Information theory and risk in capital markets

The present empirical study applies the methodology of information theory to the problem of assessing and separating capital market risk, which is separated into its systematic and unsystematic components. Monthly return relatives for all securities traded on the New York Stock Exchange are examined for the period 1926 to 1971, which is segmented into six 7-year subperiods. The securities are combined into portfolios of various sizes and ranked. It is concluded that although both systematic and unsystematic risks have increased over the 45-year interval—particularly between the pre-1940 and post-1940 periods—they have maintained their relative share of the total risk over the same period.     

Congestion,quality deterioration,and optimal use: Wilderness recreation in the Spanish peaks primitive area

With increasing demand for low-density recreational services and limited supply of facilities to provide them, congestion is becoming an important management problem. The purpose of this paper is to outline a model of congestion, estimate the effect of it upon individual willingness to pay for wilderness experiences, and illustrate how these results might be used for efficient management. A survey of users of the Spanish Peaks Primitive Area indicates that their revealed willingness to pay is significantly affected by encroachments upon the solitude they experience during their trip. Consequently, congestion effects for such services can be measured and used in the formation of administrative policy.     

Effects of Group Practice of the Transcendental Meditation Program on Preventing Violent Crime in Washington,D.C.: Results of the National Demonstration Project,June--July 1993

This paper reports the results of a prospective experiment in which a group of approximately 4,000 participants in the Transcendental Meditation and TM-Sidhi programs of Maharishi Mahesh Yogi assembled in Washington, D.C., from June 7 to July 30, 1993. It was hypothesized that levels of violent crime in the District of Columbia would fall substantially during the Demonstration Project, as a result of the group's effect of increasing coherence and reducing stress in the collective consciousness of the District. A 27-member Project Review Board comprising independent scientists and leading citizens approved the research protocol and monitored the research process. Weekly crime data was derived from database records provided by the District of Columbia Metropolitan Police Department (DCMPD), which are used in the FBI Uniform Crime Reports. Statistical analysis considered the effect of weather variables, daylight, historical crime trends and annual patterns in the District of Columbia, as well as trends in neighboring cities. Consistent with previous research, levels of homicides, rapes and assaults (HRA crimes) correlated with average weekly temperature. Robberies approximately followed an annually recurring cycle. Time series analysis of 1993 data, controlling for temperature, showed that HRA crimes dropped significantly during the Demonstration Project, corresponding with increases in the size of the group; the maximum decrease was 23.3% (p < 2 × 10–9) [24.6% using a longer baseline, with 1988--1993 data (p < 3 × 10–5)], coincident with the peak number of participants in the group during the final week of the assembly. When the same period in each of the five previous years was examined, no significant decreases in HRA crimes were found. Robberies did not decrease significantly. However, a model that jointly estimated the effect of the Demonstration Project on both HRA crimes and robberies showed a significant reduction in violent crimes overall of 15.6% (p = 0.0008). Further analysis showed that the effect of the coherence-creating group on reducing HRA crimes could not be accounted for by additional police staffing. The time series analysis for HRA crimes gave results that are highly robust to alternative model specifications, and showed that the effect of the group size was cumulative and persisted after the Demonstration Project ended. Also, calculation of the steady state gain based on the time series model predicted that a permanent group of 4,000 coherence-creating experts in the District would have a long-term effect of reducing HRA crimes by 48%.     

Survival Convergence and the Preceding Mortality Crossover for Two Population Subgroups

In this paper, we present and develop the argument that if the survival functions for two population subgroups converge in later life, a mortality crossover must precede the occurrence of this convergence. Specifically, two survival curves, S ₁(x) and S ₂(x), associated with two distinct population subgroups, G₁ and G₂, tend to converge before all members die out, as often observed and anticipated. This convergence leads to an increased mortality acceleration for the “advantaged” group, and eventually fosters the occurrence of a mortality crossover. We present a mathematical proof for this relationship and offer several explanations for the mechanisms involved in the process of survival convergence and the preceding mortality crossover. This new presentation demonstrates that mortality crossover is a highly observable demographic event given the trend of survival convergence in later life.     

Caregiver Emotional Expressiveness,Child Emotion Regulation,and Child Behavior Problems among Head Start Families

The present study examined the relationships between caregivers' self‐reported positive and negative emotional expressiveness, observer assessments of children's emotion regulation, and teachers' reports of children's internalizing and externalizing behaviors in a sample of 97 primarily African American and Hispanic Head Start families. Results indicated that higher caregiver negativity and lower child emotion regulation independently predicted more internalizing behavior problems in children. Additionally, children's externalizing behavior problems were negatively predicted by caregivers' self‐reports of positive emotional expressiveness. Importantly, results also suggested that caregivers' emotional expressiveness and children's behavioral problems may be non‐linearly related, and that child gender may play an important moderating role. These results emphasize the importance of family emotional climate and child emotion regulation in the behavioral development of preschool‐age children, and highlight the need for improved theoretical and practical understanding of socioemotional development in diverse populations.     

Non-Normal Bivariate Distributions with Normal Marginals

The purpose of this note is to indicate that Fieller's Theorem can be expressed in the matrix formulation of the general linear model. The practical consequence is that one general computer program which can estimate the parameters and test the validity of a pertinent model, can also compute confidence limits for the ratios of any linear combinations of the parameters.     

On a convergent stochastic estimation algorithm for frailty models

A maximum likelihood estimation procedure is presented for the frailty model. The procedure is based on a stochastic Expectation Maximization algorithm which converges quickly to the maximum likelihood estimate. The usual expectation step is replaced by a stochastic approximation of the complete log-likelihood using simulated values of unobserved frailties whereas the maximization step follows the same lines as those of the Expectation Maximization algorithm. The procedure allows to obtain at the same time estimations of the marginal likelihood and of the observed Fisher information matrix. Moreover, this stochastic Expectation Maximization algorithm requires less computation time. A wide variety of multivariate frailty models without any assumption on the covariance structure can be studied. To illustrate this procedure, a Gaussian frailty model with two frailty terms is introduced. The numerical results based on simulated data and on real bladder cancer data are more accurate than those obtained by using the Expectation Maximization Laplace algorithm and the Monte-Carlo Expectation Maximization one. Finally, since frailty models are used in many fields such as ecology, biology, economy, …, the proposed algorithm has a wide spectrum of applications.     

The Role of Statistical Models in the Prediction of Tropical Cyclone Motion

Tropical cyclones (tropical storms, hurricanes, typhoons, etc.) occur over many of the earth's tropical marine areas. Responsibility for tracking and predicting the future course of these storms is assigned to one or more domestic or foreign meteorological services. These services routinely activate a number of statistical and dynamical prediction models as objective guidance preparatory to issuing official forecasts on these storms. In this article, the role of the statistical models in this process is examined.