Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used to produce the bootstrap draws are captured by an autoregressive approximation. Application of the sieve method to data pre-filtered by a semi-parametric estimate of the long memory parameter is also explored. Higher-order improvements yielded by both forms of re-sampling are demonstrated using Edgeworth expansions for a broad class of statistics that includes first- and second-order moments, the discrete Fourier transform and regression coefficients. The methods are then applied to the problem of estimating the sampling distributions of the sample mean and of selected sample autocorrelation coefficients, in experimental settings. In the case of the sample mean, the pre-filtered version of the bootstrap is shown to avoid the distinct underestimation of the sampling variance of the mean which the raw sieve method demonstrates in finite samples, higher order accuracy of the latter notwithstanding. Pre-filtering also produces gains in terms of the accuracy with which the sampling distributions of the sample autocorrelations are reproduced, most notably in the part of the parameter space in which asymptotic normality does not obtain. Most importantly, the sieve bootstrap is shown to reproduce the (empirically infeasible) Edgeworth expansion of the sampling distribution of the autocorrelation coefficients, in the part of the parameter space in which the expansion is valid

Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data pre-filtered by a preliminary semi-parametric estimate of the long memory parameter. Theoretical justification for using the bootstrap techniques to bias adjust log-periodogram and semi-parametric local Whittle estimators of the memory parameter is provided. Simulation evidence comparing the performance of the bootstrap bias correction with analytical bias correction techniques is also presented. The bootstrap method is shown to produce notable bias reductions, in particular when applied to an estimator for which analytical adjustments have already been used. The empirical coverage of confidence intervals based on the bias-adjusted estimators is very close to the nominal, for a reasonably large sample size, more so than for the comparable analytically adjusted estimators. The precision of inferences (as measured by interval length) is also greater when the bootstrap is used to bias correct rather than analytical adjustments.Comment: 38 page

Probabilistic Forecasts of Volatility and its Risk Premia

The object of this paper is to produce distributional forecasts of physical volatility and its associated risk premia using a non-Gaussian, non-linear state space approach. Option and spot market information on the unobserved variance process is captured by using dual 'model-free' variance measures to define a bivariate observation equation in the state space model. The premium for diffusive variance risk is defined as linear in the latent variance (in the usual fashion) whilst the premium for jump variance risk is specified as a conditionally deterministic dynamic process, driven by a function of past measurements. The inferential approach adopted is Bayesian, implemented via a Markov chain Monte Carlo algorithm that caters for the multiple sources of non-linearity in the model and the bivariate measure. The method is applied to empirical spot and option price data for the S&P500 index over the 1999 to 2008 period, with conclusions drawn about investors' required compensation for variance risk during the recent financial turmoil. The accuracy of the probabilistic forecasts of the observable variance measures is demonstrated, and compared with that of forecasts yielded by more standard time series models. To illustrate the benefits of the approach, the posterior distribution is augmented by information on daily returns to produce Value at Risk predictions, as well as being used to yield forecasts of the prices of derivatives on volatility itself. Linking the variance risk premia to the risk aversion parameter in a representative agent model, probabilistic forecasts of relative risk aversion are also produced.Volatility Forecasting; Non-linear State Space Models; Non-parametric Variance Measures; Bayesian Markov Chain Monte Carlo; VIX Futures; Risk Aversion.

The influence of MRI scan position on patients with oropharyngeal cancer undergoing radical radiotherapy

