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1
Booth, James G., Marinela Capanu, and Ludwig Heigenhauser. "Exact Conditional P Value Calculation for the Quasi-Symmetry Model." Journal of Computational and Graphical Statistics 14, no. 3 (September 1, 2005): 716–25. http://dx.doi.org/10.1198/106186005x59496.
2
VanRaden, Mark, William C. Blackwelder, and Maria Deloria. "Relationship of P-value to conditional and predictive power in interim analysis." Controlled Clinical Trials 12, no. 5 (October 1991): 642. http://dx.doi.org/10.1016/0197-2456(91)90136-a.
3
Madden, L. V., D. A. Shah, and P. D. Esker. "Does the P Value Have a Future in Plant Pathology?" Phytopathology® 105, no. 11 (November 2015): 1400–1407. http://dx.doi.org/10.1094/phyto-07-15-0165-le.
Анотація:
The P value (significance level) is possibly the mostly widely used, and also misused, quantity in data analysis. P has been heavily criticized on philosophical and theoretical grounds, especially from a Bayesian perspective. In contrast, a properly interpreted P has been strongly defended as a measure of evidence against the null hypothesis, H0. We discuss the meaning of P and null-hypothesis statistical testing, and present some key arguments concerning their use. P is the probability of observing data as extreme as, or more extreme than, the data actually observed, conditional on H0 being true. However, P is often mistakenly equated with the posterior probability that H0 is true conditional on the data, which can lead to exaggerated claims about the effect of a treatment, experimental factor or interaction. Fortunately, a lower bound for the posterior probability of H0 can be approximated using P and the prior probability that H0 is true. When one is completely uncertain about the truth of H0 before an experiment (i.e., when the prior probability of H0 is 0.5), the posterior probability of H0 is much higher than P, which means that one needs P values lower than typically accepted for statistical significance (e.g., P = 0.05) for strong evidence against H0. When properly interpreted, we support the continued use of P as one component of a data analysis that emphasizes data visualization and estimation of effect sizes (treatment effects).
4
Jitmaneeroj, Boonlert. "The impact of dividend policy on price-earnings ratio." Review of Accounting and Finance 16, no. 1 (February 13, 2017): 125–40. http://dx.doi.org/10.1108/raf-06-2015-0092.
Анотація:
Purpose This paper aims to examine the conditional and nonlinear relationship between price-earnings (P/E) ratio and payout ratio. A common finding of previous studies using linear regression model is that the P/E ratio is positively related to the dividend payout ratio. However, none of them investigates the condition under which the positive relationship holds. Design/methodology/approach This paper uses the fixed effects model to investigate the conditional and nonlinear relationship between P/E ratio and payout ratio. With the inclusion of fundamental factors and investor sentiment, this model allows for nonlinear relationship to be conditioned on the return on equity and the required rate of return. Findings Based on the annual data of industries in the USA over the period of 1998-2014, this paper produces new evidence indicating that when the return on equity is greater (less) than the required rate of return, the P/E ratio and dividend payout ratio exhibit a negative (positive) relationship and positive (negative) convexity. Practical implications Due to the curvature relationship between P/E ratio and payout ratio, the corporate managers and stock investors should pay more attention to the reduction in payout ratio than the rising payout ratio and the companies with low payout ratios than the companies with high payout ratios. Originality/value No previous study has tackled the issue of conditional and nonlinear relationship between P/E ratio and payout ratio. This paper attempts to fill the gap by allowing for nonlinear relationship conditional on the relative values of the return on equity and the required rate of return.
5
DI NOLA, ANTONIO, and ROMANO SCOZZAFAVA. "PARTIAL ALGEBRAIC CONDITIONAL SPACES." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 12, no. 06 (December 2004): 781–89. http://dx.doi.org/10.1142/s021848850400320x.
Анотація:
Conditioning plays a central role, both from a theoretical and practical point of view, in domains such as logic and probability, or rule–based expert systems. In classical approaches to probability, there is the notion of "conditional probability" P(E|H), but usually there is no meaning given to E|H itself. In 1935 de Finetti 5 was the first to mention "conditional events" outside the function P. We shall refer to a concept of conditional event extensively discussed in 4, where the idea of de Finetti of looking at E|H, with H≠∅ (the impossible event), as a three–valued logical entity (true when both E and H are true, false when H is true and E is false, "undetermined" when H is false) is generalized (or better, in a sense, is given up) by letting the third "value" t(E, H)suitably depend on the given ordered pair(E, H) and not being just an undetermined common value for all pairs. Here an axiomatic definition is given of Partial Algebraic Conditional Spaces (PACS), that is a set of conditional events endowed with two partial operations (denoted by ⊕ and ⊙): we then show that the structure discussed through a betting scheme in 4 (i.e., a class of particular random variables with suitable partial sum and product) is a "natural" model of a PCAS. Moreover, it turns out that the map t(E, H) can be looked on – with this choice of the two operations ⊕ and ⊙ – as a conditional probability (in its most general sense related to the concept of coherence) satisfying the classic de Finetti – Popper axioms.
6
Andrews, Donald W. K., Wooyoung Kim, and Xiaoxia Shi. "Commands for Testing Conditional Moment Inequalities and Equalities." Stata Journal: Promoting communications on statistics and Stata 17, no. 1 (March 2017): 56–72. http://dx.doi.org/10.1177/1536867x1701700104.
Анотація:
In this article, we present two commands (cmi_test and cmi_interval) to implement the testing and inference methods for conditional moment inequality or equality models proposed in Andrews and Shi (2013, Econometrica 81: 609–666). The cmi_test command tests the validity of a finite number of conditional moment equalities or inequalities. This test returns the value of the test statistic, the critical values at significance levels 1%, 5%, and 10%, and the p-value. The cmi_interval command returns the confidence interval for a one-dimensional parameter defined by intersection bounds. We obtain this confidence interval by inverting cmi_test. All procedures implemented are uniformly asymptotically valid under appropriate conditions (specified in Andrews and Shi [2013]).
7
Burucuoglu, Murat, and Evrim Erdogan. "An Empirical Examination of the Relation between Consumption Values, Mobil Trust and Mobile Banking Adoption." International Business Research 9, no. 12 (November 23, 2016): 131. http://dx.doi.org/10.5539/ibr.v9n12p131.
Анотація:
<p>The purpose of this study is to examine the relations among consumption values of the consumers relevant to mobile banking services, adoption to mobile banking and mobile trust. For this purpose, we propose a structural model which demonstrates the relations between consumption values, mobile banking adoption and mobile trust of consumers. The data had been collected through survey applied on individuals who are using mobile banking services in Turkey. It had been reached to 175 participants in total. The obtained data had been analyzed by partial least squares path analysis (PLS-SEM) which is known as second generation structural equation modeling. As the result of the research, it had been concluded that the conditional value, emotional value and epistemic value –from among consumption values- have positive and statistically meaningful effect on adoption to mobile banking, and that the social value has negative and statistically meaningful effect. It is being observed that there is positive and statistically meaningful relation in between trust relevant to mobile banking and conditional value, emotional value and functional value. And there are positive and statistically meaningful relations on trust relevant to mobile banking and adoption to mobile banking.</p>
8
Gourieroux, Christian, and Joann Jasiak. "Local Likelihood Density Estimation and Value-at-Risk." Journal of Probability and Statistics 2010 (2010): 1–26. http://dx.doi.org/10.1155/2010/754851.
Анотація:
This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function in a neighborhood of a predetermined extreme value for univariate and multivariate series of portfolio returns. For illustration, the method is applied to intraday VaR estimation on portfolios of two stocks traded on the Toronto Stock Exchange. The performance of the new VaR computation method is compared to the historical simulation, variance-covariance, and J. P. Morgan methods.
9
Zhan, Likan, and Peng Zhou. "The Online Processing of Hypothetical Events." Experimental Psychology 70, no. 2 (March 2023): 108–17. http://dx.doi.org/10.1027/1618-3169/a000579.
Анотація:
Abstract. A conditional statement If P then Q is formed by combining the two propositions P and Q together with the conditional connective If ··· then ···. When embedded under the conditional connective, the two propositions P and Q describe hypothetical events that are not actualized. It remains unclear when such hypothetical thinking is activated in the real-time comprehension of conditional statements. To tackle this problem, we conducted an eye-tracking experiment using the visual world paradigm. Participants’ eye movements on the concurrent image were recorded when they were listening to the auditorily presented conditional statements. Depending on when and what critical information is added into the auditory input, there are four possible temporal slots to observe in the online processing of the conditional statement: the sentential connective If, the antecedent P, the consequent Q, and the processing of the sentence following the conditional. We mainly focused on the first three slots. First, the occurrence of the conditional connective should trigger participants to search in the visual world for the event that could not assign a truth-value to the embedded proposition. Second, if the embedded proposition P can be determined as true by an event, the hypothetical property implied by the connective would prevent the participants from excluding the consideration of other events. The consideration of other events would yield more fixations on the events where the proposition is false.
