2,381 research outputs found
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
This paper considers the effect of least squares procedures for nearly
unstable linear time series with strongly dependent innovations. Under a
general framework and appropriate scaling, it is shown that ordinary least
squares procedures converge to functionals of fractional Ornstein--Uhlenbeck
processes. We use fractional integrated noise as an example to illustrate the
important ideas. In this case, the functionals bear only formal analogy to
those in the classical framework with uncorrelated innovations, with Wiener
processes being replaced by fractional Brownian motions. It is also shown that
limit theorems for the functionals involve nonstandard scaling and nonstandard
limiting distributions. Results of this paper shed light on the asymptotic
behavior of nearly unstable long-memory processes.This research was supported in part by
HKSAR-RGC Grants CUHK400305 and CUHK400306
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
This paper considers the effect of least squares procedures for nearly
unstable linear time series with strongly dependent innovations. Under a
general framework and appropriate scaling, it is shown that ordinary least
squares procedures converge to functionals of fractional Ornstein--Uhlenbeck
processes. We use fractional integrated noise as an example to illustrate the
important ideas. In this case, the functionals bear only formal analogy to
those in the classical framework with uncorrelated innovations, with Wiener
processes being replaced by fractional Brownian motions. It is also shown that
limit theorems for the functionals involve nonstandard scaling and nonstandard
limiting distributions. Results of this paper shed light on the asymptotic
behavior of nearly unstable long-memory processes.Comment: Published in at http://dx.doi.org/10.1214/009053607000000136 the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Fractional constant elasticity of variance model
This paper develops a European option pricing formula for fractional market
models. Although there exist option pricing results for a fractional
Black-Scholes model, they are established without accounting for stochastic
volatility. In this paper, a fractional version of the Constant Elasticity of
Variance (CEV) model is developed. European option pricing formula similar to
that of the classical CEV model is obtained and a volatility skew pattern is
revealed.Comment: Published at http://dx.doi.org/10.1214/074921706000001012 in the IMS
Lecture Notes Monograph Series
(http://www.imstat.org/publications/lecnotes.htm) by the Institute of
Mathematical Statistics (http://www.imstat.org
Decoding the consumer’s brain: Neural representations of consumer experience
Understanding consumer experience – what consumers think about brands, how they feel about services, whether they like certain products – is crucial to marketing practitioners. ‘Neuromarketing’, as the application of neuroscience in marketing research is called, has generated excitement with the promise of understanding consumers’ minds by probing their brains directly. Recent advances in neuroimaging analysis leverage machine learning and pattern classification techniques to uncover patterns from neuroimaging data that can be associated with thoughts and feelings. In this dissertation, I measure brain responses of consumers by functional magnetic resonance imaging (fMRI) in order to ‘decode’ their mind. In three different studies, I have demonstrated how different aspects of consumer experience can be studied with fMRI recordings. First, I study how consumers think about brand image by comparing their brain responses during passive viewing of visual templates (photos depicting various social scenarios) to those during active visualizing of a brand’s image. Second, I use brain responses during viewing of affective pictures to decode emotional responses during watching of movie-trailers. Lastly, I examine whether marketing videos that evoke s
The Clinical Utility of Zinc Transporter 8 Autoantibody Measurement in Diabetes
Maturity onset diabetes of the young (MODY) is caused by single gene mutations that
are of autosomal dominant inheritance. Mutations are highly penetrant, and patients
often develop a phenotype similar to type 1 or type 2 diabetes. Glucokinase, Hepatic
nuclear factor 1a and 4a mutations consists of 80% of MODY cases. Approximately 1%
of patients with diabetes have MODY, and it is often misdiagnosed. Diagnosis is
important as patients with MODY often have a good prognosis and glycaemic control if
they are treated appropriately. The aim of this thesis was to explore the use of islet
autoantibodies, in particular a new autoantibody against Zinc Transporter 8, as
biomarkers to identify MODY.
A literature review of MODY and its important subtypes are discussed. It highlights the
major mutation that cause MODY and the management of patients with MODY is also
explored. Islet autoantibodies will also be reviewed in the same chapter, with a
discussion on established autoantibodies and ZnT8 autoantibodies in relation to type 1
diabetes.
Chapter 1 aims to investigate whether ZnT8 autoantibodies are similar to established
autoantibodies against GAD and IA-2 as a biomarker in differentiating T1D patients
from MODY patients. The prevalence of ZnT8 autoantibodies in MODY patients and
the effect of disease duration on antibody prevalence and discriminative power would
also be investigated.
In Chapter 2, a study was performed to investigate whether islet autoantibodies are
useful in the MODY referral setting in ruling out patients for genetic testing. This is a
way to rationalise genetic testing at the Exeter molecular genetics referral service.
Additionally, other biomarkers will also be investigated, namely C-peptide levels and
Type 1 Diabetes Genetic Risk score. Results from the study will have implications to
how MODY is diagnosed at the referral service.
A discussion of the findings of each chapter, implications and plans for future research
will be explored in chapter 3
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