel image enhancement method via Mean and Variance based Subimage Histogram Equalization (MVSIHE), which effectively increases the contrast of the input image with brightness and details well preserved compared with some other methods based on histogram equalization (HE). Firstly, the histogram of input image is divided into four segments based on the mean and variance of luminance component, and the histogram bins of each segment are modified and equalized, respectively. Secondly, the result is obtained via the concatenation of the processed subhistograms. Lastly, the normalization method is deployed on intensity levels, and the integration of the processed image with the input image is performed. 100 benchmark images from a public image database named CVG-UGR-Database are used for comparison with other state-of-the-art methods. The experiment results show that the algorithm can not only enhance image information effectively but also well preserve brightness and details of the original image.

Component-based modeling of systems for automated fault tree generation

International Nuclear Information System (INIS)

Majdara, Aref; Wakabayashi, Toshio

2009-01-01

One of the challenges in the field of automated fault tree construction is to find an efficient modeling approach that can support modeling of different types of systems without ignoring any necessary details. In this paper, we are going to represent a new system of modeling approach for computer-aided fault tree generation. In this method, every system model is composed of some components and different types of flows propagating through them. Each component has a function table that describes its input-output relations. For the components having different operational states, there is also a state transition table. Each component can communicate with other components in the system only through its inputs and outputs. A trace-back algorithm is proposed that can be applied to the system model to generate the required fault trees. The system modeling approach and the fault tree construction algorithm are applied to a fire sprinkler system and the results are presented

Examining age-related shared variance between face cognition, vision, and self-reported physical health: a test of the common cause hypothesis for social cognition

Science.gov (United States)

Olderbak, Sally; Hildebrandt, Andrea; Wilhelm, Oliver

2015-01-01

The shared decline in cognitive abilities, sensory functions (e.g., vision and hearing), and physical health with increasing age is well documented with some research attributing this shared age-related decline to a single common cause (e.g., aging brain). We evaluate the extent to which the common cause hypothesis predicts associations between vision and physical health with social cognition abilities specifically face perception and face memory. Based on a sample of 443 adults (17–88 years old), we test a series of structural equation models, including Multiple Indicator Multiple Cause (MIMIC) models, and estimate the extent to which vision and self-reported physical health are related to face perception and face memory through a common factor, before and after controlling for their fluid cognitive component and the linear effects of age. Results suggest significant shared variance amongst these constructs, with a common factor explaining some, but not all, of the shared age-related variance. Also, we found that the relations of face perception, but not face memory, with vision and physical health could be completely explained by fluid cognition. Overall, results suggest that a single common cause explains most, but not all age-related shared variance with domain specific aging mechanisms evident. PMID:26321998

Examining Age-Related Shared Variance Between Face Cognition, Vision, and Self-Reported Physical Health: A Test of the Common Cause Hypothesis for Social Cognition

Directory of Open Access Journals (Sweden)

Sally eOlderbak

2015-08-01

Full Text Available The shared decline in cognitive abilities, sensory functions (e.g., vision and hearing, and physical health with increasing age is well documented with some research attributing this shared age-related decline to a single common cause (e.g., aging brain. We evaluate the extent to which the common cause hypothesis predicts associations between vision and physical health with social cognition abilities, specifically face perception and face memory. Based on a sample of 443 adults (17 to 88 years old, we test a series of structural equation models, including Multiple Indicator Multiple Cause (MIMIC models, and estimate the extent to which vision and self-reported physical health are related to face perception and face memory through a common factor, before and after controlling for their fluid cognitive component and the linear effects of age. Results suggest significant shared variance amongst these constructs, with a common factor explaining some, but not all, of the shared age-related variance. Also, we found that the relations of face perception, but not face memory, with vision and physical health could be completely explained by fluid cognition. Overall, results suggest that a single common cause explains most, but not all age-related shared variance with domain specific aging mechanisms evident.

Mean-Variance Analysis in a Multiperiod Setting

OpenAIRE

Frauendorfer, Karl; Siede, Heiko

1997-01-01

Similar to the classical Markowitz approach it is possible to apply a mean-variance criterion to a multiperiod setting to obtain efficient portfolios. To represent the stochastic dynamic characteristics necessary for modelling returns a process of asset returns is discretized with respect to time and space and summarized in a scenario tree. The resulting optimization problem is solved by means of stochastic multistage programming. The optimal solutions show equivalent structural properties as...

Sensitivity analysis of simulated SOA loadings using a variance-based statistical approach: SENSITIVITY ANALYSIS OF SOA

Energy Technology Data Exchange (ETDEWEB)

Shrivastava, Manish [Pacific Northwest National Laboratory, Richland Washington USA; Zhao, Chun [Pacific Northwest National Laboratory, Richland Washington USA; Easter, Richard C. [Pacific Northwest National Laboratory, Richland Washington USA; Qian, Yun [Pacific Northwest National Laboratory, Richland Washington USA; Zelenyuk, Alla [Pacific Northwest National Laboratory, Richland Washington USA; Fast, Jerome D. [Pacific Northwest National Laboratory, Richland Washington USA; Liu, Ying [Pacific Northwest National Laboratory, Richland Washington USA; Zhang, Qi [Department of Environmental Toxicology, University of California Davis, California USA; Guenther, Alex [Department of Earth System Science, University of California, Irvine California USA

2016-04-08

We investigate the sensitivity of secondary organic aerosol (SOA) loadings simulated by a regional chemical transport model to 7 selected tunable model parameters: 4 involving emissions of anthropogenic and biogenic volatile organic compounds, anthropogenic semi-volatile and intermediate volatility organics (SIVOCs), and NOx, 2 involving dry deposition of SOA precursor gases, and one involving particle-phase transformation of SOA to low volatility. We adopt a quasi-Monte Carlo sampling approach to effectively sample the high-dimensional parameter space, and perform a 250 member ensemble of simulations using a regional model, accounting for some of the latest advances in SOA treatments based on our recent work. We then conduct a variance-based sensitivity analysis using the generalized linear model method to study the responses of simulated SOA loadings to the tunable parameters. Analysis of SOA variance from all 250 simulations shows that the volatility transformation parameter, which controls whether particle-phase transformation of SOA from semi-volatile SOA to non-volatile is on or off, is the dominant contributor to variance of simulated surface-level daytime SOA (65% domain average contribution). We also split the simulations into 2 subsets of 125 each, depending on whether the volatility transformation is turned on/off. For each subset, the SOA variances are dominated by the parameters involving biogenic VOC and anthropogenic SIVOC emissions. Furthermore, biogenic VOC emissions have a larger contribution to SOA variance when the SOA transformation to non-volatile is on, while anthropogenic SIVOC emissions have a larger contribution when the transformation is off. NOx contributes less than 4.3% to SOA variance, and this low contribution is mainly attributed to dominance of intermediate to high NOx conditions throughout the simulated domain. The two parameters related to dry deposition of SOA precursor gases also have very low contributions to SOA variance

Prediction error variance and expected response to selection, when selection is based on the best predictor – for Gaussian and threshold characters, traits following a Poisson mixed model and survival traits

Directory of Open Access Journals (Sweden)

Jensen Just

2002-05-01

Full Text Available Abstract In this paper, we consider selection based on the best predictor of animal additive genetic values in Gaussian linear mixed models, threshold models, Poisson mixed models, and log normal frailty models for survival data (including models with time-dependent covariates with associated fixed or random effects. In the different models, expressions are given (when these can be found – otherwise unbiased estimates are given for prediction error variance, accuracy of selection and expected response to selection on the additive genetic scale and on the observed scale. The expressions given for non Gaussian traits are generalisations of the well-known formulas for Gaussian traits – and reflect, for Poisson mixed models and frailty models for survival data, the hierarchal structure of the models. In general the ratio of the additive genetic variance to the total variance in the Gaussian part of the model (heritability on the normally distributed level of the model or a generalised version of heritability plays a central role in these formulas.

Algorithmic fault tree construction by component-based system modeling

International Nuclear Information System (INIS)

Majdara, Aref; Wakabayashi, Toshio

2008-01-01

Computer-aided fault tree generation can be easier, faster and less vulnerable to errors than the conventional manual fault tree construction. In this paper, a new approach for algorithmic fault tree generation is presented. The method mainly consists of a component-based system modeling procedure an a trace-back algorithm for fault tree synthesis. Components, as the building blocks of systems, are modeled using function tables and state transition tables. The proposed method can be used for a wide range of systems with various kinds of components, if an inclusive component database is developed. (author)

Markov bridges, bisection and variance reduction

DEFF Research Database (Denmark)

Asmussen, Søren; Hobolth, Asger

. In this paper we firstly consider the problem of generating sample paths from a continuous-time Markov chain conditioned on the endpoints using a new algorithm based on the idea of bisection. Secondly we study the potential of the bisection algorithm for variance reduction. In particular, examples are presented......Time-continuous Markov jump processes is a popular modelling tool in disciplines ranging from computational finance and operations research to human genetics and genomics. The data is often sampled at discrete points in time, and it can be useful to simulate sample paths between the datapoints...

