Physical Sciences and Mathematics Commons^™

Application Of The Fractional Diffusion Equation For Predicting Market Behaviour, Jonathan Blackledge

Articles

Most Financial modelling system rely on an underlying hypothesis known as the Eficient Market Hypothesi (EMH) including the famous BlackScholes formula for placing an option. However, the EMH has a fundamental flaw: it is based on the assumption that economic processes are normally distributed and it has long been known that this is not the case. This fundamental assumption leads to a number of shortcomings associated with using the EMH to analyse financial data which includes failure to predict the future volatility of a market share value. This paper introduces a new financial risk assessment model based on Levy statistics …

The Pathways To Mental Health Care Of First-Episode Psychosis Patients: A Systematic Review., Kelly K. Anderson, Rebecca Fuhrer, Ashok K. Malla

Epidemiology and Biostatistics Publications

BACKGROUND: Although there is agreement on the association between delay in treatment of psychosis and outcome, less is known regarding the pathways to care of patients suffering from a first psychotic episode. Pathways are complex, involve a diverse range of contacts, and are likely to influence delay in treatment. We conducted a systematic review on the nature and determinants of the pathway to care of patients experiencing a first psychotic episode.

METHOD: We searched four databases (Medline, HealthStar, EMBASE, PsycINFO) to identify articles published between 1985 and 2009. We manually searched reference lists and relevant journals and used forward citation …

Targeted Bayesian Learning, Ivan Diaz Munoz, Alan E. Hubbard, Mark J. Van Der Laan

U.C. Berkeley Division of Biostatistics Working Paper Series

Targeted maximum likelihood estimation (van der Laan & Rubin 2006) is a loss-based semi-parametric estimation method that yields a substitution estimator of a target parameter of the probability distribution of the data that solves the efficient influence curve estimating equation, and thereby yields a double robust locally efficient estimator of the parameter of interest, under regularity conditions. The Bayesian paradigm is concerned with including the researcher’s prior uncertainty about the parameter through a prior distribution, which combined with the likelihood yields a posterior distribution for the parameter that reflects the researcher’s posterior uncertainty. In this paper, we present a way …

The Statistical Properties Of The Survivor Interaction Contrast, Joseph W. Houpt, James T. Townsend

Psychology Faculty Publications

The Survivor Interaction Contrast (SIC) is a powerful tool for assessing the architecture and stopping rule of a model of mental processes. Despite its demonstrated utility, the methodology has lacked a method for statistical testing until now. In this paper we briefly describe the SIC then develop some basic statistical properties of the measure. These developments lead to a statistical test for rejecting certain classes of models based on the SIC. We verify these tests using simulated data, then demonstrate their use on data from a simple cognitive task.

Estimating Temporal Associations In Electrocorticographic (Ecog) Time Series With First Order Pruning, Haley Hedlin, Dana Boatman, Brian Caffo

Johns Hopkins University, Dept. of Biostatistics Working Papers

Granger causality (GC) is a statistical technique used to estimate temporal associations in multivariate time series. Many applications and extensions of GC have been proposed since its formulation by Granger in 1969. Here we control for potentially mediating or confounding associations between time series in the context of event-related electrocorticographic (ECoG) time series. A pruning approach to remove spurious connections and simultaneously reduce the required number of estimations to fit the effective connectivity graph is proposed. Additionally, we consider the potential of adjusted GC applied to independent components as a method to explore temporal relationships between underlying source signals. Both …

Journal Usage By Subject For Fiscal Year 2010, Michael A. Cerbo Ii

Technical Services Reports and Statistics

Journal holdings for the University Libraries are listed alphabetically by subject than authority title. Usage statistics for the fiscal year are included along with a cost per use where available. The information is taken from each vendor and incorporated in Serials Solutions 360 Counter.

Landmark Prediction Of Survival, Layla Parast, Tianxi Cai

Harvard University Biostatistics Working Paper Series

No abstract provided.

Weakly Positioned Nucleosomes Enhance The Transcriptional Competency Of Chromatin, Yaakov Belch, Jingyi Yang, Yang Liu, Sridhar A. Malkaram, Rong Liu, Jean-Jack M. Riethoven, Istvan Ladunga

Department of Statistics: Faculty Publications

Background: Transcription is affected by nucleosomal resistance against polymerase passage. In turn, nucleosomal resistance is determined by DNA sequence, histone chaperones and remodeling enzymes. The contributions of these factors are widely debated: one recent title claims ‘‘… DNA-encoded nucleosome organization…’’ while another title states that ‘‘histone-DNA interactions are not the major determinant of nucleosome positions.’’ These opposing conclusions were drawn from similar experiments analyzed by idealized methods. We attempt to resolve this controversy to reveal nucleosomal competency for transcription.

