Lucas Pereira Lopes, Vicente Garibay Cancho, Francisco Louzada.

Source: Brazilian Journal of Probability and Statistics, Volume 33, Number 4, 801--825.

Abstract:
Multivariate options are adequate tools for multi-asset risk management. The pricing models derived from the pioneer Black and Scholes method under the multivariate case consider that the asset-object prices follow a Brownian geometric motion. However, the construction of such methods imposes some unrealistic constraints on the process of fair option calculation, such as constant volatility over the maturity time and linear correlation between the assets. Therefore, this paper aims to price and analyze the fair price behavior of the call-on-max (bivariate) option considering marginal heteroscedastic models with dependence structure modeled via copulas. Concerning inference, we adopt a Bayesian perspective and computationally intensive methods based on Monte Carlo simulations via Markov Chain (MCMC). A simulation study examines the bias, and the root mean squared errors of the posterior means for the parameters. Real stocks prices of Brazilian banks illustrate the approach. For the proposed method is verified the effects of strike and dependence structure on the fair price of the option. The results show that the prices obtained by our heteroscedastic model approach and copulas differ substantially from the prices obtained by the model derived from Black and Scholes. Empirical results are presented to argue the advantages of our strategy.

Caio L. N. Azevedo, Dalton F. Andrade

Source: Braz. J. Probab. Stat., Volume 24, Number 3, 415--433.

Abstract:
The nominal response model (NRM) was proposed by Bock [ Psychometrika 37 (1972) 29–51] in order to improve the latent trait (ability) estimation in multiple choice tests with nominal items. When the item parameters are known, expectation a posteriori or maximum a posteriori methods are commonly employed to estimate the latent traits, considering a standard symmetric normal distribution as the latent traits prior density. However, when this item set is presented to a new group of examinees, it is not only necessary to estimate their latent traits but also the population parameters of this group. This article has two main purposes: first, to develop a Monte Carlo Markov Chain algorithm to estimate both latent traits and population parameters concurrently. This algorithm comprises the Metropolis–Hastings within Gibbs sampling algorithm (MHWGS) proposed by Patz and Junker [ Journal of Educational and Behavioral Statistics 24 (1999b) 346–366]. Second, to compare, in the latent trait recovering, the performance of this method with three other methods: maximum likelihood, expectation a posteriori and maximum a posteriori. The comparisons were performed by varying the total number of items (NI), the number of categories and the values of the mean and the variance of the latent trait distribution. The results showed that MHWGS outperforms the other methods concerning the latent traits estimation as well as it recoveries properly the population parameters. Furthermore, we found that NI accounts for the highest percentage of the variability in the accuracy of latent trait estimation.

Zeinab Mashreghi, David Haziza, Christian Léger.

Source: Statistics Surveys, Volume 10, 1--52.

Abstract:
We review bootstrap methods in the context of survey data where the effect of the sampling design on the variability of estimators has to be taken into account. We present the methods in a unified way by classifying them in three classes: pseudo-population, direct, and survey weights methods. We cover variance estimation and the construction of confidence intervals for stratified simple random sampling as well as some unequal probability sampling designs. We also address the problem of variance estimation in presence of imputation to compensate for item non-response.

We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric diffusion (UPD). This modelling strategy yields a general class of semiparametric Markov diffusion models with parametric dynamic copulas and nonparametric marginal distributions. We provide primitive conditions for the identification of the UPD parameters together with the unknown transformations from discrete samples. Likelihood-based estimators of both parametric and nonparametric components are developed and we analyze the asymptotic properties of these. Kernel-based drift and diffusion estimators are also proposed and shown to be normally distributed in large samples. A simulation study investigates the finite sample performance of our estimators in the context of modelling US short-term interest rates. We also present a simple application of the proposed method for modelling the CBOE volatility index data.

Trang Quynh Nguyen, Elizabeth A. Stuart.

Source: The Annals of Applied Statistics, Volume 14, Number 1, 518--520.