Principal component and spatial correlation analysis of spectroscopic-imaging data in scanning probe microscopy

International Nuclear Information System (INIS)

Jesse, Stephen; Kalinin, Sergei V

2009-01-01

An approach for the analysis of multi-dimensional, spectroscopic-imaging data based on principal component analysis (PCA) is explored. PCA selects and ranks relevant response components based on variance within the data. It is shown that for examples with small relative variations between spectra, the first few PCA components closely coincide with results obtained using model fitting, and this is achieved at rates approximately four orders of magnitude faster. For cases with strong response variations, PCA allows an effective approach to rapidly process, de-noise, and compress data. The prospects for PCA combined with correlation function analysis of component maps as a universal tool for data analysis and representation in microscopy are discussed.

Validation by simulation of a clinical trial model using the standardized mean and variance criteria.

Science.gov (United States)

Abbas, Ismail; Rovira, Joan; Casanovas, Josep

2006-12-01

To develop and validate a model of a clinical trial that evaluates the changes in cholesterol level as a surrogate marker for lipodystrophy in HIV subjects under alternative antiretroviral regimes, i.e., treatment with Protease Inhibitors vs. a combination of nevirapine and other antiretroviral drugs. Five simulation models were developed based on different assumptions, on treatment variability and pattern of cholesterol reduction over time. The last recorded cholesterol level, the difference from the baseline, the average difference from the baseline and level evolution, are the considered endpoints. Specific validation criteria based on a 10% minus or plus standardized distance in means and variances were used to compare the real and the simulated data. The validity criterion was met by all models for considered endpoints. However, only two models met the validity criterion when all endpoints were considered. The model based on the assumption that within-subjects variability of cholesterol levels changes over time is the one that minimizes the validity criterion, standardized distance equal to or less than 1% minus or plus. Simulation is a useful technique for calibration, estimation, and evaluation of models, which allows us to relax the often overly restrictive assumptions regarding parameters required by analytical approaches. The validity criterion can also be used to select the preferred model for design optimization, until additional data are obtained allowing an external validation of the model.

The Rise and Fall of S&P500 Variance Futures

NARCIS (Netherlands)

C-L. Chang (Chia-Lin); J.A. Jiménez-Martín (Juan-Ángel); M.J. McAleer (Michael); T. Pérez-Amaral (Teodosio)

2011-01-01

textabstractModelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most popular volatility

Parameter estimation of component reliability models in PSA model of Krsko NPP

International Nuclear Information System (INIS)

Jordan Cizelj, R.; Vrbanic, I.

2001-01-01

In the paper, the uncertainty analysis of component reliability models for independent failures is shown. The present approach for parameter estimation of component reliability models in NPP Krsko is presented. Mathematical approaches for different types of uncertainty analyses are introduced and used in accordance with some predisposed requirements. Results of the uncertainty analyses are shown in an example for time-related components. As the most appropriate uncertainty analysis proved the Bayesian estimation with the numerical estimation of a posterior, which can be approximated with some appropriate probability distribution, in this paper with lognormal distribution.(author)

Impact of an equality constraint on the class-specific residual variances in regression mixtures: A Monte Carlo simulation study.

Science.gov (United States)

Kim, Minjung; Lamont, Andrea E; Jaki, Thomas; Feaster, Daniel; Howe, George; Van Horn, M Lee

2016-06-01

Regression mixture models are a novel approach to modeling the heterogeneous effects of predictors on an outcome. In the model-building process, often residual variances are disregarded and simplifying assumptions are made without thorough examination of the consequences. In this simulation study, we investigated the impact of an equality constraint on the residual variances across latent classes. We examined the consequences of constraining the residual variances on class enumeration (finding the true number of latent classes) and on the parameter estimates, under a number of different simulation conditions meant to reflect the types of heterogeneity likely to exist in applied analyses. The results showed that bias in class enumeration increased as the difference in residual variances between the classes increased. Also, an inappropriate equality constraint on the residual variances greatly impacted on the estimated class sizes and showed the potential to greatly affect the parameter estimates in each class. These results suggest that it is important to make assumptions about residual variances with care and to carefully report what assumptions are made.

Gravity interpretation of dipping faults using the variance analysis method

International Nuclear Information System (INIS)

Essa, Khalid S

2013-01-01

A new algorithm is developed to estimate simultaneously the depth and the dip angle of a buried fault from the normalized gravity gradient data. This algorithm utilizes numerical first horizontal derivatives computed from the observed gravity anomaly, using filters of successive window lengths to estimate the depth and the dip angle of a buried dipping fault structure. For a fixed window length, the depth is estimated using a least-squares sense for each dip angle. The method is based on computing the variance of the depths determined from all horizontal gradient anomaly profiles using the least-squares method for each dip angle. The minimum variance is used as a criterion for determining the correct dip angle and depth of the buried structure. When the correct dip angle is used, the variance of the depths is always less than the variances computed using wrong dip angles. The technique can be applied not only to the true residuals, but also to the measured Bouguer gravity data. The method is applied to synthetic data with and without random errors and two field examples from Egypt and Scotland. In all cases examined, the estimated depths and other model parameters are found to be in good agreement with the actual values. (paper)

Overview of the model component in ECOCLIM

DEFF Research Database (Denmark)

Geels, Camilla; Boegh, Eva; Bendtsen, J

and atmospheric models. We will use the model system to 1) quantify the potential effects of climate change on ecosystem exchange of GHG and 2) estimate the impacts of changes in management practices including land use change and nitrogen (N) loads. Here the various model components will be introduced...

Adaptation to Variance of Stimuli in Drosophila Larva Navigation

Science.gov (United States)

Wolk, Jason; Gepner, Ruben; Gershow, Marc

In order to respond to stimuli that vary over orders of magnitude while also being capable of sensing very small changes, neural systems must be capable of rapidly adapting to the variance of stimuli. We study this adaptation in Drosophila larvae responding to varying visual signals and optogenetically induced fictitious odors using an infrared illuminated arena and custom computer vision software. Larval navigational decisions (when to turn) are modeled as the output a linear-nonlinear Poisson process. The development of the nonlinear turn rate in response to changes in variance is tracked using an adaptive point process filter determining the rate of adaptation to different stimulus profiles. Supported by NIH Grant 1DP2EB022359 and NSF Grant PHY-1455015.

Flow-Cell-Induced Dispersion in Flow-through Absorbance Detection Systems: True Column Effluent Peak Variance.

Science.gov (United States)

Dasgupta, Purnendu K; Shelor, Charles Phillip; Kadjo, Akinde Florence; Kraiczek, Karsten G

2018-02-06

Following a brief overview of the emergence of absorbance detection in liquid chromatography, we focus on the dispersion caused by the absorbance measurement cell and its inlet. A simple experiment is proposed wherein chromatographic flow and conditions are held constant but a variable portion of the column effluent is directed into the detector. The temporal peak variance (σ t,obs 2 ), which increases as the flow rate (F) through the detector decreases, is found to be well-described as a quadratic function of 1 / F . This allows the extrapolation of the results to zero residence time in the detector and thence the determination of the true variance of the peak prior to the detector (this includes contribution of all preceding components). This general approach should be equally applicable to detection systems other than absorbance. We also experiment where the inlet/outlet system remains the same but the path length is varied. This allows one to assess the individual contributions of the cell itself and the inlet/outlet system.to the total observed peak. The dispersion in the cell itself has often been modeled as a flow-independent parameter, dependent only on the cell volume. Except for very long path/large volume cells, this paradigm is simply incorrect.

The Distribution of the Sample Minimum-Variance Frontier

OpenAIRE

Raymond Kan; Daniel R. Smith

2008-01-01

In this paper, we present a finite sample analysis of the sample minimum-variance frontier under the assumption that the returns are independent and multivariate normally distributed. We show that the sample minimum-variance frontier is a highly biased estimator of the population frontier, and we propose an improved estimator of the population frontier. In addition, we provide the exact distribution of the out-of-sample mean and variance of sample minimum-variance portfolios. This allows us t...

Minimum variance and variance of outgoing quality limit MDS-1(c1, c2) plans

Science.gov (United States)

Raju, C.; Vidya, R.

2016-06-01

In this article, the outgoing quality (OQ) and total inspection (TI) of multiple deferred state sampling plans MDS-1(c1,c2) are studied. It is assumed that the inspection is rejection rectification. Procedures for designing MDS-1(c1,c2) sampling plans with minimum variance of OQ and TI are developed. A procedure for obtaining a plan for a designated upper limit for the variance of the OQ (VOQL) is outlined.

