Search results for "statistica"
showing 10 items of 5969 documents
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
2021
AbstractWe analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes (SRIs), viz. Marginal Expected Shortfall (MES), Delta Conditional Value-at-Risk (Delta-CoVaR), and Conditional Capital Shortfall Measure of Systemic Risk (SRISK) in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogou…
A Note on Laws of Motion for Aggregate Distributions
2020
I derive the law of motion for the aggregate distribution directly from the laws of motion for the individuals’ states. By relying on concepts from measure theory, the derivation is concise and intuitive. I address random shocks both at the micro level and at the macro level. Micro-level shocks completely cancel at the aggregate level provided that a law of large numbers applies. Therefore, the law of motion for the aggregate distribution is a deterministic process in the absence of macro-level uncertainty. If there are macro-level risks, the law of motion for the aggregate distribution exhibits a stochastic component additionally. I illustrate the formalism in a model of wealth accumulatio…
Micro and Macro Resilience Measures of an Economic Crisis
2020
Using Italian Households Budget Survey data over the period 1997-2013, a Cragg model in a life-cycle context is specified to compare the consumption behaviour in the pre- and post-crisis time and develop different micro and macro measures of resilience against crisis shocks. Cohort profiles for participation in and for consumption of tourism services in the pre- and post-crisis time are determined so as to explore the households’ resilience by generations. Next, the households’ resilience according to socio-demographic characteristics is addressed. As for the macro-resilience, combining individual expenditure elasticity, we examine whether and how Italian regions have responded to the recen…
Operational and financial performance of Italian airport companies: A dynamic graphical model
2016
Abstract This paper provides evidence on the relationship within a set of financial and operational indicators for Italian airports over 2008–2014. The limited sample size of national and regional airports suggests to apply the penalised RCON ( V , E ) model, which falls within the class of Gaussian graphical models. It provides both estimate and easy way to visualise conditional independence structures of the variables. Moreover, it is particularly suitable for handling longitudinal data where small number of units and huge number of variables have been collected. Findings highlight that a qualified concept of size matters in determining good financial performance. Specifically, increasing…
Spatial analysis of traffic accidents near and between road intersections in a directed linear network.
2019
Although most of the literature on traffic safety analysis has been developed over areal zones, there is a growing interest in using the specific road structure of the region under investigation, which is known as a linear network in the field of spatial statistics. The use of linear networks entails several technical complications, ranging from the accurate location of traffic accidents to the definition of covariates at a spatial micro-level. Therefore, the primary goal of this study was to display a detailed analysis of a dataset of traffic accidents recorded in Valencia (Spain), which were located into a linear network representing more than 30 km of urban road structure corresponding t…
Investigation of the consequences of the modifiable areal unit problem in macroscopic traffic safety analysis: A case study accounting for scale and …
2019
Abstract Traffic safety analysis at the macroscopic level usually relies on previously defined areal traffic analysis zones (TAZs) that are used as the units of investigation. Hence, statistical inference is made on the basis of such units, implying that the consideration of a certain TAZ configuration may influence the results and conclusions achieved. Regarding this, the modifiable areal unit problem (MAUP) is a well-known issue in the field of spatial statistics, which refers to the effects that arise in statistical properties and estimations when there is a change in areal units of analysis. In this paper, the consequences of MAUP have been investigated through a dataset of traffic cras…
Measurement of the W boson mass
1996
The W boson mass is measured using proton-proton collision data at root s = 13 TeV corresponding to an integrated luminosity of 1.7fb(-1) recorded during 2016 by the LHCb experiment. With a simultaneous fit of the muon q/p(T) distribution of a sample of W ->mu y decays and the phi* distribution of a sample of Z -> mu mu decays the W boson mass is determined to be
Statistical analysis of sensory profiling data. Graphs for presenting results (PCA and ANOVA)
2000
Abstract A principal component analysis is performed to analyse the matrix of median values, with 16 varieties in rows, and all descriptors in columns. Only texture descriptors contribute to the definition of the main axes. Six varieties are identified that score high on mealiness and low on moisture, the 10 other varieties are ordered according to a mashable axis which involves texture descriptors. Next we exclude texture descriptors since the main characteristics are already found, and mealy varieties since they are not suitable for steamed potatoes. A mixed linear model (ANOVA) with random subject effects is then used for each descriptor. Flavour and taste differences are found among the…
Application of replicated difference testing
2000
International audience; In a recent paper, Brockho and Schlich (1998, Handling replications in discrimination tests. Food Quality and Preference, 9(5), 303±312) proposed a statistically sound way of handling replications in dierence testing. In the present paper, this new test is applied to the data obtained in six experiments on non alcoholic beverages, where triangle tests were intensively replicated (between eight and 60 times) with groups of subjects composed of 12±61 students. The paper aims to estimate in these practical situations the extent to which a group of panelists is heterogeneous towards the ability of detecting a sensory dierence among two products. As the results indicat…
The significance of climate variability on early modern European grain prices
2021
AbstractGrain was the most important food source in early modern Europe (c. 1500–1800), and its price influenced the entire economy. The extent to which climate variability determined grain price variations remains contested, and claims of solar cycle influences on prices are disputed. We thoroughly reassess these questions, within a framework of comprehensive statistical analysis, by employing an unprecedentedly large grain price data set together with state-of-the-art palaeoclimate reconstructions and long meteorological series. A highly significant negative grain price–temperature relationship (i.e. colder = high prices and vice versa) is found across Europe. This association increases a…