Peng Shi, Zifeng Zhao.

Source: The Annals of Applied Statistics, Volume 14, Number 1, 357--380.

Abstract:
In actuarial research a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking and capital management. The loss cost is typically viewed to follow a compound distribution where the summation of the severity variables is stopped by the frequency variable. A challenging issue in modeling such outcomes is to accommodate the potential dependence between the number of claims and the size of each individual claim. In this article we introduce a novel regression framework for compound distributions that uses a copula to accommodate the association between the frequency and the severity variables and, thus, allows for arbitrary dependence between the two components. We further show that the new model is very flexible and is easily modified to account for incomplete data due to censoring or truncation. The flexibility of the proposed model is illustrated using both simulated and real data sets. In the analysis of granular claims data from property insurance, we find substantive negative relationship between the number and the size of insurance claims. In addition, we demonstrate that ignoring the frequency-severity association could lead to biased decision-making in insurance operations.

Kerstin Spitzer, Marta Pelizzola, Andreas Futschik.

Source: The Annals of Applied Statistics, Volume 14, Number 1, 202--220.

Abstract:
Evolve and resequence studies provide a popular approach to simulate evolution in the lab and explore its genetic basis. In this context, Pearson’s chi-square test, Fisher’s exact test as well as the Cochran–Mantel–Haenszel test are commonly used to infer genomic positions affected by selection from temporal changes in allele frequency. However, the null model associated with these tests does not match the null hypothesis of actual interest. Indeed, due to genetic drift and possibly other additional noise components such as pool sequencing, the null variance in the data can be substantially larger than accounted for by these common test statistics. This leads to $p$-values that are systematically too small and, therefore, a huge number of false positive results. Even, if the ranking rather than the actual $p$-values is of interest, a naive application of the mentioned tests will give misleading results, as the amount of overdispersion varies from locus to locus. We therefore propose adjusted statistics that take the overdispersion into account while keeping the formulas simple. This is particularly useful in genome-wide applications, where millions of SNPs can be handled with little computational effort. We then apply the adapted test statistics to real data from Drosophila and investigate how information from intermediate generations can be included when available. We also discuss further applications such as genome-wide association studies based on pool sequencing data and tests for local adaptation.

Pier Luigi Conti, Daniela Marella, Fulvia Mecatti, Federico Andreis.

Source: Bernoulli, Volume 26, Number 2, 1044--1069.

Abstract:
In this paper, a class of resampling techniques for finite populations under $pi $ps sampling design is introduced. The basic idea on which they rest is a two-step procedure consisting in: (i) constructing a “pseudo-population” on the basis of sample data; (ii) drawing a sample from the predicted population according to an appropriate resampling design. From a logical point of view, this approach is essentially based on the plug-in principle by Efron, at the “sampling design level”. Theoretical justifications based on large sample theory are provided. New approaches to construct pseudo populations based on various forms of calibrations are proposed. Finally, a simulation study is performed.

Jie Yen Fan, Kais Hamza, Peter Jagers, Fima Klebaner.

Source: Bernoulli, Volume 26, Number 2, 893--926.

Abstract:
We consider a family of general branching processes with reproduction parameters depending on the age of the individual as well as the population age structure and a parameter $K$, which may represent the carrying capacity. These processes are Markovian in the age structure. In a previous paper ( Proc. Steklov Inst. Math. 282 (2013) 90–105), the Law of Large Numbers as $K o infty $ was derived. Here we prove the central limit theorem, namely the weak convergence of the fluctuation processes in an appropriate Skorokhod space. We also show that the limit is driven by a stochastic partial differential equation.

Names, Personal -- England.

Names, Personal -- Welsh.

Names, Personal -- Scottish.

Lutz F. Gruber, Erica F. Stuber, Lyndsie S. Wszola, Joseph J. Fontaine.

Source: Bayesian Analysis, Volume 14, Number 4, 1173--1199.