Genomic selection in mink yield higher accuracies with a Bayesian approach allowing for heterogeneous variance than a GBLUP model

DEFF Research Database (Denmark)

Villumsen, Trine Michelle; Su, Guosheng; Cai, Zexi

2018-01-01

by sequencing. Four live grading traits and four traits on dried pelts for size and quality were analysed. GWAS analysis detected significant SNPs for all the traits. The single-trait Bayesian model resulted in higher accuracies for the genomic predictions than the single-trait GBLUP model, especially......The accuracy of genomic prediction for mink was compared for single-trait and multiple-trait GBLUP models and Bayesian models that allowed for heterogeneous (co)variance structure over the genome. The mink population consisted of 2,103 brown minks genotyped with the method of genotyping...... for the traits measured on dried pelts. We expected the multiple-trait models to be superior to the single trait models since the multiple-trait model can make use of information when traits are correlated. However, we did not find a general improvement in accuracies with the multiple-trait models compared...

Estimation of genetic connectedness diagnostics based on prediction errors without the prediction error variance-covariance matrix.

Science.gov (United States)

Holmes, John B; Dodds, Ken G; Lee, Michael A

2017-03-02

An important issue in genetic evaluation is the comparability of random effects (breeding values), particularly between pairs of animals in different contemporary groups. This is usually referred to as genetic connectedness. While various measures of connectedness have been proposed in the literature, there is general agreement that the most appropriate measure is some function of the prediction error variance-covariance matrix. However, obtaining the prediction error variance-covariance matrix is computationally demanding for large-scale genetic evaluations. Many alternative statistics have been proposed that avoid the computational cost of obtaining the prediction error variance-covariance matrix, such as counts of genetic links between contemporary groups, gene flow matrices, and functions of the variance-covariance matrix of estimated contemporary group fixed effects. In this paper, we show that a correction to the variance-covariance matrix of estimated contemporary group fixed effects will produce the exact prediction error variance-covariance matrix averaged by contemporary group for univariate models in the presence of single or multiple fixed effects and one random effect. We demonstrate the correction for a series of models and show that approximations to the prediction error matrix based solely on the variance-covariance matrix of estimated contemporary group fixed effects are inappropriate in certain circumstances. Our method allows for the calculation of a connectedness measure based on the prediction error variance-covariance matrix by calculating only the variance-covariance matrix of estimated fixed effects. Since the number of fixed effects in genetic evaluation is usually orders of magnitudes smaller than the number of random effect levels, the computational requirements for our method should be reduced.

Hybrid biasing approaches for global variance reduction

International Nuclear Information System (INIS)

Wu, Zeyun; Abdel-Khalik, Hany S.

2013-01-01

A new variant of Monte Carlo—deterministic (DT) hybrid variance reduction approach based on Gaussian process theory is presented for accelerating convergence of Monte Carlo simulation and compared with Forward-Weighted Consistent Adjoint Driven Importance Sampling (FW-CADIS) approach implemented in the SCALE package from Oak Ridge National Laboratory. The new approach, denoted the Gaussian process approach, treats the responses of interest as normally distributed random processes. The Gaussian process approach improves the selection of the weight windows of simulated particles by identifying a subspace that captures the dominant sources of statistical response variations. Like the FW-CADIS approach, the Gaussian process approach utilizes particle importance maps obtained from deterministic adjoint models to derive weight window biasing. In contrast to the FW-CADIS approach, the Gaussian process approach identifies the response correlations (via a covariance matrix) and employs them to reduce the computational overhead required for global variance reduction (GVR) purpose. The effective rank of the covariance matrix identifies the minimum number of uncorrelated pseudo responses, which are employed to bias simulated particles. Numerical experiments, serving as a proof of principle, are presented to compare the Gaussian process and FW-CADIS approaches in terms of the global reduction in standard deviation of the estimated responses. - Highlights: ► Hybrid Monte Carlo Deterministic Method based on Gaussian Process Model is introduced. ► Method employs deterministic model to calculate responses correlations. ► Method employs correlations to bias Monte Carlo transport. ► Method compared to FW-CADIS methodology in SCALE code. ► An order of magnitude speed up is achieved for a PWR core model.

[Analytic methods for seed models with genotype x environment interactions].

Science.gov (United States)

Zhu, J

1996-01-01

Genetic models with genotype effect (G) and genotype x environment interaction effect (GE) are proposed for analyzing generation means of seed quantitative traits in crops. The total genetic effect (G) is partitioned into seed direct genetic effect (G0), cytoplasm genetic of effect (C), and maternal plant genetic effect (Gm). Seed direct genetic effect (G0) can be further partitioned into direct additive (A) and direct dominance (D) genetic components. Maternal genetic effect (Gm) can also be partitioned into maternal additive (Am) and maternal dominance (Dm) genetic components. The total genotype x environment interaction effect (GE) can also be partitioned into direct genetic by environment interaction effect (G0E), cytoplasm genetic by environment interaction effect (CE), and maternal genetic by environment interaction effect (GmE). G0E can be partitioned into direct additive by environment interaction (AE) and direct dominance by environment interaction (DE) genetic components. GmE can also be partitioned into maternal additive by environment interaction (AmE) and maternal dominance by environment interaction (DmE) genetic components. Partitions of genetic components are listed for parent, F1, F2 and backcrosses. A set of parents, their reciprocal F1 and F2 seeds is applicable for efficient analysis of seed quantitative traits. MINQUE(0/1) method can be used for estimating variance and covariance components. Unbiased estimation for covariance components between two traits can also be obtained by the MINQUE(0/1) method. Random genetic effects in seed models are predictable by the Adjusted Unbiased Prediction (AUP) approach with MINQUE(0/1) method. The jackknife procedure is suggested for estimation of sampling variances of estimated variance and covariance components and of predicted genetic effects, which can be further used in a t-test for parameter. Unbiasedness and efficiency for estimating variance components and predicting genetic effects are tested by

Probabilistic Modeling of Wind Turbine Drivetrain Components

DEFF Research Database (Denmark)

Rafsanjani, Hesam Mirzaei

Wind energy is one of several energy sources in the world and a rapidly growing industry in the energy sector. When placed in offshore or onshore locations, wind turbines are exposed to wave excitations, highly dynamic wind loads and/or the wakes from other wind turbines. Therefore, most components...... in a wind turbine experience highly dynamic and time-varying loads. These components may fail due to wear or fatigue, and this can lead to unplanned shutdown repairs that are very costly. The design by deterministic methods using safety factors is generally unable to account for the many uncertainties. Thus......, a reliability assessment should be based on probabilistic methods where stochastic modeling of failures is performed. This thesis focuses on probabilistic models and the stochastic modeling of the fatigue life of the wind turbine drivetrain. Hence, two approaches are considered for stochastic modeling...

Variance Components Models for Physical Activity With Age as Modifier: A Comparative Twin Study in Seven Countries

NARCIS (Netherlands)

Vink, J.M.; Boomsma, D.I.; Medland, S.E.; Moor, H.M. de; Stubbe, J.H.; Corner, B.K.; Martin, N.G.; Skytthea, A.; Kyvik, K.O.; Rose, R..J.; Kujala, U.M.; Kaprio, J.; Harris, J.R.; Pedersen, N.L.; Cherkas, L.; Spector, T.D.; Geus, E.J.

2011-01-01

Physical activity is influenced by genetic factors whose expression may change with age. We employed an extension to the classical twin model that allows a modifier variable, age, to interact with the effects of the latent genetic and environmental factors. The model was applied to self-reported

Mean and variance evolutions of the hot and cold temperatures in Europe

Energy Technology Data Exchange (ETDEWEB)

Parey, Sylvie [EDF/R and D, Chatou Cedex (France); Dacunha-Castelle, D. [Universite Paris 11, Laboratoire de Mathematiques, Orsay (France); Hoang, T.T.H. [Universite Paris 11, Laboratoire de Mathematiques, Orsay (France); EDF/R and D, Chatou Cedex (France)

2010-02-15

In this paper, we examine the trends of temperature series in Europe, for the mean as well as for the variance in hot and cold seasons. To do so, we use as long and homogenous series as possible, provided by the European Climate Assessment and Dataset project for different locations in Europe, as well as the European ENSEMBLES project gridded dataset and the ERA40 reanalysis. We provide a definition of trends that we keep as intrinsic as possible and apply non-parametric statistical methods to analyse them. Obtained results show a clear link between trends in mean and variance of the whole series of hot or cold temperatures: in general, variance increases when the absolute value of temperature increases, i.e. with increasing summer temperature and decreasing winter temperature. This link is reinforced in locations where winter and summer climate has more variability. In very cold or very warm climates, the variability is lower and the link between the trends is weaker. We performed the same analysis on outputs of six climate models proposed by European teams for the 1961-2000 period (1950-2000 for one model), available through the PCMDI portal for the IPCC fourth assessment climate model simulations. The models generally perform poorly and have difficulties in capturing the relation between the two trends, especially in summer. (orig.)