10
Lahiani, Amine, and Khaled Guesmi. "Commodity Price Correlation And Time Varying Hedge Ratios." Journal of Applied Business Research (JABR) 30, no. 4 (June 30, 2014): 1053. http://dx.doi.org/10.19030/jabr.v30i4.8653.
Анотація:
<p>This paper examines the price volatility and hedging behavior of commodity futures indices and stock market indices. We investigate the weekly hedging strategies generated by return-based and range-based asymmetric dynamic conditional correlation (DCC) processes. The hedging performances of short and long hedgers are estimated with a semi-variance, low partial moment and conditional value-at-risk. The empirical results show that range-based DCC model outperforms return-based DCC model for most cases.</p>
11
Di Sciorio, Fabrizio, Raffaele Mattera, and Juan Evangelista Trinidad Segovia. "Measuring conditional correlation between financial markets' inefficiency." Quantitative Finance and Economics 7, no. 3 (2023): 491–507. http://dx.doi.org/10.3934/qfe.2023025.
Анотація:
<abstract><p>Assuming that stock prices follow a multi-fractional Brownian motion, we estimated a time-varying Hurst exponent ($ h_t $). The Hurst value can be considered a relative volatility measure and has been recently used to estimate market inefficiency. Therefore, the Hurst exponent offers a level of comparison between theoretical and empirical market efficiency. Starting from this point of view, we adopted a multivariate conditional heteroskedastic approach for modeling inefficiency dynamics in various financial markets during the 2007 financial crisis, the COVID-19 pandemic and the Russo-Ukranian war. To empirically validate the analysis, we compared different stock markets in terms of conditional and unconditional correlations of dynamic inefficiency and investigated the predicted power of inefficiency measures through the Granger causality test.</p></abstract>
12
Vogt, Martin, and Jürgen Bajorath. "ccbmlib – a Python package for modeling Tanimoto similarity value distributions." F1000Research 9 (February 10, 2020): 100. http://dx.doi.org/10.12688/f1000research.22292.1.
Анотація:
The ccbmlib Python package is a collection of modules for modeling similarity value distributions based on Tanimoto coefficients for fingerprints available in RDKit. It can be used to assess the statistical significance of Tanimoto coefficients and evaluate how molecular similarity is reflected when different fingerprint representations are used. Significance measures derived from p-values allow a quantitative comparison of similarity scores obtained from different fingerprint representations that might have very different value ranges. Furthermore, the package models conditional distributions of similarity coefficients for a given reference compound. The conditional significance score estimates where a test compound would be ranked in a similarity search. The models are based on the statistical analysis of feature distributions and feature correlations of fingerprints of a reference database. The resulting models have been evaluated for 11 RDKit fingerprints, taking a collection of ChEMBL compounds as a reference data set. For most fingerprints, highly accurate models were obtained, with differences of 1% or less for Tanimoto coefficients indicating high similarity.
13
Vogt, Martin, and Jürgen Bajorath. "ccbmlib – a Python package for modeling Tanimoto similarity value distributions." F1000Research 9 (March 5, 2020): 100. http://dx.doi.org/10.12688/f1000research.22292.2.
Анотація:
The ccbmlib Python package is a collection of modules for modeling similarity value distributions based on Tanimoto coefficients for fingerprints available in RDKit. It can be used to assess the statistical significance of Tanimoto coefficients and evaluate how molecular similarity is reflected when different fingerprint representations are used. Significance measures derived from p-values allow a quantitative comparison of similarity scores obtained from different fingerprint representations that might have very different value ranges. Furthermore, the package models conditional distributions of similarity coefficients for a given reference compound. The conditional significance score estimates where a test compound would be ranked in a similarity search. The models are based on the statistical analysis of feature distributions and feature correlations of fingerprints of a reference database. The resulting models have been evaluated for 11 RDKit fingerprints, taking a collection of ChEMBL compounds as a reference data set. For most fingerprints, highly accurate models were obtained, with differences of 1% or less for Tanimoto coefficients indicating high similarity.
14
Suidarma, I. Made, I. Made Sara, I. Nyoman Anggaradana, and I. Gusti Ayu Made Agung Mas Andriani Pratiwi. "The Convergence of Beta Credit for Micro, Small and Medium Enterprises (MSMEs) in Indonesia’s Provinces." International Journal of Finance & Banking Studies (2147-4486) 7, no. 1 (June 30, 2018): 33. http://dx.doi.org/10.20525/ijfbs.v7i1.856.
Анотація:
<p><em>The success of SMEs is determined by the business capital and able to give value added to the business more productively. Various financing pattern schemes for SMEs have been provided in various regions and all economic sectors. However, the development of SMEs credit is still concentrated in several regions in Indonesia</em><em> t</em><em>his can lead to inequality in the growth of SMEs</em><em>. </em><em>This study aims to analyze the convergence of absolute beta and conditional beta in the Provinces in Indonesia and calculate the half-time or time required to achieve steady-state conditions of the SME credit convergence process. Convergence test used is beta conditional convergence and absolute convergence with the monthly time period during 2017.1 until 2017.7. The determinant of SMEs convergence of credit in Indonesia is a number of third-party funds. The model used is dynamic panel data regression and the estimation method used is Arellano-Bond Generalized Method of Moment (AB-GMM).</em></p><p><em>The results of the study show that during the study period, there has been a convergence credit process in Indonesia for both absolute and conditional convergence models. The conditional beta-convergence model provides a smaller beta value than the absolute model. The speed of credit growth convergence between provinces in Indonesia with half-time of 6,94 months for the absolute model and the half-time of 6,96 months for the conditional model. </em><em></em></p>
15
Khumalo, Moses, Hopolang Mashele, and Modisane Seitshiro. "Quantification of the stock market value at risk by using FIAPARCH, HYGARCH and FIGARCH models." Data Science in Finance and Economics 3, no. 4 (2023): 380–400. http://dx.doi.org/10.3934/dsfe.2023022.
Анотація:
<abstract><p>The South African financial market is developing with periods of high and low volatility. Employing an adequate volatility model is essential to manage market risk. This research study was designed to investigate the effectiveness of the fractionally integrated asymmetric power autoregressive conditional heteroskedasticity contrasted with long-memory GARCH-type models, such as the fractionally integrated generalized autoregressive conditional heteroskedasticity and the hyperbolic generalized autoregressive conditional heteroskedasticity for producing the measure of market risk known as the value at risk. These long-memory GARCH-type models assume that the distributions of the index returns follow normal, student-$ t $, skewed student-$ t $ and generalized error distributions. The historical closing price time series of the Johannesburg Stock Exchange all share, the mining and the banking indices are considered. The value at risk and its backtesting for short and long trading positions on the different confident levels are computed and they correspond to the right and left quantiles of the return distributions, respectively. The results reveal that FIAPARCH with a standard student-$ t $ distribution is an appropriate model for producing a robust value at risk in the context of mining and banking indices. Alternatively, FIGARCH with the assumed skewed student-$ t $ distribution model is a good fit to produce a value at risk for the Johannesburg Stock Exchange All Share Index.</p></abstract>
16
Doi, Masaaki. "Bayesian Index of Superiority and the p-Value of the Conditional Test for Poisson Parameters." JOURNAL OF THE JAPAN STATISTICAL SOCIETY 46, no. 2 (2016): 99–127. http://dx.doi.org/10.14490/jjss.46.99.
17
Zou, Yumei, and Yujun Cui. "Uniqueness criteria for initial value problem of conformable fractional differential equation." Electronic Research Archive 31, no. 7 (2023): 4077–87. http://dx.doi.org/10.3934/era.2023207.
Анотація:
<abstract><p>This paper presents four uniqueness criteria for the initial value problem of a differential equation which depends on conformable fractional derivative. Among them is the generalization of Nagumo-type uniqueness theory and Lipschitz conditional theory, and advances its development in proving fractional differential equations. Finally, we verify the main conclusions of this paper by providing four concrete examples.</p></abstract>
18
Maciel, Leandro dos Santos, and Rosangela Ballini. "Value-at-risk modeling and forecasting with range-based volatility models: empirical evidence." Revista Contabilidade & Finanças 28, no. 75 (December 2017): 361–76. http://dx.doi.org/10.1590/1808-057x201704140.
