Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model

In this paper we investigate the ability of a number of different ordered probit models to predict ratings based on firm-specific data on business and financial risks. We investigate models based on momentum, drift and ageing and compare them against alternatives that take into account the initial rating of the firm and its previous actual rating. Using data on US bond issuing firms rated by Fitch over the years 2000 to 2007 we compare the performance of these models in predicting the rating in-sample and out-of-sample using root mean squared errors, Diebold-Mariano tests of forecast performance and contingency tables. We conclude that initial and previous states have a substantial influence on rating prediction.

Alternative ways to estimate change points in multinomial sequences. An application to an authorship attribution problem

The statistical analysis of literary style is the part of stylometry that compares measurable characteristicsin a text that are rarely controlled by the author, with those in other texts. When thegoal is to settle authorship questions, these characteristics should relate to the author’s style andnot to the genre, epoch or editor, and they should be such that their variation between authors islarger than the variation within comparable texts from the same author.For an overview of the literature on stylometry and some of the techniques involved, see for exampleMosteller and Wallace (1964, 82), Herdan (1964), Morton (1978), Holmes (1985), Oakes (1998) orLebart, Salem and Berry (1998).Tirant lo Blanc, a chivalry book, is the main work in catalan literature and it was hailed to be“the best book of its kind in the world” by Cervantes in Don Quixote. Considered by writterslike Vargas Llosa or Damaso Alonso to be the first modern novel in Europe, it has been translatedseveral times into Spanish, Italian and French, with modern English translations by Rosenthal(1996) and La Fontaine (1993). The main body of this book was written between 1460 and 1465,but it was not printed until 1490.There is an intense and long lasting debate around its authorship sprouting from its first edition,where its introduction states that the whole book is the work of Martorell (1413?-1468), while atthe end it is stated that the last one fourth of the book is by Galba (?-1490), after the death ofMartorell. Some of the authors that support the theory of single authorship are Riquer (1990),Chiner (1993) and Badia (1993), while some of those supporting the double authorship are Riquer(1947), Coromines (1956) and Ferrando (1995). For an overview of this debate, see Riquer (1990).Neither of the two candidate authors left any text comparable to the one under study, and thereforediscriminant analysis can not be used to help classify chapters by author. By using sample textsencompassing about ten percent of the book, and looking at word length and at the use of 44conjunctions, prepositions and articles, Ginebra and Cabos (1998) detect heterogeneities that mightindicate the existence of two authors. By analyzing the diversity of the vocabulary, Riba andGinebra (2000) estimates that stylistic boundary to be near chapter 383.Following the lead of the extensive literature, this paper looks into word length, the use of the mostfrequent words and into the use of vowels in each chapter of the book. Given that the featuresselected are categorical, that leads to three contingency tables of ordered rows and therefore tothree sequences of multinomial observations.Section 2 explores these sequences graphically, observing a clear shift in their distribution. Section 3describes the problem of the estimation of a suden change-point in those sequences, in the followingsections we propose various ways to estimate change-points in multinomial sequences; the methodin section 4 involves fitting models for polytomous data, the one in Section 5 fits gamma modelsonto the sequence of Chi-square distances between each row profiles and the average profile, theone in Section 6 fits models onto the sequence of values taken by the first component of thecorrespondence analysis as well as onto sequences of other summary measures like the averageword length. In Section 7 we fit models onto the marginal binomial sequences to identify thefeatures that distinguish the chapters before and after that boundary. Most methods rely heavilyon the use of generalized linear models

The use of rapid dengue diagnostic tests in a routine clinical setting in a dengue-endemic area of Colombia