Discrete and continuous time dynamic mean-variance analysis

OpenAIRE

Reiss, Ariane

1999-01-01

Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is mean-variance efficient in a dynamic sense. It is shown that the optimal strategy for n risky assets may be dominated if the expected terminal wealth is constrained to exactly attain a certain goal instead o...

Nonlinear Epigenetic Variance: Review and Simulations

Science.gov (United States)

Kan, Kees-Jan; Ploeger, Annemie; Raijmakers, Maartje E. J.; Dolan, Conor V.; van Der Maas, Han L. J.

2010-01-01

We present a review of empirical evidence that suggests that a substantial portion of phenotypic variance is due to nonlinear (epigenetic) processes during ontogenesis. The role of such processes as a source of phenotypic variance in human behaviour genetic studies is not fully appreciated. In addition to our review, we present simulation studies…

Is residual memory variance a valid method for quantifying cognitive reserve? A longitudinal application

Science.gov (United States)

Zahodne, Laura B.; Manly, Jennifer J.; Brickman, Adam M.; Narkhede, Atul; Griffith, Erica Y.; Guzman, Vanessa A.; Schupf, Nicole; Stern, Yaakov

2016-01-01

Cognitive reserve describes the mismatch between brain integrity and cognitive performance. Older adults with high cognitive reserve are more resilient to age-related brain pathology. Traditionally, cognitive reserve is indexed indirectly via static proxy variables (e.g., years of education). More recently, cross-sectional studies have suggested that reserve can be expressed as residual variance in episodic memory performance that remains after accounting for demographic factors and brain pathology (whole brain, hippocampal, and white matter hyperintensity volumes). The present study extends these methods to a longitudinal framework in a community-based cohort of 244 older adults who underwent two comprehensive neuropsychological and structural magnetic resonance imaging sessions over 4.6 years. On average, residual memory variance decreased over time, consistent with the idea that cognitive reserve is depleted over time. Individual differences in change in residual memory variance predicted incident dementia, independent of baseline residual memory variance. Multiple-group latent difference score models revealed tighter coupling between brain and language changes among individuals with decreasing residual memory variance. These results suggest that changes in residual memory variance may capture a dynamic aspect of cognitive reserve and could be a useful way to summarize individual cognitive responses to brain changes. Change in residual memory variance among initially non-demented older adults was a better predictor of incident dementia than residual memory variance measured at one time-point. PMID:26348002

Variance-based selection may explain general mating patterns in social insects.

Science.gov (United States)

Rueppell, Olav; Johnson, Nels; Rychtár, Jan

2008-06-23

Female mating frequency is one of the key parameters of social insect evolution. Several hypotheses have been suggested to explain multiple mating and considerable empirical research has led to conflicting results. Building on several earlier analyses, we present a simple general model that links the number of queen matings to variance in colony performance and this variance to average colony fitness. The model predicts selection for multiple mating if the average colony succeeds in a focal task, and selection for single mating if the average colony fails, irrespective of the proximate mechanism that links genetic diversity to colony fitness. Empirical support comes from interspecific comparisons, e.g. between the bee genera Apis and Bombus, and from data on several ant species, but more comprehensive empirical tests are needed.

Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting

Directory of Open Access Journals (Sweden)

Stanislav Anatolyev

2015-08-01

Full Text Available Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML estimation with variance targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and investigate, via simulations, how non-normality features of the return distribution affect the quality of estimation of the volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions are more precisely estimated when no variance targeting is employed. Bias properties are exacerbated for a heavier-tailed distribution of standardized returns, while the distributional asymmetry has little or moderate impact, these phenomena tending to be more pronounced under variance targeting. Some effects further intensify if one uses ML based on a leptokurtic distribution in place of normal QML. The sample size has also a more favorable effect on estimation precision when no variance targeting is used. Thus, if computational costs are not prohibitive, variance targeting should probably be avoided.

A Mean-Variance Explanation of FDI Flows to Developing Countries

DEFF Research Database (Denmark)

Sunesen, Eva Rytter

country to another. This will have implications for the way investors evaluate the return and risk of investing abroad. This paper utilises a simple mean-variance optimisation framework where global and regonal factors capture the interdependence between countries. The model implies that FDI is driven...

The Achilles Heel of Normal Determinations via Minimum Variance Techniques: Worldline Dependencies

Science.gov (United States)

Ma, Z.; Scudder, J. D.; Omidi, N.

2002-12-01

Time series of data collected across current layers are usually organized by divining coordinate transformations (as from minimum variance) that permits a geometrical interpretation for the data collected. Almost without exception the current layer geometry is inferred by supposing that the current carrying layer is locally planar. Only after this geometry is ``determined'' can the various quantities predicted by theory calculated. The precision of reconnection rated ``measured'' and the quantitative support for or against component reconnection be evaluated. This paper defines worldline traversals across fully resolved Hall two fluid models of reconnecting current sheets (with varying sizes of guide fields) and across a 2-D hybrid solution of a super critical shock layer. Along each worldline various variance techniques are used to infer current sheet normals based on the data observed along this worldline alone. We then contrast these inferred normals with those known from the overview of the fully resolved spatial pictures of the layer. Absolute errors of 20 degrees in the normal are quite commonplace, but errors of 40-90 deg are also implied, especially for worldlines that make more and more oblique angles to the true current sheet normal. These mistaken ``inferences'' are traceable to the degree that the data collected sample 2-D variations within these layers or not. While it is not surprising that these variance techniques give incorrect errors in the presence of layers that possess 2-D variations, it is illuminating that such large errors need not be signalled by the traditional error formulae for the error cones on normals that have been previously used to estimate the errors of normal choices. Frequently the absolute errors that depend on worldline path can be 10 times the random error that formulae would predict based on eigenvalues of the covariance matrix. A given time series cannot be associated in any a priori way with a specific worldline

Variance estimation for generalized Cavalieri estimators

OpenAIRE

Johanna Ziegel; Eva B. Vedel Jensen; Karl-Anton Dorph-Petersen

2011-01-01

The precision of stereological estimators based on systematic sampling is of great practical importance. This paper presents methods of data-based variance estimation for generalized Cavalieri estimators where errors in sampling positions may occur. Variance estimators are derived under perturbed systematic sampling, systematic sampling with cumulative errors and systematic sampling with random dropouts. Copyright 2011, Oxford University Press.

Good genes and sexual selection in dung beetles (Onthophagus taurus: genetic variance in egg-to-adult and adult viability.

Directory of Open Access Journals (Sweden)

Francisco Garcia-Gonzalez

2011-01-01

Full Text Available Whether species exhibit significant heritable variation in fitness is central for sexual selection. According to good genes models there must be genetic variation in males leading to variation in offspring fitness if females are to obtain genetic benefits from exercising mate preferences, or by mating multiply. However, sexual selection based on genetic benefits is controversial, and there is limited unambiguous support for the notion that choosy or polyandrous females can increase the chances of producing offspring with high viability. Here we examine the levels of additive genetic variance in two fitness components in the dung beetle Onthophagus taurus. We found significant sire effects on egg-to-adult viability and on son, but not daughter, survival to sexual maturity, as well as moderate coefficients of additive variance in these traits. Moreover, we do not find evidence for sexual antagonism influencing genetic variation for fitness. Our results are consistent with good genes sexual selection, and suggest that both pre- and postcopulatory mate choice, and male competition could provide indirect benefits to females.

Variance components and genetic parameters for body weight and ...

African Journals Online (AJOL)

model included a direct as well as a maternal additive genetic effect, while only the direct additive genetic eff'ect had a sig- .... deviations from the log likelihood value obtained under the ... (1995).lt would therefore be fair to assume that a.

Compounding approach for univariate time series with nonstationary variances

Science.gov (United States)

Schäfer, Rudi; Barkhofen, Sonja; Guhr, Thomas; Stöckmann, Hans-Jürgen; Kuhl, Ulrich

2015-12-01

A defining feature of nonstationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for long time horizons, however, averages over the time-dependent variances. To model the long-term statistical behavior, we compound the local distribution with the distribution of its parameters. Here, we consider two concrete, but diverse, examples of such nonstationary systems: the turbulent air flow of a fan and a time series of foreign exchange rates. Our main focus is to empirically determine the appropriate parameter distribution for the compounding approach. To this end, we extract the relevant time scales by decomposing the time signals into windows and determine the distribution function of the thus obtained local variances.

