Search results for "autor"
showing 10 items of 820 documents
Conditional particle filters with diffuse initial distributions
2020
Conditional particle filters (CPFs) are powerful smoothing algorithms for general nonlinear/non-Gaussian hidden Markov models. However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in statistical applications. We propose a simple but generally applicable auxiliary variable method, which can be used together with the CPF in order to perform efficient inference with diffuse initial distributions. The method only requires simulatable Markov transitions that are reversible with respect to the initial distribution, which can be improper. We focus in particular on random-walk type transitions which are reversible with respect to a uniform init…
An ensemble approach to short-term forecast of COVID-19 intensive care occupancy in Italian Regions
2020
Abstract The availability of intensive care beds during the COVID‐19 epidemic is crucial to guarantee the best possible treatment to severely affected patients. In this work we show a simple strategy for short‐term prediction of COVID‐19 intensive care unit (ICU) beds, that has proved very effective during the Italian outbreak in February to May 2020. Our approach is based on an optimal ensemble of two simple methods: a generalized linear mixed regression model, which pools information over different areas, and an area‐specific nonstationary integer autoregressive methodology. Optimal weights are estimated using a leave‐last‐out rationale. The approach has been set up and validated during t…
Multiscale partial information decomposition of dynamic processes with short and long-range correlations: theory and application to cardiovascular co…
2022
Abstract Objective. In this work, an analytical framework for the multiscale analysis of multivariate Gaussian processes is presented, whereby the computation of Partial Information Decomposition measures is achieved accounting for the simultaneous presence of short-term dynamics and long-range correlations. Approach. We consider physiological time series mapping the activity of the cardiac, vascular and respiratory systems in the field of Network Physiology. In this context, the multiscale representation of transfer entropy within the network of interactions among Systolic arterial pressure (S), respiration (R) and heart period (H), as well as the decomposition into unique, redundant and s…
Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
2013
Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normally distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalised assumption of normally distributed financial returns. Thus it is crucial to model distribution tails properly so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey …
Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry: Evidence from the Years of Financial Liberalisation and Banking Crisis
1999
This paper investigates the evolution of the (conditional) volatility of returns on three Scandinavian markets (Finland, Norway and Sweden) over the turbulent period of the past decade, namely the overlapping periods of financial liberalisation, drastically changing macroeconomic conditions and banking crisis. We find that even over this relatively turbulent period volatility is in most cases successfully captured by past volatility and shocks to past volatility, ie by a (symmetric) GARCH process. In each country banking crisis has induced regime shifts in (unconditional) volatility. We also find evidence for cross-country volatility spillovers during the banking crisis episodes. The estima…
Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
2004
We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the example of Nokia's share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE). We find asymmetry in the volume-price duration relationship between the two markets. In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours. Outside common trading hours no such relationship is significant in Helsinki. Based …
Populismo municipal y nacionalcatolicismo en la Valencia del general Primo de Rivera: el marqués de Sotelo (1923-1930) = Populism and Municipal Propa…
2016
El presente trabajo pretende explicar las principales características políticas del régimen de Primo de Rivera en la ciudad de Valencia. Desde un análisis de la política municipal, el populismo y la publicidad de la construcción de obras públicas se presentan como los principales pilares para la consolidación del régimen en Valencia. La praxis política del marqués de Sotelo supuso para la ciudad el primer contacto con el nacionalcatolicismo. La figura de este alcalde, además, ocupa buena parte del texto al ser un fiel exponente de las prácticas políticas nacidas tras el golpe de septiembre de 1923.This paper aims to explain the main features of the political regime of Primo de Rivera in the…
Factorial graphical models for dynamic networks
2015
AbstractDynamic network models describe many important scientific processes, from cell biology and epidemiology to sociology and finance. Estimating dynamic networks from noisy time series data is a difficult task since the number of components involved in the system is very large. As a result, the number of parameters to be estimated is typically larger than the number of observations. However, a characteristic of many real life networks is that they are sparse. For example, the molecular structure of genes make interactions with other components a highly-structured and, therefore, a sparse process. Until now, the literature has focused on static networks, which lack specific temporal inte…
Autorecensione.Autorità indipendenti e soft law. Forme, contenuti, limiti e tutele
2018
Autorecensione a Autorità indipendenti e soft law. Forme, contenuti, limiti e tutele
Agreement on the Choice of Non-applicable Law or Law not in Accordance with Article 22(1) of the Twin Regulations: what Consequences for the Couple’s…
2021
Los Reglamentos (UE) 2016/1103 y 2016/1104 del Consejo autorizan a las parejas transfronterizas a elegir la ley aplicable a sus relaciones patrimoniales sobre la base de uno de los criterios enumerados en el artículo 22.1. Sin embargo, el acuerdo de elección de la ley puede tener un contenido diferente al señalado en la redacción del artículo 22 de los ?Reglamentos Gemelos?. El objetivo del análisis es ilustrar que sería incorrecto sostener que tales acuerdos son, a priori, inválidos o no permiten la autonomía de la voluntad. Esta cuestión requiere una evaluación de la finalidad concreta del acuerdo de las partes y debería, al menos, estar abierta al examen del tribunal competente.