Testowanie symetryczności rozkładu warunkowego

The paper concerns the problem of asymmetry in conditional distribution. Some contemporarily used tests can with high likelihood show the presence of asymmetry in the distribution. The test proposed by Bai and Ng has been created in order to test asymmetry in series filtered by models from ARMA-GARCH family. The mentioned test has been used to evaluate conditional asymmetry in return series from the stock exchange in Warsaw. The results confirm the existence of asymmetry in distributions in returns of analyzed shares. This type of asymmetry can be described with the models from GARCH family.W artykule poruszono problem testowania asymetrii rozkładu warunkowego. Istniejące obecnie testy z dużym prawdopodobieństwem są w stanie wskazać na występowanie asymetrii w rozkładzie warunkowym. Test zaproponowany przez Bai i Ng (2001) został stworzony do testowania asymetrii w szeregach przefiltrowanych modelami z rodziny ARMA-GARCH. Wspomniany test zastosowano do oceny asymetrii warunkowej w szeregach z Giełdy Papierów Wartościowych w Warszawie. Uzyskane wyniki potwierdzają występowanie asymetrii w rozkładach stóp zwrotu analizowanych spółek, która może zostać opisana modelami z rodziny GARCH

Ocena jakości życia pacjentów po udarze mózgu

Introduction. Quality of life (QOL) has been defined as a person’s perception of their social, cultural and self-worth position in the society and its effect on the person’s goals, expectations and apprehensions in life. It is a wide-ranging concept including physical health, mental state, level of independence and social relationships.Aim. The aim of the study was to asses the quality of life of patients after a cerebral stroke.Material and Methods. The study was carried out in a group of 106 patients after a cerebral stroke and hospitalized in the neurological ward. The age of the patients was ranged 32–90 years (mean age 59.12±13.04). Females constituted 56.00% of the studied group. The majority of patients were married (57.55%). The study material was obtained with the use of WHOQOL-Bref scale and Barthel scale.Results. The patients’ assessment of their general quality of life was at a mean level of 3.18±0.943 and their assessment of the state of health was 2.96±0.94. Distribution of the mean values in specific domains of life was as follows: social (55.00±21.61), environmental (54.23±16.67), somatic (53.89±18.17), psychological (46.53±17.23). Evaluation of the patients with Barthel scale classified the majority of them into Category II (51.90%), while Category I included 41.50% of patients; only 6.60% were in the worst state and qualified for Category III.Conclusions. Self-assessment of the patients recovering from a cerebral stroke was at a reduced level. The patients’ functional agility significantly affected their assessment of the quality of life. The type of stroke, education and place of living had a considerable effect on self-assessment of the quality of life in the patients recovering from a cerebral stroke. (JNNN 2017;6(4):163–169)Wstęp. Jakość życia (QOL) została określona jako postrzeganie przez osoby ich pozycji w życiu w kontekście systemów kultury i wartości, w których żyją relacji do ich celów, oczekiwań i obaw. Jest to szeroko pojęta koncepcja obejmująca zdrowie fizyczne, stan psychiczny, poziom niezależności, relacje społeczne.Cel. Celem badań było dokonanie oceny jakości życia pacjentów po udarze mózgu.Materiał i metody. Badania przeprowadzono w grupie 106 pacjentów po przebytym udarze mózgu, hospitalizowanych w oddziale neurologii. Wiek badanych zawierał się w przedziale 32–90 lat (średnia 59,12±13,04). Kobiety stanowiły 56,00% badanej grupy. Większość pacjentów pozostawało w związku małżeńskim (57,55%). Materiał badawczy zebrano za pomocą skali WHOQOL-Bref oraz skali Barthel.Wyniki. Pacjenci ocenili ogólną jakość swojego życia na poziomie średniej 3,18±0,94 a stan swojego zdrowia na 2,96±0,94. Rozkład średnich w poszczególnych dziedzinach jakości życia kształtował się następująco: socjalna (55,00±21,61), środowiskowa (54,23±16,67), somatyczna (53,89±18,17), psychologiczna (46,53±17,23). Dokonując oceny badanych skalą Barthel stwierdzono, że najwięcej badanych znalazło się w kategorii II (51,90%). W kategorii I było 41,50% osób, a tylko 6,60% było w najcięższym stanie i zakwalifikowano je do kategorii III.Wnioski. Samoocena jakości życia przez pacjentów po udarze mózgu była na obniżonym poziomie. Sprawność funkcjonalna badanych znacząco wpływała na samoocenę ich jakości życia. Rodzaj udaru, wykształcenie oraz miejsce zamieszkania miały znaczący wpływ na samoocenę jakości życia przez pacjentów po udarze mózgu. (PNN 2017;6(4):163–169