Methodology/Principal Findings: To this end, we analyzed 26 in vivo, nonlinked, and in vitro genome-wide nucleosome maps/replicates by new, rigorous …

Diagnosing And Responding To Violations In The Positivity Assumption, Maya L. Petersen, Kristin Porter, Susan Gruber, Yue Wang, Mark J. Van Der Laan

U.C. Berkeley Division of Biostatistics Working Paper Series

The assumption of positivity or experimental treatment assignment requires that observed treatment levels vary within confounder strata. This article discusses the positivity assumption in the context of assessing model and parameter-specific identifiability of causal effects. Positivity violations occur when certain subgroups in a sample rarely or never receive some treatments of interest. The resulting sparsity in the data may increase bias with or without an increase in variance and can threaten valid inference. The parametric bootstrap is presented as a tool to assess the severity of such threats and its utility as a diagnostic is explored using simulated data. Several …

Longitudinal Penalized Functional Regression, Jeff Goldsmith, Ciprian M. Crainiceanu, Brian Caffo, Daniel Reich

Johns Hopkins University, Dept. of Biostatistics Working Papers

We propose a new regression model and inferential tools for the case when both the outcome and the functional exposures are observed at multiple visits. This data structure is new but increasingly present in applications where functions or images are recorded at multiple times. This raises new inferential challenges that cannot be addressed with current methods and software. Our proposed model generalizes the Generalized Linear Mixed Effects Model (GLMM) by adding functional predictors. Smoothness of the functional coefficients is ensured using roughness penalties estimated by Restricted Maximum Likelihood (REML) in a corresponding mixed effects model. This method is computationally feasible …

On Two-Stage Hypothesis Testing Procedures Via Asymptotically Independent Statistics, James Dai, Charles Kooperberg, Michael L. Leblanc, Ross Prentice

UW Biostatistics Working Paper Series

Kooperberg and LeBlanc (2008) proposed a two-stage testing procedure to screen for significant interactions in genome-wide association (GWA) studies by a soft threshold on marginal associations (MA), though its theoretical properties and generalization have not been elaborated. In this article, we discuss conditions that are required to achieve strong control of the Family-Wise Error Rate (FWER) by such procedures for low or high-dimensional hypothesis testing. We provide proof of asymptotic independence of marginal association statistics and interaction statistics in linear regression, logistic regression, and Cox proportional hazard models in a randomized clinical trial (RCT) with a rare event. In case-control …

Stratifying Subjects For Treatment Selection With Censored Event Time Data From A Comparative Study, Lihui Zhao, Tianxi Cai, Lu Tian, Hajime Uno, Scott D. Solomon, L. J. Wei

Harvard University Biostatistics Working Paper Series

No abstract provided.

Roger Temam On The Occasion Of His 70th Birthday, Claude Michel Brauner, Danielle Hilhorst, Alain Miranville, Shouhong Wang, Xiaoming Wang

Mathematics and Statistics Faculty Research & Creative Works

No abstract provided.

Macroevolutionary Patterns In The Evolutionary Radiation Of Archosaurs (Tetrapoda: Diapsida), S. L. Brusatte, M. J. Benton, G. T. Lloyd, M. Ruta, Steve C. Wang

Mathematics & Statistics Faculty Works

The rise of archosaurs during the Triassic and Early Jurassic has been treated as a classic example of an evolutionary radiation in the fossil record. This paper reviews published studies and provides new data on archosaur lineage origination, diversity and lineage evolution, morphological disparity, rates of morphological character change, and faunal abundance during the Triassic–Early Jurassic. The fundamental archosaur lineages originated early in the Triassic, in concert with the highest rates of character change. Disparity and diversity peaked later, during the Norian, but the most significant increase in disparity occurred before maximum diversity. Archosaurs were rare components of Early–Middle Triassic …

Quantitative Analysis Of Arterial Spin Labeling Fmri Data Using A General Linear Model, Luis Hernandez-Garcia, Hesamoddin Jahanian, Daniel Rowe

Mathematics, Statistics and Computer Science Faculty Research and Publications

Arterial spin labeling techniques can yield quantitative measures of perfusion by fitting a kinetic model to difference images (tagged-control). Because of the noisy nature of the difference images investigators typically average a large number of tagged versus control difference measurements over long periods of time. This averaging requires that the perfusion signal be at a steady state and not at the transitions between active and baseline states in order to quantitatively estimate activation induced perfusion. This can be an impediment for functional magnetic resonance imaging task experiments. In this work, we introduce a general linear model (GLM) that specifies Blood …

A Methodology For Engineering Collaborative And Ad-Hoc Mobile Applications Using Syd Middleware, Praveen Madiraju, Srilaxmi Malladi, Janaka Balasooriya, Arthi Hariharan, Sushil K. Prasad, Anu Bourgeois

