Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction model (ECM) framework. This involves developing a novel matrix variate Bayesian CVAR mixture model comprised of Gaussian errors intra-day and Alpha-stable errors inter-day in the ECM framework. To achieve this we derive a novel conjugate posterior model for the Scaled Mixtures of Normals (SMiN CVAR) representation of Alpha-stable inter-day innovations. These results are generalized to asymmetric models for the innovation noise at inter-day boundaries allowing for skewed Alpha-stable models. Our proposed model and sampling methodology is general, incorporating the current literature on Gaussian models as a special subclass and also allowing for price series level shifts either at random estimated time points or known a priori time points. We focus analysis on regularly observed non-Gaussian level shifts that can have significant effect on estimation performance in statistical models failing to account for such level shifts, such as at the close and open of markets. We compare the estimation accuracy of our model and estimation approach to standard frequentist and Bayesian procedures for CVAR models when non-Gaussian price series level shifts are present in the individual series, such as inter-day boundaries. We fit a bi-variate Alpha-stable model to the inter-day jumps and model the effect of such jumps on estimation of matrix-variate CVAR model parameters using the likelihood based Johansen procedure and a Bayesian estimation. We illustrate our model and the corresponding estimation procedures we develop on both synthetic and actual data.Comment: 30 page

Cultivation of climbing beans

<p>The blue curve corresponds to results from an inter-day randomization.</p

Children\u27s enjoyment of play during school lunchtime breaks: An examination of intraday and interday reliability

Background: Enjoyment and play during school lunchtime are correlated with children&rsquo;s physical activity. Despite this, there is an absence of studies reporting children&rsquo;s enjoyment of play during school lunchtime breaks. The purpose of this study was to examine the intra-day and inter-day reliability of children&rsquo;s enjoyment of school lunchtime play. Methods: Surveys used to assess children&rsquo;s enjoyment of lunchtime play were distributed to and completed by 197 children (112 males, 85 females), aged 8-12 years attending an elementary school in Victoria, Australia. Children completed the surveys during class before lunch (expected enjoyment) and after lunch (actual enjoyment) for five days. The intra- and inter-day enjoyment of school lunchtime play reliability were determined using a weighted kappa. Results: Intra-day kappa values ranged from fair (0.31) to substantial (0.75) within each of the five days (median kappa=0.41). In comparison, &lsquo;expected&rsquo; (0.09-0.40; median 0.30) and &lsquo;actual&rsquo; (0.05-0.46; median 0.28) inter-day enjoyment of lunchtime play displayed low reliability. Conclusions: Children&rsquo;s enjoyment of lunchtime play appears to be more consistent within days than across days. The findings suggest that assessment of children&rsquo;s enjoyment of lunchtime play once on a single day would be representative of a particular day but not necessarily that particular school week

Development of a rapid LC-MS/MS Method for the determination of emerging fusarium mycotoxins enniatins and beauvericin in human biological fluids

A novel method for the simultaneous determination of enniatins A, A1, B and B1 and beauvericin, both in human urine and plasma samples, was developed and validated. The method consisted of a simple and easy pretreatment, specific for each matrix, followed by solid phase extraction (SPE) and detection by high performance liquid chromatography-tandem mass spectrometry with an electrospray ion source. The optimized SPE method was performed on graphitized carbon black cartridges after suitable dilution of the extracts, which allowed high mycotoxin absolute recoveries (76%-103%) and the removal of the major interferences from the matrix. The method was extensively evaluated for plasma and urine samples separately, providing satisfactory results in terms of linearity (R² of 0.991-0.999), process efficiency (>81%), trueness (recoveries between 85% and 120%), intra-day precision (relative standard deviation, RSD < 18%), inter-day precision (RSD < 21%) and method quantification limits (ranging between 20 ng·L(-)¹ and 40 ng·L(-)¹ in plasma and between 5 ng·L(-)¹ and 20 ng·L(-)¹ in urine). Finally, the highly sensitive validated method was applied to some urine and plasma samples from different donors

