Robustness of alternative non‐linearity tests for SETAR models

In recent years there has been a growing interest in exploiting potential forecast gains from the non‐linear structure of self‐exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR‐type non‐linearities in an observed time series. It is important to study the power and robustness properties of these tests since erroneous test results might lead to misspecified prediction problems. In this paper we investigate the robustness properties of several commonly used non‐linearity tests. Both the robustness with respect to outlying observations and the robustness with respect to model specification are considered. The power comparison of these testing procedures is carried out using Monte Carlo simulation. The results indicate that all of the existing tests are not robust to outliers and model misspecification. Finally, an empirical application applies the statistical tests to stock market returns of the four little dragons (Hong Kong, South Korea, Singapore and Taiwan) in East Asia. The non‐linearity tests fail to provide consistent conclusions most of the time. The results in this article stress the need for a more robust test for SETAR‐type non‐linearity in time series analysis and forecasting. Copyright © 2004 John Wiley & Sons, Ltd.     

Single-nucleotide evolution quantifies the importance of each site along the structure of mitochondrial carriers

Mitochondrial carriers are membrane-embedded proteins consisting of a tripartite structure, a three-fold pseudo-symmetry, related sequences, and similar folding whose main function is to catalyze the transport of various metabolites, nucleotides, and coenzymes across the inner mitochondrial membrane. In this study, the evolutionary rate in vertebrates was screened at each of the approximately 50,000 nucleotides corresponding to the amino acids of the 53 human mitochondrial carriers. Using this information as a starting point, a scoring system was developed to quantify the evolutionary pressure acting on each site of the common mitochondrial carrier structure and estimate its functional or structural relevance. The degree of evolutionary selection varied greatly among all sites, but it was highly similar among the three symmetric positions in the tripartite structure, known as symmetry-related sites or triplets, suggesting that each triplet constitutes an evolutionary unit. Based on evolutionary selection, 111 structural sites (37 triplets) were found to be important. These sites play a key role in structure/function of mitochondrial carriers and are involved in either conformational changes (sites of the gates, proline–glycine levels, and aromatic belts) or in binding and specificity of the transported substrates (sites of the substrate-binding area in between the two gates). Furthermore, the evolutionary pressure analysis revealed that the matrix short helix sites underwent different degrees of selection with high inter-paralog variability. Evidence is presented that these sites form a new sequence motif in a subset of mitochondrial carriers, including the ADP/ATP translocator, and play a regulatory function by interacting with ligands and/or proteins of the mitochondrial matrix.     

Historical review and redescription of three poorly known species of the catfish genus Trichomycterus from south-eastern Brazil (Siluriformes: Trichomycteridae)

ABSTRACT

This study is primarily directed to the most poorly known species of the genus Trichomycterus, comprising five nominal species (T. florensis, T. immaculatus, T. nigricans, T. paquequerensis and T. santaeritae) endemic to south-eastern Brazil. One of them, T. nigricans, is the type species of the genus, involved in taxonomic problems for over 150 years. A detailed historical review, accompanied by examination of type specimens and recent collections, revealed that the correct type locality of T. nigricans is in the vicinity of Rio de Janeiro, not Santa Catarina as commonly appears in the literature; specimens previously misidentified as T. nigricans from Santa Catarina belong to a possibly undescribed species of the genus Cambeva; T. paquequerensis is a synonym of T. immaculatus, and T. florensis is a synonym of T. santaeritae; and the hypothesis that T. santaeritae is closely related to the Amazon Sarcoglanidinae is refuted. The three valid species are redescribed. These species are members of a clade also including T. caipora that is highly supported by molecular data, diagnosed by a pronounced posterior maxillary process and caudal fin emarginate at least in larger specimens. A subclade comprising T. caipora, T. nigricans and T. santaeritae is diagnosed by a long maxilla and a bifid anterior extremity of hypobranchial 3.     