Robustness of Component Models in Energy System Simulators

DEFF Research Database (Denmark)

Elmegaard, Brian

2003-01-01

During the development of the component-based energy system simulator DNA (Dynamic Network Analysis), several obstacles to easy use of the program have been observed. Some of these have to do with the nature of the program being based on a modelling language, not a graphical user interface (GUI......). Others have to do with the interaction between models of the nature of the substances in an energy system (e.g., fuels, air, flue gas), models of the components in a system (e.g., heat exchangers, turbines, pumps), and the solver for the system of equations. This paper proposes that the interaction...

Why risk is not variance: an expository note.

Science.gov (United States)

Cox, Louis Anthony Tony

2008-08-01

Variance (or standard deviation) of return is widely used as a measure of risk in financial investment risk analysis applications, where mean-variance analysis is applied to calculate efficient frontiers and undominated portfolios. Why, then, do health, safety, and environmental (HS&E) and reliability engineering risk analysts insist on defining risk more flexibly, as being determined by probabilities and consequences, rather than simply by variances? This note suggests an answer by providing a simple proof that mean-variance decision making violates the principle that a rational decisionmaker should prefer higher to lower probabilities of receiving a fixed gain, all else being equal. Indeed, simply hypothesizing a continuous increasing indifference curve for mean-variance combinations at the origin is enough to imply that a decisionmaker must find unacceptable some prospects that offer a positive probability of gain and zero probability of loss. Unlike some previous analyses of limitations of variance as a risk metric, this expository note uses only simple mathematics and does not require the additional framework of von Neumann Morgenstern utility theory.

Is residual memory variance a valid method for quantifying cognitive reserve? A longitudinal application.

Science.gov (United States)

Zahodne, Laura B; Manly, Jennifer J; Brickman, Adam M; Narkhede, Atul; Griffith, Erica Y; Guzman, Vanessa A; Schupf, Nicole; Stern, Yaakov

2015-10-01

Cognitive reserve describes the mismatch between brain integrity and cognitive performance. Older adults with high cognitive reserve are more resilient to age-related brain pathology. Traditionally, cognitive reserve is indexed indirectly via static proxy variables (e.g., years of education). More recently, cross-sectional studies have suggested that reserve can be expressed as residual variance in episodic memory performance that remains after accounting for demographic factors and brain pathology (whole brain, hippocampal, and white matter hyperintensity volumes). The present study extends these methods to a longitudinal framework in a community-based cohort of 244 older adults who underwent two comprehensive neuropsychological and structural magnetic resonance imaging sessions over 4.6 years. On average, residual memory variance decreased over time, consistent with the idea that cognitive reserve is depleted over time. Individual differences in change in residual memory variance predicted incident dementia, independent of baseline residual memory variance. Multiple-group latent difference score models revealed tighter coupling between brain and language changes among individuals with decreasing residual memory variance. These results suggest that changes in residual memory variance may capture a dynamic aspect of cognitive reserve and could be a useful way to summarize individual cognitive responses to brain changes. Change in residual memory variance among initially non-demented older adults was a better predictor of incident dementia than residual memory variance measured at one time-point. Copyright © 2015. Published by Elsevier Ltd.

Impact of head models in N170 component source imaging: results in control subjects and ADHD patients

International Nuclear Information System (INIS)

Beltrachini, L; Blenkmann, A; Ellenrieder, N von; Muravchik, C H; Petroni, A; Urquina, H; Manes, F; Ibáñez, A

2011-01-01

The major goal of evoked related potential studies arise in source localization techniques to identify the loci of neural activity that give rise to a particular voltage distribution measured on the surface of the scalp. In this paper we evaluate the effect of the head model adopted in order to estimate the N170 component source in attention deficit hyperactivity disorder (ADHD) patients and control subjects, considering faces and words stimuli. The standardized low resolution brain electromagnetic tomography algorithm (sLORETA) is used to compare between the three shell spherical head model and a fully realistic model based on the ICBM-152 atlas. We compare their variance on source estimation and analyze the impact on the N170 source localization. Results show that the often used three shell spherical model may lead to erroneous solutions, specially on ADHD patients, so its use is not recommended. Our results also suggest that N170 sources are mainly located in the right occipital fusiform gyrus for faces stimuli and in the left occipital fusiform gyrus for words stimuli, for both control subjects and ADHD patients. We also found a notable decrease on the N170 estimated source amplitude on ADHD patients, resulting in a plausible marker of the disease.

Impact of head models in N170 component source imaging: results in control subjects and ADHD patients

Science.gov (United States)

Beltrachini, L.; Blenkmann, A.; von Ellenrieder, N.; Petroni, A.; Urquina, H.; Manes, F.; Ibáñez, A.; Muravchik, C. H.

2011-12-01

The major goal of evoked related potential studies arise in source localization techniques to identify the loci of neural activity that give rise to a particular voltage distribution measured on the surface of the scalp. In this paper we evaluate the effect of the head model adopted in order to estimate the N170 component source in attention deficit hyperactivity disorder (ADHD) patients and control subjects, considering faces and words stimuli. The standardized low resolution brain electromagnetic tomography algorithm (sLORETA) is used to compare between the three shell spherical head model and a fully realistic model based on the ICBM-152 atlas. We compare their variance on source estimation and analyze the impact on the N170 source localization. Results show that the often used three shell spherical model may lead to erroneous solutions, specially on ADHD patients, so its use is not recommended. Our results also suggest that N170 sources are mainly located in the right occipital fusiform gyrus for faces stimuli and in the left occipital fusiform gyrus for words stimuli, for both control subjects and ADHD patients. We also found a notable decrease on the N170 estimated source amplitude on ADHD patients, resulting in a plausible marker of the disease.

Impact of head models in N170 component source imaging: results in control subjects and ADHD patients

Energy Technology Data Exchange (ETDEWEB)

Beltrachini, L; Blenkmann, A; Ellenrieder, N von; Muravchik, C H [Laboratory of Industrial Electronics, Control and Instrumentation (LEICI), National University of La Plata (Argentina); Petroni, A [Integrative Neuroscience Laboratory, Physics Department, University of Buenos Aires, Buenos Aires (Argentina); Urquina, H; Manes, F; Ibanez, A [Institute of Cognitive Neurology (INECO) and Institute of Neuroscience, Favaloro University, Buenos Aires (Argentina)

2011-12-23

The major goal of evoked related potential studies arise in source localization techniques to identify the loci of neural activity that give rise to a particular voltage distribution measured on the surface of the scalp. In this paper we evaluate the effect of the head model adopted in order to estimate the N170 component source in attention deficit hyperactivity disorder (ADHD) patients and control subjects, considering faces and words stimuli. The standardized low resolution brain electromagnetic tomography algorithm (sLORETA) is used to compare between the three shell spherical head model and a fully realistic model based on the ICBM-152 atlas. We compare their variance on source estimation and analyze the impact on the N170 source localization. Results show that the often used three shell spherical model may lead to erroneous solutions, specially on ADHD patients, so its use is not recommended. Our results also suggest that N170 sources are mainly located in the right occipital fusiform gyrus for faces stimuli and in the left occipital fusiform gyrus for words stimuli, for both control subjects and ADHD patients. We also found a notable decrease on the N170 estimated source amplitude on ADHD patients, resulting in a plausible marker of the disease.

Component based modelling of piezoelectric ultrasonic actuators for machining applications

International Nuclear Information System (INIS)

Saleem, A; Ahmed, N; Salah, M; Silberschmidt, V V

2013-01-01

Ultrasonically Assisted Machining (UAM) is an emerging technology that has been utilized to improve the surface finishing in machining processes such as turning, milling, and drilling. In this context, piezoelectric ultrasonic transducers are being used to vibrate the cutting tip while machining at predetermined amplitude and frequency. However, modelling and simulation of these transducers is a tedious and difficult task. This is due to the inherent nonlinearities associated with smart materials. Therefore, this paper presents a component-based model of ultrasonic transducers that mimics the nonlinear behaviour of such a system. The system is decomposed into components, a mathematical model of each component is created, and the whole system model is accomplished by aggregating the basic components' model. System parameters are identified using Finite Element technique which then has been used to simulate the system in Matlab/SIMULINK. Various operation conditions are tested and performed to demonstrate the system performance

A consistent transported PDF model for treating differential molecular diffusion

Science.gov (United States)

Wang, Haifeng; Zhang, Pei

2016-11-01

Differential molecular diffusion is a fundamentally significant phenomenon in all multi-component turbulent reacting or non-reacting flows caused by the different rates of molecular diffusion of energy and species concentrations. In the transported probability density function (PDF) method, the differential molecular diffusion can be treated by using a mean drift model developed by McDermott and Pope. This model correctly accounts for the differential molecular diffusion in the scalar mean transport and yields a correct DNS limit of the scalar variance production. The model, however, misses the molecular diffusion term in the scalar variance transport equation, which yields an inconsistent prediction of the scalar variance in the transported PDF method. In this work, a new model is introduced to remedy this problem that can yield a consistent scalar variance prediction. The model formulation along with its numerical implementation is discussed, and the model validation is conducted in a turbulent mixing layer problem.