There is insufficient evidence of the usefulness of dengue diagnostic tests under routine conditions. We sought to analyse how physicians are using dengue diagnostics to inform research and development. Subjects attending 14 health institutions in an endemic area of Colombia with either a clinical diagnosis of dengue or for whom a dengue test was ordered were included in the study. Patterns of test-use are described herein. Factors associated with the ordering of dengue diagnostic tests were identified using contingency tables, nonparametric tests and logistic regression. A total of 778 subjects were diagnosed with dengue by the treating physician, of whom 386 (49.5%) were tested for dengue. Another 491 dengue tests were ordered in subjects whose primary diagnosis was not dengue. Severe dengue classification [odds ratio (OR) 2.2; 95% confidence interval (CI) 1.1-4.5], emergency consultation (OR 1.9; 95% CI 1.4-2.5) and month of the year (OR 3.1; 95% CI 1.7-5.5) were independently associated with ordering of dengue tests. Dengue tests were used both to rule in and rule out diagnosis. The latter use is not justified by the sensitivity of current rapid dengue diagnostic tests. Ordering of dengue tests appear to depend on a combination of factors, including physician and institutional preferences, as well as other patient and epidemiological factors.

Management of the risk of HIV infection in male homosexual couples.

OBJECTIVES: To study the ways of managing HIV risk within male homosexual steady relationships (gay couples), including factors associated with consistent condom use during anal sex with the steady partner.¦METHOD: An anonymous and standardized questionnaire completed by a convenience sample of homosexuals in Switzerland in 1997 (n = 1097). Information on the couple was provided by the 74% (n = 786) of male respondents who reported having a steady partner in the past 12 months. Data were analysed by contingency tables and logistic regression.¦RESULTS: Different ways of managing HIV risk were reported: negotiated safety (both HIV negative, condoms abandoned) was chosen by one quarter of the couples, but the most frequent solution was reliance on condoms for anal sex, chosen by more than four in 10. Altogether 84% of couples exhibited safe management of HIV risk within their partnership. The 16% of couples showing inadequate management of HIV risk within the couple mostly relied on questionable assumptions about past or present risks. A total of 74% of couples had spoken about managing HIV risk with possible casual partners. Reported behaviour with the steady partner and with casual partners was highly consistent with claimed strategies chosen to manage HIV risk. Consistent condom use with the steady partner was mostly associated with variables characterizing the relationship: initial 2 years of the relationship, discordant or unknown serological HIV status, non-exclusivity.¦CONCLUSION: Gay couples manage HIV risk in a variety of ways. Most strategies provide adequate protection with casual partners, but leave gaps in protection between the steady partners themselves.

Ratio maps and correspondence analysis

We compare two methods for visualising contingency tables and developa method called the ratio map which combines the good properties of both.The first is a biplot based on the logratio approach to compositional dataanalysis. This approach is founded on the principle of subcompositionalcoherence, which assures that results are invariant to considering subsetsof the composition. The second approach, correspondence analysis, isbased on the chi-square approach to contingency table analysis. Acornerstone of correspondence analysis is the principle of distributionalequivalence, which assures invariance in the results when rows or columnswith identical conditional proportions are merged. Both methods may bedescribed as singular value decompositions of appropriately transformedmatrices. Correspondence analysis includes a weighting of the rows andcolumns proportional to the margins of the table. If this idea of row andcolumn weights is introduced into the logratio biplot, we obtain a methodwhich obeys both principles of subcompositional coherence and distributionalequivalence.

Análise de Dados de Desemprego em Cabo Verde

Este trabalho baseia-se na análise de dados do desemprego em Cabo Verde nos anos de 2006 e 2008, usando informação da base de dados do INE e IEFP. Partindo da análise dos dados em estudo vai-se procurar descrever e perspectivar metodologias que contemplam as variáveis qualitativas e quantitativas com significado social positivo para a sociedade deste país. Após a introdução no capítulo 1, fez-se, no capítulo 2, a análise exploratória dos dados do desemprego em Cabo Verde referente aos anos 2006 e 2008. No capítulo 3 estudam-se associações entre variáveis, usando a metodologia de tabelas contingência, através da realização de testes de independência e testes de homogeneidade, e análise de medidas de associação. As variáveis usadas, vão ser essencialmente, o escalão etário, o género e o ano. O capítulo 4 é dedicado ao estudo de modelos Log - lineares em tabela de contingência, finalizando-se o trabalho com a apresentação das principais conclusões.