Анотація:
ABSTRACT This article considers range-based volatility modeling for identifying and forecasting conditional volatility models based on returns. It suggests the inclusion of range measuring, defined as the difference between the maximum and minimum price of an asset within a time interval, as an exogenous variable in generalized autoregressive conditional heteroscedasticity (GARCH) models. The motivation is evaluating whether range provides additional information to the volatility process (intraday variability) and improves forecasting, when compared to GARCH-type approaches and the conditional autoregressive range (CARR) model. The empirical analysis uses data from the main stock market indexes for the U.S. and Brazilian economies, i.e. S&P 500 and IBOVESPA, respectively, within the period from January 2004 to December 2014. Performance is compared in terms of accuracy, by means of value-at-risk (VaR) modeling and forecasting. The out-of-sample results indicate that range-based volatility models provide more accurate VaR forecasts than GARCH models.
19
Michel, Allen, Jacob Oded, and Israel Shaked. "Index correlation: implications for asset allocation." Managerial Finance 41, no. 11 (November 9, 2015): 1236–56. http://dx.doi.org/10.1108/mf-07-2014-0195.
Анотація:
Purpose – The cornerstone of Modern Portfolio Theory with implications for many aspects of corporate finance is that reduced correlation among assets and reduced standard deviation are key elements in portfolio risk reduction. The purpose of this paper is to analyze the conditional correlation and standard deviation of a broad set of indices with the S & P 500 conditioned on market performance. Design/methodology/approach – The authors examined volatility and correlation for a set of indices for a 19-year period based on weekly data from July 2, 1993 to June 30, 2012. These included the NASDAQ, MSCI EAFE, Russell 1000, Russell 2000, Russell 3000, Russell 1000 Growth, Russell 1000 Value, Gold, MSCI EM and Dow Jones UBS Commodity. The data for the Wilshire US REIT, Barclays Multiverse, Multiverse 1-3, Multiverse 3-5 and Multiverse 10+ became available starting July 2, 2002. For these indices the authors used weekly data from July 1, 2002 through June 30, 2012. For the iBarclays TIPS, the authors used weekly data from the time of availability, namely, for the period December 12, 2003 through June 29, 2012. Findings – The findings demonstrate that both the conditional correlations and standard deviations vary as a function of market performance. Moreover, the authors obtain a U-shape distribution of correlations conditioned on market performance for equity indices, such as NASDAQ, as well as for the Wilshire REIT. Namely, correlations tend to be high when market returns are at low or high extremes. For more typical market performance, correlations tend to be low. A modified U-shape is found for bond indices and the Dow Jones UBS Commodity Index. Interestingly, the correlation between gold and the S & P 500 is unrelated to the return on the S & P. Originality/value – While it has been observed that asset classes move together, this paper is the first to systematically analyze the nature of these asset class correlations.
20
Mao, Yueqi, Qiang Mei, Peng Jing, Xingyue Wang, Ying Xue, and Ye Zha. "Uncovering the behavioral determinants behind private car purchase intention during the new normal of COVID-19: An empirical investigation in China." Mathematical Biosciences and Engineering 20, no. 4 (2023): 7316–48. http://dx.doi.org/10.3934/mbe.2023318.
Анотація:
<abstract> <p>Based on the Protection Motivation Theory (PMT), the Psychological Reactance Theory (PRT), and the Theory of Planned Behavior (TPB), we revealed the psychological impact factors of individuals' private car purchase intentions during the new normal of COVID-19. Structural equation modeling (SEM) and Bayesian network (BN) were used to analyzed the car purchase decision-making mechanism. A questionnaire survey was conducted to collect empirical data from April 20th to May 26th of 2020 in China. We investigated 645 participants and analyzed the data. The SEM results showed that conditional value, pro-car-purchasing attitude, and perceived behavioral control, health value, and cost factors have significant direct effects on car purchase intention. According to BN's prediction of purchase intention, the probability of high purchase intention grew by 47.6%, 97.3% and 163.0%, respectively, with perceived behavioral control, pro-car-purchasing attitude, and conditional value shifting from "low" to "medium" and "high". This study provided a new perspective for researchers to explore the purchase intention of cars during the epidemic. Meanwhile, we could provide a reference for the government and enterprises to develop measures related to the automobile market."</p> </abstract>
21
Bodington, Jeffrey. "Disentangling Wine Judges’ Consensus, Idiosyncratic, and Random Expressions of Quality or Preference." Journal of Wine Economics 12, no. 3 (August 2017): 267–81. http://dx.doi.org/10.1017/jwe.2017.21.
Анотація:
AbstractJudges confer various awards on wines entered in dozens of wine competitions each year. This article employs data on blind replicates to show that those awards are based on one instance of stochastic ratings assigned by wine judges; awards based on the expected values of those stochastic ratings would be different. This article recognizes the stochastic nature of ratings and builds on the work of many others to propose and test a conditional-probability model that yields maximum-likelihood estimates of judges’ latent consensus, idiosyncratic, and random assignments of scores to wines. The exact p-value for a likelihood test of the null hypothesis that the model's results are random is less than 0.001. Applying the notion of conditional probability may lead to better methods of assigning awards to entries in wine competitions and of assessing the capabilities of wine judges. (JEL Classifications: A10, C10, C00, C12, D12)
22
Singh, Sukhvir. "Explanation of BMI data using Linear Regression Model in R." International Journal for Research in Applied Science and Engineering Technology 10, no. 3 (March 31, 2022): 331–40. http://dx.doi.org/10.22214/ijraset.2022.40640.
Анотація:
Abstract: This paper describes the regression analysis between different variable like Weight & BMI, Weight & Height, and Height & BMI using Linear Regression Model & data visualization techniques in R Programming from a sample data of 68 students of BCA. The collected data were analyzed for underweight, overweight, obese personalities by using conditional statements. The result of the model will give Residual Standard Error, Multiple R2 , Adjusted R2 , F-statistic and p-value. There is visualization of data using ggplot() and geom() in last steps. Keywords: BMI, Multiple R2 , Adjusted R2 , F-statistic, p-value, R, ggplot, geom.
23
Melnikov, Alexander, and Hongxi Wan. "CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs." Probability, Uncertainty and Quantitative Risk 6, no. 4 (2021): 343. http://dx.doi.org/10.3934/puqr.2021017.
Анотація:
<p style='text-indent:20px;'>This paper analyzes Conditional Value-at-Risk (CVaR) based partial hedging and its applications on equity-linked life insurance contracts in a Jump-Diffusion market model with transaction costs. A nonlinear partial differential equation (PDE) that an option value process inclusive of transaction costs should satisfy is provided. In particular, the closed-form expression of a European call option price is given. Meanwhile, the CVaR-based partial hedging strategy for a call option is derived explicitly. Both the CVaR hedging price and the weights of the hedging portfolio are based on an adjusted volatility. We obtain estimated values of expected total hedging errors and total transaction costs by a simulation method. Furthermore,our results are implemented to derive target clients’ survival probabilities and age of equity-linked life insurance contracts.</p>
24
Katerengabo, Bernard, Christopher Gakuu, and Harriet Kidombo. "Households’ Involvement in the Preparation of Monitoring and Evaluation Plan and Performance of Tanzania Conditional Cash Transfer Project." Journal of Sustainable Development 16, no. 2 (February 7, 2023): 40. http://dx.doi.org/10.5539/jsd.v16n2p40.
Анотація:
Poverty has been identified as one of the challenges affecting communities in developing countries. The Conditional Cash Transfer project was introduced in Tanzania aiming at poverty reduction among households. On that note, this study was conducted to assess the extent to which households’ involvement in the preparation of Monitoring and Evaluation plan influenced the performance of Tanzania Conditional Cash Transfer project. Descriptive cross-sectional and correlational research designs were used with the support of a pragmatic paradigm. By using Yamane’s (1967) formula, a sample size of 400 respondents was obtained from a target population of 61,240 households. Data was collected through administered questionnaires, key in-depth interviews and focus group discussions. The findings established a significant influence between households’ involvement in the preparation of Monitoring and Evaluation plan (t= 2.769, p-value = 0.006) on the performance of Tanzania Conditional Cash Transfer project. It was concluded that households’ involvement in the preparation of Monitoring and Evaluation plan played a significant role in the performance of Tanzania Conditional Cash Transfer project. Therefore, project implementers should review the Monitoring and Evaluation policy in order to incorporate households in the preparation of Monitoring and Evaluation plan for influencing the performance of the Tanzania Conditional Cash Transfer project.
25
Katerengabo, Bernard, Christopher Gakuu, and Harriet Kidombo. "Households’ Involvement in Monitoring and Evaluation Decision-Making and Performance of Tanzania Conditional Cash Transfer Project." European Scientific Journal, ESJ 18, no. 38 (December 31, 2022): 129. http://dx.doi.org/10.19044/esj.2022.v18n38p129.