Mathematics, Statistics and Computer Science Faculty Research and Publications

Today’s web applications are more collaborative and utilize standard and ubiquitous Internet protocols. We have earlier developed System on Mobile Devices (SyD) middleware to rapidly develop and deploy collaborative applications over heterogeneous and possibly mobile devices hosting web objects. In this paper, we present the software engineering methodology for developing SyD-enabled web applications and illustrate it through a case study on two representative applications: (i) a calendar of meeting application, which is a collaborative application and (ii) a travel application which is an ad-hoc collaborative application. SyD-enabled web objects allow us to create a collaborative application rapidly with limited coding …

Processing Induced Voxel Correlation In Sense Fmri Via The Ammust Framework, Daniel Rowe, Iain P. Bruce

Mathematics, Statistics and Computer Science Faculty Research and Publications

No abstract provided.

A Class Of Models For Uncorrelated Random Variables, Nader Ebrahimi, Gholamhossein Hamedani, Ehsan S. Soofi, Hans Volkmer

Mathematics, Statistics and Computer Science Faculty Research and Publications

We consider the class of multivariate distributions that gives the distribution of the sum of uncorrelated random variables by the product of their marginal distributions. This class is defined by a representation of the assumption of sub-independence, formulated previously in terms of the characteristic function and convolution, as a weaker assumption than independence for derivation of the distribution of the sum of random variables. The new representation is in terms of stochastic equivalence and the class of distributions is referred to as the summable uncorrelated marginals (SUM) distributions. The SUM distributions can be used as models for the joint distribution …

Mixed Effect Poisson Log-Linear Models For Clinical And Epidemiological Sleep Hypnogram Data, Bruce J. Swihart, Brian S. Caffo Phd, Ciprian Crainiceanu Phd, Naresh M. Punjabi Phd, Md

Johns Hopkins University, Dept. of Biostatistics Working Papers

Bayesian Poisson log-linear multilevel models scalable to epidemiological studies are proposed to investigate population variability in sleep state transition rates. Hierarchical random effects are used to account for pairings of individuals and repeated measures within those individuals, as comparing diseased to non-diseased subjects while minimizing bias is of importance. Essentially, non-parametric piecewise constant hazards are estimated and smoothed, allowing for time-varying covariates and segment of the night comparisons. The Bayesian Poisson regression is justified through a re-derivation of a classical algebraic likelihood equivalence of Poisson regression with a log(time) offset and survival regression assuming exponentially distributed survival times. Such re-derivation …

On Two-Stage Hypothesis Testing Procedures Via Asymptotically Independent Statistics, James Y. Dai, Charles Kooperberg, Michael Leblanc, Ross L. Prentice

UW Biostatistics Working Paper Series

Kooperberg08 proposed a two-stage testing procedure to screen for significant interactions in genome-wide association (GWA) studies by a soft threshold on marginal associations (MA), though its theoretical properties and generalization have not been elaborated. In this article, we discuss conditions that are required to achieve strong control of the Family-Wise Error Rate (FWER) by such procedures for low or high-dimensional hypothesis testing. We provide proof of asymptotic independence of marginal association statistics and interaction statistics in linear regression, logistic regression, and Cox proportional hazard models in a randomized clinical trial (RCT) with a rare event. In case-control studies nested within …

Partial And Spectral-Viscosity Models For Geophysical Flows, Qingshan Chen, Max Gunzburger, Xiaoming Wang

Mathematics and Statistics Faculty Research & Creative Works

Two models based on the hydrostatic primitive equations are proposed. the first model is the primitive equations with partial viscosity only and is oriented towards large-scale wave structures in the ocean and atmosphere. the second model is the viscous primitive equations with spectral eddy viscosity and is oriented towards turbulent geophysical flows. for both models, the existence and uniqueness of global strong solutions are established. for the second model, the convergence of the solutions to the solutions of the classical primitive equations as eddy viscosity parameters tend to zero is also established. © 2010 Editorial Office of CAM (Fudan University) …

Examples Of Boundary Layers Associated With The Incompressible Navier-Stokes Equations, Xiaoming Wang

Mathematics and Statistics Faculty Research & Creative Works

The author surveys a few examples of boundary layers for which the Prandtl boundary layer theory can be rigorously validated. All of them are associated with the incompressible Navier-Stokes equations for Newtonian fluids equipped with various Dirichlet boundary conditions (specified velocity). These examples include a family of (nonlinear 3D) plane parallel flows, a family of (nonlinear) parallel pipe flows, as well as flows with uniform injection and suction at the boundary. We also identify a key ingredient in establishing the validity of the Prandtl type theory, i.e., a spectral constraint on the approximate solution to the Navier-Stokes system constructed by …

Thinking Outside The Curve, Part Ii: Modeling Fetal-Infant Mortality, Richard Charnigo, Lorie W. Chesnut, Tony Lobianco, Russell S. Kirby

Statistics Faculty Publications

BACKGROUND: Greater epidemiologic understanding of the relationships among fetal-infant mortality and its prognostic factors, including birthweight, could have vast public health implications. A key step toward that understanding is a realistic and tractable framework for analyzing birthweight distributions and fetal-infant mortality. The present paper is the second of a two-part series that introduces such a framework.

