L'impasse de la non-normalité : estimateurs d'ordres supérieurs pour modèles de régression linéaire avec erreurs de mesure.

Rapport de recherche

Non normalità di matrici ed il ruolo degli autovalori

In questa tesi vengono studiati gli effetti della non-normalità di un operatore all'interno di sistemi dinamici regolati da sistemi di equazioni differenziali ordinarie. Viene studiata la stabilità delle soluzioni, in particolare si approfondiscono fenomeni quali le crescite transitorie. In seguito vengono forniti strumenti grafici come gli Pseudospettri capaci di scoprire e quantificare tali "anomalie". I concetti studiati vengono poi applicati alla teoria dell'ecologia delle popolazioni utilizzando una generalizzazione delle equazioni di Lotka-Volterra. Modelli e matrici vengono implementate in Matlab mentre i risultati grafici sono ottenuti con il Toolbox Eigtool.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie

Dans ce texte, nous analysons les développements récents de l’économétrie à la lumière de la théorie des tests statistiques. Nous revoyons d’abord quelques principes fondamentaux de philosophie des sciences et de théorie statistique, en mettant l’accent sur la parcimonie et la falsifiabilité comme critères d’évaluation des modèles, sur le rôle de la théorie des tests comme formalisation du principe de falsification de modèles probabilistes, ainsi que sur la justification logique des notions de base de la théorie des tests (tel le niveau d’un test). Nous montrons ensuite que certaines des méthodes statistiques et économétriques les plus utilisées sont fondamentalement inappropriées pour les problèmes et modèles considérés, tandis que de nombreuses hypothèses, pour lesquelles des procédures de test sont communément proposées, ne sont en fait pas du tout testables. De telles situations conduisent à des problèmes statistiques mal posés. Nous analysons quelques cas particuliers de tels problèmes : (1) la construction d’intervalles de confiance dans le cadre de modèles structurels qui posent des problèmes d’identification; (2) la construction de tests pour des hypothèses non paramétriques, incluant la construction de procédures robustes à l’hétéroscédasticité, à la non-normalité ou à la spécification dynamique. Nous indiquons que ces difficultés proviennent souvent de l’ambition d’affaiblir les conditions de régularité nécessaires à toute analyse statistique ainsi que d’une utilisation inappropriée de résultats de théorie distributionnelle asymptotique. Enfin, nous soulignons l’importance de formuler des hypothèses et modèles testables, et de proposer des techniques économétriques dont les propriétés sont démontrables dans les échantillons finis.

Quadratic M-Estimators for ARCH-Type Processes

This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the variance and the variance of the variance, that is, the skewness and kurtosis. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M-estimation. The ususal univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms the relevance of our approach, in particular, the importance of skewness.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Universalité, variables complexes et réarrangement

Nous allons exposer dans ce mémoire divers résultats sur l’universalité en analyse complexe. Nous énoncerons d’abord des résultats généraux sur les séries universelles, puis sur un type d’universalité dû à Fournier et Nestoridis qui établit un lien nouveau entre l’universalité et la non-normalité d’une famille de fonctions. Par la suite, nous introduirons un type différent de séries universelles obtenues en réarrangeant les termes de séries arbitraires. Nous prouverons dans ce mémoire la généricité algébrique de ce type de séries universelles pour tout espace de Banach et la généricité topologique dans les espaces de dimension finie. Aussi, nous démontrerons que pour toute série universelle par réarrangement il existe un réarrangement de ses termes pour lequel cette série devient universelle au sens usuel.

La régression de Poisson multiniveau généralisée au sein d’un devis longitudinal : un exemple de modélisation du nombre d’arrestations de membres de gangs de rue à Montréal entre 2005 et 2007

Les données comptées (count data) possèdent des distributions ayant des caractéristiques particulières comme la non-normalité, l’hétérogénéité des variances ainsi qu’un nombre important de zéros. Il est donc nécessaire d’utiliser les modèles appropriés afin d’obtenir des résultats non biaisés. Ce mémoire compare quatre modèles d’analyse pouvant être utilisés pour les données comptées : le modèle de Poisson, le modèle binomial négatif, le modèle de Poisson avec inflation du zéro et le modèle binomial négatif avec inflation du zéro. À des fins de comparaisons, la prédiction de la proportion du zéro, la confirmation ou l’infirmation des différentes hypothèses ainsi que la prédiction des moyennes furent utilisées afin de déterminer l’adéquation des différents modèles. Pour ce faire, le nombre d’arrestations des membres de gangs de rue sur le territoire de Montréal fut utilisé pour la période de 2005 à 2007. L’échantillon est composé de 470 hommes, âgés de 18 à 59 ans. Au terme des analyses, le modèle le plus adéquat est le modèle binomial négatif puisque celui-ci produit des résultats significatifs, s’adapte bien aux données observées et produit une proportion de zéro très similaire à celle observée.

Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

Cet article illustre l’applicabilité des méthodes de rééchantillonnage dans le cadre des tests multiples (simultanés), pour divers problèmes économétriques. Les hypothèses simultanées sont une conséquence habituelle de la théorie économique, de sorte que le contrôle de la probabilité de rejet de combinaisons de tests est un problème que l’on rencontre fréquemment dans divers contextes économétriques et statistiques. À ce sujet, on sait que le fait d’ignorer le caractère conjoint des hypothèses multiples peut faire en sorte que le niveau de la procédure globale dépasse considérablement le niveau désiré. Alors que la plupart des méthodes d’inférence multiple sont conservatrices en présence de statistiques non-indépendantes, les tests que nous proposons visent à contrôler exactement le niveau de signification. Pour ce faire, nous considérons des critères de test combinés proposés initialement pour des statistiques indépendantes. En appliquant la méthode des tests de Monte Carlo, nous montrons comment ces méthodes de combinaison de tests peuvent s’appliquer à de tels cas, sans recours à des approximations asymptotiques. Après avoir passé en revue les résultats antérieurs sur ce sujet, nous montrons comment une telle méthodologie peut être utilisée pour construire des tests de normalité basés sur plusieurs moments pour les erreurs de modèles de régression linéaires. Pour ce problème, nous proposons une généralisation valide à distance finie du test asymptotique proposé par Kiefer et Salmon (1983) ainsi que des tests combinés suivant les méthodes de Tippett et de Pearson-Fisher. Nous observons empiriquement que les procédures de test corrigées par la méthode des tests de Monte Carlo ne souffrent pas du problème de biais (ou sous-rejet) souvent rapporté dans cette littérature – notamment contre les lois platikurtiques – et permettent des gains sensibles de puissance par rapport aux méthodes combinées usuelles.

Egfr Activating Mutations And Their Association With Response To Platinum-doublet Chemotherapy In Brazilian Non-small Cell Lung Cancer Patients.

The aim of the study was to analyze the frequency of epidermal growth factor receptor (EGFR) mutations in Brazilian non-small cell lung cancer patients and to correlate these mutations with response to benefit of platinum-based chemotherapy in non-small cell lung cancer (NSCLC). Our cohort consisted of prospective patients with NSCLCs who received chemotherapy (platinum derivates plus paclitaxel) at the [UNICAMP], Brazil. EGFR exons 18-21 were analyzed in tumor-derived DNA. Fifty patients were included in the study (25 with adenocarcinoma). EGFR mutations were identified in 6/50 (12 %) NSCLCs and in 6/25 (24 %) adenocarcinomas; representing the frequency of EGFR mutations in a mostly self-reported White (82.0 %) southeastern Brazilian population of NSCLCs. Patients with NSCLCs harboring EGFR exon 19 deletions or the exon 21 L858R mutation were found to have a higher chance of response to platinum-paclitaxel (OR 9.67 [95 % CI 1.03-90.41], p = 0.047). We report the frequency of EGFR activating mutations in a typical southeastern Brazilian population with NSCLC, which are similar to that of other countries with Western European ethnicity. EGFR mutations seem to be predictive of a response to platinum-paclitaxel, and additional studies are needed to confirm or refute this relationship.

Fatty Acid Synthase Inhibitors Induce Apoptosis In Non-tumorigenic Melan-a Cells Associated With Inhibition Of Mitochondrial Respiration.

The metabolic enzyme fatty acid synthase (FASN) is responsible for the endogenous synthesis of palmitate, a saturated long-chain fatty acid. In contrast to most normal tissues, a variety of human cancers overexpress FASN. One such cancer is cutaneous melanoma, in which the level of FASN expression is associated with tumor invasion and poor prognosis. We previously reported that two FASN inhibitors, cerulenin and orlistat, induce apoptosis in B16-F10 mouse melanoma cells via the intrinsic apoptosis pathway. Here, we investigated the effects of these inhibitors on non-tumorigenic melan-a cells. Cerulenin and orlistat treatments were found to induce apoptosis and decrease cell proliferation, in addition to inducing the release of mitochondrial cytochrome c and activating caspases-9 and -3. Transfection with FASN siRNA did not result in apoptosis. Mass spectrometry analysis demonstrated that treatment with the FASN inhibitors did not alter either the mitochondrial free fatty acid content or composition. This result suggests that cerulenin- and orlistat-induced apoptosis events are independent of FASN inhibition. Analysis of the energy-linked functions of melan-a mitochondria demonstrated the inhibition of respiration, followed by a significant decrease in mitochondrial membrane potential (ΔΨm) and the stimulation of superoxide anion generation. The inhibition of NADH-linked substrate oxidation was approximately 40% and 61% for cerulenin and orlistat treatments, respectively, and the inhibition of succinate oxidation was approximately 46% and 52%, respectively. In contrast, no significant inhibition occurred when respiration was supported by the complex IV substrate N,N,N',N'-tetramethyl-p-phenylenediamine (TMPD). The protection conferred by the free radical scavenger N-acetyl-cysteine indicates that the FASN inhibitors induced apoptosis through an oxidative stress-associated mechanism. In combination, the present results demonstrate that cerulenin and orlistat induce apoptosis in non-tumorigenic cells via mitochondrial dysfunction, independent of FASN inhibition.

