A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated state

We propose a Bayesian approach to estimating dynamic models that can have state variables that are latent, serially correlated, and heterogeneous. Our approach employs sequential importance sampling and is based on deriving an unbiased estimate of the likelihood within a Metropolis chain. Under fairly weak regularity conditions unbiasedness guarantees that the stationary density of the chain is the exact posterior, not an approximation. Results are verified by Monte Carlo simulation using two examples. The first is a dynamic game of entry involving a small number of firms whose heterogeneity is based on their current costs due to feedback through capacity constraints arising from past entry. The second is an Ericson-Pakes (1995) style game with a large number of firms whose heterogeneity is based on the quality of their products with firms competing through investment in product quality that affects their market share and profitability. Our approach facilitates estimation of dynamic games with either small or large number of players whose heterogeneity is determined by latent state variables, discrete or continuous, that are subject to endogenous feedback from past actions

Entangled-State Cycles of Atomic Collective-Spin States

We study quantum trajectories of collective atomic spin states of $N$ effective two-level atoms driven with laser and cavity fields. We show that interesting ``entangled-state cycles'' arise probabilistically when the (Raman) transition rates between the two atomic levels are set equal. For odd (even) $N$, there are $(N+1)/2$ ($N/2$) possible cycles. During each cycle the $N$-qubit state switches, with each cavity photon emission, between the states $(|N/2,m>\pm |N/2,-m>)/\sqrt{2}$, where $|N/2,m>$ is a Dicke state in a rotated collective basis. The quantum number $m$ ($>0$), which distinguishes the particular cycle, is determined by the photon counting record and varies randomly from one trajectory to the next. For even $N$ it is also possible, under the same conditions, to prepare probabilistically (but in steady state) the Dicke state $|N/2,0>$, i.e., an $N$-qubit state with $N/2$ excitations, which is of particular interest in the context of multipartite entanglement.Comment: 10 pages, 9 figure

Multivariate Approximations to Portfolio Return Distribution

This article proposes a three-step procedure to estimate portfolio return distributions under the multivariate Gram-Charlier (MGC) distribution. The method combines quasi maximum likelihood (QML) estimation for conditional means and variances and the method of moments (MM) estimation for the rest of the density parameters, including the correlation coefficients. The procedure involves consistent estimates even under density misspecification and solves the so-called ‘curse of dimensionality’ of multivariate modelling. Furthermore, the use of a MGC distribution represents a flexible and general approximation to the true distribution of portfolio returns and accounts for all its empirical regularities. An application of such procedure is performed for a portfolio composed of three European indices as an illustration. The MM estimation of the MGC (MGC-MM) is compared with the traditional maximum likelihood of both the MGC and multivariate Student’s t (benchmark) densities. A simulation on Value-at-Risk (VaR) performance for an equally weighted portfolio at 1% and 5% confidence indicates that the MGC-MM method provides reasonable approximations to the true empirical VaR. Therefore, the procedure seems to be a useful tool for risk managers and practitioners

Psychosocial correlates of dietary fat intake in African-American adults: a cross-sectional study

<p>Abstract</p> <p>Background</p> <p>Current dietary guidelines recommend that dietary fat should comprise 20–35% percent of total energy intake, with less than 10% of energy from saturated fat. However, many Americans exceed these goals and data suggest that African Americans tend to consume a higher percentage of energy from dietary fat than Whites. Because diets low in dietary fat, particularly saturated fat, are associated with lower risk for many chronic illnesses, it is important to identify strategies to reduce high fat intakes. This study examined associations of psychosocial factors with dietary fat intake in African American adults 18 to 70 years.</p> <p>Methods</p> <p>Data are self-reported from a cross-sectional survey of African Americans (n = 658) using an 11-page questionnaire, collected from June to October 2003. Associations of psychosocial (predisposing, reinforcing, and enabling) factors based on the PRECEDE framework, dietary fat-related behaviors, and participant characteristics (e.g., age, sex, education, BMI) with total and saturated fat consumption are described using linear regression and analysis of variance.</p> <p>Results</p> <p>The mean age of participants was 43.9 years, 57% were female, 37% were college graduates, and 76% were overweight/obese. Respondents with lower fat intakes were female, older, had high education and very good/excellent perceived health. Among the psychosocial factors, the strongest (inverse) associations with fat intake were with two predisposing factors: <it>belief in the importance of a low-fat diet </it>(both genders) and <it>high self-efficacy </it>(women only). Fat intake was also significantly lower among participants who could <it>count on those close for encouragement to eat healthy foods </it>(a reinforcing factor) and among men who <it>needed more information about preparing healthy foods </it>(an enabling factor).</p> <p>Conclusion</p> <p>Dietary interventions to decrease fat intake in African American adults may benefit from incorporating predisposing factors, such as personal beliefs and self-efficacy, in their design and implementation.</p