Abstract:
We present an integrated open population model where the population dynamics are defined by a differential equation, and the related statistical model utilizes a Poisson binomial convolution likelihood. Key advantages of the proposed approach over existing open population models include the flexibility to predict related, but unobserved quantities such as total immigration or emigration over a specified time period, and more computationally efficient posterior simulation by elimination of the need to explicitly simulate latent immigration and emigration. The viability of the proposed method is shown in an in-depth analysis of outdoor recreation participation on public lands, where the surveyed populations changed rapidly and demographic population closure cannot be assumed even within a single day.

Nadja Klein, Michael Stanley Smith.

Source: Bayesian Analysis, Volume 14, Number 4, 1143--1171.

Abstract:
We show how to extract the implicit copula of a response vector from a Bayesian regularized regression smoother with Gaussian disturbances. The copula can be used to compare smoothers that employ different shrinkage priors and function bases. We illustrate with three popular choices of shrinkage priors—a pairwise prior, the horseshoe prior and a g prior augmented with a point mass as employed for Bayesian variable selection—and both univariate and multivariate function bases. The implicit copulas are high-dimensional, have flexible dependence structures that are far from that of a Gaussian copula, and are unavailable in closed form. However, we show how they can be evaluated by first constructing a Gaussian copula conditional on the regularization parameters, and then integrating over these. Combined with non-parametric margins the regularized smoothers can be used to model the distribution of non-Gaussian univariate responses conditional on the covariates. Efficient Markov chain Monte Carlo schemes for evaluating the copula are given for this case. Using both simulated and real data, we show how such copula smoothing models can improve the quality of resulting function estimates and predictive distributions.

Lloyd T. Elliott, Maria De Iorio, Stefano Favaro, Kaustubh Adhikari, Yee Whye Teh.

Source: Bayesian Analysis, Volume 14, Number 2, 313--339.

Abstract:
We propose a Bayesian nonparametric model to infer population admixture, extending the hierarchical Dirichlet process to allow for correlation between loci due to linkage disequilibrium. Given multilocus genotype data from a sample of individuals, the proposed model allows inferring and classifying individuals as unadmixed or admixed, inferring the number of subpopulations ancestral to an admixed population and the population of origin of chromosomal regions. Our model does not assume any specific mutation process, and can be applied to most of the commonly used genetic markers. We present a Markov chain Monte Carlo (MCMC) algorithm to perform posterior inference from the model and we discuss some methods to summarize the MCMC output for the analysis of population admixture. Finally, we demonstrate the performance of the proposed model in a real application, using genetic data from the ectodysplasin-A receptor (EDAR) gene, which is considered to be ancestry-informative due to well-known variations in allele frequency as well as phenotypic effects across ancestry. The structure analysis of this dataset leads to the identification of a rare haplotype in Europeans. We also conduct a simulated experiment and show that our algorithm outperforms parametric methods.

Chang-Jin Jeon
Nov 1, 1998; 18:8936-8946
Articles

The detection and segmentation of meaningful figures from their background is one of the primary functions of vision. While work in nonhuman primates has implicated early visual mechanisms in this figure–ground modulation, neuroimaging in humans has instead largely ascribed the processing of figures and objects to higher stages of the visual hierarchy. Here, we used high-field fMRI at 7 Tesla to measure BOLD responses to task-irrelevant orientation-defined figures in human early visual cortex (N = 6, four females). We used a novel population receptive field mapping-based approach to resolve the spatial profiles of two constituent mechanisms of figure–ground modulation: a local boundary response, and a further enhancement spanning the full extent of the figure region that is driven by global differences in features. Reconstructing the distinct spatial profiles of these effects reveals that figure enhancement modulates responses in human early visual cortex in a manner consistent with a mechanism of automatic, contextually driven feedback from higher visual areas.

