Stochastic Volatility Filtering with Intractable Likelihoods

This paper is concerned with particle filtering for $\alpha$-stable stochastic volatility models. The $\alpha$-stable distribution provides a flexible framework for modeling asymmetry and heavy tails, which is useful when modeling financial returns. An issue with this distributional assumption is the lack of a closed form for the probability density function. To estimate the volatility of financial returns in this setting, we develop a novel auxiliary particle filter. The algorithm we develop can be easily applied to any hidden Markov model for which the likelihood function is intractable or computationally expensive. The approximate target distribution of our auxiliary filter is based on the idea of approximate Bayesian computation (ABC). ABC methods allow for inference on posterior quantities in situations when the likelihood of the underlying model is not available in closed form, but simulating samples from it is possible. The ABC auxiliary particle filter (ABC-APF) that we propose provides not only a good alternative to state estimation in stochastic volatility models, but it also improves on the existing ABC literature. It allows for more flexibility in state estimation while improving on the accuracy through better proposal distributions in cases when the optimal importance density of the filter is unavailable in closed form. We assess the performance of the ABC-APF on a simulated dataset from the $\alpha$-stable stochastic volatility model and compare it to other currently existing ABC filters

Data provenance and management in radio astronomy: a stream computing approach

New approaches for data provenance and data management (DPDM) are required for mega science projects like the Square Kilometer Array, characterized by extremely large data volume and intense data rates, therefore demanding innovative and highly efficient computational paradigms. In this context, we explore a stream-computing approach with the emphasis on the use of accelerators. In particular, we make use of a new generation of high performance stream-based parallelization middleware known as InfoSphere Streams. Its viability for managing and ensuring interoperability and integrity of signal processing data pipelines is demonstrated in radio astronomy. IBM InfoSphere Streams embraces the stream-computing paradigm. It is a shift from conventional data mining techniques (involving analysis of existing data from databases) towards real-time analytic processing. We discuss using InfoSphere Streams for effective DPDM in radio astronomy and propose a way in which InfoSphere Streams can be utilized for large antennae arrays. We present a case-study: the InfoSphere Streams implementation of an autocorrelating spectrometer, and using this example we discuss the advantages of the stream-computing approach and the utilization of hardware accelerators

Impact of health financing policies in Cambodia: a 20 year experience

Improving financial access to services is an essential part of extending universal health coverage in low resource settings. In Cambodia, high out of pocket spending and low levels of utilisation have impeded the expansion of coverage and improvement in health outcomes. For twenty years a series of health financing policies have focused on mitigating costs to increase access particularly by vulnerable groups. Demand side financing policies including health equity funds, vouchers and community health insurance have been complemented by supply side measures to improve service delivery incentives through contracting. Multiple rounds of the Cambodia Socio-Economic Survey are used to investigate the impact of financing policies on health service utilisation and out of pocket payments both over time using commune panel data from 1997 to 2011 and across groups using individual data from 2004 to 2009. Policy combinations including areas with multiple interventions were examined against controls using difference-in-difference and panel estimation. Widespread roll-out of financing policies combined with user charge formalisation has led to a general reduction in health spending by the poor. Equity funds are associated with a reduction in out of pocket payments although the effect of donor schemes is larger than those financed by government. Vouchers, which are aimed only at reproductive health services, has a more modest impact that is enhanced when combined with other schemes. At the aggregate level changes are less pronounced although there is evidence that policies take a number of years to have substantial effect. Health financing policies and the supportive systems that they require provide a foundation for more radical extension of coverage already envisaged by a proposed social insurance system. A policy challenge is how disparate mechanisms can be integrated to ensure that vulnerable groups remain protected

Free health care for under-fives, expectant and recent mothers? Evaluating the impact of Sierra Leone's free health care initiative.

This study evaluates the impact of Sierra Leone's 2010 Free Health Care Initiative (FHCI). It uses two nationally representative surveys to identify the impact of the policy on utilisation of maternal care services by pregnant women and recent mothers as well as the impact on curative health care services and out-of-pocket payments for consultation and prescription in children under the age of 5 years. A Regression Discontinuity Design (RDD) is applied in the case of young children and a before-after estimation approach, adjusted for time trends in the case of expectant and recent mothers. Our results suggest that children affected by the FHCI have a lower probability of incurring any health expenditure in public, non-governmental and missionary health facilities. However, a proportion of eligible children are observed to incur some health expenditure in participating facilities with no impact of the policy on the level of out-of-pocket health expenditure. Similarly, no impact is observed with the utilisation of services in these facilities. Utilisation of informal care is observed to be higher among non-eligible children while in expectant and recent mothers, we find substantial but possibly transient increases in the use of key maternal health care services in public facilities following the implementation of the FHCI. The diminishing impact on utilisation mirrors experience in other countries that have implemented free health care initiatives and demonstrates the need for greater domestic and international efforts to ensure that resources are sufficient to meet increasing demand and monitor the long run impact of these policies

