Expectation-maximization for logistic regression

We present a family of expectation-maximization (EM) algorithms for binary and negative-binomial logistic regression, drawing a sharp connection with the variational-Bayes algorithm of Jaakkola and Jordan (2000). Indeed, our results allow a version of this variational-Bayes approach to be re-interpreted as a true EM algorithm. We study several interesting features of the algorithm, and of this previously unrecognized connection with variational Bayes. We also generalize the approach to sparsity-promoting priors, and to an online method whose convergence properties are easily established. This latter method compares favorably with stochastic-gradient descent in situations with marked collinearity

Pricing Interest-Rate Risk for Mortgage REITs

Using tax-qualified mortgage REITs over three periods (1976-79, 1980-82, and 1983-90), this paper investigates the pricing of interest-rate risk for mortgage REITs at equilibrium. A system of nonlinear equations is estimated to determine the monthly interest-rate risk premium over each of the three time intervals. There is evidence to support the hypothesis that interest-rate risk is not diversifiable and hence commands a risk premium.

Thermal Modeling and Experimental Validation in the LENS™ Process

Several aspects of the thermal behavior of deposited stainless steel 410 (SS410) during the Laser Engineered Net Shaping (LENSTM) process were investigated experimentally and numerically. Thermal images in the molten pool and surrounding area were recorded using a two-wavelength imaging pyrometer system, and analyzed using ThermaVizTM software to obtain the temperature distribution. The molten pool size, temperature gradient, and cooling rate were obtained from the recorded history of temperature profiles. The dynamic shape of the molten pool, including the pool size in both travel direction and depth direction, was investigated and the effect of different process parameters was illustrated. The thermal experiments were performed in a LENSTM 850 machine with a 3kW IPG laser for different process parameters. A three-dimensional finite element model was developed to calculate the temperature distribution in the LENS process as a function of time and process parameters. The modeling results showed good agreement with the experimental data.Mechanical Engineerin

Risk management implementation in small and medium enterprises in the UK construction industry

Purpose – The competition and challenges facing construction firms during the recent recession have brought risk management (RM) to the fore in people’s minds. Examination of the difficulties of implementing RM in small and medium enterprises (SMEs) in the UK construction industry has been relatively untouched. The paper aims to discuss these issues. Design/methodology/approach – As part of on-going research to facilitate RM processing aimed at improving the competitiveness of SMEs, the difficulties in RM implementation were identified through a literature review of RM implementation in SMEs. Postal questionnaire were sent to SMEs who have experience of construction management. Findings – Of the 153 of SMEs responding, most highlighted that the main difficulty experienced is how to scale RM process to meet their requirements. None of the available standards explain the fundamental principle of applying RM to the situations that SMEs find themselves in. This difficulty is further exacerbated by a lack of management skills and knowledge in the adoption of RM tools or techniques to identify and analyse the business’ risks. Originality/value – The identified difficulties can be considered to develop a process to facilitate RM process within SMEs. </jats:sec

Intertemporal Changes in the Riskiness of REITs

This study investigates the variability in the risk components of REITs over the 1973-1989 period using the cusum test, the cusum of squares test, and the Quandt's log-likelihood ratio method. Four REIT portfolios were formed: an all-REIT portfolio, an equity REIT portfolio, a hybrid REIT portfolio, and a mortgage REIT portfolio. The two-index model was employed and the results indicated that both the market beta and the interest-rate beta of the portfolios were time-varying. In addition, significant shifts in return-generating regimes over time were detected for all four portfolios.

TRAAC: Trust and Risk Aware Access Control

Postprin