Анотація:
Poverty is one of the challenges affecting developing countries. In efforts to curb this problem, Tanzania has been implementing a Conditional Cash Transfer project for reducing the poverty reduction rate among households that were identified to be extremely poor. Therefore, this study assessed the extent to which households’ involvement in Monitoring and Evaluation decision-making influenced the performance of the Tanzania Conditional Cash Transfer Project. Descriptive cross-sectional and correlational research designs were used, supported by a pragmatic paradigm. By using Yamane‘s (1967) formula, a sample size of 400 respondents was obtained from a target population of 61,240 households. Data were collected through administered questionnaires, key in-depth interviews, and focus group discussions. The findings established a significant influence between households’ involvement in Monitoring and Evaluation decision-making (t=4.970, p-value=0.000) on the performancethe of Tanzania Conditional Cash Transfer Project. It was concluded that households’ involvement in Monitoring and Evaluation decision-making played a significant role in the performance of the Tanzania Conditional Cash Transfer Project. Therefore, it was recommended that implementers of the project were required to establish the section in the M&E document that incorporates the involvement of households at the decision levels as a catalyst for influencing the performancethe of Tanzania Conditional Cash Transfer Project.
26
Li, Yunchen, Zhou Yu, Gaoqi He, Yunhang Shen, Ke Li, Xing Sun, and Shaohui Lin. "SPD-DDPM: Denoising Diffusion Probabilistic Models in the Symmetric Positive Definite Space." Proceedings of the AAAI Conference on Artificial Intelligence 38, no. 12 (March 24, 2024): 13709–17. http://dx.doi.org/10.1609/aaai.v38i12.29276.
Анотація:
Symmetric positive definite(SPD) matrices have shown important value and applications in statistics and machine learning, such as FMRI analysis and traffic prediction. Previous works on SPD matrices mostly focus on discriminative models, where predictions are made directly on E(X|y), where y is a vector and X is an SPD matrix. However, these methods are challenging to handle for large-scale data. In this paper, inspired by denoising diffusion probabilistic model(DDPM), we propose a novel generative model, termed SPD-DDPM, by introducing Gaussian distribution in the SPD space to estimate E(X|y). Moreover, our model can estimate p(X) unconditionally and flexibly without giving y. On the one hand, the model conditionally learns p(X|y) and utilizes the mean of samples to obtain E(X|y) as a prediction. On the other hand, the model unconditionally learns the probability distribution of the data p(X) and generates samples that conform to this distribution. Furthermore, we propose a new SPD net which is much deeper than the previous networks and allows for the inclusion of conditional factors. Experiment results on toy data and real taxi data demonstrate that our models effectively fit the data distribution both unconditionally and conditionally.
27
Chang, Hongyang, Hongying Zan, Tongfeng Guan, Kunli Zhang, and Zhifang Sui. "Application of cascade binary pointer tagging in joint entity and relation extraction of Chinese medical text." Mathematical Biosciences and Engineering 19, no. 10 (2022): 10656–72. http://dx.doi.org/10.3934/mbe.2022498.
Анотація:
<abstract><p>Extracting relational triples from unstructured medical texts can provide a basis for the construction of large-scale medical knowledge graphs. The cascade binary pointer tagging network (CBPTN) shows excellent performance in the joint entity and relation extraction, so we try to explore its effectiveness in the joint entity and relation extraction of Chinese medical texts. In this paper, we propose two models based on the CBPTN: CBPTN with conditional layer normalization (Cas-CLN) and biaffine transformation-based CBPTN with multi-head selection (BTCAMS). Cas-CLN uses the CBPTN to decode the head entity and relation-tail entity successively and utilizes conditional layer normalization to enhance the connection between the two steps. BTCAMS detects all possible entities in a sentence by using the CBPTN and then determines the relation between each entity pair through biaffine transformation. We test the performance of the two models on two Chinese medical datasets: CMeIE and CEMRDS. The experimental results prove the effectiveness of the two models. Compared with the baseline CasREL, the F1 value of Cas-CLN and BTCAMS on the test data of CMeIE improved by 1.01 and 2.13%;</p> <p>on the test data of CEMRDS, the F1 value improved by 1.99 and 0.68%.</p></abstract>
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Pellerin, Annie, Léon Étienne Parent, Catherine Tremblay, Josée Fortin, Gilles Tremblay, Christine P. Landry, and Lotfi Khiari. "Agri-environmental models using Mehlich-III soil phospho rus saturation index for corn in Quebec." Canadian Journal of Soil Science 86, no. 5 (November 1, 2006): 897–910. http://dx.doi.org/10.4141/s05-071.
Анотація:
Soil phosphorus (P), which is potentially a risk for environmental contamination, is currently interpreted using soil P saturation in North America. Our objective was to assess the ratio of P to aluminum (Al) in the Mehlich-III (M-III) soil test to build P requirement models for corn and soybean. We analyzed 129 corn and 19 soybean P fertilizer trials. For corn, the (P/Al)M-III ratio improved soil fertility classification compared with PM-III alone. The critical PM-III value as determined by the Cate-Nelson procedure was found to be 31.5 mg PM-III kg-1, close to published values. The critical (P/Al)M-III ratios of 0.025 for > 300 g clay kg-1 soils and 0.040 for ≤ 300 g clay kg-1 soils differed significantly between the two soil groups. For (P/Al)M-III ratios above 0.214, there was no positive response to added P for all soils regardless of texture. Using published critical environmental (P/Al)M-III ratios of 0.076 for > 300 g clay kg-1soils and 0.131 for ≤ 300 g clay kg-1 soils as benchmarks values, agri-environmental P requirement models were built using conditional expectations of 50 to 80% of computed optimum P values within a soil class. A validation study supported the low critical (P/Al)M-III ratios and the 50% conditional expectation model except for a high carbon soil which was outside the application range of the models. However, banded P decreased corn yield at four validation sites although the model predicted positive response to P. Soybean did not respond to P except at extremely low fertility levels ((P/Al)M-III ≤ 0.02) and behaved as a P-mining crop even in low-P soils. Corn-soybean rotations can reduce soil P to low (P/Al)M-III ratios with minimal agronomic risk. Key words: Soil phosphorus saturation, Mehlich-III soil extraction method, soil fertility classification, soil texture, fertilizer P requirement model, corn, soybean
29
Pei, Q., C. L. Zuleger, M. D. Macklin, M. R. Albertini, and M. A. Newton. "A conditional predictive p-value to compare a multinomial with an overdispersed multinomial in the analysis of T-cell populations." Biostatistics 15, no. 1 (October 4, 2013): 129–39. http://dx.doi.org/10.1093/biostatistics/kxt039.
30
Davletov, Feruzbek. "Estimating the Tail Index of Conditional Distribution of Asset Returns." International Journal of Financial Research 13, no. 2 (April 16, 2022): 14. http://dx.doi.org/10.5430/ijfr.v13n2p14.
Анотація:
Massive stock market failures in the past decades cast a doubt on the standard normality assumption of many economic models. Despite decent research on the non-Gaussian characteristics of many financial time series, the question of tail heaviness still remains open. We conduct diagnostic analysis on the conditional distribution of asset returns of small/large companies (Russell 2000 and S&P 500) to look for clear evidence on the presence of heavy tails. We employ extreme value (EVT) tools in order to estimate the shape parameter () of Generalized Pareto distribution (GPD) using a well-known “Hill estimator”. It turns out that the shape parameter lies in the interval implying that the conditional distribution of asset returns supposedly has finite mean and variance. We also find an evidence that the tail estimates experience structural breaks during 2008 Global Financial Crisis.
31
Lyman, Gary H., Jeffrey Crawford, Nicole M. Kuderer, Debra A. Wolff, Eva Culakova, Marek S. Poniewierski, and David C. Dale. "A Conditional Risk Model for Chemotherapy-Induced Anemia (CIA) in Cancer Patients." Blood 110, no. 11 (November 16, 2007): 372. http://dx.doi.org/10.1182/blood.v110.11.372.372.
