Search results for " Statistical"
showing 10 items of 1649 documents
Modelling systemic price cojumps with Hawkes factor models
2015
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model. We introduce a Hawkes one factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets.
Statistical Multivariate Techniques for the Stock Location Assignment Problem
1998
In previous papers we proposed to apply multivariate statistical methodologies, like Multidimensional Scaling (MDS) and Seriation to the stock location assignment problem of a warehouse, often solved by considering the Cube per Order Index (COI). In this paper we compare the results by MDS, Seriation, a COI based method and the Maximum Path criterion, considering the data of a whole year of a Sicilian supermarket chain warehouse. The comparison is based on the simulated times to satisfy a sample of real orders.
Stochastic Nonlinear Time Series Forecasting Using Time-Delay Reservoir Computers: Performance and Universality
2014
International audience; Reservoir computing is a recently introduced machine learning paradigm that has already shown excellent performances in the processing of empirical data. We study a particular kind of reservoir computers called time-delay reservoirs that are constructed out of the sampling of the solution of a time-delay diFFerential equation and show their good performance in the forecasting of the conditional covariances associated to multivariate discrete-time nonlinear stochastic processes of VEC-GARCH type as well as in the prediction of factual daily market realized volatilities computed with intraday quotes, using as training input daily log-return series of moderate size. We …
So Many Variables: Joint Modeling in Community Ecology
2015
Technological advances have enabled a new class of multivariate models for ecology, with the potential now to specify a statistical model for abundances jointly across many taxa, to simultaneously explore interactions across taxa and the response of abundance to environmental variables. Joint models can be used for several purposes of interest to ecologists, including estimating patterns of residual correlation across taxa, ordination, multivariate inference about environmental effects and environment-by-trait interactions, accounting for missing predictors, and improving predictions in situations where one can leverage knowledge of some species to predict others. We demonstrate this by exa…
Different Representation Procedures Originated from Multivariate Temporal Pattern Analysis of the Behavioral Response to Pain in Wistar Rats Tested i…
2019
Temporal pattern analysis is an advanced multivariate technique able to investigate the structure of behavior by unveiling the existence of statistically significant constraints among the interval length separating events in sequence. If on the one hand, such an approach allows investigating the behavioral response to pain in its most intimate and inner features, on the other hand, due to the meaning of the studies on pain, it is of relevant importance that the results utilize intuitive and easily comprehensible ways of representation. The aim of this paper is to show various procedures useful to represent the results originating from the multivariate T-pattern analysis of the behavioral re…
A discrete mathematical model for addictive buying: Predicting the affected population evolution
2011
This paper deals with the construction of a discrete mathematical model for addictive buying. Firstly, identifications of consumers buying behavior are performed by using multivariate statistical techniques based on real data bases and sociological approaches. Then the population is divided into appropriate groups according to the level of overbuying and a discrete compartmental model is constructed. The future short term addicted population is computed assuming several future economic scenarios. © 2010 Elsevier Ltd.
Determination of vinegar acidity by attenuated total reflectance infrared measurements through the use of second-order absorbance-pH matrices and par…
2007
Univariate (zero-order), multivariate (first-order) and multiway (second-order) calibrations were assayed for the determination of vinegar acidity using a mechanized procedure based upon vibrational spectroscopy and the emerging multicommutation methodology. The second-order methodology relies on the use of a flow system based on multicommutation and binary sampling. The flow network comprises a set of three-way solenoid valves, computer-controlled to provide facilities to handle the sample and to generate a time-dependent pH gradient using two carrier solutions. The procedure is based on the volumetric fraction variation approach that maintains the same volume of sample solution and dynami…
A multivariate statistical approach of X-ray fluorescence characterization of a large collection of reverse glass paintings
2019
We present an X-ray fluorescence spectroscopy (XRF) study combined with a multivariate approach that allow to detect compositional differences and similarities among the glass supports of a large set of reverse glass paintings belonging to the collection of the Mistretta museum. Reverse painting on glass is an old decorative technique used since the Roman time consisting in applying a cold paint layer on the reverse side of a glass support. The collection shows a large spreading of provenience and dating of the items. In consideration of the current classification solely based on stylistic criteria, we applied a multivariate analysis on the XRF measurements data set to find a more objective…
Progressive active mobilization with dose control and training load in critically ill patients (PROMOB): Protocol for a randomized controlled trial
2020
The dose of progressive active mobilization is still uncertain. The purpose of this study is to identify if the addition of a protocol of progressive active mobilization with dose and training load control to usual care is effective in reducing the length of stay in intensive care unit (ICU) and the improvement of the functioning, incidence of ICU-acquired weakness (ICUAW), mechanical ventilation duration and mortality rate in patients hospitalized in ICU. It is Double-blind randomised clinical trial. The setting for this trial will be medical and surgical ICU of a university hospital. The study participants will be 118 patients aged> 18 years admitted to ICU for less than 72 hours. Partici…
Diminishing Returns of Population Size in the Rate of RNA Virus Adaptation
2000
ABSTRACT Whenever an asexual viral population evolves by adapting to new environmental conditions, beneficial mutations, the ultimate cause of adaptation, are randomly produced and then fixed in the population. The larger the population size and the higher the mutation rate, the more beneficial mutations can be produced per unit time. With the usually high mutation rate of RNA viruses and in a large enough population, several beneficial mutations could arise at the same time but in different genetic backgrounds, and if the virus is asexual, they will never be brought together through recombination. Thus, the best of these genotypes must outcompete each other on their way to fixation. This c…