Leakage-Resilient Cryptography with Key Derived from Sensitive Data

In this paper we address the problem of large space consumption for protocols in the Bounded Retrieval Model (BRM), which require users to store large secret keys subject to adversarial leakage. We propose a method to derive keys for such protocols on-the-fly from weakly random private data (like text documents or photos, users keep on their disks anyway for non-cryptographic purposes) in such a way that no extra storage is needed. We prove that any leakage-resilient protocol (belonging to a certain, arguably quite broad class) when run with a key obtained this way retains a similar level of security as the original protocol had. Additionally, we guarantee privacy of the data the actual keys are derived from. That is, an adversary can hardly gain any knowledge about the private data except that he could otherwise obtain via leakage. Our reduction works in the Random Oracle model. As an important tool in the proof we use a newly established bound for min-entropy, which can be of independent interest. It may be viewed as an analogue of the chain rule -- a weaker form of the well-known formula $\mathbf{H}(X \vert Y) = \mathbf{H}(X, Y) - \mathbf{H}(Y)$ for random variables $X$, $Y$, and Shannon entropy, which our result originates from. For min-entropy only a much more limited version of this relation is known to hold. Namely, the min-entropy of $X$ may decrease by up to the bitlength of $Y$ when $X$ is conditioned on $Y$, in short: \widetilde{\mathbf{H}(X \vert Y) \geq \mathbf{H}_\infty(X) - \lvert Y\rvert. In many cases this inequality does not offer tight bounds, and such significant entropy loss makes it inadequate for our particular application. In the quasi chain rule we propose, we inject some carefully crafted side information (spoiling knowledge) to show that with large probability the average min-entropy of $X$ conditioned on both: $Y$ and this side information can be almost lower bounded by the min-entropy of $(X, Y)$ decreased by the min-entropy of $Y$ conditioned on the side information

Zustandsüberwachung einer integralen, mehrfeldrigen Eisenbahn-Stahlverbundbrücke mit verteilten faseroptischen Sensoren

Im Zuge der Umverlegung einer Güterzugstrecke wurde der Ems-Jade-Kanal durch einen dreifeldrigen, integralen Stahlverbundrahmen überführt, an dem durch ein installiertes Dauermonitoring die Entwicklung der Zwangsschnittgrößen und der einsetzenden Rissbildung beurteilt werden soll. Zur Dehnungsmessung am Bauwerk wurden sowohl Dehnungsmessstreifen (DMS) als auch faseroptische Sensoren (DFOS, distributed fibre optic sensors) im bzw. am Bauwerk appliziert. Die aus dieser Kombination der unterschiedlichen Dehnungssensorik gewonnenen Zustandsgrößen werden in der folgenden Abhandlung verglichen und bewertet

Higher Order Moments Variability in the Financial Markets

The dynamic development of Chinese economy observed since the 80s of the twentieth century, increasingly draws attention to this country as a candidate for the leadership of world trade. This rapid growth is supported by two powerful stock exchanges in Shanghai and Shenzhen. Chinese phenomenon is now of interest to a wide audience of potential investors and researchers [2]. Modeling time varying conditional asymmetry or kurtosis becomes more often the subject of analysis, especially during the growing world financial crisis. Autoregressive Conditional Density Models (ARCD), which were first presented in 1994 by Hansen [3], allow for modeling the conditional volatility of the entire distribution with a relatively simple parameterization. There are also extension of the classical model of Hansen on the other conditional distributions, more complex equations of shape and asymmetry parameters of the distribution. ARCD models was used to model the financial data of world stock exchanges in relation to the ranks of China's stock exchange

