206 research outputs found

    Seasonal Adjustment and Volatility Dynamics

    Get PDF
    In this paper we try to enhance our understanding of the effect of filtering, particularly seasonal adjustment filtering, on the estimation of volatility models. We focus exclusively on ARCH models as a specific class of models and examine the effect of both linear and nonlinear filters on (seasonal) volatility dynamics. The case of linear filters is treated in a general abstract setting applicable to seasonal adjustment as well as various other linear filters often applied to transform raw data. Next we focus on specific cases like the first and seasonal differencing filters as well as the X-11 filter, both its linear representation and the (nonlinear) procedure implemented in practice. We uncover surprising features regarding the linear X-11 filter, e.g. it introduces a small seasonal pattern in volatility. More interestingly, we show that the linear X-11 and the actual procedure produce serious downward biases in ARCH effects and their persistence. Finally, we uncover important differences between the linear version of X-11 and the actual procedure. Nous étudions l'effet de filtre sur l'estimation de processus de type GARCH. Le cas du filtre linéaire est analysé dans un contexte général pour des processus GARCH faibles. Plusieurs cas spéciaux sont discutés, notamment ce-lui du filtre d'ajustement X-11 pour les effets saisonniers. Nous trouvons que ce filtre produit un effet de persistance saisonnière au niveau de la volatilité. Nous abordons ensuite le filtrage non linéaire dans le cas du filtre X-11. Une étude de Monte Carlo démontre qu'il y a des différences très importantes entre la représentation linéaire du filtre et le programme non linéaire appliqué aux données réelles.GARCH processes, seasonality, X-11, Processus GARCH, Saisonnalité, X-11

    Estimation of the optimal parameters for K-edge subtraction imaging with PixiRad-2/PixieIII photon counting detector on a conventional laboratory X-ray micro-tomograph

    Full text link
    Photon Counting Detectors (PCDs) open new opportunities in X-ray imaging. Pixie III is a PCD using simultaneously two energy thresholds. This enables to acquire images from two distinct energy bins in a single exposure. This is particularly suited to perform K-Edge Subtraction (KES) imaging with laboratory sources. In that context, one has however to deal with an energy bin optimization: narrow energy bins leads to high KES signal, at the expense of higher noise, while wider energy bins leads to poor KES signal but better statistics. This work presents a model that aims at finding the optimal thresholds and source voltage in order to retrieve the best Contrast to Noise Ratio (CNR) for a given sample. The model also optimizes the configurations for conventional absorption modality and compares both modalities. We noticed that the input flux and the energy difference between the thresholds influence the noise on image. We included this in the model using phenomenological laws. The model is then compared to empirical optimization by experimental screening of the parameters on model materials composed of barium, iodine and water. Finally, a study of the predicted CNRs has function of the sample composition is presented as an example of usage of the model

    Influence of functional deficiency of complement mannose-binding lectin on outcome of patients with acute ST-elevation myocardial infarction undergoing primary percutaneous coronary intervention

    Get PDF
    Aims Experimental data point towards a favourable effect of low serum concentrations of complement mannose-binding lectin (MBL) on myocardial ischaemia/reperfusion (I/R) injury. As comparable data on the role of MBL in human I/R injury is lacking, we investigated the influence of low serum MBL concentrations on mortality of patients with acute ST-elevation myocardial infarction (STEMI) undergoing primary percutaneous coronary intervention (PCI). Methods and results Mannose-binding lectin was determined in 890 acute STEMI patients that were prospectively recruited in the APEX-AMI trial. This trial had a primary endpoint of death through Day 30 and secondary endpoints of death through Day 90 and the composite of death, cardiogenic shock, or congestive heart failure (CHF) through Days 30 and 90. Samples were taken immediately before PCI and the analysis of MBL limited to patients having received placebo. Patients with serum MBL levels of or below 100 ng/mL were considered to be functionally deficient. Of the 890 patients, 127 had functional MBL deficiency (14.3%). Characteristics of patients with MBL deficiency and those with MBL levels >100 ng/mL did not differ. In patients with MBL deficiency, there was 1 death (0.79%) compared with 42 deaths (5.51%) in patients with MBL levels >100 ng/mL (P = 0.0233) representing an absolute and relative lower mortality in MBL deficient patients of 4.7 and 85%, respectively. Functional MBL deficiency, however, was not associated with decreased risk of the combined endpoints of death and shock or death, shock, and CHF, respectively. Conclusion Functional deficiency of complement MBL is associated with reduced mortality in patients with STEMI undergoing PCI. This unique finding suggests that a component of the innate immune system affects mortality in STEMI patients undergoing primary PCI. Trial Registration: clinicaltrials.gov, Identifier: NCT0009163
    • …
    corecore