Modeling accelerator structures and RF components

International Nuclear Information System (INIS)

Ko, K., Ng, C.K.; Herrmannsfeldt, W.B.

1993-03-01

Computer modeling has become an integral part of the design and analysis of accelerator structures RF components. Sophisticated 3D codes, powerful workstations and timely theory support all contributed to this development. We will describe our modeling experience with these resources and discuss their impact on ongoing work at SLAC. Specific examples from R ampersand D on a future linear collide and a proposed e + e - storage ring will be included

Variance bias analysis for the Gelbard's batch method

Energy Technology Data Exchange (ETDEWEB)

Seo, Jae Uk; Shim, Hyung Jin [Seoul National Univ., Seoul (Korea, Republic of)

2014-05-15

In this paper, variances and the bias will be derived analytically when the Gelbard's batch method is applied. And then, the real variance estimated from this bias will be compared with the real variance calculated from replicas. Variance and the bias were derived analytically when the batch method was applied. If the batch method was applied to calculate the sample variance, covariance terms between tallies which exist in the batch were eliminated from the bias. With the 2 by 2 fission matrix problem, we could calculate real variance regardless of whether or not the batch method was applied. However as batch size got larger, standard deviation of real variance was increased. When we perform a Monte Carlo estimation, we could get a sample variance as the statistical uncertainty of it. However, this value is smaller than the real variance of it because a sample variance is biased. To reduce this bias, Gelbard devised the method which is called the Gelbard's batch method. It has been certificated that a sample variance get closer to the real variance when the batch method is applied. In other words, the bias get reduced. This fact is well known to everyone in the MC field. However, so far, no one has given the analytical interpretation on it.

A critical view on temperature modelling for application in weather derivatives markets

International Nuclear Information System (INIS)

Šaltytė Benth, Jūratė; Benth, Fred Espen

2012-01-01

In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By comparing the proposed model with the popular model of Campbell and Diebold (2005), we point out some important issues to be addressed when modelling the temperature for application in weather derivatives market. - Highlights: ► We present a stochastic model for daily average temperature, containing seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. ► We compare the proposed model with the popular model of Campbell and Diebold (2005). ► Some important issues to be addressed when modelling the temperature for application in weather derivatives market are pointed out.

Design and Application of an Ontology for Component-Based Modeling of Water Systems

Science.gov (United States)

Elag, M.; Goodall, J. L.

2012-12-01

Many Earth system modeling frameworks have adopted an approach of componentizing models so that a large model can be assembled by linking a set of smaller model components. These model components can then be more easily reused, extended, and maintained by a large group of model developers and end users. While there has been a notable increase in component-based model frameworks in the Earth sciences in recent years, there has been less work on creating framework-agnostic metadata and ontologies for model components. Well defined model component metadata is needed, however, to facilitate sharing, reuse, and interoperability both within and across Earth system modeling frameworks. To address this need, we have designed an ontology for the water resources community named the Water Resources Component (WRC) ontology in order to advance the application of component-based modeling frameworks across water related disciplines. Here we present the design of the WRC ontology and demonstrate its application for integration of model components used in watershed management. First we show how the watershed modeling system Soil and Water Assessment Tool (SWAT) can be decomposed into a set of hydrological and ecological components that adopt the Open Modeling Interface (OpenMI) standard. Then we show how the components can be used to estimate nitrogen losses from land to surface water for the Baltimore Ecosystem study area. Results of this work are (i) a demonstration of how the WRC ontology advances the conceptual integration between components of water related disciplines by handling the semantic and syntactic heterogeneity present when describing components from different disciplines and (ii) an investigation of a methodology by which large models can be decomposed into a set of model components that can be well described by populating metadata according to the WRC ontology.

Experiment planning using high-level component models at W7-X

International Nuclear Information System (INIS)

Lewerentz, Marc; Spring, Anett; Bluhm, Torsten; Heimann, Peter; Hennig, Christine; Kühner, Georg; Kroiss, Hugo; Krom, Johannes G.; Laqua, Heike; Maier, Josef; Riemann, Heike; Schacht, Jörg; Werner, Andreas; Zilker, Manfred

2012-01-01

Highlights: ► Introduction of models for an abstract description of fusion experiments. ► Component models support creating feasible experiment programs at planning time. ► Component models contain knowledge about physical and technical constraints. ► Generated views on models allow to present crucial information. - Abstract: The superconducting stellarator Wendelstein 7-X (W7-X) is a fusion device, which is capable of steady state operation. Furthermore W7-X is a very complex technical system. To cope with these requirements a modular and strongly hierarchical component-based control and data acquisition system has been designed. The behavior of W7-X is characterized by thousands of technical parameters of the participating components. The intended sequential change of those parameters during an experiment is defined in an experiment program. Planning such an experiment program is a crucial and complex task. To reduce the complexity an abstract, more physics-oriented high-level layer has been introduced earlier. The so-called high-level (physics) parameters are used to encapsulate technical details. This contribution will focus on the extension of this layer to a high-level component model. It completely describes the behavior of a component for a certain period of time. It allows not only defining simple value ranges but also complex dependencies between physics parameters. This can be: dependencies within components, dependencies between components or temporal dependencies. Component models can now be analyzed to generate various views of an experiment. A first implementation of such an analyze process is already finished. A graphical preview of a planned discharge can be generated from a chronological sequence of component models. This allows physicists to survey complex planned experiment programs at a glance.

The use of testday models in the estimation of variance components ...

African Journals Online (AJOL)

Bernice Mostert

Breeding value estimation for somatic cell score in South African dairy cattle ... It causes severe ... traits, occurrence of mastitis is not routinely recorded in most dairy recording .... Genetic parameters for clinical mastitis, somatic cell counts.

Methods to estimate the between‐study variance and its uncertainty in meta‐analysis†

Science.gov (United States)

Jackson, Dan; Viechtbauer, Wolfgang; Bender, Ralf; Bowden, Jack; Knapp, Guido; Kuss, Oliver; Higgins, Julian PT; Langan, Dean; Salanti, Georgia

2015-01-01

Meta‐analyses are typically used to estimate the overall/mean of an outcome of interest. However, inference about between‐study variability, which is typically modelled using a between‐study variance parameter, is usually an additional aim. The DerSimonian and Laird method, currently widely used by default to estimate the between‐study variance, has been long challenged. Our aim is to identify known methods for estimation of the between‐study variance and its corresponding uncertainty, and to summarise the simulation and empirical evidence that compares them. We identified 16 estimators for the between‐study variance, seven methods to calculate confidence intervals, and several comparative studies. Simulation studies suggest that for both dichotomous and continuous data the estimator proposed by Paule and Mandel and for continuous data the restricted maximum likelihood estimator are better alternatives to estimate the between‐study variance. Based on the scenarios and results presented in the published studies, we recommend the Q‐profile method and the alternative approach based on a ‘generalised Cochran between‐study variance statistic’ to compute corresponding confidence intervals around the resulting estimates. Our recommendations are based on a qualitative evaluation of the existing literature and expert consensus. Evidence‐based recommendations require an extensive simulation study where all methods would be compared under the same scenarios. © 2015 The Authors. Research Synthesis Methods published by John Wiley & Sons Ltd. PMID:26332144

BWR Refill-Reflood Program, Task 4.7 - model development: TRAC-BWR component models

International Nuclear Information System (INIS)

Cheung, Y.K.; Parameswaran, V.; Shaug, J.C.

1983-09-01

TRAC (Transient Reactor Analysis Code) is a computer code for best-estimate analysis for the thermal hydraulic conditions in a reactor system. The development and assessment of the BWR component models developed under the Refill/Reflood Program that are necessary to structure a BWR-version of TRAC are described in this report. These component models are the jet pump, steam separator, steam dryer, two-phase level tracking model, and upper-plenum mixing model. These models have been implemented into TRAC-B02. Also a single-channel option has been developed for individual fuel-channel analysis following a system-response calculation

Integrating Variances into an Analytical Database

Science.gov (United States)

Sanchez, Carlos

2010-01-01

For this project, I enrolled in numerous SATERN courses that taught the basics of database programming. These include: Basic Access 2007 Forms, Introduction to Database Systems, Overview of Database Design, and others. My main job was to create an analytical database that can handle many stored forms and make it easy to interpret and organize. Additionally, I helped improve an existing database and populate it with information. These databases were designed to be used with data from Safety Variances and DCR forms. The research consisted of analyzing the database and comparing the data to find out which entries were repeated the most. If an entry happened to be repeated several times in the database, that would mean that the rule or requirement targeted by that variance has been bypassed many times already and so the requirement may not really be needed, but rather should be changed to allow the variance's conditions permanently. This project did not only restrict itself to the design and development of the database system, but also worked on exporting the data from the database to a different format (e.g. Excel or Word) so it could be analyzed in a simpler fashion. Thanks to the change in format, the data was organized in a spreadsheet that made it possible to sort the data by categories or types and helped speed up searches. Once my work with the database was done, the records of variances could be arranged so that they were displayed in numerical order, or one could search for a specific document targeted by the variances and restrict the search to only include variances that modified a specific requirement. A great part that contributed to my learning was SATERN, NASA's resource for education. Thanks to the SATERN online courses I took over the summer, I was able to learn many new things about computers and databases and also go more in depth into topics I already knew about.