Dynamic graphics of parametrically linked multivariate methods used in compositional data analysis

Many multivariate methods that are apparently distinct can be linked by introducing oneor more parameters in their definition. Methods that can be linked in this way arecorrespondence analysis, unweighted or weighted logratio analysis (the latter alsoknown as "spectral mapping"), nonsymmetric correspondence analysis, principalcomponent analysis (with and without logarithmic transformation of the data) andmultidimensional scaling. In this presentation I will show how several of thesemethods, which are frequently used in compositional data analysis, may be linkedthrough parametrizations such as power transformations, linear transformations andconvex linear combinations. Since the methods of interest here all lead to visual mapsof data, a "movie" can be made where where the linking parameter is allowed to vary insmall steps: the results are recalculated "frame by frame" and one can see the smoothchange from one method to another. Several of these "movies" will be shown, giving adeeper insight into the similarities and differences between these methods.

A limited area model intercomparison on the "Montserrat-2000" flash-flood event using statistical and deterministic methods

In the scope of the European project Hydroptimet, INTERREG IIIB-MEDOCC programme, limited area model (LAM) intercomparison of intense events that produced many damages to people and territory is performed. As the comparison is limited to single case studies, the work is not meant to provide a measure of the different models' skill, but to identify the key model factors useful to give a good forecast on such a kind of meteorological phenomena. This work focuses on the Spanish flash-flood event, also known as "Montserrat-2000" event. The study is performed using forecast data from seven operational LAMs, placed at partners' disposal via the Hydroptimet ftp site, and observed data from Catalonia rain gauge network. To improve the event analysis, satellite rainfall estimates have been also considered. For statistical evaluation of quantitative precipitation forecasts (QPFs), several non-parametric skill scores based on contingency tables have been used. Furthermore, for each model run it has been possible to identify Catalonia regions affected by misses and false alarms using contingency table elements. Moreover, the standard "eyeball" analysis of forecast and observed precipitation fields has been supported by the use of a state-of-the-art diagnostic method, the contiguous rain area (CRA) analysis. This method allows to quantify the spatial shift forecast error and to identify the error sources that affected each model forecasts. High-resolution modelling and domain size seem to have a key role for providing a skillful forecast. Further work is needed to support this statement, including verification using a wider observational data set.

EEG reactivity to pain in comatose patients: Importance of the stimulus type.

INTRODUCTION: Electroencephalogram (EEG) background reactivity is a potentially interesting outcome predictor in comatose patients, especially after cardiac arrest, but recent studies report only fair interrater reliability. Furthermore, there are no definite guidelines for its testing. We therefore investigated the EEG effect of standardized noxious stimuli in comatose patients not reactive to auditory stimuli. METHODS: In this prospective study we applied a protocol using three different painful stimuli (bilateral nipple pinching, pinprick at the nose base, finger-nail compression on each side), grouped in three distinct clusters with an alternated sequence, during EEG recordings in comatose patients. We only analyzed recordings showing any reactivity to pain. Fisher and χ2 tests were used as needed to assess contingency tables. RESULTS: Of 42 studies, 12 did not show any background reactivity, 2 presented SIRPIDs, and 2 had massive artefacts; we thus analyzed 26 EEGs recorded in 17 patients (4 women, 24%). Nipple pinching more frequently induced a change in EEG background activity (p<0.001), with a sensitivity of 97.4% for reactivity. Neither the order of the stimuli in the cluster (p=0.723), nor the cluster order (p=0.901) influenced the results. CONCLUSION: In this pilot study, bilateral, synchronous nipple pinching seems to be the most efficient method to test nociceptive EEG reactivity in comatose patients. This approach may enhance interrater reliability, but deserves confirmation in larger cohorts.

