The recent credit crisis has heightened the awareness of credit risk among financial markets’ regulators and participants. However, despite the public discussion on centralized processing systems for the off-exchange traded (Over-The-Counter, OTC) transactions no research has been conducted on the factors that could explain their adoption among market participants. With this study, an attempt i...

Existing routines, such as xGELSY or xGELSD in LAPACK, for solving rank-deficient least squares problems require O(mn) operations to solve min ‖b−Ax‖ where A is an m by n matrix. We present a modification of the LAPACK routine xGELSY that requires O(mnk) operations where k is the effective numerical rank of the matrix A. For low rank matrices the modification is an order of magnitude faster tha...

This paper presents a recent methodology developed for the analysis of the slow evolution of geophysical time series. The method is based on least-squares fitting of continuous line segments to the data, subject to flexible conditions, and is able to objectively locate the times of significant change in the series tendencies. The time distribution of these breakpoints may be an important set of...

Correspondences between 3D lines and their 2D images captured by a camera are often used to determine position and orientation of the camera in space. In this work, we propose a novel algebraic algorithm to estimate the camera pose. We parameterize 3D lines using Plücker coordinates that allow linear projection of the lines into the image. A line projection matrix is estimated using Linear Leas...

Transversal Recursive Least Squares (RLS) algorithms estimate filter coefficients which minimize the accumulated sum of the square of the error residuals termed the error power. In this paper the sensitivity of this error power to random perturbations about the optimum filter coefficients is investigated. Expressions are derived for the mean and variance of the deviation from the optimum error ...

Given a matrix, the seriation problem consists in permuting its rows in such way that all its columns have the same shape, for example, they are monotone increasing. We propose a statistical approach to this problem where the matrix of interest is observed with noise and study the corresponding minimax rate of estimation of the matrices. Specifically, when the columns are either unimodal or mon...

BACKGROUND Conflicting findings of the association between serum uric acid (UA) and stroke have been reported in both men and women, and it is unclear whether this association was different between men and women. We preformed this meta-analysis to assess the sex-specific effect of serum UA on the risk of stroke and its subtypes. METHODS AND RESULTS Prospective studies that reported sex-specif...

Generalized additive models (GAMs) based on the binomial and Poisson distributions can be used to provide flexible semi-parametric modelling of binary and count outcomes. When used with the canonical link function, these GAMs provide semi-parametrically adjusted odds ratios and rate ratios. For adjustment of other effect measures, including rate differences, risk differences and relative risks,...

A sequence of Galton–Watson branching processes with immigration is investigated, when the offspring mean tends to its critical value one and the offspring variance tends to zero. It is shown that the fluctuation limit is an Ornstein– Uhlenbeck type process. As a consequence, in contrast to the case where the offspring variance tends to a positive limit, the conditional least squares estimator ...