108 research outputs found
Statistical modelling of road accident data via graphical models and hierarchical Bayesian models.
The objective of this thesis is to develop statistical models for multivariate road accident data. Two directions of research are followed: graphical modelling for contingency tables cross-classified by accident characteristics, and hierarchical Bayesian models for multiple accident frequencies of different types modelled jointly.
Multi-dimensional tables are analysed and it is shown how to use collapsibility to reduce the dimensionality of the analysis without the problems of Simpson's paradox. It is revealed that accident severity and the number of casualties are associated, and that these variables are mainly influenced by the number of vehicles and speed limit. Graphical chain models allow causal hypotheses to be formulated and it is shown how they are valuable tools for
empirical research about road accident characteristics.
The hierarchical Bayesian models developed combine generalized linear models with random effects. The novelty of these models consists in the joint modelling of multiple response variables. The models account for overdispersion
and they are used for accident prediction and for ranking hazardous sites.
All models are fully Bayesian and are fitted using Markov Chain Monte Carlo methods. It is shown that multiple response variables models are superior to separate univariate response models.
Some theoretical problems are examined regarding the maximum likelihood estimation process for the two parameters negative binomial distribution. A condition is given that is equivalent with unique maximum likelihood estimators.
The two directions of research are connected by using graphs to describe the models. In addition, a new Bayesian model selection procedure for contingency tables is proposed. This is based on Gibbs sampling and avoids problems associated with asymptotic tests.
The conclusions revealed here can help practitioners to design better safety policies and to spend money more wisely on sites that really are dangerous
Cross hedging jet fuel on the Singapore spot market.
In this paper we test for the most effective cross hedging instrument for the Singapore spot market in jet fuel over the period February 4, 1997 to August 21, 2001. Our results are mixed. We find that the heating oil contract is the best in-sample cross-hedging instrument. It has the highest correlation with the spot price and gives the best regression results. However, after correcting for serial correlation, the goodness of fit measured by R2 is rather low. Out of sample results are weak for all models and ambiguous with respect to the heating oil contract
Bayesian hierarchical model for the prediction of football results
The problem of modelling football data has become increasingly popular in the last few years and many different models have been proposed with the aim of estimating the characteristics that bring a team to lose or win a game, or to predict the score of a particular match. We propose a Bayesian hierarchical model to fulfil both these aims and test its predictive strength based on data about the Italian Serie A 1991-1992 championship. To overcome the issue of overshrinkage produced by the Bayesian hierarchical model, we specify a more complex mixture model that results in a better fit to the observed data. We test its performance using an example of the Italian Serie A 2007-2008 championship
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Risk Budgeting under General Risk Measures
We provide an ample characterization for Risk Budgeting/Parity portfolios with general convex and homogeneous risk preferences for long-only portfolios, as well as for long-short portfolios. We propose a more general novel definition of Risk Budgeting/Parity portfolios that is less restrictive than the classical definition, and it guarantees their existence and uniqueness, at least for the long-only case. This case is shown to always be less risky than the Equal Weighted portfolio and a thorough mathematical characterization of Risk Budgeting/Parity portfolios is also provided. Equivalent properties are concluded for long-short risk budgeting portfolios under some additional conditions. We provide new insights about the Risk Budgeting/Parity portfolios, including that those portfolios are a rich subset of the newly coined set of Generalized Weighted Mean Constrained portfolios that, according to our knowledge, is defined for the first time in this paper. This new class of portfolios contains other portfolios with good performance, e.g., norm constrained and shortsale-constrainedportfolios. Statistical inferences for Risk Budgeting portfolios are provided for volatility and Conditional-Value-at-Risk risk preferences, and a by-product of our work is the introduction of a novel Conditional-Value-at-Risk estimator. An extensive real data analysis shows that Risk Parity portfolios have an enhanced out-of-sample performance than its benchmark portfolios by reducing the risk, but also by better balancing the trade-off between risk and return that pays off during adverse and booming market conditions
Property Prices and Real Estate Financing in a Turbulent World
On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on “Property prices and real estate financing in a turbulent world.” The papers included in this SUERF Study are based on contributions to the conference
