Testing the Random Walk Hypothesis on the Baltic Stock Markets

The purpose of the thesis is to analyze whether the returns of general stock market indices of Estonia, Latvia and Lithuania follow the random walk hypothesis (RWH), and in addition, whether they are consistent with the weak-form efficiency criterion. Also the existence of the day-of-the-week anomaly is examined in the same regional markets. The data consists of daily closing quotes of the OMX Tallinn, Riga and Vilnius total return indices for the sample period from January 3, 2000 to August 28, 2009. Moreover, the full sample period is also divided into two sub-periods. The RWH is tested by applying three quantitative methods (i.e. the Augmented Dickey-Fuller unit root test, serial correlation test and non-parametric runs test). Ordinary Least Squares (OLS) regression with dummy variables is employed to detect the day-of-the-week anomalies. The random walk hypothesis (RWH) is rejected in the Estonian and Lithuanian stock markets. The Latvian stock market exhibits more efficient behaviour, although some evidence of inefficiency is also found, mostly during the first sub-period from 2000 to 2004. Day-of-the-week anomalies are detected on every stock market examined, though no longer during the later sub-period.

Développement et validation d’un index de prédiction des risques d’institutionnalisation et de décès pour le contrôle des variables confondantes non-mesurées dans la population âgée

Le biais de confusion est un défi majeur des études observationnelles, surtout s'ils sont induits par des caractéristiques difficiles, voire impossibles, à mesurer dans les banques de données administratives de soins de santé. Un des biais de confusion souvent présents dans les études pharmacoépidémiologiques est la prescription sélective (en anglais « prescription channeling »), qui se manifeste lorsque le choix du traitement dépend de l'état de santé du patient et/ou de son expérience antérieure avec diverses options thérapeutiques. Parmi les méthodes de contrôle de ce biais, on retrouve le score de comorbidité, qui caractérise l'état de santé d'un patient à partir de médicaments délivrés ou de diagnostics médicaux rapportés dans les données de facturations des médecins. La performance des scores de comorbidité fait cependant l'objet de controverses car elle semble varier de façon importante selon la population d'intérêt. Les objectifs de cette thèse étaient de développer, valider, et comparer les performances de deux scores de comorbidité (un qui prédit le décès et l’autre qui prédit l’institutionnalisation), développés à partir des banques de services pharmaceutiques de la Régie de l'assurance-maladie du Québec (RAMQ) pour leur utilisation dans la population âgée. Cette thèse vise également à déterminer si l'inclusion de caractéristiques non rapportées ou peu valides dans les banques de données administratives (caractéristiques socio-démographiques, troubles mentaux ou du sommeil), améliore la performance des scores de comorbidité dans la population âgée. Une étude cas-témoins intra-cohorte fut réalisée. La cohorte source consistait en un échantillon aléatoire de 87 389 personnes âgées vivant à domicile, répartie en une cohorte de développement (n=61 172; 70%) et une cohorte de validation (n=26 217; 30%). Les données ont été obtenues à partir des banques de données de la RAMQ. Pour être inclus dans l’étude, les sujets devaient être âgés de 66 ans et plus, et être membres du régime public d'assurance-médicaments du Québec entre le 1er janvier 2000 et le 31 décembre 2009. Les scores ont été développés à partir de la méthode du Framingham Heart Study, et leur performance évaluée par la c-statistique et l’aire sous les courbes « Receiver Operating Curves ». Pour le dernier objectif qui est de documenter l’impact de l’ajout de variables non-mesurées ou peu valides dans les banques de données au score de comorbidité développé, une étude de cohorte prospective (2005-2008) a été réalisée. La population à l'étude, de même que les données, sont issues de l'Étude sur la Santé des Aînés (n=1 494). Les variables d'intérêt incluaient statut marital, soutien social, présence de troubles de santé mentale ainsi que troubles du sommeil. Tel que décrit dans l'article 1, le Geriatric Comorbidity Score (GCS) basé sur le décès, a été développé et a présenté une bonne performance (c-statistique=0.75; IC95% 0.73-0.78). Cette performance s'est avérée supérieure à celle du Chronic Disease Score (CDS) lorsqu'appliqué dans la population à l'étude (c-statistique du CDS : 0.47; IC 95%: 0.45-0.49). Une revue de littérature exhaustive a montré que les facteurs associés au décès étaient très différents de ceux associés à l’institutionnalisation, justifiant ainsi le développement d'un score spécifique pour prédire le risque d'institutionnalisation. La performance de ce dernier s'est avérée non statistiquement différente de celle du score de décès (c-statistique institutionnalisation : 0.79 IC95% 0.77-0.81). L'inclusion de variables non rapportées dans les banques de données administratives n'a amélioré que de 11% la performance du score de décès; le statut marital et le soutien social ayant le plus contribué à l'amélioration observée. En conclusion, de cette thèse, sont issues trois contributions majeures. D'une part, il a été démontré que la performance des scores de comorbidité basés sur le décès dépend de la population cible, d'où l'intérêt du Geriatric Comorbidity Score, qui fut développé pour la population âgée vivant à domicile. D'autre part, les médicaments associés au risque d'institutionnalisation diffèrent de ceux associés au risque de décès dans la population âgé, justifiant ainsi le développement de deux scores distincts. Cependant, les performances des deux scores sont semblables. Enfin, les résultats indiquent que, dans la population âgée, l'absence de certaines caractéristiques ne compromet pas de façon importante la performance des scores de comorbidité déterminés à partir de banques de données d'ordonnances. Par conséquent, les scores de comorbidité demeurent un outil de recherche important pour les études observationnelles.

