Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory

Nonlinear functions of multivariate financial time series can exhibit longmemory and fractional cointegration. However, tools for analysingthese phenomena have principally been justified under assumptionsthat are invalid in this setting. Determination of asymptotic theoryunder more plausible assumptions can be complicated and lengthy.We discuss these issues and present a Monte Carlo study, showingthat asymptotic theory should not necessarily be expected to provide agood approximation to finite-sample behaviour.Fractional cointegration, memory estimation,stochastic volatility.

Fractional Cointegration In StochasticVolatility Models

Asset returns are frequently assumed to be determined by one or more commonfactors. We consider a bivariate factor model, where the unobservable commonfactor and idiosyncratic errors are stationary and serially uncorrelated, but havestrong dependence in higher moments. Stochastic volatility models for the latentvariables are employed, in view of their direct application to asset pricing models.Assuming the underlying persistence is higher in the factor than in the errors, afractional cointegrating relationship can be recovered by suitable transformation ofthe data. We propose a narrow band semiparametric estimate of the factorloadings, which is shown to be consistent with a rate of convergence, and its finitesample properties are investigated in a Monte Carlo experiment.Fractional cointegration, stochastic volatility, narrow band leastsquares, semiparametric analysis.

A BAYESIAN ANALYSIS OF THE AGES OF FOUR OPEN CLUSTERS

In this paper we apply a Bayesian technique to determine the best fit of stellar evolution models to find the main sequence turn off age and other cluster parameters of four intermediate-age open clusters: NGC 2360, NGC 2477, NGC 2660, and NGC 3960. Our algorithm utilizes a Markov chain Monte Carlo technique to fit these various parameters, objectively finding the best fit isochrone for each cluster. The result is a high precision isochrone fit. We compare these results with the those of traditional “by eye” isochrone fitting methods. By applying this Bayesian technique to NGC 2360, NGC 2477, NGC 2660, and NGC 3960 we determine the ages of these clusters to be 1.35 ± 0.05, 1.02 ± 0.02, 1.64 ± 0.04, and 0.860 ± 0.04 Gyr, respectively. The results of this paper continue our effort to determine cluster ages to higher precision than that offered by these traditional methods of isochrone fitting

Differing lifestyles of Staphylococcus epidermidis as revealed through Bayesian clustering of multilocus sequence types

Staphylococcus epidermidis is part of the normal bacterial flora of human skin and a leading cause of infections associated with indwelling medical devices. Previous phylogenetic analyses of subgenomic data have been unable to distinguish between S. epidermidis strains with nosocomial or commensal lifestyles, despite the identification of specific phenotypes and accessory genes that may contribute to such lifestyles. To attempt to better define the population structure of this species, the international S. epidermidis multilocus sequence typing database was analyzed with the Bayesian clustering programs STRUCTURE and BAPS. A total of six genetic clusters (GCs) were identified. A local population of S. epidermidis from clinical specimens was classified according to these six GCs, and further characterized for antibiotic susceptibilities, biofilm, and various genetic markers. GC5 was abundant and significantly enriched for isolates that were resistant to four classes of antibiotics, high biofilm production, and positive for the virulence markers icaA, IS256, and sesD/bhp, indicating its potential clinical relevance. In contrast, GC2 was rare and contained the only isolates positive for the putative commensal marker, fdh. GC1 and GC6 were abundant but not significantly associated with any of the examined characteristics, except for sesF/aap and GC6. GC3 was rare and identified as a potential genetic sink that received, but did not donate, core genetic material from other GCs. In conclusion, population genetics analyses were essential for identifying clusters of strains that may differ in their adaptation to nosocomial or commensal lifestyles. These results provide a new, population genetics framework for studying S. epidermidis

BAYESIAN ANALYSIS OF TWO STELLAR POPULATIONS IN GALACTIC GLOBULAR CLUSTERS I: STATISTICAL AND COMPUTATIONAL METHODS

We develop a Bayesian model for globular clusters composed of multiple stellar populations, extending earlier statistical models for open clusters composed of simple (single) stellar populations (e.g., van Dyk et al. 2009; Stein et al. 2013). Specifically, we model globular clusters with two populations that differ in helium abundance. Our model assumes a hierarchical structuring of the parameters in which physical properties—age, metallicity, helium abundance, distance, absorption, and initial mass—are common to (i) the cluster as a whole or to (ii) individual populations within a cluster, or are unique to (iii) individual stars. An adaptive Markov chain Monte Carlo (MCMC) algorithm is devised for model fitting that greatly improves convergence relative to its precursor non-adaptive MCMC algorithm. Our model and computational tools are incorporated into an open-source software suite known as BASE-9. We use numerical studies to demonstrate that our method can recover parameters of two-population clusters, and also show model misspecification can potentially be identified. As a proof of concept, we analyze the two stellar populations of globular cluster NGC 5272 using our model and methods. (BASE-9 is available from GitHub: https://github.com/argiopetech/base/releases)

Sucesso de Sistemas de Informações na Administração Pública: Proposta de Um Modelo Exploratório

Investments in Information Systems (IS) have been significantly increasing and hence the relevance of the studies on the IS success is persistent. Delone and Mclean (2003) developed an IS successful model which is a benchmark for researches in the area, however, in the perspective of the public sector, studies are still rare. In this research it was sought to propose an exploratory model of successful IS in public administration, from the identification of each construct items of the Delone and McLean (2003) original model, through multiple case studies in three Municipalities and a Town Hall of the Southern Cone of Rondônia state, in Brazil. Based on the empirical research, it was found that the IS success factors in municipal public administration are close to those factors indicated in the reviewed literature, however, showing some particularities of the public sector. A model of successful factors and items of IS, from the confrontation between literature and empirical data, is presented in the end of this work.Os investimentos em Sistemas de Informação (SI) estão aumentando cada vez mais, e consequentemente, persiste a relevância dos estudos sobre sucesso de SI. Delone e Mclean (2003) elaboraram um modelo de sucesso de SI, e esse modelo é referência para as pesquisas da área, porém, na perspectiva do setor público, ainda são raros os estudos. Nesta pesquisa buscou-se propor um modelo exploratório de sucesso de SI na Administração Pública, a partir da identificação de itens em cada construto do modelo original de Delone e McLean (2003), por meio de estudos de casos múltiplos em três prefeituras e uma câmara municipal do Cone Sul do estado de Rondônia. Com base na pesquisa empírica, constatou-se que os fatores de sucesso de SI na Administração Pública Municipal se aproximam daqueles apontados na literatura revisada, porém, com algumas particularidades do setor público. Um modelo de fatores e itens de sucesso de SI, do confronto entre literatura e os dados empíricos, é apresentado ao final