Deprived children or deprived neighbourhoods? A public health approach to the investigation of links between deprivation and injury risk with specific reference to child road safety in Devon County, UK
BACKGROUND: Worldwide, injuries from road traffic collisions are a rapidly growing problem in terms of morbidity and mortality. The UK has amongst the worst records in Europe with regard to child pedestrian safety. A traditional view holds that resources should be directed towards training child pedestrians. In order to reduce socio-economic differentials in child pedestrian casualty rates it is suggested that these should be directed at deprived children. This paper seeks to question whether analysis of extant routinely collected data supports this view. METHODS: Routine administrative data on road collisions has been used. A deprivation measure has been assigned to the location where a collision was reported, and the home postcode of the casualty. Aggregate data was analysed using a number of epidemiological models, concentrating on the Generalised Linear Mixed Model. RESULTS: This study confirms evidence suggesting a link between increasing deprivation and increasing casualty involvement of child pedestrians. However, suggestions are made that it may be necessary to control for the urban nature of an area where collisions occur. More importantly, the question is raised as to whether the casualty rate is more closely associated with deprivation measures of the ward in which the collision occurred than with the deprivation measures of the home address of the child. CONCLUSION: Conclusions have to be drawn with great caution. Limitations in the utility of the officially collected data are apparent, but the implication is that the deprivation measures of the area around the collision is a more important determinant of socio-economic differentials in casualty rates than the deprivation measures of the casualties' home location. Whilst this result must be treated with caution, if confirmed by individual level case-controlled studies this would have a strong implication for the most appropriate interventions
KoVariome: Korean National Standard Reference Variome database of whole genomes with comprehensive SNV, indel, CNV, and SV analyses
High-coverage whole-genome sequencing data of a single ethnicity can provide a useful catalogue of population-specific genetic variations, and provides a critical resource that can be used to more accurately identify pathogenic genetic variants. We report a comprehensive analysis of the Korean population, and present the Korean National Standard Reference Variome (KoVariome). As a part of the Korean Personal Genome Project (KPGP), we constructed the KoVariome database using 5.5 terabases of whole genome sequence data from 50 healthy Korean individuals in order to characterize the benign ethnicity-relevant genetic variation present in the Korean population. In total, KoVariome includes 12.7M single-nucleotide variants (SNVs), 1.7M short insertions and deletions (indels), 4K structural variations (SVs), and 3.6K copy number variations (CNVs). Among them, 2.4M (19%) SNVs and 0.4M (24%) indels were identified as novel. We also discovered selective enrichment of 3.8M SNVs and 0.5M indels in Korean individuals, which were used to filter out 1,271 coding-SNVs not originally removed from the 1,000 Genomes Project when prioritizing disease-causing variants. KoVariome health records were used to identify novel disease-causing variants in the Korean population, demonstrating the value of high-quality ethnic variation databases for the accurate interpretation of individual genomes and the precise characterization of genetic variation
Loss of Regulator of G Protein Signaling 5 Exacerbates Obesity, Hepatic Steatosis, Inflammation and Insulin Resistance
BACKGROUND: The effect of regulator of G protein signaling 5 (RGS5) on cardiac hypertrophy, atherosclerosis and angiogenesis has been well demonstrated, but the role in the development of obesity and insulin resistance remains completely unknown. We determined the effect of RGS5 deficiency on obesity, hepatic steatosis, inflammation and insulin resistance in mice fed either a normal-chow diet (NC) or a high-fat diet (HF). METHODOLOGY/PRINCIPAL FINDINGS: Male, 8-week-old RGS5 knockout (KO) and littermate control mice were fed an NC or an HF for 24 weeks and were phenotyped accordingly. RGS5 KO mice exhibited increased obesity, fat mass and ectopic lipid deposition in the liver compared with littermate control mice, regardless of diet. When fed an HF, RGS5 KO mice had a markedly exacerbated metabolic dysfunction and inflammatory state in the blood serum. Meanwhile, macrophage recruitment and inflammation were increased and these increases were associated with the significant activation of JNK, IκBα and NF-κBp65 in the adipose tissue, liver and skeletal muscle of RGS5 KO mice fed an HF relative to control mice. These exacerbated metabolic dysfunction and inflammation are accompanied with decreased systemic insulin sensitivity in the adipose tissue, liver and skeletal muscle of RGS5 KO mice, reflected by weakened Akt/GSK3β phosphorylation. CONCLUSIONS/SIGNIFICANCE: Our data suggest that loss of RGS5 exacerbates HF-induced obesity, hepatic steatosis, inflammation and insulin resistance
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