Méthode de simulation avec les variables antithétiques

Les fichiers qui accompagnent mon document ont été réalisés avec le logiciel Latex et les simulations ont été réalisés par Splus(R).

Predicting random level and seasonality of hotel prices. A structural equation growth curve approach

This article examines the effect on price of different characteristics of holiday hotels in the sun-and-beach segment, under the hedonic function perspective. Monthly prices of the majority of hotels in the Spanish continental Mediterranean coast are gathered from May to October 1999 from the tour operator catalogues. Hedonic functions are specified as random-effect models and parametrized as structural equation models with two latent variables, a random peak season price and a random width of seasonal fluctuations. Characteristics of the hotel and the region where they are located are used as predictors of both latent variables. Besides hotel category, region, distance to the beach, availability of parking place and room equipment have an effect on peak price and also on seasonality. 3- star hotels have the highest seasonality and hotels located in the southern regions the lowest, which could be explained by a warmer climate in autumn

Analysis and Simulation of Transverse Random Fracture of Long Fibre Reinforced Composites

La present tesi proposa una metodología per a la simulació probabilística de la fallada de la matriu en materials compòsits reforçats amb fibres de carboni, basant-se en l'anàlisi de la distribució aleatòria de les fibres. En els primers capítols es revisa l'estat de l'art sobre modelització matemàtica de materials aleatoris, càlcul de propietats efectives i criteris de fallada transversal en materials compòsits. El primer pas en la metodologia proposada és la definició de la determinació del tamany mínim d'un Element de Volum Representatiu Estadístic (SRVE) . Aquesta determinació es du a terme analitzant el volum de fibra, les propietats elàstiques efectives, la condició de Hill, els estadístics de les components de tensió i defromació, la funció de densitat de probabilitat i les funcions estadístiques de distància entre fibres de models d'elements de la microestructura, de diferent tamany. Un cop s'ha determinat aquest tamany mínim, es comparen un model periòdic i un model aleatori, per constatar la magnitud de les diferències que s'hi observen. Es defineix, també, una metodologia per a l'anàlisi estadístic de la distribució de la fibra en el compòsit, a partir d'imatges digitals de la secció transversal. Aquest anàlisi s'aplica a quatre materials diferents. Finalment, es proposa un mètode computacional de dues escales per a simular la fallada transversal de làmines unidireccionals, que permet obtenir funcions de densitat de probabilitat per a les variables mecàniques. Es descriuen algunes aplicacions i possibilitats d'aquest mètode i es comparen els resultats obtinguts de la simulació amb valors experimentals.

Parametric accelerated failure time models with random effects and an application to kidney transplant survival

Accelerated failure time models with a shared random component are described, and are used to evaluate the effect of explanatory factors and different transplant centres on survival times following kidney transplantation. Different combinations of the distribution of the random effects and baseline hazard function are considered and the fit of such models to the transplant data is critically assessed. A mixture model that combines short- and long-term components of a hazard function is then developed, which provides a more flexible model for the hazard function. The model can incorporate different explanatory variables and random effects in each component. The model is straightforward to fit using standard statistical software, and is shown to be a good fit to the transplant data. Copyright (C) 2004 John Wiley Sons, Ltd.

