Academic literature on the topic '519.2+219.688'
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Journal articles on the topic "519.2+219.688"
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Dong, Quanxiao, Keyu Chen, Xiaodong Jin, Shibing Sun, Yingliang Tian, Feng Wang, Peng Liu, and Mingshu Yang. "Investigation of Flame Retardant Flexible Polyurethane Foams Containing DOPO Immobilized Titanium Dioxide Nanoparticles." Polymers 11, no. 1 (January 5, 2019): 75. http://dx.doi.org/10.3390/polym11010075.
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In this work, a multi-functional nanoparticle (TiO2-KH570-DOPO) has been successfully synthesized through the attachment of 9,10-dihydro-9-oxa-10-phosphaphenanthrene-10-oxide (DOPO)-methacryloxy propyl trimethoxyl silane on the surface of titanium dioxide (TiO2). Supercritical carbon dioxide was used as the solvent in order to increase the grafting level. The chemical structure of TiO2-KH570-DOPO was fully characterized using Fourier transform infrared spectra, thermogravimetric analysis and transmission electron microscopy. The modified TiO2 was incorporated into flexible polyurethane foam (FPUF). The fire performance of FPUF blends was evaluated using microscale combustion calorimetry. Peak heat release rate and total heat release values were reduced from 657.0 W/g and 28.9 kJ/g for neat FPUF sample to 519.2 W/g and 26.8 kJ/g of FPUF specimen containing 10 wt % of TiO2-KH570-DOPO. Analysis of thermal stability and the observation of char formation suggests that TiO2-KH570-DOPO is active in the condensed phase.
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Wang, Xuewen, and Barbara J. Nicklas. "Acute Impact of Moderate-Intensity and Vigorous-Intensity Exercise Bouts on Daily Physical Activity Energy Expenditure in Postmenopausal Women." Journal of Obesity 2011 (2011): 1–5. http://dx.doi.org/10.1155/2011/342431.
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This study determined whether performing a single moderate- or vigorous-intensity exercise bout impacts daily physical activity energy expenditure (PAEE, by accelerometer). Overweight/obese postmenopausal women underwent a 5-month caloric restriction and moderate- (n=18) or vigorous-intensity (n=18) center-based aerobic exercise intervention. During the last month of intervention, in women performing moderate-intensity exercise, PAEE on days with exercise (577.7±219.7kcal⋅d−1) was higher (P=.011) than on days without exercise (450.7±140.5kcal⋅d−1); however, the difference (127.0±188.1kcal⋅d−1) was much lower than the energy expended during exercise. In women performing vigorous-intensity exercise, PAEE on days with exercise (450.6±153.6kcal⋅d−1) was lower (P=.047) than on days without exercise (519.2±127.4kcal⋅d−1). Thus, women expended more energy on physical activities outside of prescribed exercise on days they did NOT perform center-based exercise, especially if the prescribed exercise was of a higher intensity.
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Brevan, J. "Aircraft Gunfire Vibration: Standardization and Experience." Journal of the IEST 31, no. 4 (July 1, 1988): 15–19. http://dx.doi.org/10.17764/jiet.1.31.4.t1n555207265542j.
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For much of the equipment mounted on a fighter aircraft, the vibration level during gunfire is high enough above vibration due to other situations, so that, in spite of its short duration, it dominates the vibration qualification specs. It is desirable to include a simple yet reliable gunfire vibration prediction technique in the appropriate environment standards, because the relevant measured data are seldom available in the early stages of development of a new aircraft. This article describes a study on gunfire vibration prediction performed during the buildup of the aeronautical application guide of the new French military environment standard, GAM EG 13B/Air 7306. The prediction technique of MIL-STD-810D (Method 519.3) is compared in detail with previous MIL-STD-810C (Method 519.2), and the underlying concepts are checked against various measured data. Comparisons are made with gunfire vibration measurements performed on a French fighter. The findings of this study were used to elaborate the GAM EG 13B/Air 7306 gunfire vibration prediction method presented here.