Detecting Risk Transfer in Financial Markets using Different Risk Measures

High movements of asset prices constitute intrinsic elements of financial crises. There is a common agreement that extreme events are responsible for that. Making inference about the risk spillover and its effect on markets one should use such methods and tools that can fit properly for catastrophic events. In the paper Extreme Value Theory (EVT) invented particularly for modelling extreme events was used. The purpose of the paper is to model risky assets using EVT and to analyse the transfer of risk across the financial markets all over the world using the Granger causality in risk test. The concept of testing in causality in risk was extended to Spectral Risk Measure i.e., respective hypotheses were constructed and checked by simulation. The attention is concentrated on the Chinese financial processes and their relations with those in the rest of the globe. The original idea of the Granger causality in risk assumes usage of Value at Risk as a risk measure. We extended the scope of application of the test to Expected Shortfall and Spectral Risk Measure. The empirical results exhibit very interesting dependencies

Ekonometryczna ocena ryzyka na giełdzie papierów wartościowych w Szanghaju

The problem of risk transferring is well known in empirical finance. Agents often try to transmit their risk from one market to another when the limit values of their potential losses are being approached or exceeded. When financial markets are completely segmented, risk cannot be transmitted across markets, but on the other hand when markets are integrated and suffer from the same shock, then risk is expected to transmit across markets. Chinese financial market was segmented during Asian crisis 1997–1998 (Lardy (1998)), but during last financial crisis was more vulnerable to risk spillover. The aim of the paper is to analyze the segmentation of the Chinesefinancial market. We took into account the process of transferring risk between major indices of Shanghai Stock Exchange and sector indices (sub-indices) representing various segments of the market. To check proposed hypotheses we applied Granger causality in risk concept. We applied different risk measures to take into consideration different risk patterns (small, medium and high risk generated locally and/or globally).Rynek kapitałowy w Chinach przez wiele lat nie był włączony do globalnego rynku finansowego. Dlatego tez cechowały go wyższe wartości średnie zwrotów i mniejsze ryzyko. Dopiero kryzys finansowy z roku 2007–2009 spowodował większe zainteresowanie chińskim rynkiem kapitałowym a w konsekwencji wzrost ryzyka. Celem artykułu jest analiza procesów zachodzących wewnątrz rynku, ze szczególnym uwzględnieniem relacji między indeksami głównymi giełdy w Szanghaju a subindeksami reprezentującymi różne segmenty rynku. Zastosowana metodologia obejmuje: modele zmienności, analizę przyczynowości w ryzyku oraz teorie wartości ekstremalnych

Self-Similarity Properties of Complex Quasi-Periodic Fibonacci and Cantor Photonic Crystals

In this paper, the influence of structural modifications on basic quasi-periodic (QP) photonic crystals (PhC’s) on self-similarity feature in their spectral responses is examined. Investigated crystals are chosen based on a present knowledge on the QP crystals, and are classified according to their structure. One of the QP crystals considered for the calculations is a concatenation, Fibonacci structure. It characterizes with a self-similar spectra for its different orders, which means, that the spectral shape repeats itself and can be partially identical for a different orders of the Fibonacci QP crystal. The calculations were also performed for the fractal structure, based on a Cantor QP crystal. Just as for the case of the Fibonacci structure, it characterizes with a self-similar spectra for different orders of the structure. Considered photonic devices are next put through simple modification operations by multiplication, conjugation or mirror reflection. Resulting, modified structures are used for the calculations of their spectral response. Results show, that the self-similarity of the spectra is not affected by performed modifications, and thus spectral response of QP PhC can be designed without losing this feature. Moreover the regular expansion of the repeated central part of the spectrum that appears in higher-order Fibonacci QP PhC spectra (due to the self-similarity) with the increase Fibonacci crystal order is presented here for the first time

Zustandsüberwachung einer integralen, mehrfeldrigen Eisenbahn-Stahlverbundbrücke mit verteilten faseroptischen Sensoren

Im Zuge der Umverlegung einer Güterzugstrecke wurde der Ems-Jade-Kanal durch einen dreifeldrigen, integralen Stahlverbundrahmen überführt, an dem durch ein installiertes Dauermonitoring die Entwicklung der Zwangsschnittgrößen und der einsetzenden Rissbildung beurteilt werden soll. Zur Dehnungsmessung am Bauwerk wurden sowohl Dehnungsmessstreifen (DMS) als auch faseroptische Sensoren (DFOS, distributed fibre optic sensors) im bzw. am Bauwerk appliziert. Die aus dieser Kombination der unterschiedlichen Dehnungssensorik gewonnenen Zustandsgrößen werden in der folgenden Abhandlung verglichen und bewertet