This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility. Such models are given by volatility modulated non–Gaussian Ornstein Uhlenbeck processes. We study the probabilistic properties of such models both under the physical and under the risk neutral probability measure, where we focus in particular on the role of the volatility of v...

The objective of the study was to present the within-person variance component for adjusting nutrient distribution in adults and elderly people. The data used were from a population-based survey with a representative sample (n = 511) of individuals aged 19 years and over in the municipality of São Paulo, Southeastern Brazil, conducted in 2007. The within-person variance component was obtained u...

Small sample high-dimensional principal component analysis (PCA) suffers from variance inflation and lack of generalizability. It has earlier been pointed out that a simple leave-one-out variance renormalization scheme can cure the problem. In this paper we generalize the cure in two directions: First, we propose a computationally less intensive approximate leave-one-out estimator, secondly, we...

The penalized quasi-likelihood (PQL) approach is the most common estimation procedure for the generalized linear mixed model (GLMM). However, it has been noticed that the PQL tends to underestimate variance components as well as regression coefficients in the previous literature. In this paper, we numerically show that the biases of variance component estimates by PQL are systematically related...

Allan Variance: Also known as short‐term stability, this is the measure of oscillator stability in the time domain. Commonly referred to as the Allan variance, it measures the RMS change in successive frequency measurements for short gate times (milliseconds to seconds) and is important in timing applications. It typically improves as the gate time increases until it becomes a measure of the me...

Single nucleotide polymorphisms (SNPs) and derived haplotypes within multiple genes may explain genetic variance in complex traits; however, this hypothesis has not been rigorously tested. In an earlier study we analyzed six genes and have now expanded this investigation to include 13. We studied 250 families including 1054 individuals and measured lipid phenotypes. We focused on low-density ch...

The paper deals with construction of exact confidence intervals for the variance component σ 1 and ratio θ of variance components σ 1 and σ in mixed linear models for the family of normal distributions Nt (0, σ 2 1 W + σ2It). This problem essentially depends on algebraic structure of the covariance matrix W (see Gnot and Michalski, 1994, Michalski and Zmyślony, 1996). In the paper we give two c...

Long-range dependence-Scaling phenomena-(Multi)fractal-Wavelet analysis Scaling analysis-Scaling parameters estimation-Robustness-Fractional Brownian motion synthesis-Fano factor-Aggregation procedure-Allan variance.

PURPOSE To assess the repeatability of endothelial cell density (ECD) measurements by the EM-935 endothelial microscope and their agreement with those of the Konan-Noncon Robo SP 6000 (Noncon Robo) specular microscope. METHODS We assessed the agreement between automated and semiautomated methods of analysis of the EM-935 and the Noncon Robo by measuring ECD in 40 eyes of 20 healthy subjects a...

background: it is believed that improved safety culture/climate is a fundamental element to accident prevention. therefore, development a scale to assess safety climate is a step towards accident control. the purpose of this study was to construct a persian safety climate questionnaire. methods: the study took place in tehran and esfahan oil refineries in iran in 2010. an initial questionnaire ...