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Bilandzic, Nina, Marija Sedak, Maja Djokic, Djurdjica Bozic, Bozica Solomun-Kolanovic, and Ivana Varenina. "Differences in macro- and microelement contents in milk and yoghurt." Archives of Biological Sciences 67, no. 4 (2015): 1391–97. http://dx.doi.org/10.2298/abs140312117b.
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The aim of this study was to determine the concentration of macroelements (Ca, Na, K, Mg) and essential elements (Zn, Fe, Se, Cu) in milk and yoghurt collected from the Croatian market. Inductively coupled plasma-optical emission spectrometry was used as an analytical technique. Mean concentrations measured in milk and yoghurt were (mg/kg): Ca 1406.9 and 1153.8, K 1995.5 and 1526.5, Na 608.3 and 519.2, Mg 136.4 and 108.0, Zn 3.92 and 3.48, Fe 0.332 and 0.231, Cu 0.005 and 0.124. Significantly higher concentrations of Ca, K, Na and Cu (p<0.01-p<0.001) were found in milk than in yoghurt. The element concentrations measured in milk, with the exception of higher K and Na levels, were in agreement with the literature data. Variations in the content of all elements in yoghurt were found in comparison to data from other countries. These results represent the first data on macro- and microelements from the Croatian market. The variations found in comparison to other countries suggest that unique processes are utilized in the production of yoghurt products.
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Dedy Pratama, Hendro Sudjono Yuwono, Rudi Supriyadi, Herry Herman, Fachreza Aryo Damara, and Avicenna Akbar. "Antioxidant Properties of Curcumin and Its Impact on Arteriovenous Fistula Maturation in End-Stage Kidney Disease Patient with Diabetes Mellitus Type 2." International Journal of Research in Pharmaceutical Sciences 11, no. 4 (December 25, 2020): 7624–29. http://dx.doi.org/10.26452/ijrps.v11i4.4107.
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The risk of maturation failure in arteriovenous fistula (AVF) remains high. Curcumin poses antioxidant effects may enhance AVF maturation. This study evaluates the antioxidant effect of Curcumin on AVF maturation among type 2 diabetic patients (T2DM) with end-stage renal disease (ESRD). This was a single-blinded, randomized controlled trial conducted in three tertiary hospitals in Jakarta, Indonesia. Patients underwent the first hemodialysis. A total of 67 patients divided into groups of Curcumin, acetylsalicylic acid, and placebo. After 4 weeks, TAC level among the curcumin group was significantly higher compared to acetylsalicylic acid, and placebo groups 794.2(457.4±1473.7) µM vs. 519.2(247.7 ± 1027.7) µM and 794.2(457.4± 1473.7) µM vs. 542.5(281.91± 1054.64) µM, respectively (p<0.05). Also, TAC after 8 weeks was significantly higher among curcumin group compared to acetylsalicylic acid, and placebo groups (820.5(380.7± 1643.7) µM vs. 509.7(341.0± 981.91) µM and 820.5(380.7± 1643.7) µM vs. 497.7(324.7± 979.2) µM, respectively (p<0.001). The TAC level patients with mature AVF were also higher. A 2000 mg/day of curcumin increases antioxidant capacity after 4 and 8 weeks following AVF surgery among ESRD with T2DM.
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Nguyen, Van-Truc, Nguyen Duy Dat, Thi-Dieu-Hien Vo, Duy-Hieu Nguyen, Thanh-Binh Nguyen, Ly-Sy Phu Nguyen, Xuan Cuong Nguyen, et al. "Characteristics and Risk Assessment of 16 Metals in Street Dust Collected from a Highway in a Densely Populated Metropolitan Area of Vietnam." Atmosphere 12, no. 12 (November 24, 2021): 1548. http://dx.doi.org/10.3390/atmos12121548.