On performance persistence in emerging markets: Empirical evidence from Asia-Pacific

The purpose of this study is to investigate the performance persistence of international mutual funds, employing a data sample which includes 2,168 European mutual funds investing in Asia-Pacific region; Japan excluded. Also, a number of performance measures is tested and compared, and especially, this study tries to find out whether iterative Bayesian procedure can be used to provide more accurate predictions on future performance. Finally, this study examines whether the cross-section of mutual fund returns can be explained with simple accounting variables and market risk. To exclude the effect of the Asian currency crisis in 1997, the studied time period includes years from 1999 to 2007. The overall results showed significant performance persistence for repeating winners when performance was tested with contingency tables. Also the annualized alpha spreads between the top and bottom portfolios were more than ten percent at their highest. Nevertheless, the results do not confirm the improved prediction accuracy of the Bayesian alphas.

Dispersal modes and fruiting periods in hyperseasonal and seasonal savannas, central Brazil

Seasonal savannas are characterized by an intense drought that influences their functioning. Hyperseasonal savannas experience additionally a waterlogging during the rainy season. In South America, the largest savanna environment is the Brazilian cerrado. To assess whether a particular dispersal mode or fruiting period is associated to the waterlogging, we examined dispersal and phenological groups in hyperseasonal and seasonal cerrado plant species. We compared the proportion of species and individuals in these groups with G-tests for independence in contingency tables. We did not find differences in the proportion of species; however, based on the proportion of individuals, the main dispersal strategy was anemochory in the hyperseasonal cerrado and zoochory in the seasonal cerrado. Phenological strategies of fruiting in safe periods of the year were differently selected in both cerrados. In the hyperseasonal cerrado, most individuals fruited in non-waterlogged periods, whereas in the seasonal cerrado, most individuals fruited in wetter periods. Thus, waterlogging may drive important modifications in the efficiency of the dispersal and phenological strategies of hyperseasonal savannas plants.

The investigation of edge effects within ragmented forest islands in Short Hills Provincial Park

It has been well documented, within the field of landscape ecology, that terrestrial fragmentation contributes to increased heterogeneity at the landscape level. It has also been observed that elevated areas of edge habitat occur within fragmented landscapes. Spatial and temporal edge effects were investigated in four areas designated as Nature Reserve Zones within Short Hills Provincial Park, near St. Catharines, Ontario. Random sampling along exposed edges was performed on trees and saplings, at 5 and 25 ill edge depths, using the point-centred quarter method. Diameter at breast height (dbh) and distance from point measurements were used to establish relative density, dominance, frequency and importance value. One-way analyses of variance were used on dbh measurements of tree species and Chi-Square contingency tables were used on size class distributions of saplings species to determine significant differences between 5 and 25 metres. Qualitative comparisons of importance values were also used to determine differences between 5 and 25 metres as well as between trees and saplings. These statistical and qualitative comparisons suggest that a significant overall spatial edge effect is currently exhibited by fragmented wooded islands within the park. The major species of the park, Acersaccharuln, may be exhibiting a temporal edge effect. The heterogeneous nature of the park may be of importance in understanding this area as a complex, ecological system. It is possible that the remaining forest tracts of the park have been affected, and continue to be affected by previous disturbances. Based on these findings, recommendations are made to the Ontario Ministry of Natural Resources concerning the management of Short Hills Provincial Park in accordance with their 1990 proposed Management Plan.

Size invariant measures of association: characterization and difficulties

A measure of association is row-size invariant if it is unaffected by the multiplication of all entries in a row of a cross-classification table by a same positive number. It is class-size invariant if it is unaffected by the multiplication of all entries in a class (i.e., a row or a column). We prove that every class-size invariant measure of association as-signs to each m x n cross-classification table a number which depends only on the cross-product ratios of its 2 x 2 subtables. We propose a monotonicity axiom requiring that the degree of association should increase after shifting mass from cells of a table where this mass is below its expected value to cells where it is above .provided that total mass in each class remains constant. We prove that no continuous row-size invariant measure of association is monotonic if m ≥ 4. Keywords: association, contingency tables, margin-free measures, size invariance, monotonicity, transfer principle.

