Essays on time series analysis and statistical machine learning

This thesis encompasses three research articles contributing to the fields of time series analysis and statistical machine learning. Firstly, we develop a peaks-over- threshold approach, which captures both short- and long-term correlations in the underlying time series in order to model the clustering behaviour in high-threshold exceedances. The suggested model is motivated by and applied to oceanographic data. Secondly, we propose an efficient discrepancy-based inference approach for intractable generative models based on quasi-Monte Carlo methods. We demonstrate that this method substantially reduces the computational cost of estimating the model parameters in various applications of academic and practical interest. Thirdly, we suggest training methods for deep sequential models, which improve the forecast precision when facing structural breaks in the in-sample period. These mitigation strategies are examined in an extensive simulation study and utilised to forecast energy data. As the developed theory in this thesis is very versatile, it is applicable to a broad range of data types as well as research fields, and in particular to economic time series

Discrepancy-based Inference for Intractable Generative Models using Quasi-Monte Carlo

Intractable generative models are models for which the likelihood is unavailable but sampling is possible. Most approaches to parameter inference in this setting require the computation of some discrepancy between the data and the generative model. This is for example the case for minimum distance estimation and approximate Bayesian computation. These approaches require sampling a high number of realisations from the model for different parameter values, which can be a significant challenge when simulating is an expensive operation. In this paper, we propose to enhance this approach by enforcing "sample diversity" in simulations of our models. This will be implemented through the use of quasi-Monte Carlo (QMC) point sets. Our key results are sample complexity bounds which demonstrate that, under smoothness conditions on the generator, QMC can significantly reduce the number of samples required to obtain a given level of accuracy when using three of the most common discrepancies: the maximum mean discrepancy, the Wasserstein distance, and the Sinkhorn divergence. This is complemented by a simulation study which highlights that an improved accuracy is sometimes also possible in some settings which are not covered by the theory.Comment: minor presentation changes and updated reference

The Shorter the Better? Effects of Privacy Policy Length on Online Privacy Decision-Making

Privacy policies provide Internet users with the possibility to inform themselves about websites’ usage of their disclosed personal data. Strikingly, however, most people tend not to read privacy policies because they are long and cumbersome, indicating that people do not wish to expend much (cognitive) effort on reading such policies. The present study aimed to examine whether shorter privacy policies can be beneficial in informing users about a social networking site’s (SNS) privacy practices, and to investigate associations between variables relevant for privacy decision-making using one theory-based integrative model. In an online experiment, participants (N = 305) were asked to create a personal account on an SNS after being given the option to read the privacy policy. Privacy policy length and the SNS’s level of privacy were varied, creating a 2 (policy length) x 2 (level of privacy) between-subjects design. The results revealed that participants who saw short policies spent less time on reading but gained higher knowledge about the SNS’s privacy practices - due to the fact that they spent more reading time per word. Factual privacy policy knowledge was found to be an indicator for participants’ subjective privacy perception. The perception and evaluation of the specific SNS´s privacy level influenced the assessment of privacy costs and benefits. Particularly when benefits were perceived as high, self-disclosure was increased

Modelling short- and long-term dependencies of clustered high-threshold exceedances in significant wave heights

The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, it has originally been introduced under the assumption of independently and identically distributed (iid) data. Since environmental data often exhibits a time series structure, this assumption is likely to be violated due to short-and long-term dependencies in practical settings, leading to clustering of high-threshold exceedances. In this paper, we first review popular approaches that either focus on modelling short-or long-range dynamics explicitly. In particular, we consider conditional POT variants and the Mittag–Leffler distribution modelling waiting times between exceedances. Further, we propose a new two-step approach capturing both short-and long-range correlations simultaneously. We suggest the autoregressive fractionally integrated moving average peaks-over-threshold (ARFIMA-POT) approach, which in a first step fits an ARFIMA model to the original series and then in a second step utilises a classical POT model for the residuals. Applying these models to an oceanographic time series of significant wave heights measured on the Sefton coast (UK), we find that neither solely modelling short-nor long-range dependencies satisfactorily explains the clustering of extremes. The ARFIMA-POT approach, however, provides a significant improvement in terms of model fit, underlining the need for models that jointly incorporate short-and long-range dependence to address extremal clustering, and their theoretical justification. © 2021 by the authors. Licensee MDPI, Basel, Switzerland

Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights

The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, it has originally been introduced under the assumption of independently and identically distributed (iid) data. Since environmental data often exhibits a time series structure, this assumption is likely to be violated due to short- and long-term dependencies in practical settings, leading to clustering of high-threshold exceedances. In this paper, we first review popular approaches that either focus on modelling short- or long-range dynamics explicitly. In particular, we consider conditional POT variants and the Mittag–Leffler distribution modelling waiting times between exceedances. Further, we propose a new two-step approach capturing both short- and long-range correlations simultaneously. We suggest the autoregressive fractionally integrated moving average peaks-over-threshold (ARFIMA-POT) approach, which in a first step fits an ARFIMA model to the original series and then in a second step utilises a classical POT model for the residuals. Applying these models to an oceanographic time series of significant wave heights measured on the Sefton coast (UK), we find that neither solely modelling short- nor long-range dependencies satisfactorily explains the clustering of extremes. The ARFIMA-POT approach, however, provides a significant improvement in terms of model fit, underlining the need for models that jointly incorporate short- and long-range dependence to address extremal clustering, and their theoretical justification

First Responders to Hyperosmotic Stress in Murine Astrocytes: Connexin 43 Gap Junctions Are Subject to an Immediate Ultrastructural Reorganization