Lifestyle factors and socioeconomic variables associated with abdominal obesity in Brazilian adolescents

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A Cohort Study of Caries Incidence and Baseline Socioeconomic, Clinical and Demographic Variables: A Kaplan-Meier Survival Analysis

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Effects of four anaesthetic protocols on the neurological and cardiorespiratory variables of puppies born by caesarean section

Twenty-four bitches which had been in labour for less than 12 hours were randomly divided into four groups of six. They all received 0(.)5 mg/kg of chlorpromazine intravenously as premedication, followed 15 minutes later by either 8 mg/kg of thiopentone intravenously (group 1), 2 mg/kg of ketamine and 0-5 mg/kg of midazolam intravenously (group 2), 5 mg/kg of propofol intravenously (group 3), or 2(.)5 mg/kg of 2 per cent lidocaine with adrenaline and 0(.)625 mg/kg of 0(.)5 per cent bupivacaine with adrenaline epidurally (group 4). Except for group 4, the bitches were intubated and anaesthesia was maintained with enflurane. The puppies' heart and respiratory rates and their pain, sucking, anogenital, magnum and flexion reflexes were measured as they were removed from the uterus. The puppies' respiratory rate was higher after epidural anaesthesia. in general the puppies' neurological reflexes were most depressed after midazolam/ketamine, followed by thiopentone, propofol and epidural anaesthesia.

Design-based random permutation models with auxiliary information

We extend the random permutation model to obtain the best linear unbiased estimator of a finite population mean accounting for auxiliary variables under simple random sampling without replacement (SRS) or stratified SRS. The proposed method provides a systematic design-based justification for well-known results involving common estimators derived under minimal assumptions that do not require specification of a functional relationship between the response and the auxiliary variables.

Bayesian Analysis for Errors in Variables with Changepoint Models

Changepoint regression models have originally been developed in connection with applications in quality control, where a change from the in-control to the out-of-control state has to be detected based on the avaliable random observations. Up to now various changepoint models have been suggested for differents applications like reliability, econometrics or medicine. In many practical situations the covariate cannot be measured precisely and an alternative model are the errors in variable regression models. In this paper we study the regression model with errors in variables with changepoint from a Bayesian approach. From the simulation study we found that the proposed procedure produces estimates suitable for the changepoint and all other model parameters.

Signal propagation in Bayesian networks and its relationship with intrinsically multivariate predictive variables

A set of predictor variables is said to be intrinsically multivariate predictive (IMP) for a target variable if all properly contained subsets of the predictor set are poor predictors of the. target but the full set predicts the target with great accuracy. In a previous article, the main properties of IMP Boolean variables have been analytically described, including the introduction of the IMP score, a metric based on the coefficient of determination (CoD) as a measure of predictiveness with respect to the target variable. It was shown that the IMP score depends on four main properties: logic of connection, predictive power, covariance between predictors and marginal predictor probabilities (biases). This paper extends that work to a broader context, in an attempt to characterize properties of discrete Bayesian networks that contribute to the presence of variables (network nodes) with high IMP scores. We have found that there is a relationship between the IMP score of a node and its territory size, i.e., its position along a pathway with one source: nodes far from the source display larger IMP scores than those closer to the source, and longer pathways display larger maximum IMP scores. This appears to be a consequence of the fact that nodes with small territory have larger probability of having highly covariate predictors, which leads to smaller IMP scores. In addition, a larger number of XOR and NXOR predictive logic relationships has positive influence over the maximum IMP score found in the pathway. This work presents analytical results based on a simple structure network and an analysis involving random networks constructed by computational simulations. Finally, results from a real Bayesian network application are provided. (C) 2012 Elsevier Inc. All rights reserved.

Performance of a new, 3D-monitor based random-dot stereotest for children under 4 years of age

BACKGROUND: The aim of this study was to determine the performance of a new, 3D-monitor based, objective stereotest in children under the age of four. METHODS: Random-dot circles (diameter 10 cm, crossed, disparity of 0.34 degrees) randomly changing their position were presented on an 3D-monitor while eye movements were monitored by infrared photo-oculography. If > or = 3 consecutive stimuli were seen, a positive response was assumed. One hundred thirty-four normal children aged 2 months to 4 years (average 17+/-15.3 months) were examined. RESULTS: Below the age of 12 months, we were not able to obtain a response to the 3D stimulus. For older children the following rates of positive responses were found: 12-18 months 25%, 18-24 months 10%, 24-30 months 16%, 30-36 months 57%, 36-42 months 100%, and 42-48 months 91%. Multiple linear logistic regression showed a significant influence on stimulus recognition of the explanatory variables age (p<0.00001) and child cooperation (p<0.001), but not of gender (p>0.1). CONCLUSIONS: This 3D-monitor based stereotest allows an objective measurement of random-dot stereopsis in younger children. It might open new ways to screen children for visual abnormalities and to study the development of stereovision. However, the current experimental setting does not allow determining random-dot stereopsis in children younger than 12 months.

