A copula-based multivariate hidden Markov model for modelling momentum in football

AStA Advances in Statistical Analysis - We investigate the potential occurrence of change points—commonly referred to as “momentum shifts”—in the dynamics of football...     

Replenishing the pipeline: A quantitative approach to optimising the sourcing of new projects

Large pharmaceutical companies maintain a portfolio of assets, some of which are projects under development while others are on the market and generating revenue. The budget allocated to R&D may not always be sufficient to fund all the available projects for development. Much attention has been paid to the selection of optimal subsets of available projects to fit within the available budget. In this paper, we argue the need for a forward-looking approach to portfolio decision-making. We develop a quantitative model that allows the portfolio management to evaluate the need for future inflow of new projects to achieve revenue at desired levels, often aspiring to a certain annual revenue growth. Optimisation methods are developed for the presented model, allowing an optimal choice of number, timing and type of projects to be added to the portfolio. The proposed methodology allows for a proactive approach to portfolio management, prioritisation, and optimisation. It provides a quantitatively based support for strategic decisions regarding the efforts needed to secure the future development pipeline and revenue stream of the company.     

An evaluation of ridge estimator in linear mixed models: an example from kidney failure data

This paper is concerned with the ridge estimation of fixed and random effects in the context of Henderson's mixed model equations in the linear mixed model. For this purpose, a penalized likelihood method is proposed. A linear combination of ridge estimator for fixed and random effects is compared to a linear combination of best linear unbiased estimator for fixed and random effects under the mean-square error (MSE) matrix criterion. Additionally, for choosing the biasing parameter, a method of MSE under the ridge estimator is given. A real data analysis is provided to illustrate the theoretical results and a simulation study is conducted to characterize the performance of ridge and best linear unbiased estimators approach in the linear mixed model.     

Multiple input transfer function noise modelling in the time and frequency domain:empirical evidence from Monte Carlo simulations

In the present study we have evaluated two competing methods for estimation of the impulse response weights used in the identification of transfer function models:a time domain method involving biased regression techniques and a frequency domain method utilizing a discrete Fourier transform of the cross-covariance system of the transfer function model. The algorithms were implemented on a VAX-8800 computer at the Computing Center at Åbo Akademi. The evaluation of the competing methods was carried out by simulations of different transfer function noise model structures. The models are essentially the same as those of Edlund, but we have used a far greater number of replications in the cases tested. Furthermore, we have used actually identified and estimated autoregressive integrated moving-average models of the residuals in the identification procedure of impulse response weights, in contrast with Edlund who only used theoretical noise models in filtering the input and output series. After a shot discussion of the underlying theory, we present the procedures and results of the empirical testing.     

Validation of Multimedia Models Assessing Exposure to PAHs—The SOLEX Study

Polluted soils have become a public health problem. While population exposure to soil pollutants is generally quantified using multimedia models, their estimations have not been validated, and studies that attempted to do so are scarce. The objective of the SOLEX study was to compare the predictions of pyrene exposure levels (converted into 1 hydroxypyrene) computed by several models with the results of urinary 1-hydropyrene (1-HOP) assays among 110 employees working at three sites polluted during their past use as manufactured gas plants. Four models were used: AERIS (Canada), CalTOX (California, USA), CLEA (UK), and HESP (The Netherlands). Three occupational exposure scenarios--with office, mixed, and outdoor workers--were constructed, based upon job activities during two measurement campaigns, one in winter and one in summer. The exposure levels estimated by the four models could differ markedly (from 7 up to 80 times) according to the exposure scenario. Also, the predominant exposure routes differed according to the model (direct soil ingestion for HESP and CalTOX, inhalation for AERIS, and dermal absorption for CLEA). The predictions of CalTOX are consistent with the 1-HOP measurements for all the scenarios. For HESP, the consistency is observed for the scenarios, office and mixed, for which the pyrene level in the soil is low. AERIS and CLEA yield results that are systematically above the 1-HOP measurements. This study confirms that validation of the models is crucial and points out to the need to proceed to assess components of the models that are the most influential using appropriate statistical analysis in combination with true field data.     

Cultural patterns in Dutch and Surinam nonverbal behavior: An analysis of simulated police/citizen encounters

Differences in nonverbal behavioral patterns in a simulated police interview setting were examined. One group of subjects was asked to tell the truth to a police officer whereas the other group was asked to deceive the officer. Major differences between our study and other deception studies include the distinction between nonverbal behavior displayed while listening and while speaking, and the inclusion of black subjects. Results show that there are differences in nonverbal behavior between deceivers and those who tell the truth, and generally support the finding that deception is associated with changes in vocal characteristics and hand and arm movements. However, differences in hand and arm movements occurred only while the deceiver was listening. Furthermore, findings showed that blacks looked less frequently at their discussion partner, smiled and laughed more, made more speech disturbances, spoke slower, and with more pitch raises, and were livelier in the sense that they made more trunk movements and gestures than whites.We wish to thank two anonymous reviewers for their constructive comments on an earlier draft. This project was in part supported by the PSYCHON Foundation, which is subsidized by the Netherlands Organization for Scientific Research.     

Bargaining over a finite set of alternatives

We analyze bilateral bargaining over a finite set of alternatives. We look for "good" ordinal solutions to such problems and show that Unanimity Compromise and Rational Compromise are the only bargaining rules that satisfy a basic set of properties. We then extend our analysis to admit problems with countably infinite alternatives. We show that, on this class, no bargaining rule choosing finite subsets of alternatives can be neutral. When rephrased in the utility framework of Nash (1950), this implies that there is no ordinal bargaining rule that is finite-valued. Professor Sertel passed away on January 25, 2003.     

Ex-post governance in joint ventures: Determinants of monitoring by JV boards of directors

Considerable advances have been made in corporate governance research in recent years and opportunities exist to consider these developments within alliances. We extend the “scope of operations” hypothesis to the domain of joint ventures. This proposition suggests that the monitoring carried out by boards increases when organizations become more complex. The inherent characteristics of JVs generate unique sources of complexity that are currently unexplored in the corporate governance literature. First, we seek to determine their influence on monitoring by using primary data on JV board monitoring. Second, we adopt the size of JV boards as a proxy for monitoring in order to examine whether the determinants of board size and monitoring in fact coincide and to reveal if certain effects are masked by using board size as a simple proxy for monitoring. Doing so enables us to investigate the black-box of what boards actually do as well as extend governance research to other organizational forms. Our findings confirm that the unique characteristics of JVs influence the information needs by the boards resulting in more monitoring by JV directors. Our findings show there is value in bridging alliance theory and the literature on corporate governance research. We also advance practitioner's understanding by providing suggestions on how to structure JV boards in relation to their complexity.