5,464 research outputs found
A metaphorical history of DNA patents
The aim of this paper is to retrace the history of genetic patents, analyzing the metaphors used in the public debate, in patent offices, and in courtrooms. I have identified three frames with corresponding metaphor clusters: the first is the industrial frame, built around the idea that DNA is a chemical; the second is the informational frame, assembled around the concept of genetic information; last is the soul frame, based on the idea that DNA is or contains the essence of the individual
Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach
Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series model to be able to assess their relative importance. In this paper we put forward such a model, where we combine the features of long memory and Markov nonlinearity. A Markov Chain Monte Carlo algorithm is proposed to estimate the model and evaluate its forecasting performance using Bayesian predictive densities. The resulting forecasts are a significant improvement over those obtained by the linear long memory and Markov switching models.Markov-Switching models, Bootstrap, Gibbs Sampling
On the influence of reflective boundary conditions on the statistics of Poisson-Kac diffusion processes
We analyze the influence of reflective boundary conditions on the statistics
of Poisson-Kac diffusion processes, and specifically how they modify the
Poissonian switching-time statistics. After addressing simple cases such as
diffusion in a channel, and the switching statistics in the presence of a
polarization potential, we thoroughly study Poisson-Kac diffusion in fractal
domains. Diffusion in fractal spaces highlights neatly how the modification in
the switching-time statistics associated with reflections against a complex and
fractal boundary induces new emergent features of Poisson-Kac diffusion leading
to a transition from a regular behavior at shorter timescales to emerging
anomalous diffusion properties controlled by walk dimensionality of the fractal
set
Stochastic foundations of undulatory transport phenomena: Generalized Poisson-Kac processes - Part II Irreversibility, Norms and Entropies
In this second part, we analyze the dissipation properties of Generalized
Poisson-Kac (GPK) processes, considering the decay of suitable -norms and
the definition of entropy functions. In both cases, consistent energy
dissipation and entropy functions depend on the whole system of primitive
statistical variables, the partial probability density functions , while the corresponding energy
dissipation and entropy functions based on the overall probability density
do not satisfy monotonicity requirements as a function of time.
Examples from chaotic advection (standard map coupled to stochastic GPK
processes) illustrate this phenomenon. Some complementary physical issues are
also addressed: the ergodicity breaking in the presence of attractive
potentials, and the use of GPK perturbations to mollify stochastic field
equations
Stochastic foundations of undulatory transport phenomena: Generalized Poisson-Kac processes - Part I Basic theory
This article introduces the notion of Generalized Poisson-Kac (GPK) processes
which generalize the class of "telegrapher's noise dynamics" introduced by Marc
Kac in 1974, usingPoissonian stochastic perturbations. In GPK processes the
stochastic perturbation acts as a switching amongst a set of stochastic
velocity vectors controlled by a Markov-chain dynamics. GPK processes possess
trajectory regularity (almost everywhere) and asymptotic Kac limit, namely the
convergence towards Brownian motion (and to stochastic dynamics driven by
Wiener perturbations), which characterizes also the long-term/long-distance
properties of these processes. In this article we introduce the structural
properties of GPK processes, leaving all the physical implications to part II
and part III
Markovian nature, completeness, regularity and correlation properties of Generalized Poisson-Kac processes
We analyze some basic issues associated with Generalized Poisson-Kac (GPK)
stochastic processes, starting from the extended notion of the Markovian
condition. The extended Markovian nature of GPK processes is established, and
the implications of this property derived: the associated adjoint formalism for
GPK processes is developed essentially in an analogous way as for the
Fokker-Planck operator associated with Langevin equations driven by Wiener
processes. Subsequently, the regularity of trajectories is addressed: the
occurrence of fractality in the realizations of GPK is a long-term emergent
property, and its implication in thermodynamics is discussed. The concept of
completeness in the stochastic description of GPK is also introduced. Finally,
some observations on the role of correlation properties of noise sources and
their influence on the dynamic properties of transport phenomena are addressed,
using a Wiener model for comparison
Bootstrap LR tests of stationarity, common trends and cointegration
The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time series. As the distribution of these tests is not known, a bootstrap version is proposed via a state space representation. The bootstrap samples are obtained from the Kalman filter innovations under the null hypothesis. Monte Carlo simulations for the Gaussian univariate random walk plus noise model show that the bootstrap LR test achieves higher power for medium-sized deviations from the null hypothesis than a locally optimal and one-sided LM test, that has a known asymptotic distribution. The power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration in multivariate time series, as the alternative asymptotic procedure -obtained as an extension of the LM test of stationarity- does not possess properties of optimality. Finally, it is showed that the (pseudo) LR tests maintain good size and power properties also for non-Gaussian series. As an empirical illustration, we find evidence of two common stochastic trends in the volatility of the US dollar exchange rate against european and asian/pacific currencies.Kalman filter, state-space models, unit roots
Granger-causality in Markov Switching Models
In this paper we propose a new parametrisation of transition probabilities that allows us to characterize and test Granger-causality in Markov switching models by means of an appropriate specification of the transition matrix. Test for independence are also provided. We illustrate our methodology with an empirical application. In particular, we investigate the causality and interdependence between financial and economic cycles using a bivariate Markov switching model. When applied to U.S. data, we find that financial variables are useful for forecasting the direction of aggregate economic activity, and vice versa.Granger Causality, Markov Chains, Switching Models
UNEMPLOYMENT AND HYSTERESIS: A NONLINEAR UNOBSERVED COMPONENTS APPROACH
The aim of this paper is to find a possible hysteresis effect on unemployment rate series from Italy, France and the United States. We propose a definition of hysteresis taken from Physics which allows for nonlinearities. To test for the presence of hysteresis we use a nonlinear unobserved components model for unemployment series. The estimation methodology used can be assimilated into a threshold autoregressive representation in the framework of a Kalman filter. To derive an appropriate p-value for a test for hysteresis we propose two alternative bootstrap procedures: the first is valid under homoskedastic errors and the second allows for general heteroskedasticity. We investigate the performance of both bootstrap procedures using Monte Carlo simulation.Hysteresis; Unobserved Components Model; Threshold Autoregressive Models; Nuisance parameters; Bootstrap
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