Heterogenous scaling in the inter-event time of on-line bookmarking

In this paper, we study the statistical properties of bookmarking behaviors in Delicious.com. We find that the inter-event time (τ) distributions of bookmarking decay in a power-like manner as τ increases at both individual and population levels. Remarkably, we observe a significant change in the exponent when the inter-event time increases from the intra-day range to the inter-day range. In addition, the dependence of the exponent on individual activity is found to be different in the two ranges. Instead of monotonically increasing with activity, the inter-day exponent peaks around 3. These results suggest that the mechanisms driving human actions are different in the intra-day and inter-day ranges. We further show that the global distributions of less active users are closer to an exponential distribution than those of more active users. Moreover, a universal behavior in the inter-day range is observed by considering the rescaled variable τ/left angle bracketτright-pointing angle bracket. Finally, the possible causes of these phenomena are discussed

The Rotation Measure and 3.5mm Polarization of Sgr A*

We report the detection of variable linear polarization from Sgr A* at a wavelength of 3.5mm, the longest wavelength yet at which a detection has been made. The mean polarization is 2.1 +/- 0.1% at a position angle of 16 +/- 2 deg with rms scatters of 0.4% and 9 deg over the five epochs. We also detect polarization variability on a timescale of days. Combined with previous detections over the range 150-400GHz (750-2000 microns), the average polarization position angles are all found to be consistent with a rotation measure of -4.4 +/- 0.3 x 10^5 rad/m^2. This implies that the Faraday rotation occurs external to the polarized source at all wavelengths. This implies an accretion rate ~0.2 - 4 x 10^-8 Msun/yr for the accretion density profiles expected of ADAF, jet and CDAF models and assuming that the region at which electrons in the accretion flow become relativistic is within 10 R_S. The inferred accretion rate is inconsistent with ADAF/Bondi accretion. The stability of the mean polarization position angle between disparate polarization observations over the frequency range limits fluctuations in the accretion rate to less than 5%. The flat frequency dependence of the inter-day polarization position angle variations also makes them difficult to attribute to rotation measure fluctuations, and suggests that both the magnitude and position angle variations are intrinsic to the emission.Comment: Ap.J.Lett. accepte

Inkjet printed LED based pH chemical sensor for gas sensing

Predictable behaviour is a critical factor when developing a sensor for potential deployment within a wireless sensor network (WSN). The work presented here details the fabrication and performance of an optical chemical sensor for gaseous acetic acid analysis, which was constructed using inkjet printed deposition of a colorimetric chemical sensor. The chemical sensor comprised a pH indicator dye (bromophenol blue), phase transfer salt tetrahexylammonium bromide and polymer ethyl cellulose dissolved in 1-butanol. A paired emitter-detector diode (PEDD) optical detector was employed to monitor responses of the colorimetric chemical sensor as it exhibits good sensitivity, low power consumption, is low cost, accurate and has excellent signal to noise ratios. The chemical sensor formulation was printed directly onto the surface the emitter LED, and the resulting chemical sensors characterised with respect to their layer thickness, response time and recovery time. The fabrication reproducibility of inkjet printed chemical sensors in comparison to drop casted chemical sensors was investigated. Colorimetric chemical sensors produced by inkjet printing, exhibited an improved reproducibility for the detection of gaseous acetic acid with a relative standard deviation of 5.5 % in comparison to 68.0 % calculated for drop casted sensors (n = 10). The stability of the chemical sensor was also investigated through both intra and inter-day studies

Measurements of trans-onychial water loss (TOWL) using Aquaflux

The aim of the study was to develop a protocol for TOWL measurement using the Aquaflux and determine inter-day, inter-finger and inter-hand variabilities in TOWL in one subject, if any. Subsequently, the influence of nail varnish application and removal, filing and hydration of the nail plate on TOWL was determined