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The present study focused on investigating the contamination and risk assessment for 16 metals in street dust from Ha Noi highway, Ho Chi Minh City. The results indicated that the concentrations of metals (mg/kg) were found, in decreasing order, to be Ti (676.3 ± 155.4) > Zn (519.2 ± 318.9) > Mn (426.6 ±113.1) > Cu (144.7 ± 61.5) > Cr (81.4 ± 22.6) > Pb (52.2 ± 22.9) > V (35.5 ± 5.6) > Ni (30.9 ± 9.5) > Co (8.3 ± 1.2) > As (8.3 ± 2.5) > Sn (7.0 ± 3.6) > B (5.7 ± 0.9) > Mo (4.1 ± 1.7) > Sb (0.8 ± 0.3) > Cd (0.6 ± 0.2) > Se (0.4 ± 0.1). The geo-accumulation index (Igeo) showed moderate contamination levels for Pb, Cd, Cu, Sn, Mo, and Zn. The enrichment factor (EF) values revealed moderate levels for Cd, Cu, Mo, and Sn but moderate–severe levels for Zn. The pollution load index of the heavy metals was moderate. The potential ecological risk (207.43) showed a high potential. Notably, 40.7% and 33.5% of the ecological risks were contributed by Zn and Mn, respectively. These findings are expected to provide useful information to decision-makers about environmental quality control strategies.
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Dorji, Jigme, Dhendup, and Iona M. MacLeod. "Phenotypic and genetic parameters for milk yield in traditional Nublang cattle (Bos indicus) of Bhutan." Animal Genetic Resources/Ressources génétiques animales/Recursos genéticos animales 57 (July 20, 2015): 25–30. http://dx.doi.org/10.1017/s2078633615000223.
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SummaryThe Nublang is a unique dual-purpose breed ofBos indicuscattle found in Bhutan. They have been crossed with Mithun (Bos frontalis) andBos taurusbreeds in an effort to improve milk production leading to a decline in the population of purebred Nublang. An alternative to crossbreeding would be the genetic improvement of milk yield within purebred Nublang, thus allowing conservation and sustainable utilization of the pure breed. It is important to measure the genetic variability (heritability) of milk yield to assess the potential for genetic improvement within Nublang. Therefore this study estimated phenotypic and genetic parameters of milk yield using 2 052 test day milk yields from 66 cows recorded from 1997 to 2013 in the National Nublang Farm, Tashiyangphu. The average daily milk yield (DMY) was 2.12 ± 0.7 litres (N 2 052, range: 0.3–5.0 L, CV: 34 percent). Parity, month in milk and year all had a significant effect on DMY (P< 0.05). The average lactation milk yield (LMY) was 519.2 ± 151 L (N: 261, range: 115–881.7, CV: 29.1 percent) and average lactation length was 239 days. LMY was significantly influenced by parity (P< 0.05) and season of calving. The heritability of DMY and LMY was 0.22 ± 0.16 and 0.13 ± 0.20, respectively. The repeatability estimates were 0.45 ± 0.05 and 0.49 ± 0.08 for DMY and LMY, respectively. Overall the heritability and repeatability estimates of milk yields indicate potential for genetic improvement of milk yield in Nublang cattle through selection. However, it is recommended that a larger dataset is generated to enable more precise estimates of genetic parameters.
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Collins, J. Ian. "Discussion of “ Groupiness Factor and Wave Height Distribution ” by Hajime Mase (January, 1989, Vol. 115 No. 1)." Journal of Waterway, Port, Coastal, and Ocean Engineering 116, no. 4 (July 1990): 519–21. http://dx.doi.org/10.1061/(asce)0733-950x(1990)116:4(519.2).
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Stavrou, Vasileios T., Konstantinos N. Tourlakopoulos, George D. Vavougios, Eirini Papayianni, Katerina Kiribesi, Stavros Maggoutas, Konstantinos Nikolaidis, et al. "Eight Weeks Unsupervised Pulmonary Rehabilitation in Previously Hospitalized of SARS-CoV-2 Infection." Journal of Personalized Medicine 11, no. 8 (August 18, 2021): 806. http://dx.doi.org/10.3390/jpm11080806.