SIGNIFICANCE STATEMENT A core function of the visual system is to parse complex 2D input into meaningful figures. We do so constantly and seamlessly, both by processing information about visible edges and by analyzing large-scale differences between figure and background. While influential neurophysiology work has characterized an intriguing mechanism that enhances V1 responses to perceptual figures, we have a poor understanding of how the early visual system contributes to figure–ground processing in humans. Here, we use advanced computational analysis methods and high-field human fMRI data to resolve the distinct spatial profiles of local edge and global figure enhancement in the early visual system (V1 and LGN); the latter is distinct and consistent with a mechanism of automatic, stimulus-driven feedback from higher-level visual areas.

FAO email newsletters have sparked great interest across the Organization in the last few years, with over 2 million emails sent out in 2018 and over 3 million last year.

Corporate newsletters cover approximately 100 [...]

In its first year, the class attracted more than 1,200 students. The online version is abbreviated, but free

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The rankings stay much the same from year to year, but in 2019, Pembroke Welsh corgis broke the top ten for the first time

Stay-at-home orders have inspired those with ample free time to pick up hands-on projects

The following is a guest post from Music Reference Specialist James Wintle. Let me begin with a personal anecdote. My parents are or were both musicians – my father was a composer – and so my appreciation for classical music was probably equal parts nature and nurture. So, when I entered graduate school as a […]

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Penn State Shenango's Upcycled Art Contest will be held in conjunction with the campus' annual Earth Fest on Saturday, April 4.

Laurie Baker says the rural population should be considered a special population when considering education reforms.

The number of English-learner students in U.S. schools has increased 28 percent since 2000; 43 of 50 states have experienced an uptick in enrollment, federal data indicate.

In five northern U.S. states, black students comprise more than a fifth of ELL enrollment.

Little is known about the pharmacokinetics and required dosage of metronidazole in preterm neonates.

In this study the pharmacokinetics of metronidazole in preterm neonates was investigated by measurement of the drug in dried blood-spot samples. A dosage regimen is proposed that should result in more appropriate, less frequent dosing in the most preterm neonates. (Read the full article)

There are a number of effective interventions designed to prevent childhood/adolescent depression. Such interventions tend to comprise screening and the subsequent provision of psychological therapy. However, the cost-effectiveness of routinely providing such interventions at a population level is not known.

By using economic modeling techniques, this study shows that the population cost-effectiveness of such preventive interventions for childhood/adolescent depression is very favorable, although implementation issues, particularly around the acceptability to providers, need to be addressed before widespread adoption. (Read the full article)

Parent-infant bed-sharing is a common behavior of breastfeeding mothers and various ethnic groups. Under certain circumstances, it is associated with an increased risk of sudden infant death. Blanket prohibitions against bed-sharing conflict with breastfeeding promotion and inhibit safe bed-sharing discussion.

Bed-sharing and sofa-sharing were almost mutually exclusive. Pakistani families avoided sofa-sharing and hazardous bed-sharing, and have a very low rate of sudden infant death syndrome. White British families were more likely to smoke, drink alcohol, and sofa-share with their infants. (Read the full article)

Sleep-disordered breathing is associated with neurobehavioral morbidity in children. Prior related research has generally been cross-sectional or short (ie, 1–2 years) follow-up studies of a single symptom (ie, snoring, obstructive sleep apnea, mouth breathing), with limited control for confounders.

Sleep-disordered breathing was assessed as a trajectory of combined symptoms from 6 months to 69 months, in more than 11 000 children. Sleep-disordered breathing was associated with 40% and 60% more behavioral difficulties at 4 and 7 years, respectively. (Read the full article)

Estimates of youth participation in strangulation activity, commonly referred to as the "choking game," range from 5% to 11%. Previous studies have documented correlations between youth choking game participation and health risks such as substance use and mental health issues.

Among Oregon eighth-graders surveyed, >6% had ever participated in the choking game. Participation was linked to poor nutrition and gambling among females, exposure to violence among males, and sexual activity and substance use among both genders. (Read the full article)

Recent systematic reviews revealed that educational dietary interventions were effective in improving nutritional status and food consumption in the first year after birth. We are not aware, however, of studies in developing countries that have evaluated their long-term effectiveness.

