Expected Shortfall LASSO

We propose an $\ell_1$-penalized estimator for high-dimensional models of Expected Shortfall (ES). The estimator is obtained as the solution to a least-squares problem for an auxiliary dependent variable, which is defined as a transformation of the dependent variable and a pre-estimated tail quantile. Leveraging a sparsity condition, we derive a nonasymptotic bound on the prediction and estimator errors of the ES estimator, accounting for the estimation error in the dependent variable, and provide conditions under which the estimator is consistent. Our estimator is applicable to heavy-tailed time-series data and we find that the amount of parameters in the model may grow with the sample size at a rate that depends on the dependence and heavy-tailedness in the data. In an empirical application, we consider the systemic risk measure CoES and consider a set of regressors that consists of nonlinear transformations of a set of state variables. We find that the nonlinear model outperforms an unpenalized and untransformed benchmark considerably

The effect of measurement error of phenotypes on genome wide association studies

<p>Abstract</p> <p>Background</p> <p>There is an unspoken assumption that imprecision of measurement of phenotypes will not have large systematic effects on the location of significant associations in a genome wide association study (GWAS). In this report, the effects of two independent measurements of the same trait, subcutaneous fat thickness, were examined in GWAS of 940 individuals.</p> <p>Results</p> <p>The trait values obtained by two independent groups working to the same trait definition were correlated with r = 0.72. The allele effects obtained from the two analyses were only moderately correlated, with r = 0.53, and there was one significant (<it>P </it>< 0.0001) association in common to the two measurements. The correlation between allele effects was approximately equal to the square of the correlation between the trait measurements. An important quantitative trait locus (QTL) on BTA14 appeared to be shifted distally by 1 Mb along the chromosome. The divergence in GWAS was stronger with data coded into two discrete classes. Univariate trimming of the top and bottom 5% of data, a method used to control for erroneous trait values, decreased the similarity between the GWAS and increased the apparent shift of the QTL on BTA14. Stringent bivariate trimming of data, using only trait values that were similar to each other in the two data sets, substantially improved the correlation of trait values and allele effects in the GWAS, and showed evidence for two QTL on BTA14 separated by 1 Mb. Despite the reduction in sample size due to trimming, more SNP were significant. Using the mean of the two measurements of the trait was not as efficient as bivariate trimming.</p> <p>Conclusions</p> <p>It is recommended that trait values in GWAS experiments be examined for repeatability before the experiment is performed. For traits that do not have high repeatability (r < 0.95), two or more independent measurements of the same trait should be obtained for all samples, and individuals genotyped that have highly correlated trait measurements.</p

Job satisfaction of community pharmacists in Port Elizabeth

Job satisfaction and motivation play an important role in job retention and increased productivity of pharmacists which in turn improves pharmaceutical care performance. Pharmacies in Port Elizabeth have an increased pharmacist shortage and many community or retail pharmacies must overcome challenges to retain pharmacists. The study was quantitative in nature. A descriptive and exploratory approach was used. The research objective was to conduct a questionnaire survey of pharmacists working in community pharmacies in Port Elizabeth to assess the levels of job satisfaction and report the findings with recommendations to management. A modified Job Descriptive Index questionnaire was used to determine the level of job satisfaction. The variables used to determine the level of satisfaction was job content, monetary remuneration, promotion, co-workers, and supervision. Retention strategies was used to determine effective strategies managers can use to retain pharmacists. Positive and negative aspects of community pharmacy was also determined. A total of 48 pharmacies were approached by the researcher, 27 questionnaires were distributed to eligible participants which met the inclusion criteria and 23 questionnaires was returned, thus giving a response rate of 85%. It was observed that job satisfaction was positive in areas of job experience or content, customer interaction, interpersonal relationship with co-workers and supervision. The areas of job dissatisfaction were monetary remuneration and promotional opportunities. The retention strategies which received the most effective score were competitive financial packages (87%) and personal development (86%). The means of the retention strategies were high and even closer to 5 which indicated the “most effective” score. The pharmacists were not satisfied with monetary remuneration, promotion, recognition and performance appraisal provided by the organisations. The pharmacists are feeling over burden towards the workload. Management in this regard should pay attention to findings

Dimensionality assesment with factor analysis methods

Onderzoekers in de sociale en gedragswetenschappen verzamelen via vragenlijsten vaak informatie over niet observeerbare variabelen die bijvoorbeeld attitudes, vaardigheden en opvattingen uitdrukken. De dimensionaliteit van een set itemscores is het aantal latente variabelen. Het bepalen van dit aantal is van belang bij schaalconstructie en –evaluatie. In dit proefschrift wordt factor analytische benaderingen ter bepaling van de dimensionaliteit onderzocht. In de factoranalyse wordt groot aantal geobserveerde items door een kleiner aantal latente variabelen beschreven. De klassieke factor analytische methoden zijn geschikt voor het beschrijven van lineaire relaties tussen multivariaat normaal verdeelde itemscores. In de praktijk zijn itemscores vaak categorisch en is er sprake van niet-lineaire relaties. Bovendien is er soms een hiërarchische structuur in de data, zoals wanneer meerdere kinderen in meerdere klassen zijn onderzocht. In dit proefschrift wordt onderzocht in hoeverre meer geavanceerde factor analytische methoden dan de klassieke geschikt zijn om de dimensionaliteit te bepalen bij complexe datastructuren, en welke procedure hierbij dan het meest geschikt is. De gehanteerde factor analytische methoden bleken in de bestudeerde situaties goed te kunnen omgaan met categorische items, niet-lineaire relaties en hiërarchisch structuren