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The aim of our study was to determine the impact of unsupervised Pulmonary Rehabilitation (uns-PR) on patients recovering from COVID-19, and determine its anthropometric, biological, demographic and fitness correlates. All patients (n = 20, age: 64.1 ± 9.9 years, 75% male) participated in unsupervised Pulmonary Rehabilitation program for eight weeks. We recorded anthropometric characteristics, pulmonary function parameters, while we performed 6 min walk test (6 MWT) and blood sampling for oxidative stress measurement before and after uns-PR. We observed differences before and after uns-PR during 6 MWT in hemodynamic parameters [systolic blood pressure in resting (138.7 ± 16.3 vs. 128.8 ± 8.6 mmHg, p = 0.005) and end of test (159.8 ± 13.5 vs. 152.0 ± 12.2 mmHg, p = 0.025), heart rate (5th min: 111.6 ± 16.9 vs. 105.4 ± 15.9 bpm, p = 0.049 and 6th min: 112.5 ± 18.3 vs. 106.9 ± 17.9 bpm, p = 0.039)], in oxygen saturation (4th min: 94.6 ± 2.9 vs. 95.8 ± 3.2%, p = 0.013 and 1st min of recovery: 97.8 ± 0.9 vs. 97.3 ± 0.9%), in dyspnea at the end of 6 MWT (1.3 ± 1.5 vs. 0.6 ± 0.9 score, p = 0.005), in distance (433.8 ± 102.2 vs. 519.2 ± 95.4 m, p < 0.001), in estimated O2 uptake (14.9 ± 2.4 vs. 16.9 ± 2.2 mL/min/kg, p < 0.001) in 30 s sit to stand (11.4 ± 3.2 vs. 14.1 ± 2.7 repetitions, p < 0.001)] Moreover, in plasma antioxidant capacity (2528.3 ± 303.2 vs. 2864.7 ± 574.8 U.cor., p = 0.027), in body composition parameters [body fat (32.2 ± 9.4 vs. 29.5 ± 8.2%, p = 0.003), visceral fat (14.0 ± 4.4 vs. 13.3 ± 4.2 score, p = 0.021), neck circumference (39.9 ± 3.4 vs. 37.8 ± 4.2 cm, p = 0.006) and muscle mass (30.1 ± 4.6 vs. 34.6 ± 7.4 kg, p = 0.030)] and sleep quality (6.7 ± 3.9 vs. 5.6 ± 3.3 score, p = 0.036) we observed differences before and after uns-PR. Our findings support the implementation of unsupervised pulmonary rehabilitation programs in patients following COVID-19 recovery, targeting the improvement of many aspects of long COVID-19 syndrome.
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Hernández-Fernández, Francisco, Hernán Sandoval Valencia, Rosa Angélica Barbella-Aponte, Rosa Collado-Jiménez, Óscar Ayo-Martín, Cristina Barrena, Juan David Molina-Nuevo, et al. "Cerebrovascular disease in patients with COVID-19: neuroimaging, histological and clinical description." Brain 143, no. 10 (July 9, 2020): 3089–103. http://dx.doi.org/10.1093/brain/awaa239.
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Abstract Since the appearance of the first case of coronavirus disease 2019 (COVID-19) a pandemic has emerged affecting millions of individuals worldwide. Although the main clinical manifestations are respiratory, an increase in neurological conditions, specifically acute cerebrovascular disease, has been detected. We present cerebrovascular disease case incidence in hospitalized patients with SARS-CoV-2 infection. Patients were confirmed by microbiological/serological testing, or on chest CT semiology. Available data on co-morbidity, laboratory parameters, treatment administered, neuroimaging, neuropathological studies and clinical evolution during hospitalization, measured by the modified Rankin scale, were analysed. A bivariate study was also designed to identify differences between ischaemic and haemorrhagic subtypes. A statistical model of binary logistic regression and sensitivity analysis was designed to study the influence of independent variables over prognosis. In our centre, there were 1683 admissions of patients with COVID-19 over 50 days, of which 23 (1.4%) developed cerebrovascular disease. Within this group of patients, cerebral and chest CT scans were performed in all cases, and MRI in six (26.1%). Histological samples were obtained in 6/23 cases (two brain biopsies, and four arterial thrombi). Seventeen patients were classified as cerebral ischaemia (73.9%, with two arterial dissections), five as intracerebral haemorrhage (21.7%), and one leukoencephalopathy of posterior reversible encephalopathy type. Haemorrhagic patients had higher ferritin levels at the time of stroke (1554.3 versus 519.2, P = 0.004). Ischaemic strokes were unexpectedly frequent in the vertebrobasilar territory (6/17, 35.3%). In the haemorrhagic group, a characteristic radiological pattern was identified showing subarachnoid haemorrhage, parieto-occipital leukoencephalopathy, microbleeds and single or multiple focal haematomas. Brain biopsies performed showed signs of thrombotic microangiopathy and endothelial injury, with no evidence of vasculitis or necrotizing encephalitis. The functional prognosis during the hospital period was unfavourable in 73.9% (17/23 modified Rankin scale 4–6), and age was the main predictive variable (odds ratio = 1.5; 95% confidence interval 1.012–2.225; P = 0.043). Our series shows cerebrovascular disease incidence of 1.4% in patients with COVID-19 with high morbidity and mortality. We describe pathological and radiological data consistent with thrombotic microangiopathy caused by endotheliopathy with a haemorrhagic predisposition.