This randomized trial revealed that, in a low-income population, the delivery of home-based maternal counseling focusing on breastfeeding and complementary feeding during the first year of children’s lives significantly improved the lipid profile at 7 to 8 years old. (Read the full article)

Conflicting results exist concerning long-term outcome in healthy infants with metabolic acidosis at birth.

Neonates who appear well after perinatal metabolic acidosis do not have an increased risk of neurologic or behavioral problems in need of referral actions or pedagogic arrangements at the age of 6.5 years. (Read the full article)

Neonatal hyperbilirubinemia may progress to bilirubin encephalopathy. Findings from previous studies on long-term development of neonatal hyperbilirubinemia are conflicting.

Using Ages and Stages Questionnaire, we observed no association between bilirubin exposure and overall development in 1- to 5-year-old children who in the neonatal period had total serum bilirubin level ≥25 mg/dL and no or only minor neurologic symptoms. (Read the full article)

Many children are vaccinated against measles with a delay. This may influence effective measles vaccine coverage even in countries with high overall immunization levels. Official vaccine coverage statistics do not usually report on the impact of timeliness of measles vaccination.

Delayed measles vaccination results in 48.6% effective coverage in children aged 6 months to 2 years when 84.5% of 25-month-olds are up-to-date for 1 measles vaccination. Analyzing patterns of measles vaccination could help to address low coverage in infants and toddlers. (Read the full article)

Sleep disordered breathing (SDB) and behavioral sleep problems (BSPs) affect cognitive, behavioral, and language development. No studies have examined associations between SDB and BSPs across early childhood, and later special education need (SEN), on a population basis.

A history of SDB through 5 years of age was associated with ~40% increased odds of SEN at 8 years, among >11 000 children. BSPs were associated with 7% increased odds of SEN, for each additional ~12 months of reported BSPs. (Read the full article)

Risk of preterm birth (PTB) has been noted to be higher for newborns with congenital heart defects (CHDs). The role of associated anomalies, whether PTB is spontaneous or medically induced, or specific categories of CHDs have not been elucidated.

By using population-based data, we found that PTB associated with CHDs was due to spontaneous PTB. Associated anomalies accounted for a small part of this increase, and there were specific associations between categories of CHDs and PTB. (Read the full article)

Inflammatory bowel disease pathogenesis is incompletely understood. Previous pediatric studies suggested associations between antibiotic use and inflammatory bowel disease development but were limited by recall bias, lack of controls, incomplete antibiotic capture, or included exposures between symptom onset and diagnosis.

Our population-based cohort study suggests that certain childhood antibiotic exposures are associated with an increased risk of developing inflammatory bowel disease. Our findings have implications for understanding the condition’s pathogenesis and provide additional stimulus for reducing unnecessary childhood antibiotic use. (Read the full article)

Understanding human disease genomics requires large population-based studies. There is lack of standardization, as well as social and ethical concerns surrounding the consent process for pediatric participation in a biorepository.

The study identifies specific barriers to pediatric participation in biorepositories relative to adults, and proposes strategies to improve ethical and responsible participation of pediatric-aged patients in large-scale genomics and biorepository-driven research without significantly increasing research burden for affected families. (Read the full article)

Among middle-aged adults, genotype scores predict incident type 2 diabetes but do not improve prediction models based on clinical risk factors including family history and BMI. These clinical factors are more dynamic in adolescence, however.

A genotype score also predicts type 2 diabetes from adolescence over a mean 27 years of follow-up into adulthood but does not improve prediction models based on clinical risk factors assessed in adolescence. (Read the full article)

Survival estimates for preterm infants are vital for counseling parents, informing care, and planning services. Widely use estimates of in-unit survival derived from a large UK population for infants born at <33 weeks’ gestational age have been available since 1999.

These survival charts have been updated and will be of use to clinicians, parents, and managers. An alternative method for graphical representation of survival probabilities is offered: contour survival plots. (Read the full article)