Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models

In this article, we first propose the modified Hannan–Rissanen Method for estimating the parameters of autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional heteroskedastic (GARCH) noise. Next, we propose the modified empirical characteristic function method for the estimation of GARCH parameters with symmetric stable noise. Further, we show the efficiency, accuracy and simplicity of our methods with Monte-Carlo simulation. Finally, we apply our proposed methods to model the financial data.     

Dose‐Response Models Incorporating Aerosol Size Dependency for Francisella tularensis

The effect of bioaerosol size was incorporated into predictive dose‐response models for the effects of inhaled aerosols of Francisella tularensis (the causative agent of tularemia) on rhesus monkeys and guinea pigs with bioaerosol diameters ranging between 1.0 and 24 μm. Aerosol‐size‐dependent models were formulated as modification of the exponential and β‐Poisson dose‐response models and model parameters were estimated using maximum likelihood methods and multiple data sets of quantal dose‐response data for which aerosol sizes of inhaled doses were known. Analysis of F. tularensis dose‐response data was best fit by an exponential dose‐response model with a power function including the particle diameter size substituting for the rate parameter k scaling the applied dose. There were differences in the pathogen's aerosol‐size‐dependence equation and models that better represent the observed dose‐response results than the estimate derived from applying the model developed by the International Commission on Radiological Protection (ICRP, 1994) that relies on differential regional lung deposition for human particle exposure.     

Effect of cigarette smoking on sexual functions,psychological factors,and disease activity in male patients with ankylosing spondylitis

Objective: This study aims to investigate the effect of smoking on sexual functions in AS patients.

Patients and methods: A total of 67 male AS patients with a median age of 34 years (range: 18–57) reporting sexual activity at least for the past 4 weeks period were included. Patients were divided into smokers (Group 1, n?=?47) and non-smokers (Group 2, n?=?20). Fagerström test for nicotine dependence, smoking history, exhaled carbon monoxide test were recorded for smoking AS patients. Visual analogue scale (VAS), Bath Ankylosing Spondylitis Disease Activity Index (BASDAI), Bath Ankylosing Spondylitis Metrology Index (BASMI), Bath Ankylosing Spondylitis Functional Index (BASFI), Ankylosing Spondylitis Quality of Life (ASQoL), International Index of Erectile Function (IIEF), Beck Depression Inventory (BDI) were filled for both groups.

Results: There was no significant difference between smokers and non-smokers in all evaluation parameters. BASMI scores were significantly lower in the mild dependency subgroup as compared to those with moderate or severe dependency (p?=?.005 and p?=?.007, respectively). Total IIEF score and IIEF categories correlated significantly with BASDAI, BASFI, BASMI, ASQoL, pain, fatigue, and cumulative smoking. BDI showed an inverse correlation with the IIEF score and IIEF category (p?r?=?–0.520, p?r?=?–0.508, respectively).

Conclusions: Sexual function in AS patients is associated with the pain, fatigue, disease activity, functional status, quality of life, depression as well as the cumulative exposure to smoking, and that sexual functions tend to decline with increasing degree of cigarette dependency.     

An improved alternative estimation procedure for current population mean in presence of positively and negatively correlated auxiliary variables in two-occasion rotation patterns

Abstract

The present study confirms the influential role of a positively and a negatively correlated auxiliary variables in enhancing the precision of estimates of current population mean in two occasion rotation (successive) sampling. Exponential-type estimators of current population mean have been proposed for three different situations: (i) the information on a positively correlated auxiliary variable is readily available on both occasions (ii) the information on a negatively correlated auxiliary variable is readily available on both occasions and (iii) the information on both positively and negatively correlated auxiliary variables are readily available on both the occasions. The characteristics of the proposed estimators have been explored and their efficacious performances are compared with the natural and recent contemporary estimators. Optimum replacement strategies of the proposed estimation procedures have been formulated. Simulation and empirical studies are carried out to justify the proposition of the proposed estimators and appropriate recommendations have been put forward to the survey practitioners.     

Network Embeddedness in Exploration and Exploitation of Joint R&D Projects: A Structural Approach

This paper analyses how network embeddedness affects the exploration and exploitation of R&D project performance. By developing joint projects, partners and projects are linked to one another and form a network that generates social capital. We examine how the location, which determines the access to information and knowledge within a network of relationships, affects the performance of projects. We consider this question in the setup of exploration and exploitation projects, using a database built from an EU framework. We find that each of the structural embeddedness dimensions (degree, betweenness and eigenvector centrality) have a different impact on the exploration and exploitation project performance. Our empirical analysis extends to project management literature and social capital theory, by including the effect that the acquisition of external knowledge has on the performance of the project.     

Affine LIBOR models driven by real-valued affine processes

The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative, and caplet and swaption prices can be calculated analytically. In order to guarantee nonnegative interest rates affine LIBOR models are driven by nonnegative affine processes, a restriction that makes it hard to produce volatility smiles. We modify the affine LIBOR models in such a way that real-valued affine processes can be used without destroying the nonnegativity of interest rates. Numerical examples show that in this class of models, pronounced volatility smiles are possible.     

A New Quantile Function with Applications to Reliability Analysis

In this article, we propose a new class of distributions defined by a quantile function, which nests several distributions as its members. The quantile function proposed here is the sum of the quantile functions of the generalized Pareto and Weibull distributions. Various distributional properties and reliability characteristics of the class are discussed. The estimation of the parameters of the model using L-moments is studied. Finally, we apply the model to a real life dataset.     

Validation of Nonparametric Two-sample Bootstrap in ROC Analysis on Large Datasets

The nonparametric two-sample bootstrap is applied to computing uncertainties of measures in receiver operating characteristic (ROC) analysis on large datasets in areas such as biometrics, speaker recognition, etc. when the analytical method cannot be used. Its validation was studied by computing the standard errors of the area under ROC curve using the well-established analytical Mann–Whitney statistic method and also using the bootstrap. The analytical result is unique. The bootstrap results are expressed as a probability distribution due to its stochastic nature. The comparisons were carried out using relative errors and hypothesis testing. These match very well. This validation provides a sound foundation for such computations.