Dissertations / Theses on the topic "519.2+219.688"
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Rad, Soroush Rafiee. "Inference processes for probabilistic first order languages." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.506857.
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In this thesis we will investigate inference processes for predicate languages. The main question we are concerned with in this thesis is how to choose a probability function amongst those that satisfy a certain knowledge base. This question has been extensively studied for propositional logic and we shall investigate it for first order languages. We will first study the generalisation of Minimum Distance. MD. and Centre of Mass. CMco inference processes to unary predicate languages and then we will investigate the generalisations of itie Maximum Entropy inference process to general polyadic languages. For the case of the Maximum Entropy inference process we will study and compare two generalisations. the BP-method and the W-method. We will show that the two methods agree for the unary and :E, knowledge bases and we conjecture that the result holds for the II, knowledge bases too. We shall show that neither of these generalisations for the Maximum Entropy inference process is universally well defined for a first order language and we shall study some of the problems associated with generalising this inference process to polyadic languages.
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Loeffen, Ronnie Lambertus. "Stochastic control for spectrally negative Lévy processes." Thesis, University of Bath, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.505712.
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Three optimal dividend models are considered for which the underlying risk process is a spectrally negative Levy process. The first one concerns the classical dividends problem of de Finetti for which we give sufficient conditions under which the optimal strategy is of barrier type. As a consequence, we are able to extend considerably the class of processes for which the barrier strategy proves to be optimal.
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Watson, Alexander Rhys. "Stable process." Thesis, University of Bath, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.608335.
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We consider several first passage problems for stable processes, giving explicit formulas for hitting distributions, hitting probabilities and potentials of stable processes killed at first passage. Our principal tools are the Lamperti representation of positive self-similar Markov processes and the Wiener-Hopf factorisation of Levy processes. As part of the proof apparatus, we introduce a new class of Levy processes with explicit Wiener- Hopf factorisation, which appear repeatedly in Lamperti representations derived from stable processes. We also apply the Lamperti-Kiu representation of real self-similar Markov processes and obtain results on the exponential functional of Markov additive processes, in order to find the law of the first time at which a stable process reaches the origin.
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Khalil, Hassan Kamel. "Particle Approximation in Stochastic Filtering." Thesis, University of Bristol, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.492654.
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The sequential Monte Carlo (SMC) methodology is a family of Monte Carlo methods that processes information sequentially. It has shown to be able to solve a large class of highly complex inference and optimization problems that can be formulated as stochastic dynamic systems. By recursively generating random samples of the state variables of the dynamic systems, SMC adapts flexibly to the dynamics of the underlying stochastic systems. It opens up new frontiers for cross-fertilization between statistical science and many application areas.
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Perkins, Steven. "Advanced stochastic approximation frameworks and their applications." Thesis, University of Bristol, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.601159.