Анотація:
Abstract Anemia represents the most common hematological toxicity in cancer patients receiving systemic chemotherapy and is associated with considerable morbidity and cost. Current guidelines for chemotherapy-induced anemia call for intervention at a hemoglobin <10 g/dL with treatment options including transfusion or an erythropoietic-stimulating agent (ESA). A meta-analysis of randomized controlled trials has demonstrated the clinical value of early versus late intervention with an ESA (Lyman Cancer, 2006). While anemia risk models based on pretreatment characteristics have recently been validated, recent safety concerns have limited use of the ESAs to patients with moderate or severe anemia. The gradual onset of anemia and response to ESAs over time provides a rationale for selecting patients for ESA support early in the course of chemotherapy. Methods: 3640 patients with solid tumors or malignant lymphoma initiating a new regimen have been prospectively registered at 110 randomly selected U.S. practice sites. A logistic regression risk model for hemoglobin <10 g/dL based on pretreatment characteristics and hematolgic events during cycle 1 was developed and model predictive performance characteristics estimated. Results: Over a median of 3 cycles of chemotherapy, hemoglobin <10 g/dL was reported one or more times in 1072 (29.5%) patients. Significant independent baseline characteristics associated with subsequent hemoglobin <10 g/dL include: female gender, poor ECOG performance status, history of congestive heart failure, vascular disease or chronic pulmonary disease, cancer type, treatment with an anthracycline-, platinum- or etoposide-based regimen and baseline hemoglobin <12 g/dL or platelet count <150000/mm3. In addition, significant independent predictive hematologic changes during cycle 1 include: decrease in hemoglobin >1 g/dL (OR=4.48; P<.0001), decrease in platelet count >100000/mm3 (OR=1.54;P<.0001) or neutrophil count <500/mm3 (OR=1.94; P<.001) as well as hemoglobin <12 g/dL (OR=2.0;P<.001) at the start of cycle 2. Model R2 = 0.581 and c-statistic = 0.901 [95% CI: .89–.91, P<.0001]. The predicted risk of hemoglobin <10 g/dL ranged from 0 to 100% with mean and median probabilities of 0.16 and 0.30, respectively. Based on a risk cutpoint at the mean, 1290 patients (38%) were classified as high risk. The risks of hemoglobin <10 g/dL in high and low risk subjects were 66% and 9%, respectively. Model test performance characteristics [± 95% CLs] included: sensitivity: 82%[80–84]; specificity: 82%[80–83]; positive predictive value: 66%[63–68]; negative predictive value: 91%[90–93] and diagnostic odds ratio: 20.4[16.8–24.6]. Of note, risk of hemoglobin <11 g/dL in high and low risk subjects based on this model were 95% and 34%, respectively. Validation of the model in a separate population of patients is currently under way. Discussion: This conditional risk model based on both pretreatment characteristics and first cycle events identified cancer patients receiving chemotherapy at substantial risk for clinically significant anemia. The use of ESAs early in the course of treatment based on individual risk assessment must consider both the potential benefit and risks and careful monitoring is essential.
32
HAN, CHUAN-HSIANG, WEI-HAN LIU, and TZU-YING CHEN. "VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS." International Journal of Theoretical and Applied Finance 17, no. 02 (March 2014): 1450009. http://dx.doi.org/10.1142/s0219024914500095.
Анотація:
This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation. The empirical analysis is based on several foreign exchange series and the S&P 500 index data. In comparison with empirical results by RiskMetrics, historical simulation, and the GARCH(1,1) model, our improved procedure outperforms on average.
33
Jughaiman, Abdulaziz. "The Philosophy of Probability Value Behavior: Fractions and Composite Probability Functions in the Continuous Case." European Scientific Journal, ESJ 20, no. 9 (March 31, 2024): 1. http://dx.doi.org/10.19044/esj.2024.v20n9p1.
Анотація:
This paper focuses on probability value behavior in the case of continuous sample space by employing fractions intervals and composite functions. The study evaluates value behavior rather than finding values directly, which involves utilization of some concepts from continuity, geometric probability, and measure theory. This paper primarily uses an experiment that contains two major events, head H and tail T, in all their occurrence phases. This spread in infinite and uncountable fractions by a continuous motion within intervals and in the predominant circumstances where events are probabilistic values. As a result, every circumstance reflects many important characteristics of probability theory. Among the main results, this paper provides proven propositions that help design experiments upon understanding the case nature, with some explanations to the existing relation between probability value and the case nature. Also, this paper provides a proven corollary that allows visualizing negative probability values as a particular trial. This in turn proposes necessary uses for the composite probability function P_j 〖(p〗_i). Moreover, this paper provides numerical explanations of limits, which can demonstrate the nature of P_j 〖(p〗_i), alongside some techniques. Also, this paper considered conditional probability through some corollaries and the possibility of using the non-negative function of the interval i, alongside many important results in form of discussions.
34
Azimi, Mohammad Naim. "Assessing the Exchange Rate Volatility as an External Shock to Chinese Economy." International Journal of Economics and Finance 8, no. 5 (April 25, 2016): 277. http://dx.doi.org/10.5539/ijef.v8n5p277.
Анотація:
Theoretically, the rate of exchange is one of the major drivers of inflation that influences the wholesale price index (WPI) in countries where significant emphasis is put over import and export like China. In this paper, the exchange rate’s clustering volatility and its impulsiveness as an external shock to WPI is investigated on a set of time series data which represents 4,067 daily observation of Chinese Economy from August 12, 2004-September 30, 2015. The ordinary least square and weighted regression analysis reveal significant p-values of 0.000 for exchange rate that explain the WPI throughout the stated period. The autoregressive conditional heteroskedasticity and generalized autoregressive conditional heteroskedasticity model exhibit significant probability value of 0.000 and 0.044 respectively for WPI and the exchange rate. It is found that the previous days’ volatility of WPI influences the future volatility of WPI as an internal shock in addition to the previous days’ impulsiveness of the exchange rate which influences the future volatility of the WPI as an external shock. The testing models are thoroughly applied and their stability and validity are evidenced thereto.
35
Huang, Shiang, Huiyu Li, Dongmei Guo, Shenghua Jie, Kaiwei Liang, and Fang Zheng. "HERG1 K+ Channels Regulate Leukemia Angiogenesis through VEGF Signaling In Leukemic Cells." Blood 116, no. 21 (November 19, 2010): 1036. http://dx.doi.org/10.1182/blood.v116.21.1036.1036.
Анотація:
Abstract Abstract 1036 Background: Angiogenesis has been shown as an important process in hematological malignancies. It consists in endothelial proliferation, migration, and tube formation following pro-angiogenic factors realizing, specially the vascular endothelial growth factor (VEGF). The human ether-à-go-go-related gene encodes the major subunit of the K+ channels which has three isotypes (hERG1,hERG2,hERG3) in human. Our previous studies demonstrated that HERG1 K+ channels were aberrantly expressed in leukemia cells and leukemia stem cells (LSCs) which appears to be important in favoring leukemia progression. However, the functions of HERG1 K+ channels on the leukemia-induced angiogenesis has not been investigated. The purpose of this study is to investigate the role of HERG1K+ channels on leukemia angiogenesis and the possible mechanism. Methods: First, prepare conditional media: K562, HL-60 cells were cultured in RPMI 1640 medium containing 10% FBS and various concentration (0, 10, 20, 40μM) of E-4031, a HERG1 K+ channel special inhibitor. Second, HUVECs were seeded in conditional media and HUVECs proliferation was measured by the CCK-8 cell proliferation assay. HUVECs cell migration assay was performed by Boyden chamber. The angiogenesis of HUVECs cultured in conditional media were measured by endothelial tube formation in Matrigel in vitro. The role of HERG1K+ channels on VEGF secreted by leukemic cells was determined by ELISA; The role of HERG1K+ channels on VEGF mRNA expression of leukemic cells was determined by RT-PCR. Results: The proliferation assay showed that the OD value of HUVEC poliferation was 0.91±0.13 in the control group when HUVECs was cultured with E-4031-free conditioned media from K562 cells. While in the experimental group, the OD value were 0.71±0.18, 0.67±0.12, 0.60±0.08, respectively for different concentrations of E-4031 (10, 20 and 40μM). We obtained similar results using human HL-60 cells. The HUVEC proliferation was significantly inhibited when the conditioned media were treated with different concentrations of E-4031 (P < 0.05). The migration results also showed that when cultured in conditioned media generated from untreated K562 cells, the number of HUVECs that migrated through the filters were 22 cells. In the media from 20μM E4031-pretreated K562 cells, the migrated HUVEC numbers were 8.The leukemia induced significant migration of HUVECs, which was significantly higher than that cells treated with E-4031(P<0.001). We observed that HUVECs cultured with medium from leukemia formed a tube-like structure or tube network. Culturing HUVECs with medium from K-562 plus 20μM of E-4031 led to 70% decrease in tube network. These indicated that HERG1 K+ channels could influence the cross-talk between the leukemic cells and endothelial cells. Blockage of HERG K+ channels decreased the ability of leukemic cells to induce HUVEC proliferation, migration and tube formation. Our ELISA results showed that VEGF levels in conditional media was about 311±12.35pg/ml; Blockage of HERG K+ channels led to decrease secretion of VEGF(126±10.23 pg/ml) by K-562 cells(P < 0.05). RT-PCR showed that K-562 cells treated with E-4031 had a relatively lower mRNA expression of VEGF than that cells untreated with E-4031. We obtained similar results using human HL-60 cells. Conclusion: HERG1K+ channels have a promoting effect on leukemia angiogenesis, the mechanism of which may be that HERG1 K+ channels increase the level of VEGF expressions at both protein and mRNA level. And these may be critical steps of HERG1 K+ channels on leukemia angiogenesis. These findings suggested that HERG1 K+ channels may be a potential target of anti-angiogenesis. Disclosures: No relevant conflicts of interest to declare.
