Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology

Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses. Value-at-risk is a standard method of forecasting possible future losses in investments. A procedure of estimating value-at-risk using time-varying conditional Johnson SU¬ distribution is introduced and assessed with econometric models. The Johnson distribution offers the ability to model higher parameters with time-varying structure using maximum likelihood estimation techniques. Two procedures of modeling with the Johnson distribution are introduced: joint estimation of the volatility and two-step procedure where estimation of the volatility is separate from the estimation of higher parameters. The procedures were demonstrated on Philippine-foreign exchange rates and the Philippine stock exchange index. They were assessed with forecast evaluation measures with comparison to different value-at-risk methodologies. The research opens up modeling procedures where manipulation of higher parameters can be integrated in the value-at-risk methodology.Time Varying Parameters; GARCH models; Nonnormal distributions; Risk Management

Dynamic distributed clustering in wireless sensor networks via Voronoi tessellation control

This paper presents two dynamic and distributed clustering algorithms for Wireless Sensor Networks (WSNs). Clustering approaches are used in WSNs to improve the network lifetime and scalability by balancing the workload among the clusters. Each cluster is managed by a cluster head (CH) node. The first algorithm requires the CH nodes to be mobile: by dynamically varying the CH node positions, the algorithm is proved to converge to a specific partition of the mission area, the generalised Voronoi tessellation, in which the loads of the CH nodes are balanced. Conversely, if the CH nodes are fixed, a weighted Voronoi clustering approach is proposed with the same load-balancing objective: a reinforcement learning approach is used to dynamically vary the mission space partition by controlling the weights of the Voronoi regions. Numerical simulations are provided to validate the approaches

Ordinal Probit Functional Regression Models with Application to Computer-Use Behavior in Rhesus Monkeys

Research in functional regression has made great strides in expanding to non-Gaussian functional outcomes, however the exploration of ordinal functional outcomes remains limited. Motivated by a study of computer-use behavior in rhesus macaques (\emph{Macaca mulatta}), we introduce the Ordinal Probit Functional Regression Model or OPFRM to perform ordinal function-on-scalar regression. The OPFRM is flexibly formulated to allow for the choice of different basis functions including penalized B-splines, wavelets, and O'Sullivan splines. We demonstrate the operating characteristics of the model in simulation using a variety of underlying covariance patterns showing the model performs reasonably well in estimation under multiple basis functions. We also present and compare two approaches for conducting posterior inference showing that joint credible intervals tend to out perform point-wise credible. Finally, in application, we determine demographic factors associated with the monkeys' computer use over the course of a year and provide a brief analysis of the findings

Generalized Functional Additive Mixed Models

We propose a comprehensive framework for additive regression models for non-Gaussian functional responses, allowing for multiple (partially) nested or crossed functional random effects with flexible correlation structures for, e.g., spatial, temporal, or longitudinal functional data as well as linear and nonlinear effects of functional and scalar covariates that may vary smoothly over the index of the functional response. Our implementation handles functional responses from any exponential family distribution as well as many others like Beta- or scaled non-central $t$-distributions. Development is motivated by and evaluated on an application to large-scale longitudinal feeding records of pigs. Results in extensive simulation studies as well as replications of two previously published simulation studies for generalized functional mixed models demonstrate the good performance of our proposal. The approach is implemented in well-documented open source software in the "pffr()" function in R-package "refund"

Fused kernel-spline smoothing for repeatedly measured outcomes in a generalized partially linear model with functional single index

We propose a generalized partially linear functional single index risk score model for repeatedly measured outcomes where the index itself is a function of time. We fuse the nonparametric kernel method and regression spline method, and modify the generalized estimating equation to facilitate estimation and inference. We use local smoothing kernel to estimate the unspecified coefficient functions of time, and use B-splines to estimate the unspecified function of the single index component. The covariance structure is taken into account via a working model, which provides valid estimation and inference procedure whether or not it captures the true covariance. The estimation method is applicable to both continuous and discrete outcomes. We derive large sample properties of the estimation procedure and show a different convergence rate for each component of the model. The asymptotic properties when the kernel and regression spline methods are combined in a nested fashion has not been studied prior to this work, even in the independent data case.Comment: Published at http://dx.doi.org/10.1214/15-AOS1330 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Fluctuations of the partial filling factors in competitive RSA from binary mixtures

Competitive random sequential adsorption on a line from a binary mix of incident particles is studied using both an analytic recursive approach and Monte Carlo simulations. We find a strong correlation between the small and the large particle distributions so that while both partial contributions to the fill factor fluctuate widely, the variance of the total fill factor remains relatively small. The variances of partial contributions themselves are quite different between the smaller and the larger particles, with the larger particle distribution being more correlated. The disparity in fluctuations of partial fill factors increases with the particle size ratio. The additional variance in the partial contribution of smaller particle originates from the fluctuations in the size of gaps between larger particles. We discuss the implications of our results to semiconductor high-energy gamma detectors where the detector energy resolution is controlled by correlations in the cascade energy branching process.Comment: 19 pages, 8 figure