<p>Background: The purpose of this study was to demonstrate how magnetic resonance imaging (MRI) patient position protocols influence registration quality in patients with oropharyngeal cancer undergoing radical radiotherapy and the consequences for gross tumour volume (GTV) definition and radiotherapy planning.</p> <p>Methods and materials: Twenty-two oropharyngeal patients underwent a computed tomography (CT), a diagnostic MRI (MRID) and an MRI in the radiotherapy position within an immobilization mask (MRIRT). Clinicians delineated the GTV on the CT viewing the MRID separately (GTVC); on the CT registered to MRID (GTVD) and on the CT registered to MRIRT (GTVRT). Planning target volumes (PTVs) were denoted similarly. Registration quality was assessed by measuring disparity between structures in the three set-ups. Volumetric modulated arc therapy (VMAT) radiotherapy planning was performed for PTVC, PTVD and PTVRT. To determine the dose received by the reference PTVRT, we optimized for PTVC and PTVD while calculating the dose to PTVRT. Statistical significance was determined using the two-tailed Mann–Whitney or two-tailed paired student t-tests.</p> <p>Results: A significant improvement in registration accuracy was found between CT and MRIRT versus the MRID measuring distances from the centre of structures (geometric mean error of 2.2 mm versus 6.6 mm). The mean GTVC (44.1 cm3) was significantly larger than GTVD (33.7 cm3, p value = 0.027) or GTVRT (30.5 cm3, p value = 0.014). When optimizing the VMAT plans for PTVC and investigating the mean dose to PTVRT neither the dose to 99% (58.8%) nor 95% of the PTV (84.7%) were found to meet the required clinical dose constraints of 90% and 95% respectively. Similarly, when optimizing for PTVD the mean dose to PTVRT did not meet clinical dose constraints for 99% (14.9%) nor 95% of the PTV (66.2%). Only by optimizing for PTVRT were all clinical dose constraints achieved.</p> <p>Conclusions: When oropharyngeal patients MRI scans are performed in the radiotherapy position there are significant improvements in CT-MR image registration, target definition and PTV dose coverage.</p&gt

Study of diffusion weighted MRI as a predictive biomarker of response during radiotherapy for high and intermediate risk squamous cell cancer of the oropharynx: The MeRInO study

Introduction and background: A significant proportion of patients with intermediate and high risk squamous cell cancer of the oropharynx (OPSCC) continue to relapse locally despite radical chemoradiotherapy (CRT). The toxicity of the current combination of intensified dose per fraction radiotherapy and platinum based chemotherapy limits further uniform intensification. If a predictive biomarker for outcomes from CRT can be identified during treatment then individualised and adaptive treatment strategies may be employed. Methods/design: The MeRInO study is a prospective observational imaging study of patients with intermediate and high risk, locally advanced OPSCC receiving radical RT or concurrent CRT Patients undergo diffusion weighted MRI prior to treatment (MRI_1) and during the third week of RT (MRI_2). Apparent diffusion coefficient (ADC) measurements will be made on each scan for previously specified target lesions (primary and lymph nodes) and change in ADC calculated. Patients will be followed up and disease status for each target lesion noted. The primary aim of the MeRInO study is to determine the threshold change in ADC from baseline to week 3 of RT that may identify the sub-group of non-responders during treatment. Discussion: The use of DW-MRI as a predictive biomarker during RT for SCC H&N is in its infancy but studies to date have found that response to treatment may indeed be predicted by comparison of DW-MRI carried out before and during treatment. However, previous studies have included all sub-sites and biological sub-types. Establishing ADC thresholds that predict for local failure is an essential step towards using DW-MRI to improve the therapeutic ratio in treating SCC H&N. This would be done most robustly in a specific H&N sub-site and in sub-types with similar biological behaviour. The MeRInO study will help establish these thresholds in OPSCC

SPARC, a phase-I trial of pre‐operative, margin intensified, stereotactic body radiation therapy for pancreatic cancer

Background and purpose: Following resection of pancreatic cancer, risk of positive margins and local recurrence remain high, especially for borderline-resectable pancreatic cancer (BRPC). We aimed to establish the maximum tolerated dose of a margin-intensified five-fraction stereotactic body radiotherapy (SBRT) regimen designed to treat the region at risk. / Materials and methods: We conducted a prospective multicentre phase-1 rolling-six dose-escalation study. BRPC patients received pre-operative SBRT, with one dose to the primary tumour and an integrated boost to the region where tumour was in contact with vasculature. Four dose-levels were proposed, with starting dose 30 Gy to primary PTV and 45 Gy to boost volume (PTV_R), in five daily fractions. Primary endpoint was maximum tolerated dose (MTD), defined as highest dose where zero of three or one of six patients experienced dose-limiting toxicity (DLT). / Results: Twelve patients were registered, eleven received SBRT. Radiotherapy was well tolerated with all treatment completed as scheduled. Dose was escalated one level up from starting dose without encountering any DLT (prescribed 32.5 Gy PTV, 47.5 Gy PTV_R). Nine serious adverse reactions or events occurred (seven CTCAE Grade 3, two Grade 4). Two patients went on to have surgical resection. Median overall survival for SBRT patients was 8.1 months. The study closed early when it was unable to recruit to schedule. / Conclusion: Toxicity of SBRT was low for the two dose-levels that were tested, but MTD was not established. Few patients subsequently underwent resection of pancreatic tumour after SBRT, and it is difficult to draw conclusions regarding the safety or toxicity of these therapies in combination