In a short-term model of hyperosmotic stress, primary murine astrocytes were stimulated with a hyperosmolar sucrose solution for five minutes. Astrocytic gap junctions, which are mainly composed of Connexin (Cx) 43, displayed immediate ultrastructural changes, demonstrated by freeze– fracture replica immunogold labeling: their area, perimeter, and distance of intramembrane particles increased, whereas particle numbers per area decreased. Ultrastructural changes were, however, not accompanied by changes in Cx43 mRNA expression. In contrast, transcription of the gap junction regulator zonula occludens (ZO) protein 1 significantly increased, whereas its protein expression was unaffected. Phosphorylation of Serine (S) 368 of the Cx43 C–terminus has previously been associated with gap junction disassembly and reduction in gap junction communication. Hyperosmolar sucrose treatment led to enhanced phosphorylation of Cx43S368 and was accompanied by inhibition of gap junctional intercellular communication, demonstrated by a scrape loading-dye transfer assay. Taken together, Cx43 gap junctions are fast reacting elements in response to hyperosmolar challenges and can therefore be considered as one of the first responders to hyperosmolarity. In this process, phosphorylation of Cx43S368 was associated with disassembly of gap junctions and inhibition of their function. Thus, modulation of the gap junction assembly might represent a target in the treatment of brain edema or trauma

Delineation of the healthy rabbit kidney by immunohistochemistry - A technical note.

Pre-clinical animal models are needed to investigate and study kidney injuries and diseases. The rabbit kidney model is frequently used because various important parameters can be assessed with it. For example, histology and immunohistochemistry are indispensable as tissue morphology and composition can be investigated qualitatively as well as quantitatively. Here, different histological and immunohistochemical stainings were performed in the rabbit healthy naïve kidney tissue. First, overnight formalin fixation followed by paraffin embedding and cryopreservation with a subsequent 10-minute formalin fixation prior to staining were compared. Cryosections showed a more pronounced staining pattern, with clear borders at low magnifications, but blurred borders at higher magnifications. Then, antigen retrieval (AR) for paraffin embedded sections resulted in more prominent corresponding signals compared to stainings without AR. Moreover, several advantages and disadvantages of chromogenic versus immunofluorescence stainings were considered. Chromogenic staining was advantageous compared to immunofluorescence for collagen I and III, and to a minor degree for fibronectin. Finally, distinct structures, such as the pelvis, the calices, the glomeruli and tubuli, were stained in serial sections with diverse immunohistochemical stainings in order to delineate their composition. The following stainings were performed: standard Haematoxylin&Eosin and Elastica van Gieson staining, collagen I, collagen III, fibronectin, α-SMA, ki-67 and protease-activated receptor-2 (PAR-2). While chromogenic stainings of collagen I and collagen III were particularly useful to depict kidney structures in paraffin sections compared with cryosections, cryosections immunofluorescently stained for α-SMA were superior to paraffin sections, particularly at higher magnifications. With regard to specific structures, we found renal vessel walls positive for fibronectin and α-SMA, while the Bowman's capsule was only positive for fibronectin and α-SMA showed only tiny spots. The mesangial cells of the glomeruli and the distal tubuli were PAR-2 positive, while the proximal tubuli were PAR-2 negative

Neues ökonomisches Denken in der Doktorandenausbildung: Welche Faktoren fördern neues ökonomisches Denken bei Nachwuchswissenschaftler_innen?

Die Studie basiert auf einer Online-Umfrage unter 448 Promovierenden im Fach Volkswirtschaftslehre (VWL) an Universitäten und Graduiertenschulen im deutschsprachigen Raum. Der Großteil promoviert in den klassischen Bereichen der VWL und greift auf klassische statistische Methoden und Gleichgewichtsmodelle zurück. Der erwartete Erkenntnisgewinn von Gleichgewichtsmodellen ist geringer als die erwartete Chance, in einem Journal zu publizieren. Umgekehrt verhält es sich bei weniger gängigen Methoden wie den Agentenbasierten Modellen (ABM) oder der Netzwerkanalyse. Hindernisse für die Nutzung neuer Methoden abseits der Mainstream-VWL (z. B. ABM) sind insbesondere der Kenntnis- und Zeitmangel. Die Promovierenden kritisieren vor allem das Übermaß an mathematischen Modellen und Gleichgewichtsmodellen sowie zu wenig Empirie. Zudem werden fehlende gesellschaftliche Relevanz und fehlende Vielfalt bemängelt. Als zentrales Thema der VWL gilt Knappheit, wohingegen Gutes Leben als gesellschaftlich wichtiges Thema angesehen wird. Die Doktorand_innen zeigen ein Bewusstsein für diese Diskrepanz

Replicability and comprehensibility of social research and its technical implementation

"This paper is a contribution to the methodological and technical discussion of social research infrastructure. The main question is how to store and manage data in a way that meets the increasing demand for secondary data analysis in both quantitative and qualitative social science research. The first two sections focus mainly on aspects of data documentation, in particular on the unification of various documentation requirements that have arisen across ongoing projects of the SFB 882. While the aim of documenting quantitative research processes is to ensure replicability, the aim of documenting qualitative projects is to maintain the understandability and informative value of research data. In the third section a virtual research environment (VRE) is presented that provides both a generic work platform and a project-specific research platform. The work platform bundles IT resources by bringing together various tools for administration, project management, and time- and location-independent collaboration in a single environment adapted to researchers' specific work processes. The research component combines data management with further developments in social science methodologies. It provides services for the archiving and reuse of data and enables the infrastructural and methodological coordination of data documentation. We also introduce a documentation scheme for qualitative and quantitative social research within the SFB 882. This scheme considers the specific requirements of research projects within the SFB, such as different methods (e.g. panel analysis, experimental approaches, ethnography, and interview research), project work, and requirements of longterm research." (author's abstract