36
Bodnar, Taras, Mathias Lindholm, Erik Thorsén, and Joanna Tyrcha. "Quantile-based optimal portfolio selection." Computational Management Science 18, no. 3 (April 2, 2021): 299–324. http://dx.doi.org/10.1007/s10287-021-00395-8.
Анотація:
AbstractIn this paper the concept of quantile-based optimal portfolio selection is introduced and a specific portfolio connected to it, the conditional value-of-return (CVoR) portfolio, is proposed. The CVoR is defined as the mean excess return or the conditional value-at-risk (CVaR) of the return distribution. The portfolio selection consists solely of quantile-based risk and return measures. Financial institutions that work in the context of Basel 4 use CVaR as a risk measure. In this regulatory framework sufficient and necessary conditions for optimality of the CVoR portfolio are provided under a general distributional assumption. Moreover, it is shown that the CVoR portfolio is mean-variance efficient when the returns are assumed to follow an elliptically contoured distribution. Under this assumption the closed-form expression for the weights and characteristics of the CVoR portfolio are obtained. Finally, the introduced methods are illustrated in an empirical study based on monthly data of returns on stocks included in the S&P index. It is shown that the new portfolio selection strategy outperforms several alternatives in terms of the final investor wealth.
37
Savouré, Arnaud, Alexis Mechulan, Marc Burban, Audrey Olivier, and Arnaud Lazarus. "The Kora Pacemaker is Safe and Effective for Magnetic Resonance Imaging." Clinical Medicine Insights: Cardiology 9 (January 2015): CMC.S24976. http://dx.doi.org/10.4137/cmc.s24976.
Анотація:
Background The impact of magnetic resonance imaging (MRI) on pacemakers is potentially hazardous. We present clinical results from a novel MRI conditional pacing system with the capability to switch automatically to asynchronous mode in the presence of a strong magnetic field. Aims The IKONE ( Assessment of the MRI solution: KORA 100™ and Beflex™ pacing leads system) study is an open-label, prospective, multicenter study aimed at confirming the safety and effectiveness of the system, when used in patients undergoing MRI of anatomical regions excluding the chest. Methods Primary eligibility criteria included patients implanted with the system, with or without a clinically indicated MRI. The primary endpoint was to confirm no significant change in pacing capture thresholds at 1 month after an MRI, with an absolute difference of ≤0.75 V between the pre- and 1-month post-MRI for both atrial and ventricular capture thresholds. Results Out of 33 patients enrolled (mean age: 72.8 ± 11.4 years, 70% male, implant indication or device), 29 patients implanted with the MRI conditional system underwent an MRI 6-8 week postimplant. The study reached its primary endpoint: the mean absolute difference in pacing capture threshold at 1-month post-MRI versus pre-MRI was less than 0.75 V in the atrium (Δ = 0.18 ± 0.16 V, P-value <0.001) and in the ventricle (Δ = 0.18 ± 0.22 V, P-value <0.001). There were no adverse events related to the MRI procedure nor were there reports of patient symptoms or discomfort associated. MR image quality was of diagnostic quality in all patients. Conclusion Lead electrical performance as measured by difference in capture thresholds were not impacted by MRI. This first clinical evaluation of a novel MRI conditional system demonstrates it is safe and effective for use in out-of-chest, 1.5-T MR imaging.
38
Guloglu, Bülent, Sinem Guler Kangalli Uyar, and Umut Uyar. "Dynamic Quantile Panel Data Analysis of Stock Returns Predictability." International Journal of Economics and Finance 8, no. 2 (January 24, 2016): 115. http://dx.doi.org/10.5539/ijef.v8n2p115.
Анотація:
<p>This paper analyses the effect of financial ratios on stock returns using quantile regression for dynamic panel data with fixed effects. Eighty three firms of manufacturing industry, which were traded on the Borsa Istanbul for 2000-2014 period, are covered in the study. The most of financial variables have heterogeneous structure so they generally include extreme values. Thus, panel quantile regression technique, suggested by Koenker (2004), is used. Since the technique yields robust estimator in the case of extreme values the Gaussian estimators will be biased and not efficient. The sensitivity of relationship, on the other hand, can be studied for different parts of the stock returns’ conditional distribution by using quantile regression technique. However, because of that the lagged of dependent variable is used as an explanatory variable in dynamic panel models, fixed effect estimators will be biased. Thereby, in this study the instrumental variable approach suggested by Chernozhukov and Hansen (2006) is used to produce unbiased and consistent estimators.</p>The results show that the stock returns respond to the changes on the financial leverage ratio, the dividend yield, the market-to-book value ratio, financial beta and the total active profitability variables differently for the different parts of the stock returns’ conditional distribution. They also indicate that, at high quantiles, return fluctuations in the current period will be more effective for investors’ transaction attitudes on stocks for the next period.
39
Van Garderen, Kees Jan, and Fallaw Sowell. "MULTIMODALITY p**-FORMULA AND CONFIDENCE REGIONS." Econometric Theory 34, no. 2 (June 5, 2017): 416–46. http://dx.doi.org/10.1017/s0266466617000214.
Анотація:
Barndorff-Nielsen’s celebrated p*-formula and variations thereof have amongst their various attractions the ability to approximate bimodal distributions. In this paper we show that in general this requires a crucial adjustment to the basic formula. The adjustment is based on a simple idea and straightforward to implement, yet delivers important improvements. It is based on recognizing that certain outcomes are theoretically impossible and the density of the MLE should then equal zero, rather than the positive density that a straight application of p* would suggest. This has implications for inference and we show how to use the new p**-formula to construct improved confidence regions. These can be disjoint as a consequence of the bimodality. The degree of bimodality depends heavily on the value of an approximate ancillary statistic and conditioning on the observed value of this statistic is therefore desirable. The p**-formula naturally delivers the relevant conditional distribution. We illustrate these results in small and large samples using a simple nonlinear regression model and errors in variables model where the measurement errors in dependent and explanatory variables are correlated and allow for weak proxies.
40
Yang, Ruicheng, and Zinan Hu. "A Multistage Stochastic Programming Model with Multiple Objectives for the Optimal Issuance of Corporate Bonds." Discrete Dynamics in Nature and Society 2022 (September 10, 2022): 1–22. http://dx.doi.org/10.1155/2022/9929891.
Анотація:
Large corporations usually cover their capital and operating expenses by issuing bonds with fixed rates and different maturities. This paper proposes a multistage stochastic programming (MSP) model with multiple objectives to optimize bond issuance by satisfying the three common objectives of corporate managers, as follows: (i) Minimizing expected discounted cost under cash liquidity and financial leverage risk constraints. (ii) Minimizing financial leverage risk under expected discounted cost and cash liquidity risk constraints. (iii) Minimizing cash liquidity risk under expected discounted cost and financial leverage risk constraints. We measure liquidity risk as conditional payment-at-risk ( C P a R ), according to the corporation’s financial characteristics. Financial leverage risk is captured by conditional financial leverage-at-risk C F L a R , which we design based on conditional value-at-risk ( C V a R ). Through empirical analysis of a company in China, we explore the efficient frontier curves for the three above objectives and provide the corresponding issuance compositions of an optimal bond portfolio. Our MSP model offers guidance for corporations on achieving a trade-off between cost and risk when issuing corporate bonds.
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Diallo, Dapa Aly, Aldiouma Guindo, Alain Dorie, Boubacari Ali Touré, Baba Fané, Yaya Sarro, and Gil Tchernia. "The Cerebral Vasculopathy In Malian Sickle Cell Anemia Children: Lesson From Routine Transcranial Doppler Screening." Blood 122, no. 21 (November 15, 2013): 4687. http://dx.doi.org/10.1182/blood.v122.21.4687.4687.