Design and implementation of variable speed wind energy induction generator systems for fault studies

Includes bibliographical references (leaves [136]-139).Due to the economical and environmental benefits, Wind Energy Conversion Systems (WECS) have received tremendous growth in the past decade. The increased interest in wind energy has made it necessary to model and experimentally evaluate entire WECS, so as to attain a better understanding and to assess the performance of various systems. As a direct consequence of the increase in wind generation systems, comes the need for the reduction of operational and maintenance costs of these wind generators. The most efficient way of reducing these costs is by the early detection of the degeneration of these generators health, thus facilitating a proactive response, minimizing downtime, and maximizing productivity. The more common induction machine failures are caused by the deterioration of the stator insulation and by the breaking of rotor bars. The thesis describes the design, modeling and implementation of two different variable speed induction generator systems for studying faults in wind energy applications. This project served as a platform for further research into the development and evaluation of a non-stationary fault detection technique suitable for wind energy induction generator purposes. Some common faults are implemented on the wind generators in an attempt to identify them from measurements and by using a steady state fault analysis technique (Motor Current Signature Analysis). For variable speed wind generation, there are two systems using induction generators. The first consist of a squirrel cage induction generator, which uses back-to-back converters in the stator circuit, as shown in Fig. 0.1. The second consists of a wound rotor induction generator, whereby the stator is directly connected to the grid and the rotor circuit consists of back-to-back converters, as shown in Fig. 0.2. When both the rotor and stator are capable of delivering power as with the wound rotor induction generator, they are known as doubly-fed induction generators (DFIG)

The application of advanced signal processing techniques to the condition monitoring of electrical machine drive systems

Includes bibliographical references (leaves 128-129).The thesis examines the use of two time-frequency domain signal processing tools in its application to condition monitoring of electrical machine drive systems. The mathematical and signal processing tools which are explored are wavelet analysis and a non-stationary adaptive signal processing algorithm. Four specific applications are identified for the research. These applications were specifically chosen to encapsulate important issues in condition monitoring of variable speed drive systems. The main aim of the project is to highlight the need for fault detection during machine transients and to illustrate the effectiveness of incorporating and adapting these new class of algorithms to detect faults in electrical machine drive systems during non-stationary conditions

Enhancing integrated transport planning: A spatial multi-criteria analysis approach to the MyCiTi integrated rapid transit system, South Africa

Since the birth of the automobile in 1886, its popularity amongst people has risen dramatically owing to the freedom, comfort, speed, safety and unique designs offered by this mode of transport. 2014 saw approximately 71.15 million units of new vehicle sales globally, showing that private car usage is still on the rise. Rapid degradation of the environment and slumped economic growth can be attributed to the automobilecentric transport system. Raised environmental and social awareness has driven campaigns to promote greener modes of transport instead, such as public and nonmotorised transportation. This has seen the introduction of BRT systems in South African cities however; fully integrated transport systems are yet to be achieved. Thus there is a dire need for a design support tool that is adequately capable of processing built environment characteristics in the development of a BRT feeder network that is fully appreciative of the influence of NMT and the urban fabric, and is thus appropriate to the needs of the community it is trying to serve. This study comprised the application of two Spatial Multi-Criteria based methodologies in which a list of built environment characteristics and public transport demand formed the inputs for the analyses. The analysis produced a composite suitability map for each approach, in which each pixel represented the appropriateness of having a BRT feeder route located in that respective pixel. Routes between O-D pairs identified were solved by carrying out a least cost path assessment based on the mean impedance values along the existing road network. The routes developed were compared to the MyCiTi feeder bus routes using Key Performance Indicators established in this research to determine whether this study was successful in producing an enhanced BRT feeder route planning tool. Apart from one route, the set of feeder routes developed for each approach were exactly the same with the second method producing lower average impedance values per kilometre thus it was deemed stronger. When compared to the MyCiTi feeder routes, similar operational efficiencies were achieved with respect to average travel time, coverage and directness. However; the study methodologies provided a greater level of NMT planning inclusion and consideration of environmental factors. Furthermore; it achieved this in a systematic and transparent manner, providing immensely powerful benefits for transportation planners in the public sector. This study was successful in demonstrating that SMCA combined with the Network Analyst tool in ArcGIS has the ability to enhance the quality and appropriateness of BRT feeder routes, whilst achieving acceptable operational efficiencies. The results could further be improved by incorporating more data on local NMT trends and behaviour. Furthermore; this tool can be applied to solving pedestrian, bicycle and other public transport routing problems