Independent Component Analysis in Multimedia Modeling

DEFF Research Database (Denmark)

Larsen, Jan

2003-01-01

largely refers to text, images/video, audio and combinations of such data. We review a number of applications within single and combined media with the hope that this might provide inspiration for further research in this area. Finally, we provide a detailed presentation of our own recent work on modeling......Modeling of multimedia and multimodal data becomes increasingly important with the digitalization of the world. The objective of this paper is to demonstrate the potential of independent component analysis and blind sources separation methods for modeling and understanding of multimedia data, which...

Detailed finite element method modeling of evaporating multi-component droplets

Energy Technology Data Exchange (ETDEWEB)

Diddens, Christian, E-mail: C.Diddens@tue.nl

2017-07-01

The evaporation of sessile multi-component droplets is modeled with an axisymmetic finite element method. The model comprises the coupled processes of mixture evaporation, multi-component flow with composition-dependent fluid properties and thermal effects. Based on representative examples of water–glycerol and water–ethanol droplets, regular and chaotic examples of solutal Marangoni flows are discussed. Furthermore, the relevance of the substrate thickness for the evaporative cooling of volatile binary mixture droplets is pointed out. It is shown how the evaporation of the more volatile component can drastically decrease the interface temperature, so that ambient vapor of the less volatile component condenses on the droplet. Finally, results of this model are compared with corresponding results of a lubrication theory model, showing that the application of lubrication theory can cause considerable errors even for moderate contact angles of 40°. - Graphical abstract:.

Analisis Ragam dan Peragam Bobot Badan Kambing Peranakan Etawa (ANALYSIS VARIANCE AND COVARIANCE OF BODY WEIGHT OF ETTAWA GRADE GOAT

Directory of Open Access Journals (Sweden)

Siti Hidayati

2015-05-01

Full Text Available The aims of this study were (1 to analyze the phenotypic performance of Ettawa Grade (EG goat; (2to estimate the heritability of birth weight (BW, weaning weight (WW, yearling weight (YW, and geneticcorrelation between two body weights on the third different period; and (3 to analyze the variance andcovariance component of body weight. The material used were the exiting records of 437 EG goats in BalaiPembibitan Ternak Unggul dan Hijauan Pakan Ternak Pelaihari, South Kalimantan. These goats originatedfrom the crossing between 19 males and 216 females from periods of 2009 - 2012. Nested Design methodwas used to etimate the phenotypic correlation, heritability and genetic correlation. Variance componentswere determined from heritability estimation, while covariance components were determined from geneticcerrelation estimation. Phenotypic correlation between BW and WW, between BW and YW, and betweenWW and YW were 0.19 (low; 0.31 (medium; 0.65 (high; respectively. Heritability of BW, WW, and YW were0.43±0.23 (high; WW 0.27±0.19 (medium; and YW 1.01±0.38 (excludeof the h2 value, respectively.Genetic correlation between BW and WW, between BW and YW, and between WW and YW were -0.04(negative low; 0.49 (positive medium; and -0.41 (negative medium, respectively. Variance components ofbuck, ewes, and kid for BW were 10.76%; 37.16%; and 52.09%, respectively, for WW were 6.67%; 38.52%;and 54.81%, respectively, and for YW were 25.15%; 58.37%; and 16.43%, respectively. Covariancecomponents of buck, ewes, and kid between BW and WW were -3.91%; 66.45%; and 37.46%, respectively,between BW and YW were 65.68%; 16.50%; and 17.82, and between WW and YW were -5.14%; 83.87%; and21.28%, respectively. In conclusions variance component of ewes and kid were high in body weight at birthand weaning time. Therefore, selection should be conducted for body weight at birth and weaning time.

Genetic and Environmental Variance Among F2 Families in a Commercial Breeding Program for Perennial Ryegrass (Lolium perenne L.)

DEFF Research Database (Denmark)

Fé, Dario; Greve-Pedersen, Morten; Jensen, Christian Sig

2013-01-01

In the joint project “FORAGESELECT”, we aim to implement Genome Wide Selection (GWS) in breeding of perennial ryegrass (Lolium perenne L.), in order to increase genetic response in important agronomic traits such as yield, seed production, stress tolerance and disease resistance, while decreasing...... of this study was to estimate the genetic and environmental variance in the training set composed of F2 families selected from a ten year breeding period. Variance components were estimated on 1193 of those families, sown in 2001, 2003 and 2005 in five locations around Europe. Families were tested together...

FRAC (failure rate analysis code): a computer program for analysis of variance of failure rates. An application user's guide

International Nuclear Information System (INIS)

Martz, H.F.; Beckman, R.J.; McInteer, C.R.

1982-03-01

Probabilistic risk assessments (PRAs) require estimates of the failure rates of various components whose failure modes appear in the event and fault trees used to quantify accident sequences. Several reliability data bases have been designed for use in providing the necessary reliability data to be used in constructing these estimates. In the nuclear industry, the Nuclear Plant Reliability Data System (NPRDS) and the In-Plant Reliability Data System (IRPDS), among others, were designed for this purpose. An important characteristic of such data bases is the selection and identification of numerous factors used to classify each component that is reported and the subsequent failures of each component. However, the presence of such factors often complicates the analysis of reliability data in the sense that it is inappropriate to group (that is, pool) data for those combinations of factors that yield significantly different failure rate values. These types of data can be analyzed by analysis of variance. FRAC (Failure Rate Analysis Code) is a computer code that performs an analysis of variance of failure rates. In addition, FRAC provides failure rate estimates

Towards a Component Based Model for Database Systems

Directory of Open Access Journals (Sweden)

Octavian Paul ROTARU

2004-02-01

Full Text Available Due to their effectiveness in the design and development of software applications and due to their recognized advantages in terms of reusability, Component-Based Software Engineering (CBSE concepts have been arousing a great deal of interest in recent years. This paper presents and extends a component-based approach to object-oriented database systems (OODB introduced by us in [1] and [2]. Components are proposed as a new abstraction level for database system, logical partitions of the schema. In this context, the scope is introduced as an escalated property for transactions. Components are studied from the integrity, consistency, and concurrency control perspective. The main benefits of our proposed component model for OODB are the reusability of the database design, including the access statistics required for a proper query optimization, and a smooth information exchange. The integration of crosscutting concerns into the component database model using aspect-oriented techniques is also discussed. One of the main goals is to define a method for the assessment of component composition capabilities. These capabilities are restricted by the component’s interface and measured in terms of adaptability, degree of compose-ability and acceptability level. The above-mentioned metrics are extended from database components to generic software components. This paper extends and consolidates into one common view the ideas previously presented by us in [1, 2, 3].[1] Octavian Paul Rotaru, Marian Dobre, Component Aspects in Object Oriented Databases, Proceedings of the International Conference on Software Engineering Research and Practice (SERP’04, Volume II, ISBN 1-932415-29-7, pages 719-725, Las Vegas, NV, USA, June 2004.[2] Octavian Paul Rotaru, Marian Dobre, Mircea Petrescu, Integrity and Consistency Aspects in Component-Oriented Databases, Proceedings of the International Symposium on Innovation in Information and Communication Technology (ISIICT�

The genotype-environment interaction variance in rice-seed protein determination

International Nuclear Information System (INIS)

Ismachin, M.

