Nonparametric estimation of time-dependent ROC curves conditional on a continuous covariate

The receiver-operating characteristic (ROC) curve is the most widely used measure for evaluating the performance of a diagnostic biomarker when predicting a binary disease outcome. The ROC curve displays the true positive rate (or sensitivity) and the false positive rate (or 1-specificity) for different cut-off values used to classify an individual as healthy or diseased. In time-to-event studies, however, the disease status (e.g. death or alive) of an individual is not a fixed characteristic, and it varies along the study. In such cases, when evaluating the performance of the biomarker, several issues should be taken into account: first, the time-dependent nature of the disease status; and second, the presence of incomplete data (e.g. censored data typically present in survival studies). Accordingly, to assess the discrimination power of continuous biomarkers for time-dependent disease outcomes, time-dependent extensions of true positive rate, false positive rate, and ROC curve have been recently proposed. In this work, we present new nonparametric estimators of the cumulative/dynamic time-dependent ROC curve that allow accounting for the possible modifying effect of current or past covariate measures on the discriminatory power of the biomarker. The proposed estimators can accommodate right-censored data, as well as covariate-dependent censoring. The behavior of the estimators proposed in this study will be explored through simulations and illustrated using data from a cohort of patients who suffered from acute coronary syndrome.

Avaliação do desempenho de fundos de investimento de obrigações: evidência para o mercado Brasileiro

Dissertação de mestrado em Finanças

Avaliação do desempenho de carteiras de fundos verdes em diferentes estados de mercado

Dissertação de mestrado em Finanças

Avaliação do desempenho de fundos de investimento de ouro nos EUA: influência dos diferentes regimes de mercado na seletividade e market-timing

Dissertação de mestrado em Finanças

Os fatores de risco da rendibilidade das ações: análise e evidência empírica em países da Zona Euro

Tese de Doutoramento em Ciências Empresariais.

Nonparametric estimation of the survival function for ordered multivariate failure time data: a comparative study

In longitudinal studies of disease, patients may experience several events through a follow-up period. In these studies, the sequentially ordered events are often of interest and lead to problems that have received much attention recently. Issues of interest include the estimation of bivariate survival, marginal distributions and the conditional distribution of gap times. In this work we consider the estimation of the survival function conditional to a previous event. Different nonparametric approaches will be considered for estimating these quantities, all based on the Kaplan-Meier estimator of the survival function. We explore the finite sample behavior of the estimators through simulations. The different methods proposed in this article are applied to a data set from a German Breast Cancer Study. The methods are used to obtain predictors for the conditional survival probabilities as well as to study the influence of recurrence in overall survival.

Myeloid Sirtuin 2 expression does not impact long-term Mycobacterium tuberculosis control

Sirtuins (Sirts) regulate several cellular mechanisms through deacetylation of several transcription factors and enzymes. Recently, Sirt2 was shown to prevent the development of inflammatory processes and its expression favors acute Listeria monocytogenes infection. The impact of this molecule in the context of chronic infections remains unknown. We found that specific Sirt2 deletion in the myeloid lineage transiently increased Mycobacterium tuberculosis load in the lungs and liver of conditional mice. Sirt2 did not affect long-term infection since no significant differences were observed in the bacterial burden at days 60 and 120 post-infection. The initial increase in M. tuberculosis growth was not due to differences in inflammatory cell infiltrates in the lung, myeloid or CD4+ T cells. The transcription levels of IFN-?, IL-17, TNF, IL-6 and NOS2 were also not affected in the lungs by Sirt2-myeloid specific deletion. Overall, our results demonstrate that Sirt2 expression has a transitory effect in M. tuberculosis infection. Thus, modulation of Sirt2 activity in vivo is not expected to affect chronic infection with M. tuberculosis.

Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.

Compatibilidade do contrato de concessão comercial com as regras de defesa da concorrência

Dissertação de mestrado em Direito dos Contratos e da Empresa

Estimação da função de sobrevivência em dados de eventos recorrentes com censura pela direita

Dissertação de mestrado em Estatística