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This thesis makes two extensions to the standard stochastic approximation framework in order to study learning algorithms in different environments. In particular, the aim of this has been to study fictitious play and stochastic fictitious play in more complex frameworks than the usual, normal form game environment. However, these stochastic approximation frameworks are also utilised in other applications in this thesis. A new two-timescale asynchronous stochastic approximation framework with set-valued updates is presented, which extends the previous work in this area by Konda and Borkar (2000). Using this approach a two-timescales learning algorithm is produced for discounted reward Markov decision processes and, similarly, fictitious play is studied in stochastic games. In the second half of this thesis an update to the existing abstract stochastic approximation framework based on the asymptotic pseudo-trajectory approach of Benaim (1999), is presented. Importantly, in this thesis criteria are given to control the noise term associated with this abstract stochastic approximation for certain useful Banach spaces. The logit best response dynamic has previously been studied in continuous action games by Lahkar and Riedel (2013). Their existence results are extended for the N-player case and a convergence result is proved for two-player zero-sum games with continuous actions sets. Stochastic fictitious play is then studied using abstract stochastic approximation and is shown to converge to a logit equilibrium strategy in two-player zero-sum games with continuous action sets . The final chapter of this thesis studies Newton's algorithm, which can be used as a computationally efficient method for estimating a mixing density in a mixture model. Tokdar et al. (2009) give certain conditions for this algorithm to converge to the true mixing density when the parameter space is an uncountable subset of R. One of their assumptions is removed and the convergence result strengthened to produce an alternative consistency result for Newton's Algorithm.
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Srisuma, Sorawoot. "Essays on semiparametric estimation of Markov decision processes." Thesis, London School of Economics and Political Science (University of London), 2010. http://etheses.lse.ac.uk/2371/.
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Dynamic models of forward looking agents, whose goal is to maximize expected in-tertemporal payoffs, are useful modelling frameworks in economics. With an exception of a small class of dynamic decision processes, the estimation of the primitives in these models is computationally burdensome due to the presence of the value functions that has no closed form. We follow a popular two-step approach which estimates the functions of interest rather than use direct numerical approximation. The first chapter, joint with Oliver Linton, considers a class of dynamic discrete choice models that contain observable continuously distributed state variables. Most papers on the estimation of dynamic discrete choice models assume that the observable state variables can only take finitely many values. We show that the extension to the infinite dimensional case leads to a well-posed inverse problem. We derive the distribution theory for the finite and the infinite dimensional parameters. Dynamic models with continuous choice can sometimes avoid the numerical issues related to the value function through the use of Euler's equation. The second chapter considers models with continuous choice that do not necessarily belong to the Euler class but frequently arise in applied problems. In this chapter, a class of minimum distance estimators is proposed, their distribution theory along with the infinite dimensional parameters of the decision models are derived. The third chapter demonstrates how the methodology developed for the discrete and continuous choice problems can be adapted to estimate a variety of other dynamic models. The final chapter discusses an important problem, and provides an example, where some well-known estimation procedures in the literature may fail to consistently estimate an identified model. The estimation methodologies I propose in the preceding chapters may not suffer from the problems of this kind.
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Widanage, Widanalage Dhammika. "The Effects of Distortions on LinearSystem Identification and Non-linearCharacterisation." Thesis, University of Warwick, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.502124.
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The thesis focuses on the identification of linear systems and those non-linear systems which can be represented with purely linear dynamics and a zero memory nonlinearity in cascade. With the systems subjected to stationary Gaussian processes or periodic excitations and with or without external disturbances at the output, the linear dynamics are estimated as non-parametric or parametric models and any non-linearity is characterised through the form of sign~ls appearing at its input and output. The main research of the first part of the thesis is concerned with non-parametric identification of linear systems with finite time stationary white Gaussian data, or finite gain and phase response measurements. The sources of errors leading to the uncertainty of the frequency response function of a system are identified and it is shown that there is a limit to the reduction in the variance when wind~wing the measured data and block overlap is employ~d. The direct use of expressions relating phase and gain responses lead to inaccurate results, and modifications to the functions and extrapolation methods are developed to give significant improvement in accuracy. The second part involves non-linear system identification. By using a sinusoidal excitation, it is shown how the phase of a harmonic at the output relative to the input can be used to deduce the position of the non-linearity in relation to the linear dynamics. Two procedures are developed to identify the dynamics and form of non-linearity in the system. Further, it is shown how among a class of discrete time linear models, the auto-regressive moving average with exogenous input (ARMAX) best describes the linear dynamics of a Hammerstein system while a Box-Jenkins (BJ) best describes the linear dynamics of a Wiener system, in a mean square sense. The last part of the thesis gives a review for periodic perturbation signal design. Graphical user interfaces were developed to ease the generation of pseudo random and multilevel multiharmonic signals.