METHODS: We propose estimating birthweight-specific mortality within each component of a normal mixture model representing a birthweight distribution, the number of components having been determined from the data rather than fixed a priori.

RESULTS: We address a number of methodological issues related to our …

A Perturbation Method For Inference On Regularized Regression Estimates, Jessica Minnier, Lu Tian, Tianxi Cai

Harvard University Biostatistics Working Paper Series

No abstract provided.

Structural Measurements For Enhanced Mav Flight, John R. Singler, Gregg Abate, Benjamin T. Dickinson

Mathematics and Statistics Faculty Research & Creative Works

Our sense of touch allows us to feel the forces in our limbs when we walk, swim, or hold our arms out the window of a moving car. We anticipate this sense is key in the locomotion of natural flyers. Inspired by the sense of touch, the overall goal of this research is to develop techniques for the estimation of aerodynamic loads from structural measurements for flight control applications. We submit a general algorithm for the direct estimation of distributed steady loads over bodies from embedded noisy deformation-based measurements. The estimation algorithm is applied to a linearly elastic membrane test …

Asymptotic Analysis Of The Differences Between The Stokes-Darcy System With Different Interface Conditions And The Stokes-Brinkman System, Nan Chen, Max Gunzburger, Xiaoming Wang

Mathematics and Statistics Faculty Research & Creative Works

We consider the coupling of the Stokes and Darcy systems with different choices for the interface conditions. We show that, comparing results with those for the Stokes-Brinkman equations, the solutions of Stokes-Darcy equations with the Beavers-Joseph interface condition in the one-dimensional and quasi-two-dimensional (periodic) cases are more accurate than are those obtained using the Beavers-Joseph-Saffman-Jones interface condition and that both of these are more accurate than solutions obtained using a zero tangential velocity interface condition. the zero tangential velocity interface condition is in turn more accurate than the free-slip interface boundary condition. We also prove that the summation of the …

Roger Temam On The Occasion Of His 70th Birthday, Claude Michel Brauner, Danielle Hilhorst, Alain Miranville, Shouhong Wang, Xiaoming Wang

Mathematics and Statistics Faculty Research & Creative Works

No abstract provided.

Noise Assumptions In Complex-Valued Sense Mr Image Reconstruction, Daniel B. Rowe, Iain P. Bruce

Mathematics, Statistics and Computer Science Faculty Research and Publications

In fMRI, brain images are not measured instantaneously and a volume of images can take two seconds to acquire at a low 64x64 resolution. Significant effort has been put forth on many fronts to decrease image acquisition time including parallel imaging. In parallel imaging, sub-sampled spatial frequency points are measured in parallel and combined to form a single image. Measurement time is decreased at the expense of increased image reconstruction difficulty and time. One significant parallel imaging technique known as SENSE utilizes a complex-valued regression coefficient estimation process with transposes replaced by conjugate transposes. However, in SENSE the noise structure …

A Formal Context Specific Trust Model (Ftm) For Multimedia And Ubiquitous Computing Environment, Sheikh Iqbal Ahamed, Munirul M. Haque, Nilothpal Talukder

Mathematics, Statistics and Computer Science Faculty Research and Publications

In order to ensure secure sharing of resources in an ad-hoc network of handheld devices in a multimedia and ubiquitous computing environment, mutual collaboration is essential. However, the limitations, such as poor storage and computational capability of these multimedia and ubiquitous devices stand as the bottleneck for effective sharing of resources. As a result of this drawback, the adversaries are obtaining access to the new doors for security breaches. Mutual Trust is the weapon used to combat security violations by restricting malicious devices from participating in any interaction in such an open and dynamic environment. In this paper, we present …

Estimating Teacher Effects Using Value-Added Models, Jennifer L. Green

Department of Statistics: Dissertations, Theses, and Student Work

Value-added modeling is an alternative approach to test-based accountability systems based on the proportions of students scoring at or above pre-determined proficiency levels. Value-added modeling techniques provide opportunities to estimate an individual teacher’s effect on student learning, while allowing for the possibility to control for the effect of non-educational factors beyond a school system’s control, such as socioeconomic status. However, numerous considerations exist when using value-added models to estimate teacher effects and defining what the teacher effects really describe. Chapter 2 provides an introduction to value-added methodology by describing several value-added models available for estimating teacher effects and their respective …