Simulation-based Estimation Methods for Financial Time Series Models

Published in Handbook of computational finance, 2010, https://doi.org/10.1007/978-3-642-17254-0_15</p

Model for fitting longitudinal traits subject to threshold response applied to genetic evaluation for heat tolerance

A semi-parametric non-linear longitudinal hierarchical model is presented. The model assumes that individual variation exists both in the degree of the linear change of performance (slope) beyond a particular threshold of the independent variable scale and in the magnitude of the threshold itself; these individual variations are attributed to genetic and environmental components. During implementation via a Bayesian MCMC approach, threshold levels were sampled using a Metropolis step because their fully conditional posterior distributions do not have a closed form. The model was tested by simulation following designs similar to previous studies on genetics of heat stress. Posterior means of parameters of interest, under all simulation scenarios, were close to their true values with the latter always being included in the uncertain regions, indicating an absence of bias. The proposed models provide flexible tools for studying genotype by environmental interaction as well as for fitting other longitudinal traits subject to abrupt changes in the performance at particular points on the independent variable scale

Difficulties in assessing cytomegalovirus-associated gastric perforation in an HIV-infected patient

BACKGROUND: Active Cytomegalovirus (CMV) infection is a common complication in advanced symptomatic Human Immunodeficiency Virus (HIV) infection. CMV-induced intestinal perforations are hard to diagnose and may be observed throughout the gastrointestinal tract. Isolated stomach perforation is exceptional. CASE PRESENTATION: A 47-year-old man was admitted to our intensive care unit with multiorgan failure. Gastrointestinal endoscopic examination showed erythematous gastritis but normal duodenum and colon. CMV blood culture was positive. Histologic examination of a gastric biopsy showed inflammatory infiltrate and immunostaining typical intranuclear CMV inclusion bodies. Concomitant abdominal CT scan disclosed large peripancreatic hypodensities without pneumoperitoneum. The patient died despite supportive therapies and ganciclovir infusion. Postmortem examination showed a 4-cm gastric perforation adhering to the transverse colon and liver, with a thick necrotic inflammatory coating around the pancreas. The whole GI tract, except the stomach, was normal. As other causes, especially Helicobacter pylori infection could be ruled out, a causal relationship between CMV and gastric disease was assumed. CONCLUSION: CMV may be responsible for gastric perforations, with difficulties in assessing the diagnosis. Early diagnosis based on cautious endoscopy and histopathologic examination is needed to make a favorable outcome possible

Less invasive Achilles tendon reconstruction

<p>Abstract</p> <p>Background</p> <p>The optimal management of chronic ruptures of the Achilles tendon is surgical reconstruction. Reconstruction of the Achilles tendon using peroneus brevis has been widely reported. Classically, these procedures involve relatively long surgical wounds in a relatively hypovascular area which is susceptible to wound breakdown.</p> <p>Results</p> <p>We describe our current method of peroneus brevis reconstruction for the Achilles tendon using two para-midline incisions.</p> <p>Conclusion</p> <p>This technique allows reconstruction of the Achilles tendon using peroneus brevis preserving skin integrity over the site most prone to wound breakdown, and can be especially used to reconstruct the Achilles tendon in the presence of previous surgery.</p

AIDS-defining illnesses among patients with HIV in Singapore, 1985 to 2001: results from the Singapore HIV Observational Cohort Study (SHOCS)

BACKGROUND: The objective was to describe the causes of initial and overall AIDS-defining disease episodes among HIV patients in Singapore. METHODS: A retrospective observational cohort study was performed of all adult patients seen at the national HIV referral center between 1985 and 2001. Data were extracted from the patients' records by ten trained healthcare workers. AIDS-defining conditions were established using predefined criteria. RESULTS: Among 1504 patients, 834 had experienced one or more AIDS-defining diseases. The most frequent causes of the initial AIDS-defining episode were Pneumocystis carinii pneumonia (35.7%), Mycobacterium tuberculosis (22.7%) and herpes simplex (7.4%). In total 1742 AIDS-defining episodes occurred. The most frequent causes were Pneumocystis carinii pneumonia (25.1%), Mycobacterium tuberculosis (16.2%) and cytomegalovirus retinitis (9.5%). CONCLUSIONS: The most frequent causes of AIDS-defining illnesses in Singapore are similar to those reported in the West, prior to the introduction of anti-retroviral therapy. Opportunistic infections remain the most frequent AIDS-defining illnesses