Анотація:
Cerebral vasculopathy is one of the major complications of Sickle Cell Disease (SCD). 11% of the homozygous SCD patients experience stroke by age of 20 years. The use of Transcranial Doppler (TCD) allows identification of patients at risk for stroke and leads to implementation of a preventive treatment that contributes to limit the burden of SCD particularly during childhood. Using TCD screening, we evaluated the prevalence and incidence of cerebral vasculopathy in Malian SCD children. During the years 2008 to 2013, 572 children, 249 girls and 323 boys, age range (2-17yrs) were routinely screened by TCD at our Sickle Cell Disease Research and Control Center of Bamako, Mali. The overall prevalence of cerebral vasculpathy defined by conditional (1.5-1.79 cm/sec) and abnormal TCD (≥ 1.80 cm/sec) in this population is 17.1%. The highest proportion (92.9%) was observed in homozygous SCD patients while the percentage of affected patients was much lower in S/β0thalassemia (4.1%) and in SC (3.1%) patients. No cases were observed in S/β+thalassemia patients. SCD children <9 years old were more susceptible to cerebral vasculopathy complications than those above this age threshold (P<0.001). Low hemoglobin levels and low fetal hemoglobin were associated with an increased risk of cerebral vasculopathy. During the study, 4 of 444 children with normal TCD converted to conditional TCD, while 5 of 68 children with conditional TCD converted to abnormal TCD. This conversion from conditional to abnormal TCD was associated with a mean decrease in Hb value of 0.37g/dL (P=0.002). In conclusion this study shows high prevalence and incidence of cerebral vasculopathy in Malian SCD children. While chronic transfusion programs significantly reduces the risk of stroke in SCD patients with abnormal TCD, at present there are no well articulated strategies to prevent conversion from conditional to abnormal TCD. A more comprehensive approach would hopefully reduce the morbidity and mortality due to cerebral vasculopathy in SCD affected children. Disclosures: No relevant conflicts of interest to declare.
42
Nickels, Eric M., Shaobo Li, Katti Arroyo, Swe Swe Myint, Adam J. de Smith, and Joseph L. Wiemels. "Evaluation of DNA Methylation at Birth in Monozygotic Twin Pairs Discordant for Acute Lymphoblastic Leukemia." Blood 138, Supplement 1 (November 5, 2021): 2278. http://dx.doi.org/10.1182/blood-2021-152795.
Анотація:
Abstract Background: Aberrant patterns of DNA methylation constitute a key feature of pediatric acute lymphoblastic leukemia (ALL) at diagnosis, however its role as a predisposing or early contributor to the development of ALL remains unknown. We employed a discordant monozygotic twin model to identify epigenetic variation associated with future development of pediatric ALL through evaluation of DNA methylation at birth. Methods: Twin pairs discordant for the development of pediatric ALL were identified using linked data from the California Cancer Registry and California Birth Statistical Master File spanning from 1989 to 2015. Archived dried neonatal blood spots were obtained from 86 same-gender twin pairs with available materials from the California Biobank Program. Following isolation of genomic DNA from DBS samples, monozygosity was confirmed in 43 of 86 twin pairs through an identity-by-descent analysis from a genome-wide SNP-array. Epigenome-wide DNA methylation assessment of the 43 discordant monozygotic twin pairs was conducted using the Illumina Infinium MethylationEPIC BeadChip kit (Illumina, San Diego, CA, USA). Data preprocessing and quality control measures were conducted in R, using SeSAMe for data normalization. Two twin pairs were omitted due to failure to pass quality control measures. Within-pair analysis was conducted through identification of array probes with absolute differences in methylation beta values greater than 15% between case and control siblings of a twin pair unit. Differentially methylated probes (DMP) were identified using a conditional logistic regression model accounting for array-specific variation, nucleated cell proportions, and appropriate control for the paired nature of the dataset. Differentially methylated regions (DMR) were defined by regional correlation of p-values from the conditional logistic regression model. Gene set enrichment analysis was conducted on significant probes identified through the within pair and regression analysis. Results: The discordant twin cohort (n = 41 pairs) included 24 female and 17 male pairs. Median gestational age was 258 days, ranging from 184 to 306 days. Age of diagnosis in the case twin ranged from <1 to 23 years (median = 5). There was no significant association between birthweight and case status (paired Wilcoxon signed rank test p = 0.22). No significant differences in nucleated cell proportions were identified in deconvolution analysis. Within-pair analysis identified a total of 18,001 probes with absolute methylation variation greater than 15% across the 41 twin pairs, with 3,984 recurrently variable across more than one pair. Gene ontology analysis of these recurrently variable sites revealed an enrichment of immune-related processes in 7 of the top 15 terms with nominal p-value <0.05, though no terms were significant after correction for multiple comparisons. Conditional logistic regression was conducted on 37 twin pairs, with T-cell cases (n=4) omitted to improve data resolution. This resulted in 240 significant DMPs with p-values below an FDR threshold of 0.05. Of these significant probes, 20 associate with genes previously reported to have altered DNA methylation in ALL at diagnosis. Regional analysis identified 10 significant DMRs with adjusted p-values below 0.05, with the top association encompassing a 454bp region on chromosome 6 located near TRIM39-RPP21 (adjusted p-value 2.39e-05). Notably, conditional regression analysis revealed a significant negative bias in coefficients (409,812 of 710,010 probes, binomial exact test p <2.2e-16), indicating a global tendency toward hypomethylation in cases compared to unaffected siblings (Figure 1). The strength of this bias was greater in probes associated with open sea regions compared to those in island regions, as well as promoter-associated probes. Conclusions: This novel analysis of DNA methylation at birth in ALL-discordant monozygotic twins identified sites of differential methylation associated with immune regulation. In addition, these results provide evidence of an association between global DNA hypomethylation and future development of ALL in one member of a genetically identical twin pair. Figure 1 Figure 1. Disclosures No relevant conflicts of interest to declare.
43
Bratton, Daniel J., Hywel C. Williams, Brennan C. Kahan, Patrick PJ Phillips, and Andrew J. Nunn. "When inferiority meets non-inferiority: Implications for interim analyses." Clinical Trials 9, no. 5 (July 13, 2012): 605–9. http://dx.doi.org/10.1177/1740774512453220.
Анотація:
Background The objective of a non-inferiority trial is to determine whether a new or existing treatment is not less effective than another existing or current treatment by more than a pre-specified margin, Δ, usually with the requirement that the new treatment has some other advantage such as reduced cost or lower toxicity. A possible but unusual result in a non-inferiority trial is for the confidence interval for the treatment effect to lie between zero and Δ, implying that the new treatment is both inferior and non-inferior to the control. Such a result could occur in non-inferiority trials with large sample sizes or large non-inferiority margins. The possibility of this scenario occurring has implications for interim analyses. In standard superiority trials, stopping guidelines are often based on the p value obtained from testing whether treatments are equally effective. In non-inferiority trials, however, even if a new treatment is found to be inferior to the control at an interim analysis, there may still be a reasonable chance of demonstrating non-inferiority in the final analysis. Purpose To explore the issues arising from trials where a simultaneously inferior and non-inferior result could occur and to describe appropriate methods for deciding whether such trials should be stopped for futility at an interim analysis. Methods Conditional power is used to assess futility or the inability of the trial to show non-inferiority at the final analysis, by calculating the probability of demonstrating non-inferiority in the final analysis conditional on the observed results and upon assumptions on the future results of the trial. The Bullous Pemphigoid Steroids and Tetracyclines Study (BLISTER) trial is an example of a trial where a simultaneous inferior and non-inferior result could occur. A method for calculating conditional power for non-inferiority using simulations is described and applied at a hypothetical interim analysis of this trial. Results Stopping guidelines for futility based on conditional power are shown to be better suited to non-inferiority trials than the typical methods used in superiority trials. Simulations are a straightforward and flexible way of calculating conditional power. Limitations Calculating conditional power relies on assumptions about future treatment efficacy, and therefore, a number of different conditional power values can be obtained. Careful consideration should be given to which assumptions are most likely to be true. Additionally, when choosing a stopping guideline for futility, consideration needs to be given to avoid overinflating the type II error rate. Conclusions Conditional power is an appropriate tool for defining stopping guidelines for futility in non-inferiority trials, particularly those with large non-inferiority margins.
44
Makarov, Roman N. "Option Pricing and Portfolio Optimization under a Multi-Asset Jump-Diffusion Model with Systemic Risk." Risks 11, no. 12 (December 13, 2023): 217. http://dx.doi.org/10.3390/risks11120217.
