Search results for "probability"
showing 10 items of 3417 documents
Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
2002
The aim of the paper is to develop pricing formulas for long term European type Asian options written on the exchange rate in a two currency economy. The exchange rate as well as the foreign and domestic zero coupon bond prices are assumed to follow geometric Brownian motions. The emphasis is devoted to the discretely sampled Asian option. It is shown how the value of this option can be approximated as the sum of Black-Scholes options. The formula is obtained under the extension of results developed by Rogers and Shi (1995) and Jamshidian (1991). In addition bounds for the pricing error are determined. Comparing with Monte Carlo simulation the pricing is found to be very precise.
Spatio-temporal small area surveillance of the COVID-19 pandemic
2022
Abstract The emergence of COVID-19 requires new effective tools for epidemiological surveillance. Spatio-temporal disease mapping models, which allow dealing with small units of analysis, are a priority in this context. These models provide geographically detailed and temporally updated overviews of the current state of the pandemic, making public health interventions more effective. These models also allow estimating epidemiological indicators highly demanded for COVID-19 surveillance, such as the instantaneous reproduction number R t , even for small areas. In this paper, we propose a new spatio-temporal spline model particularly suited for COVID-19 surveillance, which allows estimating a…
A comparison of semiparametric approaches to evaluate composite endpoints in heart failure trials
2021
In heart failure trials efficacy is usually proven by a composite endpoint including cardiovascular death (CVD) and recurrent heart failure hospitalisations (HFH), evaluated with time-to-first-event analysis based on a Cox model. As a considerable fraction of events is ignored that way, recurrent event[for full text, please go to the a.m. URL]
Bayesian longitudinal models for paediatric kidney transplant recipients
2015
Chronic kidney disease is a progressive loss of renal function which results in the inability of the kidneys to properly filter waste from the blood. Renal function is usually estimated by the glomerular filtration rate (eGFR), which decreases with the worsening of the disease. Bayesian longitudinal models with covariates, random effects, serial correlation and measurement error are discussed to analyse the progression of eGFR in first transplanted children taken from a study in Valencia, Spain.
Two hundred and fifty-four metagenome-assembled bacterial genomes from the bank vole gut microbiota.
2020
Abstract Vertebrate gut microbiota provide many essential services to their host. To better understand the diversity of such services provided by gut microbiota in wild rodents, we assembled metagenome shotgun sequence data from a small mammal, the bank vole Myodes glareolus (Rodentia, Cricetidae). We were able to identify 254 metagenome assembled genomes (MAGs) that were at least 50% ( n = 133 MAGs), 80% ( n = 77 MAGs) or 95% ( n = 44 MAGs) complete. As typical for a rodent gut microbiota, these MAGs are dominated by taxa assigned to the phyla Bacteroidetes ( n = 132 MAGs) and Firmicutes ( n = 80), with some Spirochaetes ( n = 15) and Proteobacteria ( n = 11). Based on coverage over…
GAMLSS for high-variability data: an application to liver fibrosis case
2020
In this paper, we propose management of the problem caused by overdispersed data by applying the generalized additive model for location, scale and shape framework (GAMLSS) as introduced by Rigby and Stasinopoulos (2005). The idea of using a GAMLSS approach for handling our problem comes from the idea of Aitkin (1996) consisting in the use of an EM maximum likelihood estimation algorithm (Dempster, Laird, and Rubin, 1977) to deal with overdispersed generalized linear models (GLM). As in the GLM case, the algorithm is initially derived as a form of Gaussian quadrature assuming a normal mixing distribution. The GAMLSS specification allows the extension of the Aitkin algorithm to probability d…
Efficient change point detection in genomic sequences of continuous measurements
2010
Abstract Motivation: Knowing the exact locations of multiple change points in genomic sequences serves several biological needs, for instance when data represent aCGH profiles and it is of interest to identify possibly damaged genes involved in cancer and other diseases. Only a few of the currently available methods deal explicitly with estimation of the number and location of change points, and moreover these methods may be somewhat vulnerable to deviations of model assumptions usually employed. Results: We present a computationally efficient method to obtain estimates of the number and location of the change points. The method is based on a simple transformation of data and it provides re…
Contributed discussion on article by Pratola
2016
The author should be commended for his outstanding contribution to the literature on Bayesian regression tree models. The author introduces three innovative sampling approaches which allow for efficient traversal of the model space. In this response, we add a fourth alternative.
Test of the Latent Dimension of a Spatial Blind Source Separation Model
2024
We assume a spatial blind source separation model in which the observed multivariate spatial data is a linear mixture of latent spatially uncorrelated random fields containing a number of pure white noise components. We propose a test on the number of white noise components and obtain the asymptotic distribution of its statistic for a general domain. We also demonstrate how computations can be facilitated in the case of gridded observation locations. Based on this test, we obtain a consistent estimator of the true dimension. Simulation studies and an environmental application in the Supplemental Material demonstrate that our test is at least comparable to and often outperforms bootstrap-bas…
Systematic handling of missing data in complex study designs : experiences from the Health 2000 and 2011 Surveys
2016
We present a systematic approach to the practical and comprehensive handling of missing data motivated by our experiences of analyzing longitudinal survey data. We consider the Health 2000 and 2011 Surveys (BRIF8901) where increased non-response and non-participation from 2000 to 2011 was a major issue. The model assumptions involved in the complex sampling design, repeated measurements design, non-participation mechanisms and associations are presented graphically using methodology previously defined as a causal model with design, i.e. a functional causal model extended with the study design. This tool forces the statistician to make the study design and the missing-data mechanism explicit…