1976-01-01

Many environmental factors influence the protein content of cereal seed. This fact procured difficulties in breeding for protein. Yield is another example on which so many environmental factors are of influence. The length of time required by the plant to reach maturity, is also affected by the environmental factors; even though its effect is not too decisive. In this investigation the genotypic variance and the genotype-environment interaction variance which contribute to the total variance or phenotypic variance was analysed, with purpose to give an idea to the breeder how selection should be made. It was found that genotype-environment interaction variance is larger than the genotypic variance in contribution to total variance of protein-seed determination or yield. In the analysis of the time required to reach maturity it was found that genotypic variance is larger than the genotype-environment interaction variance. It is therefore clear, why selection for time required to reach maturity is much easier than selection for protein or yield. Selected protein in one location may be different from that to other locations. (author)

Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems

Directory of Open Access Journals (Sweden)

Hui-qiang Ma

2013-01-01

Full Text Available This paper studies the optimal time consistent investment strategies in multiperiod asset-liability management problems under mean-variance criterion. By applying time consistent model of Chen et al. (2013 and employing dynamic programming technique, we derive two-time consistent policies for asset-liability management problems in a market with and without a riskless asset, respectively. We show that the presence of liability does affect the optimal strategy. More specifically, liability leads a parallel shift of optimal time-consistent investment policy. Moreover, for an arbitrarily risk averse investor (under the variance criterion with liability, the time-diversification effects could be ignored in a market with a riskless asset; however, it should be considered in a market without any riskless asset.

Space-partition method for the variance-based sensitivity analysis: Optimal partition scheme and comparative study

International Nuclear Information System (INIS)

Zhai, Qingqing; Yang, Jun; Zhao, Yu

2014-01-01

Variance-based sensitivity analysis has been widely studied and asserted itself among practitioners. Monte Carlo simulation methods are well developed in the calculation of variance-based sensitivity indices but they do not make full use of each model run. Recently, several works mentioned a scatter-plot partitioning method to estimate the variance-based sensitivity indices from given data, where a single bunch of samples is sufficient to estimate all the sensitivity indices. This paper focuses on the space-partition method in the estimation of variance-based sensitivity indices, and its convergence and other performances are investigated. Since the method heavily depends on the partition scheme, the influence of the partition scheme is discussed and the optimal partition scheme is proposed based on the minimized estimator's variance. A decomposition and integration procedure is proposed to improve the estimation quality for higher order sensitivity indices. The proposed space-partition method is compared with the more traditional method and test cases show that it outperforms the traditional one

Estimation of measurement variances

International Nuclear Information System (INIS)

Jaech, J.L.

1984-01-01

The estimation of measurement error parameters in safeguards systems is discussed. Both systematic and random errors are considered. A simple analysis of variances to characterize the measurement error structure with biases varying over time is presented

Handling nonnormality and variance heterogeneity for quantitative sublethal toxicity tests.

Science.gov (United States)

Ritz, Christian; Van der Vliet, Leana

2009-09-01

The advantages of using regression-based techniques to derive endpoints from environmental toxicity data are clear, and slowly, this superior analytical technique is gaining acceptance. As use of regression-based analysis becomes more widespread, some of the associated nuances and potential problems come into sharper focus. Looking at data sets that cover a broad spectrum of standard test species, we noticed that some model fits to data failed to meet two key assumptions-variance homogeneity and normality-that are necessary for correct statistical analysis via regression-based techniques. Failure to meet these assumptions often is caused by reduced variance at the concentrations showing severe adverse effects. Although commonly used with linear regression analysis, transformation of the response variable only is not appropriate when fitting data using nonlinear regression techniques. Through analysis of sample data sets, including Lemna minor, Eisenia andrei (terrestrial earthworm), and algae, we show that both the so-called Box-Cox transformation and use of the Poisson distribution can help to correct variance heterogeneity and nonnormality and so allow nonlinear regression analysis to be implemented. Both the Box-Cox transformation and the Poisson distribution can be readily implemented into existing protocols for statistical analysis. By correcting for nonnormality and variance heterogeneity, these two statistical tools can be used to encourage the transition to regression-based analysis and the depreciation of less-desirable and less-flexible analytical techniques, such as linear interpolation.

Model validation and calibration based on component functions of model output

International Nuclear Information System (INIS)

Wu, Danqing; Lu, Zhenzhou; Wang, Yanping; Cheng, Lei

2015-01-01

The target in this work is to validate the component functions of model output between physical observation and computational model with the area metric. Based on the theory of high dimensional model representations (HDMR) of independent input variables, conditional expectations are component functions of model output, and the conditional expectations reflect partial information of model output. Therefore, the model validation of conditional expectations tells the discrepancy between the partial information of the computational model output and that of the observations. Then a calibration of the conditional expectations is carried out to reduce the value of model validation metric. After that, a recalculation of the model validation metric of model output is taken with the calibrated model parameters, and the result shows that a reduction of the discrepancy in the conditional expectations can help decrease the difference in model output. At last, several examples are employed to demonstrate the rationality and necessity of the methodology in case of both single validation site and multiple validation sites. - Highlights: • A validation metric of conditional expectations of model output is proposed. • HDRM explains the relationship of conditional expectations and model output. • An improved approach of parameter calibration updates the computational models. • Validation and calibration process are applied at single site and multiple sites. • Validation and calibration process show a superiority than existing methods

29 CFR 1905.5 - Effect of variances.

Science.gov (United States)

2010-07-01

...-STEIGER OCCUPATIONAL SAFETY AND HEALTH ACT OF 1970 General § 1905.5 Effect of variances. All variances... Regulations Relating to Labor (Continued) OCCUPATIONAL SAFETY AND HEALTH ADMINISTRATION, DEPARTMENT OF LABOR... concerning a proposed penalty or period of abatement is pending before the Occupational Safety and Health...

Realized range-based estimation of integrated variance

DEFF Research Database (Denmark)

Christensen, Kim; Podolskij, Mark

2007-01-01

We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with the realized range-based variance-a statistic that replaces every squared return of the realized variance with a normalized squared range. If the entire sample path of the process is a...

PWR Facility Dose Modeling Using MCNP5 and the CADIS/ADVANTG Variance-Reduction Methodology

Energy Technology Data Exchange (ETDEWEB)

Blakeman, Edward D [ORNL; Peplow, Douglas E. [ORNL; Wagner, John C [ORNL; Murphy, Brian D [ORNL; Mueller, Don [ORNL

2007-09-01

The feasibility of modeling a pressurized-water-reactor (PWR) facility and calculating dose rates at all locations within the containment and adjoining structures using MCNP5 with mesh tallies is presented. Calculations of dose rates resulting from neutron and photon sources from the reactor (operating and shut down for various periods) and the spent fuel pool, as well as for the photon source from the primary coolant loop, were all of interest. Identification of the PWR facility, development of the MCNP-based model and automation of the run process, calculation of the various sources, and development of methods for visually examining mesh tally files and extracting dose rates were all a significant part of the project. Advanced variance reduction, which was required because of the size of the model and the large amount of shielding, was performed via the CADIS/ADVANTG approach. This methodology uses an automatically generated three-dimensional discrete ordinates model to calculate adjoint fluxes from which MCNP weight windows and source bias parameters are generated. Investigative calculations were performed using a simple block model and a simplified full-scale model of the PWR containment, in which the adjoint source was placed in various regions. In general, it was shown that placement of the adjoint source on the periphery of the model provided adequate results for regions reasonably close to the source (e.g., within the containment structure for the reactor source). A modification to the CADIS/ADVANTG methodology was also studied in which a global adjoint source is weighted by the reciprocal of the dose response calculated by an earlier forward discrete ordinates calculation. This method showed improved results over those using the standard CADIS/ADVANTG approach, and its further investigation is recommended for future efforts.

PWR Facility Dose Modeling Using MCNP5 and the CADIS/ADVANTG Variance-Reduction Methodology

International Nuclear Information System (INIS)

Blakeman, Edward D.; Peplow, Douglas E.; Wagner, John C.; Murphy, Brian D.; Mueller, Don

2007-01-01

The feasibility of modeling a pressurized-water-reactor (PWR) facility and calculating dose rates at all locations within the containment and adjoining structures using MCNP5 with mesh tallies is presented. Calculations of dose rates resulting from neutron and photon sources from the reactor (operating and shut down for various periods) and the spent fuel pool, as well as for the photon source from the primary coolant loop, were all of interest. Identification of the PWR facility, development of the MCNP-based model and automation of the run process, calculation of the various sources, and development of methods for visually examining mesh tally files and extracting dose rates were all a significant part of the project. Advanced variance reduction, which was required because of the size of the model and the large amount of shielding, was performed via the CADIS/ADVANTG approach. This methodology uses an automatically generated three-dimensional discrete ordinates model to calculate adjoint fluxes from which MCNP weight windows and source bias parameters are generated. Investigative calculations were performed using a simple block model and a simplified full-scale model of the PWR containment, in which the adjoint source was placed in various regions. In general, it was shown that placement of the adjoint source on the periphery of the model provided adequate results for regions reasonably close to the source (e.g., within the containment structure for the reactor source). A modification to the CADIS/ADVANTG methodology was also studied in which a global adjoint source is weighted by the reciprocal of the dose response calculated by an earlier forward discrete ordinates calculation. This method showed improved results over those using the standard CADIS/ADVANTG approach, and its further investigation is recommended for future efforts