Imported Malaria In A Non-endemic Area: The Experience Of The University Of Campinas Hospital In The Brazilian Southeast.

Although malaria in Brazil almost exclusively occurs within the boundaries of the Amazon Region, some concerns are raised regarding imported malaria to non-endemic areas of the country, notably increased incidence of complications due to delayed diagnoses. However, although imported malaria in Brazil represents a major health problem, only a few studies have addressed this subject. A retrospective case series is presented in which 263 medical charts were analysed to investigate the clinical and epidemiological characterization of malaria cases that were diagnosed and treated at Hospital & Clinics, State University of Campinas between 1998 and 2011. Amongst all medical charts analysed, 224 patients had a parasitological confirmed diagnosis of malaria. Plasmodium vivax and Plasmodium falciparum were responsible for 67% and 30% of the infections, respectively. The majority of patients were male (83%) of a productive age (median, 37 years old). Importantly, severe complications did not differ significantly between P. vivax (14 cases, 9%) and P. falciparum (7 cases, 10%) infections. Severe malaria cases were frequent among imported cases in Brazil outside of the Amazon area. The findings reinforce the idea that P. vivax infections in Brazil are not benign, regardless the endemicity of the area studied. Moreover, as the hospital is located in a privileged site, it could be used for future studies of malaria relapses and primaquine resistance mechanisms. Finally, based on the volume of cases treated and the secondary complications, referral malaria services are needed in the non-endemic areas of Brazil for a rapid and efficient and treatment.

Evaluation Of Fe Uptake And Translocation In Transgenic And Non-transgenic Soybean Plants Using Enriched Stable (57)fe As A Tracer.

A tracer experiment is carried out with transgenic T (variety M 7211 RR) and non-transgenic NT (variety MSOY 8200) soybean plants to evaluate if genetic modification can influence the uptake and translocation of Fe. A chelate of EDTA with enriched stable (57)Fe is applied to the plants cultivated in vermiculite plus substrate and the (57)Fe acts as a tracer. The exposure of plants to enriched (57)Fe causes the dilution of the natural previously existing Fe in the plant compartments and then the changed Fe isotopic ratio ((57)Fe/(56)Fe) is measured using a quadrupole-based inductively coupled plasma mass spectrometer equipped with a dynamic reaction cell (DRC). Mathematical calculations based on the isotope dilution methodology allow distinguishing the natural abundance Fe from the enriched Fe (incorporated during the experiment). The NT soybean plants acquire higher amounts of Fe from natural abundance (originally present in the soil) and from enriched Fe (coming from the (57)Fe-EDTA during the experiment) than T soybean ones, demonstrating that the NT soybean plants probably absorb higher amounts of Fe, independently of the source. The percentage of newly incorporated Fe (coming from the treatment) was approximately 2.0 and 1.1% for NT and T soybean plants, respectively. A higher fraction (90.1%) of enriched Fe is translocated to upper parts, and a slightly lower fraction (3.8%) is accumulated in the stems by NT plants than by T ones (85.1%; 5.1%). Moreover, in both plants, the Fe-EDTA facilitates the transport and translocation of Fe to the leaves. The genetic modification is probably responsible for differences observed between T and NT soybean plants.

[factors Associated With Satisfaction With Life Among Elderly Caregivers And Non-caregivers].

This article seeks to investigate associations between satisfaction with life and sociodemographic variables, health conditions, functionality, social involvement and social support among elderly caregivers and non-caregivers, as well as between satisfaction and the intensity of stress in the caregiver group. A sample of 338 caregivers was selected according to two items of the Brazilian version of the Elders Life Stress Inventory. A comparison-group of elderly non-caregivers was selected at random, with a similar gender, age and income profile. Data were derived from self-reported questionnaires and scales. Elderly caregivers with low levels of satisfaction and high levels of stress revealed more symptoms of insomnia, fatigue, diseases and worse IADL performance. Those with greater satisfaction and less stress revealed a good level of social support. Insomnia, depression and fatigue were associated with low satisfaction among caregivers, and with fatigue, depression and low social support among non-caregivers. It was considered relevant that instrumental, psychological and informative support can improve the quality of life and the quality of care provided by elderly caregivers, especially if they are affected by unfavorable health and psychosocial conditions and low satisfaction with life.