Identified vector autoregressive (VAR) models have become widely used on time series data in recent years, but finite sample inference for such models remains a challenge. In this study, we propose a conjugate prior for Bayesian analysis of normalized VAR models. Under the prior, themarginal posterior of VAR parameters involved in identification can be either derived in closed form or simulated...

The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is UK inflation and we utilize monthly data from 1969-2003. The RS-VAR and the RNN perform approximately on par over both monthly a...

DNA/RNA Description TRPV1 gene consists of 17 exons and 17 introns including a coding region and a 5' and a 3' non-coding region. Transcription There are four transcript variants encoding the same protein, but with different segments in the 5' UTR (var.1, var.2, var.3, var.4) and one alternative splice variant lacking exon 7 (TRPV1b). TRPV1 gene transcription was demonstrated in different cells...

PREMISE OF THE STUDY Microsatellite markers were identified for Melastoma tetramerum var. tetramerum (Melastomataceae), a critically endangered shrub endemic to the Bonin Islands, to reveal genetic characteristics in wild and restored populations. METHODS AND RESULTS Using next-generation sequencing, 27 microsatellite markers were identified. Twenty of these markers were polymorphic in M. tet...

In this paper we solve the problem of static portfolio allocation based on historical Value at Risk (VaR) by using genetic algorithm (GA). VaR is a predominantly used measure of risk of extreme quantiles in modern finance. For estimation of historical static portfolio VaR, calculation of time series of portfolio returns is required. To avoid daily recalculations of proportion of capital investe...

Virulence of the most deadly malaria parasite Plasmodium falciparum is linked to the variant surface antigen PfEMP1, which is encoded by about 60 var genes per parasite genome. Although the expression of particular variants has been associated with different clinical outcomes, little is known about var gene expression at the onset of infection. By analyzing controlled human malaria infections v...

We develop a new asymptotic theory for autocorrelation robust tests using a vector autoregressive (VAR) covariance matrix estimator. In contrast to the conventional asymptotics where the VAR order goes to in…nity but at a slower rate than the sample size, we have the VAR order grow at the same rate, as a …xed fraction of the sample size. Under this …xed-smoothing asymptotic speci…cation, the as...

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework (APF), we propose a novel mean-VaR op...

This paper assesses the forecast performance of a set of VAR models under a growing number of restrictions. With a maximum forecast horizon of 12 years, we show that the farther the horizon is, the more structured and restricted VAR models have to be to produce accurate forecasts. Indeed, unrestricted VAR models, not subjected to integration or cointegration, are poor forecasters for both short...

The anamorph genus Metarhizium is composed of arthropod pathogens, several with broad geographic and host ranges. Members of the genus, including "M. anisopliae var. frigidum" nomen nudum and Metarhizium flavoviride, have been used as biological insecticides. In a recent revision of the genus the variety "M. anisopliae var. frigidum" was suggested to be a synonym of M. flavoviride based largely...