Анотація:
We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a major market index (e.g., S&P500), along with several low-activity securities infrequently traded on financial markets. The model retains tractability even as the number of securities increases. The proposed framework allows for constructing models with common and asset-specific jumps with normally or exponentially distributed sizes. One of the main features of the model is the possibility of estimating parameters for each asset price process individually. We present the conditional maximum likelihood estimation (MLE) method for fitting asset price processes to empirical data. For the case with common jumps only, we derive a closed-form solution to the conditional MLE method for ordinary assets that works even if the data are incomplete and asynchronous. Alternatively, to find risk-neutral parameters, the least-square method calibrates the model to option values. The number of parameters grows linearly in the number of assets compared to the quadratic growth through the correlation matrix, which is typical for many other multi-asset models. We delve into the properties of the proposed model, its parameter estimation using the MLE method and least-squares technique, the evaluation of VaR and CVaR metrics, the identification of optimal portfolios, and the pricing of European-style basket options. We propose a Laplace-transform-based approach to computing Value at Risk (VaR) and conditional VaR (also known as the expected shortfall) of portfolio returns. Additionally, European-style basket options written on the extreme and average stock prices or returns can be evaluated semi-analytically. For numerical demonstration, we examine a combination of the SPDR S&P 500 ETF (as a systemic risk asset) with eight ordinary assets representing diverse industries. Using historical assets and options prices, we estimate the real-world and risk-neutral parameters of the model with common jumps, construct several optimal portfolios, and evaluate various basket options with the eight assets. The results affirm the robustness and efficiency of the estimation and evaluation methodologies. Computational results are compared with Monte Carlo estimates.
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Emura, Takeshi, Casimir Ledoux Sofeu, and Virginie Rondeau. "Conditional copula models for correlated survival endpoints: Individual patient data meta-analysis of randomized controlled trials." Statistical Methods in Medical Research 30, no. 12 (October 9, 2021): 2634–50. http://dx.doi.org/10.1177/09622802211046390.
Анотація:
Correlations among survival endpoints are important for exploring surrogate endpoints of the true endpoint. With a valid surrogate endpoint tightly correlated with the true endpoint, the efficacy of a new drug/treatment can be measurable on it. However, the existing methods for measuring correlation between two endpoints impose an invalid assumption: correlation structure is constant across different treatment arms. In this article, we reconsider the definition of Kendall's concordance measure (tau) in the context of individual patient data meta-analyses of randomized controlled trials. According to our new definition of Kendall's tau, its value depends on the treatment arms. We then suggest extending the existing copula (and frailty) models so that their Kendall's tau can vary across treatment arms. Our newly proposed model, a joint frailty-conditional copula model, is the implementation of the new definition of Kendall's tau in meta-analyses. In order to facilitate our approach, we develop an original R function condCox.reg(.) and make it available in the R package joint.Cox ( https://CRAN.R-project.org/package=joint.Cox ). We apply the proposed method to a gastric cancer dataset (3288 patients in 14 randomized trials from the GASTRIC group). This data analysis concludes that Kendall's tau has different values between the surgical treatment arm and the adjuvant chemotherapy arm ( p-value<0.001), whereas disease-free survival remains a valid surrogate at individual level for overall survival in these trials.
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Richards, Stephen J., Iain D. Currie, Torsten Kleinow, and Gavin P. Ritchie. "Longevity trend risk over limited time horizons." Annals of Actuarial Science 14, no. 2 (May 21, 2020): 262–77. http://dx.doi.org/10.1017/s174849952000007x.
Анотація:
AbstractWe consider various aspects of longevity trend risk viewed through the prism of a finite time window. We show the broad equivalence of value-at-risk (VaR) capital requirements at a p-value of 99.5% to conditional tail expectations (CTEs) at 99%. We also show how deferred annuities have higher risk, which can require double the solvency capital of equivalently aged immediate anuities. However, results vary considerably with the choice of model and so longevity trend-risk capital can only be determined through consideration of multiple models to inform actuarial judgement. This model risk is even starker when trying to value longevity derivatives. We briefly discuss the importance of using smoothed models and describe two methods to considerably shorten VaR and CTE run times.
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Siddiqi, Muhammad Hameed, Madallah Alruwaili, Amjad Ali, Saad Alanazi, and Furkh Zeshan. "Human Activity Recognition Using Gaussian Mixture Hidden Conditional Random Fields." Computational Intelligence and Neuroscience 2019 (August 18, 2019): 1–14. http://dx.doi.org/10.1155/2019/8590560.
Анотація:
In healthcare, the analysis of patients’ activities is one of the important factors that offer adequate information to provide better services for managing their illnesses well. Most of the human activity recognition (HAR) systems are completely reliant on recognition module/stage. The inspiration behind the recognition stage is the lack of enhancement in the learning method. In this study, we have proposed the usage of the hidden conditional random fields (HCRFs) for the human activity recognition problem. Moreover, we contend that the existing HCRF model is inadequate by independence assumptions, which may reduce classification accuracy. Therefore, we utilized a new algorithm to relax the assumption, allowing our model to use full-covariance distribution. Also, in this work, we proved that computation wise our method has very much lower complexity against the existing methods. For the experiments, we used four publicly available standard datasets to show the performance. We utilized a 10-fold cross-validation scheme to train, assess, and compare the proposed model with the conditional learning method, hidden Markov model (HMM), and existing HCRF model which can only use diagonal-covariance Gaussian distributions. From the experiments, it is obvious that the proposed model showed a substantial improvement with p value ≤0.2 regarding the classification accuracy.
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Hakim, Arief, and Khreshna Syuhada. "Formulating MCoVaR to Quantify Joint Transmissions of Systemic Risk across Crypto and Non-Crypto Markets: A Multivariate Copula Approach." Risks 11, no. 2 (February 7, 2023): 35. http://dx.doi.org/10.3390/risks11020035.
Анотація:
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other global financial markets. We can accomplish this using the so-called multivariate conditional value-at-risk (MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a set of multiple assets being jointly in distress and on a set of the remaining assets being jointly in their median states. In this paper, we aimed to find its analytic formulas by considering multivariate copulas, which allow for the separation of margins and dependence structures in modeling the returns of the aforementioned assets. Compared to multivariate normal and Student’s t benchmark models and a multivariate Johnson’s SU model, the copula-based models with non-normal margins produced a MCoVaR forecast with superior conditional coverage and backtesting performances. Using a corresponding Delta MCoVaR, we found the crypto assets to be potential sources of systemic risk jointly transmitted within the crypto markets and towards the S&P 500, oil, and gold, which was more apparent during the COVID-19 period encompassing the recent 2021 crypto bubble event.
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Li, Zhenxing, Qiao Wang, Jiahui Ma, Zhi Li, Dong Huang, Yuzhao Huang, and Haocheng Zhou. "Risk Factors for Herpes Zoster in Patients with Chronic Kidney Disease: A Case-Control Study." Vaccines 9, no. 9 (August 28, 2021): 963. http://dx.doi.org/10.3390/vaccines9090963.
Анотація:
(1) Background: Chronic kidney disease (CKD) increases the susceptibility to the presence of herpes zoster (HZ). Little is known about the risk factors of HZ in CKD patients; (2) Methods: This is a case-control study. CKD patients diagnosed with HZ between January 2015 and June 2021 in a tertiary hospital were identified. One age- and gender- matched control was paired for each case, matched to the date of initial HZ diagnosis. Conditional multiple logistic regression was used to evaluate the risk factors associated with the presence of HZ; (3) Results: Forty-seven HZ patients and controls were identified. In general, about 73.40% (69 out of 94) patients were classified at IV to V stages of CKD. Immunosuppressive agents (p = 0.0012) and dialysis therapy (p = 0.021) were reported more frequently in the HZ cohort. Compared with the control group, the total white cell count and lymphocyte count were significantly lower in the HZ group (p value of 0.032 and 0.003, respectively). The conditional logistics regression model revealed that previous immunosuppressants administration (odds ratio: 10.861, 95% CI: 2.092~56.392, p = 0.005) and dialysis therapy (odds ratio: 3.293, 95% CI: 1.047~10.355, p = 0.041) were independent risk factors of HZ in the CKD population; (4) Conclusions: Dialysis and immunosuppressants therapy were associated with greater risk of HZ disease in CKD patients. Further guideline may highlight the necessity of zoster vaccine for patients with CKD, who undertake associated treatment.
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Biage, Milton, and Pierre Joseph Nelcide. "Effects of asset frequency components on value-at-risk in emerging and developed markets." Brazilian Review of Econometrics 40, no. 1 (August 17, 2020): 145. http://dx.doi.org/10.12660/bre.v40n12020.77437.
Анотація:
<p>Value-at-Risk was estimated using the technique of wavelet decomposition with goal to analyze the frequency components' impacts on variances of daily stock returns, and on forecasts. Daily returns of twenty-one shares of the Ibovespa and daily returns of twenty-two shares of the DJIA were used. The model was applied to the reconstructed returns to model and establish the prediction of conditional variance, applying the rolling window technique. The Value-at-Risk was then estimated, and the results showed that the DJIA shares showed more efficient market behavior than those of Ibovespa. The differences in behavior induces to affirm that VaRs, used in the analysis of financial assets from different markets with different governance premises, should be estimated by series of returns reconstructed by aggregations of components of different frequencies. A set of back-testing was applied to confront the estimated , which demonstrated that the estimation of models are consistent.</p>