Pulsar Searches with the SKA

The Square Kilometre Array will be an amazing instrument for pulsar astronomy. While the full SKA will be sensitive enough to detect all pulsars in the Galaxy visible from Earth, already with SKA1, pulsar searches will discover enough pulsars to increase the currently known population by a factor of four, no doubt including a range of amazing unknown sources. Real time processing is needed to deal with the 60 PB of pulsar search data collected per day, using a signal processing pipeline required to perform more than 10 POps. Here we present the suggested design of the pulsar search engine for the SKA and discuss challenges and solutions to the pulsar search venture.Comment: 4 pages, 1 figure. To be published in Proceedings of IAU Symposium 337: Pulsar Astrophysics - The Next 50 Year

Changes in catastrophic health expenditure in post-conflict Sierra Leone: an Oaxaca-blinder decomposition analysis.

BACKGROUND: At the end of the eleven-year conflict in Sierra Leone, a wide range of policies were implemented to address both demand- and supply-side constraints within the healthcare system, which had collapsed during the conflict. This study examines the extent to which households' exposure to financial risks associated with seeking healthcare evolved in post-conflict Sierra Leone. METHOD: This study uses the 2003 and 2011 cross-sections of the Sierra Leone Integrated Household Survey to examine changes in catastrophic health expenditure between 2003 and 2011. An Oaxaca-Blinder decomposition approach is used to quantify the extent to which changes in catastrophic health expenditure are attributable to changes in the distribution of determinants (distributional effect) and to changes in the impact of these determinants on the probability of incurring catastrophic health expenditure (coefficient effect). RESULTS: The incidence of catastrophic health expenditure decreased significantly by 18% from approximately 50% in 2003 t0 32% in 2011. The decomposition analysis shows that this decrease represents net effects attributable to the distributional and coefficient effects of three determinants of catastrophic health expenditure - ill-health, the region in which households reside and the type of health facility used. A decrease in the incidence of ill-health and changes in the regional location of households contributed to a decrease in catastrophic health expenditure. The distributional effect of health facility types observed as an increase in the use of public health facilities, and a decrease in the use of services in facilities owned by non-governmental organizations (NGOs) also contributed to a decrease in the incidence of catastrophic health expenditure. However, the coefficient effect of public health facilities and NGO-owned facilities suggests that substantial exposure to financial risk remained for households utilizing both types of health facilities in 2011. CONCLUSION: The findings support the need to continue expanding current demand-side policies in Sierra Leone to reduce the financial risk of exposure to ill health

SUSTAINABLE CULTURES: Fusing Local and Global traditions

Within the modern world, a conflict arises between the existence of "universal" and "local". The result of the struggle has been a fading of our local traditions and customs. Acknowledged as a vital component of our being and interpreted as the essence of culture, the "local" is seen as an endangered resource. This proposes the question of how, can, and does architecture sustain a (the local) culture? To explore the question, this thesis uses the architectural program type of the library as the vehicle of study. A programmatic and spatial diagram of the library is applied to three different towns within a similar climate and geographical region. The towns of Alexandria, VA, and Chestertown and Cumberland, MD were chosen because each one possesses a strong sense of place and identity. Using the theories of regionalism, each town is analyzed to investigate the nuances of the culture. The process of design begins with the acknowledgment and understanding of the existing pattern of development. The understanding leads to an interpretative and transformative process to reveal a dialog between "Universal" and "Local". The architecture of each library reflects the characteristics innate to a library as it embodies the relevance of the local culture

Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility

Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for different points of delivery hubs. Certain hubs support highly liquid markets, allowing efficient and robust price discovery, while others are highly illiquid, limiting the effectiveness of standard risk management techniques. We propose a joint modeling strategy, which uses high-frequency information from thickly-traded hubs to improve volatility estimation and risk management at thinly traded hubs. The resulting model has superior in- and out-of-sample predictive performance, particularly for several commonly used risk management metrics, demonstrating that joint modeling is indeed possible and useful. To improve estimation, a Bayesian estimation strategy is employed and data-driven weakly informative priors are suggested. Our model is robust to sparse data and can be effectively used in any market with similar irregular patterns of data availability