Polar ozone

The observation and interpretation of a large, unexpected ozone depletion over Antarctica has changed the international scientific view of stratospheric chemistry. The observations which show the veracity, seasonal nature, and vertical structure of the Antarctic ozone hole are presented. Evidence for Arctic and midlatitude ozone loss is also discussed. The chemical theory for Antarctic ozone depletion centers around the occurrence of polar stratospheric clouds (PSCs) in Antarctic winter and spring; the climatology and radiative properties of these clouds are presented. Lab studies of the physical properties of PSCs and the chemical processes that subsequently influence ozone depletion are discussed. Observations and interpretation of the chemical composition of the Antarctic stratosphere are described. It is shown that the observed, greatly enhanced abundances of chlorine monoxide in the lower stratosphere are sufficient to explain much if not all of the ozone decrease. The dynamic meteorology of both polar regions is given, interannual and interhemispheric variations in dynamical processes are outlined, and their likely roles in ozone loss are discussed

Exclusive W + photon production in proton-antiproton collisions I: general formalism

We present a detailed computation of the fully exclusive cross section of p + antip --> W + photon + X with X = 0 and 1 jet in the framework of the factorization theorem and dimensional regularization. Order alpha-strong and photon bremsstrahlung contributions are discussed in the MS-bar mass factorization scheme. The resulting expressions are ready to be implemented numerically using Monte Carlo techniques to compute single and double differential cross sections and correlations between outgoing pairs of particles.Comment: ITP-SB-93-72, 40 pages, LateX. 3*4 figures in separate file. ([email protected]) ([email protected]

SPARC, a phase-I trial of pre‐operative, margin intensified, stereotactic body radiation therapy for pancreatic cancer

Background and purpose: Following resection of pancreatic cancer, risk of positive margins and local recurrence remain high, especially for borderline-resectable pancreatic cancer (BRPC). We aimed to establish the maximum tolerated dose of a margin-intensified five-fraction stereotactic body radiotherapy (SBRT) regimen designed to treat the region at risk. / Materials and methods: We conducted a prospective multicentre phase-1 rolling-six dose-escalation study. BRPC patients received pre-operative SBRT, with one dose to the primary tumour and an integrated boost to the region where tumour was in contact with vasculature. Four dose-levels were proposed, with starting dose 30 Gy to primary PTV and 45 Gy to boost volume (PTV_R), in five daily fractions. Primary endpoint was maximum tolerated dose (MTD), defined as highest dose where zero of three or one of six patients experienced dose-limiting toxicity (DLT). / Results: Twelve patients were registered, eleven received SBRT. Radiotherapy was well tolerated with all treatment completed as scheduled. Dose was escalated one level up from starting dose without encountering any DLT (prescribed 32.5 Gy PTV, 47.5 Gy PTV_R). Nine serious adverse reactions or events occurred (seven CTCAE Grade 3, two Grade 4). Two patients went on to have surgical resection. Median overall survival for SBRT patients was 8.1 months. The study closed early when it was unable to recruit to schedule. / Conclusion: Toxicity of SBRT was low for the two dose-levels that were tested, but MTD was not established. Few patients subsequently underwent resection of pancreatic tumour after SBRT, and it is difficult to draw conclusions regarding the safety or toxicity of these therapies in combination

Factorization of gravitational Compton scattering amplitude in the linearized version of general relativity

Gravitational Compton scattering process with a massive fermion is studied in the context of the linearized gravity. Gravitational gauge invariance and graviton transversality cause the transition amplitude to be factorized into that of scalar QED Compton scattering and that of fermion QED Compton scattering with an overall kinematical factor. The factorization is shown explicitly and its physical implications are discussed.Comment: 11 pages, 1 figure(not included), Revtex 3.0, SNUTP 93-2