Nonviolent factors: Variables associated with ethnic violence, and factors which are associated with nonviolent response to grievances toward members of other ethnic groups

Ethnic violence appears to be the major source of violence in the world. Ethnic hostilities are potentially all-pervasive because most countries in the world are multi-ethnic. Public health's focus on violence documents its increasing role in this issue.^ The present study is based on a secondary analysis of a dataset of responses by 272 individuals from four ethnic groups (Anglo, African, Mexican, and Vietnamese Americans) who answered questions regarding variables related to ethnic violence from a general questionnaire which was distributed to ethnically diverse purposive, nonprobability, self-selected groups of individuals in Houston, Texas, in 1993.^ One goal was psychometric: learning about issues in analysis of datasets with modest numbers, comparison of two approaches to dealing with missing observations not missing at random (conducting analysis on two datasets), transformation analysis of continuous variables for logistic regression, and logistic regression diagnostics.^ Regarding the psychometric goal, it was concluded that measurement model analysis was not possible with a relatively small dataset with nonnormal variables, such as Likert-scaled variables; therefore, exploratory factor analysis was used. The two approaches to dealing with missing values resulted in comparable findings. Transformation analysis suggested that the continuous variables were in the correct scale, and diagnostics that the model fit was adequate.^ The substantive portion of the analysis included the testing of four hypotheses. Hypothesis One proposed that attitudes/efficacy regarding alternative approaches to resolving grievances from the general questionnaire represented underlying factors: nonpunitive social norms and strategies for addressing grievances--using the political system, organizing protests, using the system to punish offenders, and personal mediation. Evidence was found to support all but one factor, nonpunitive social norms.^ Hypothesis Two proposed that the factor variables and the other independent variables--jail, grievance, male, young, and membership in a particular ethnic group--were associated with (non)violence. Jail, grievance, and not using the political system to address grievances were associated with a greater likelihood of intergroup violence.^ No evidence was found to support Hypotheses Three and Four, which proposed that grievance and ethnic group membership would interact with other variables (i.e., age, gender, etc.) to produce variant levels of subgroup (non)violence.^ The generalizability of the results of this study are constrained by the purposive self-selected nature of the sample and small sample size (n = 272).^ Suggestions for future research include incorporating other possible variables or factors predictive of intergroup violence in models of the kind tested here, and the development and evaluation of interventions that promote electoral and nonelectoral political participation as means of reducing interethnic conflict. ^

The effects of cardiac output and pulmonary arterial hypertension on volumetric capnography derived-variables during normoxia and hypoxia

The aim of this study was to test the effect of cardiac output (CO) and pulmonary artery hypertension (PHT) on volumetric capnography (VCap) derived-variables. Nine pigs were mechanically ventilated using fixed ventilatory settings. Two steps of PHT were induced by IV infusion of a thromboxane analogue: PHT25 [mean pulmonary arterial pressure (MPAP) of 25 mmHg] and PHT40 (MPAP of 40 mmHg). CO was increased by 50 % from baseline (COup) with an infusion of dobutamine ≥5 μg kg(-1) min(-1) and decreased by 40 % from baseline (COdown) infusing sodium nitroglycerine ≥30 μg kg(-1) min(-1) plus esmolol 500 μg kg(-1) min(-1). Another state of PHT and COdown was induced by severe hypoxemia (FiO2 0.07). Invasive hemodynamic data and VCap were recorded and compared before and after each step using a mixed random effects model. Compared to baseline, the normalized slope of phase III (SnIII) increased by 32 % in PHT25 and by 22 % in PHT40. SnIII decreased non-significantly by 4 % with COdown. A combination of PHT and COdown associated with severe hypoxemia increased SnIII by 28 % compared to baseline. The elimination of CO2 per breath decreased by 7 % in PHT40 and by 12 % in COdown but increased only slightly with COup. Dead space variables did not change significantly along the protocol. At constant ventilation and body metabolism, pulmonary artery hypertension and decreases in CO had the biggest effects on the SnIII of the volumetric capnogram and on the elimination of CO2.