A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates

Observing that a sequence of negative logarithms of 1‐year survival probabilities displays a linear relationship with the sequence of corresponding terms with a time lag of a certain number of years, we propose a simple linear regression to model and forecast mortality rates. Our model assuming the linearity between two mortality sequences with a time lag each other does not need to formulate the time trends of mortality rates across ages for mortality prediction. Moreover, the parameters of our model for a given age depend on the mortality rates for that age only. Therefore, whether the span of the study ages with the age included is widened or shortened will not affect the results of mortality fitting and forecasting for that age. In the empirical testing, the regression results using the mortality data for the UK, USA and Japan show a satisfactory goodness of fit, which convinces us of the appropriateness of the linear assumption. Empirical illustrations further show that our model's performances of fitting and forecasting mortality rates are quite satisfactory compared with the existing well‐known mortality models. Copyright © 2015 John Wiley & Sons, Ltd.     

WTI crude oil option implied VaR and CVaR: An empirical application

Using option market data we derive naturally forward‐looking, nonparametric and model‐free risk estimates, three desired characteristics hardly obtainable using historical returns. The option‐implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option‐implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results show that the option‐implied risk metrics are valid alternatives to the statistically based historical models.     

A Pluto-like radius and a high albedo for the dwarf planet Eris from an occultation

The dwarf planet Eris is a trans-Neptunian object with an orbital eccentricity of 0.44, an inclination of 44 degrees and a surface composition very similar to that of Pluto. It resides at present at 95.7 astronomical units (1?AU is the Earth-Sun distance) from Earth, near its aphelion and more than three times farther than Pluto. Owing to this great distance, measuring its size or detecting a putative atmosphere is difficult. Here we report the observation of a multi-chord stellar occultation by Eris on 6 November 2010 UT. The event is consistent with a spherical shape for Eris, with radius 1,163?±?6?kilometres, density 2.52?±?0.05 grams per cm(3) and a high visible geometric albedo, Pv = 0.96(+0.09)(-0.04). No nitrogen, argon or methane atmospheres are detected with surface pressure larger than ～1?nanobar, about 10,000 times more tenuous than Pluto's present atmosphere. As Pluto's radius is estimated to be between 1,150 and 1,200 kilometres, Eris appears as a Pluto twin, with a bright surface possibly caused by a collapsed atmosphere, owing to its cold environment. We anticipate that this atmosphere may periodically sublimate as Eris approaches its perihelion, at 37.8 astronomical units from the Sun.     

Testing for the usefulness of forecasts

Ashley (Journal of Forecasting 1983; 2 (3): 211–223) proposes a criterion (known as Ashley's index) to judge whether the external macroeconomic variables are well forecast to serve as explanatory variables in forecasting models, which is crucial for policy makers. In this article, we try to extend Ashley's work by providing three testing procedures, including a ratio‐based test, a difference‐based test, and the Bayesian approach. The Bayesian approach has the advantage of allowing the flexibility of adapting all possible information content within a decision‐making environment such as the change of variable's definition due to the evolving system of national accounts. We demonstrate the proposed methods by applying six macroeconomic forecasts in the Survey of Professional Forecasters. Researchers or practitioners can thus formally test whether the external information is helpful. Copyright © 2010 John Wiley & Sons, Ltd.     

Retail default prediction by using sequential minimal optimization technique

This paper employed sequential minimal optimization (SMO) to develop default prediction model in the US retail market. Principal components analysis is used for variable reduction purposes. Four standard credit scoring techniques—naïve Bayes, logistic regression, recursive partitioning and artificial neural network—are compared to SMO, using a sample of 195 healthy firms and 51 distressed firms over five time periods between 1994 and 2002. The five techniques perform well in predicting default particularly one year before financial distress. Furthermore, the prediction still remains sound even 5 years before default. No single methodology has the absolute best classification ability, as the model performance varies in terms of different time periods and variable groups. External influences have greater impacts on the naïve Bayes than other techniques. In terms of similarity with Moody's ranking, SMO excelled over other techniques in most of the time periods. Copyright © 2008 John Wiley & Sons, Ltd.