First-lactation test-day milk, fat, and protein yields from New York, Wisconsin, and California herds from 1990 through 2000 were adjusted additively for age and lactation stage. A random regression model with third-order Legendre polynomials for permanent environmental and genetic effects was used. The model included a random effect with the same polynomial regressions for 2 yr of calvings wit...

This paper looks at some recent work on estimating quadratic variation using realised variance (RV) — that is sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high frequency financial return data. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent (as M → ∞) estimator of quadratic va...

In statistical analysis, we usually use the observed sample values x1, . . . , xn to compute the values of several statistics v(x1, . . . , xn) – such as sample mean, sample variance, etc. The usual formulas for these statistics implicitly assume that we know the exact values x1, . . . , xn. In practice, the sample values x̃1, . . . , x̃n come from measurements and are, thus, only approximations ...

ABSTRACT. In paired randomized experiments units are grouped in pairs, often based on covariate information, with random assignment within the pairs. Average treatment effects are then estimated by averaging the within-pair differences in outcomes. Typically the variance of the average treatment effect estimator is estimated using the sample variance of the within-pair differences. However, con...

We consider the problem of estimating a measure of daily volatility from intermittent high-frequency data that are subject to market microstructure effects. We show that a simple Newey-West type modification of the realized variance (RV) yields an unbiased measure of volatility for the ‘open’ part of the day. The modified RV is unbiased even if 1-minute intra-day returns are used. Further, with...

We studied intra-individual variation in total and high-density lipoprotein (HDL) cholesterol in healthy volunteers (22 men and 19 women, ages 19 to 62 years) on controlled natural diets. The within-person coefficient of variation (CV) depended on the interval between blood samples, increasing from about 2% to 3% for measurements made 24 h apart to 4% to 5% for measurements made at four-day int...