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de, Innocentis Marco. "Pricing discretely monitored barrier options and credit default swaps under Lévy processes." Thesis, University of Leicester, 2013. http://hdl.handle.net/2381/27912.
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We introduce a new, fast and accurate method to calculate prices and sensitivities of European vanilla and digital options under the Variance Gamma model. For near at-the-money options of short maturity, our method is much faster than those based on discretization and truncation of the inverse Fourier transform integral (iFT method). We show that the results calculated with our method agree with those obtained with the iFT algorithm using very long and fine grids. Taking the results of our method as a benchmark, we show that the parabolic modification of the iFT method (Boyarchenko and Levendorskiĭ, 2012) is much more efficient than the standard (flat) version. Based on this conclusion, we consider an approach which uses a combination of backward induction and parabolic iFT to price discretely monitored barrier options, as well as credit default swaps, under wide classes of Lévy models. At each step of backward induction, we use piece-wise polynomial interpolation and parabolic iFT, which allows for efficient error control. We derive accurate recommendations for the choice of parameters of the numerical scheme, and produce numerical examples showing that oversimplified prescriptions in other methods can result in large errors.
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Hamilton, Emily. "Use of extreme value theory for making statistical inference about endpoints of distributions, with applications in global optimization and meteorology." Thesis, Cardiff University, 2008. http://orca.cf.ac.uk/54789/.
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We use extreme value theory to make statistical inference about the endpoint of distributions. First we compare estimators of the endpoint of several distributions, including a distribution that appears in problems of global optimization. These estimators use a fixed number of order statistics (k) from a sample of fixed size (n). Two of the estimators investigated are the optimal linear estimator and the maximum likelihood estimator. We find that the optimal linear estimator often outperforms the maximum likelihood estimator. We next investigate how the order statistics change as sample size increases. In order to do this, we define record times: the sample size at which the set of k smallest order statistics changes. We give the distributions of several statistics related to order statistics and record times, in particular we show that records occur according to a nonhomogeneous Poisson process. We show that order statistics can be modeled using a Markov chain, and use this Markov chain to investigate estimators of the endpoint of a distribution. Two additional estimators are derived and investigated using the Markov chain model. Finally, we consider a meteorological application of extreme value theory. In particular, we estimate the maximum and minimum sea level at several ports in the Netherlands. This is done using a combination of record theory, singular spectrum decomposition and known estimators of the endpoint of a distribution.
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Savani, Vippal. "Statistical inference for negative binomial processes with applications to market research." Thesis, Cardiff University, 2006. http://orca.cf.ac.uk/56126/.
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The negative binomial distribution (NBD) and negative binomial processes have been used as natural models for events occurring in fields such as accident proneness accidents and sickness market research insurance and risk theory. The fitting of negative binomial processes in practice has mainly focussed on fitting the one-dimensional distribution, namely the NBD, to data. In practice, the parameters of the NBD are usually estimated by using inefficient moment based estimation methods due to the ease in estimating moment based estimators in comparison to maximum likelihood estimators. This thesis develops efficient moment based estimation methods for estimating parameters of the NBD that can be easily implemented in practice. These estimators, called power method estimators, are almost as efficient as maximum likelihood estimators when the sample is independent and identically distributed. For dependent NBD samples, the power method estimators are more efficient than the commonly used method of moments and zero term method estimators. Fitting the one-dimensional marginal distribution of negative binomial processes to data gives partial information as to the adequacy of the process being fitted. This thesis further develops methods of statistical inference for data generated by negative binomial processes by comparing the dynamical properties of the process to the dynamical properties of data. For negative binomial autoregressive processes, the dynamical properties may be checked by using the autocorrelation function. The dynamical properties of the gamma Poisson process are considered by deriving the asymptotic covariance and correlation structures of estimators and functionals of the gamma Poisson process and verifying these structures against data. The adequacy of two negative binomial processes, namely the gamma Poisson process and the negative binomial first-order autoregressive process, as models for consumer buying behavior are considered. The models are fitted to market research data kindly provided by ACNielsen BASES.