Search results for "variance"
showing 10 items of 2030 documents
Fourth Moments and Independent Component Analysis
2015
In independent component analysis it is assumed that the components of the observed random vector are linear combinations of latent independent random variables, and the aim is then to find an estimate for a transformation matrix back to these independent components. In the engineering literature, there are several traditional estimation procedures based on the use of fourth moments, such as FOBI (fourth order blind identification), JADE (joint approximate diagonalization of eigenmatrices), and FastICA, but the statistical properties of these estimates are not well known. In this paper various independent component functionals based on the fourth moments are discussed in detail, starting wi…
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…
A Multivariate Non-Gaussian Stochastic Volatility Model with Leverage for Energy Markets
2009
Spot prices in energy markets exhibit special features like price spikes, mean-reversion inverse, stochastic volatility, inverse leverage effect and co-integration between the different commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. Second order structure and stationary issues of the model are analysed. Moreover the implied multivariate forward model is derived. Due to the flexibility of the model stylized facts of the forward curve as contango, backwardation and humps are explained. Moreover, a transformed-based method to price options on the forward is described, where fast and precise algorithms for price computations ca…
Firm Size and Volatility Analysis in the Spanish Stock Market
2011
In this article, three strongly related questions are studied. First, volatility spillovers between large and small firms in the Spanish stock market are analyzed by using a conditional CAPM with an asymmetric multivariate GARCH-M covariance structure. Results show that there exist bidirectional volatility spillovers between both types of firms, especially after bad news. Second, the volatility feedback hypothesis explaining the volatility asymmetry feature is investigated. Results show significant evidence for this hypothesis. Finally, the study uncovers that conditional beta coefficient estimates within the used model are insensitive to sign and size asymmetries in the unexpected shock re…
CEO satisfaction and intended strategic changes
2018
How do CEOs react to attainment discrepancies in their organizations' performance? Scholars have generally argued that (only) when performance falls below a certain aspiration level do CEOs intend to change the organization's strategy. However, empirical evidence on this issue is ambiguous and inconclusive. We address this puzzle directly by studying how CEOs' cognitive interpretations of performance (their satisfaction with the firm's performance) affect the magnitude of intended strategic changes, and we explore the moderating effect of the context (performance compared to the industry) on this relationship. Using a sample of medium-sized organizations, we find that CEOs' satisfaction wit…
The Love of Money and Pay Level Satisfaction: Measurement and Functional Equivalence in 29 Geopolitical Entities around the World
2006
Demonstrating the equivalence of constructs is a key requirement for cross-cultural empirical research. The major purpose of this paper is to demonstrate how to assess measurement and functional equivalence or invariance using the 9-item, 3-factor Love of Money Scale (LOMS, a second-order factor model) and the 4-item, 1-factor Pay Level Satisfaction Scale (PLSS, a first-order factor model) across 29 samples in six continents (N = 5973). In step 1, we tested the configural, metric and scalar invariance of the LOMS and 17 samples achieved measurement invariance. In step 2, we applied the same procedures to the PLSS and nine samples achieved measurement invariance. Five samples (Brazil, China,…
Comparison of Variance and Damage Indicator Methods for Prediction of the Fracture Plane Orientation in Multiaxial Fatigue
1999
ABSTRACT Two methods that enable prediction of the fracture plane orientation are presented and compared in this paper. The first one is a statistical approach, which is based on the variance of an equivalent stress. It is assumed that the fracture plane is the one where the variance of a linear combination of the shear and normal stresses acting on this plane is maximum. The second one uses the so-called damage indicator of a multiaxial fatigue criterion, which is based on the research of the critical plane. The formulation of the criterion involves shear and normal stress amplitudes and mean normal stress. The fracture plane is the critical plane; That is to say the one where the damage i…
School adjustment in children who stutter: The quality of the student-teacher relationship, peer relationships, and children's academic and behaviora…
2020
Abstract Introduction The aim of this study was to investigate the quality of the student-teacher relationship, peer relationship, emotional and behavioral outcomes and academic performance in school adjustment of children who stutter. Methods The convenience sample consisted of 536 children – 62 affected by stuttering and 474 in the control group – and 36 prevalent teachers from six primary and secondary schools in Northwest Italy. Children were assessed with a sociometric questionnaire. Teacher evaluations were also used to assess their perception of their relationships with the student (Student-Teacher Relationship Scale), children’ behavior (Strengths and Difficulties Questionnaire), an…
Proteus: Adverbial multi-word expressions in Italian and their cognate counterparts in -mente
2022
Abstract: This contribution focuses on Italian adverbs ending in -mente (e.g. lussuosamente ‘luxuriously’) with an analytic counterpart (a multi-word expression, MWE) which is etymologically related and it is capable of equally performing the adverbial function (e.g. di lusso). Two sentences diverging only in this regard have the same truth values and they entail each other. Morphologically, such adverbial MWEs are formed by a preposition which is followed by a noun/adjective sharing the content morpheme of the -mente adverb. However, in some contexts the cognate –mente adverb cannot replace its MWE. For instance, only adjectival MWEs can be used as predicates in copular constructions (La f…
Closed-loop supply chains: What reverse logistics factors influence performance?
2016
This paper analyses the inventory and order flow dynamics in closed-loop supply chains (CLSCs). In this kind of supply chains the reverse flow of materials entering the system for recycling purposes complicates the way in which inventories should be managed and replenishment policies should be designed. Specifically, we analyse the relationships between some reverse logistics’ factors (remanufacturing lead-time, return rate of recycled products, reverse order policy, and number of supply chain tiers) on the order and inventory variance amplification. We firstly perform a systematic literature review of the related studies. Secondly, by adopting a difference equation math approach and design…