L’origine géographique en tant que facteur explicatif de la cyberdélinquance

Ce mémoire propose que l’origine d’un cyberdélinquant soit un facteur explicatif du phénomène de la cybercriminalité. Il comporte deux objectifs : premièrement, décrire les profils des cybercriminels recensés dans les médias internationaux; deuxièmement, vérifier si ces profils varient selon le lieu d’origine du cyberdélinquant. Une base de données, comportant 90 cas de cybercriminels répertoriés à travers le monde, fut créée. Quinze (15) cybercriminels par territoire ont été sélectionnés, les régions ciblées allant comme suit : Amérique du Nord, Amérique latine, Australasie, Europe de l’Ouest, Eurasie et Afrique/péninsule Arabique. En premier lieu, des analyses descriptives ont été exécutées afin de dresser un portrait de ce phénomène. En second lieu, des analyses de tableaux de contingence ont été effectuées entre les variables à l’étude afin de voir si des relations existaient. Enfin, d’autres analyses de tableaux de contingence ont été réalisées afin d’établir les différences des paramètres en fonction de l’origine. Les résultats de ces divers tests démontrent que ce sont généralement de jeunes hommes âgés en moyenne de 25 ans qui seront susceptibles de commettre des délits informatiques. Quelques profils types se sont dégagés des analyses et peuvent s’expliquer par l’accès au matériel informatique, les inégalités économiques entre classes sociales, tout comme la vitesse d’Internet, et ce, en fonction de l’origine du cyberdélinquant.

Alternative ways to estimate change points in multinomial sequences. An application to an authorship attribution problem

The statistical analysis of literary style is the part of stylometry that compares measurable characteristics in a text that are rarely controlled by the author, with those in other texts. When the goal is to settle authorship questions, these characteristics should relate to the author’s style and not to the genre, epoch or editor, and they should be such that their variation between authors is larger than the variation within comparable texts from the same author. For an overview of the literature on stylometry and some of the techniques involved, see for example Mosteller and Wallace (1964, 82), Herdan (1964), Morton (1978), Holmes (1985), Oakes (1998) or Lebart, Salem and Berry (1998). Tirant lo Blanc, a chivalry book, is the main work in catalan literature and it was hailed to be “the best book of its kind in the world” by Cervantes in Don Quixote. Considered by writters like Vargas Llosa or Damaso Alonso to be the first modern novel in Europe, it has been translated several times into Spanish, Italian and French, with modern English translations by Rosenthal (1996) and La Fontaine (1993). The main body of this book was written between 1460 and 1465, but it was not printed until 1490. There is an intense and long lasting debate around its authorship sprouting from its first edition, where its introduction states that the whole book is the work of Martorell (1413?-1468), while at the end it is stated that the last one fourth of the book is by Galba (?-1490), after the death of Martorell. Some of the authors that support the theory of single authorship are Riquer (1990), Chiner (1993) and Badia (1993), while some of those supporting the double authorship are Riquer (1947), Coromines (1956) and Ferrando (1995). For an overview of this debate, see Riquer (1990). Neither of the two candidate authors left any text comparable to the one under study, and therefore discriminant analysis can not be used to help classify chapters by author. By using sample texts encompassing about ten percent of the book, and looking at word length and at the use of 44 conjunctions, prepositions and articles, Ginebra and Cabos (1998) detect heterogeneities that might indicate the existence of two authors. By analyzing the diversity of the vocabulary, Riba and Ginebra (2000) estimates that stylistic boundary to be near chapter 383. Following the lead of the extensive literature, this paper looks into word length, the use of the most frequent words and into the use of vowels in each chapter of the book. Given that the features selected are categorical, that leads to three contingency tables of ordered rows and therefore to three sequences of multinomial observations. Section 2 explores these sequences graphically, observing a clear shift in their distribution. Section 3 describes the problem of the estimation of a suden change-point in those sequences, in the following sections we propose various ways to estimate change-points in multinomial sequences; the method in section 4 involves fitting models for polytomous data, the one in Section 5 fits gamma models onto the sequence of Chi-square distances between each row profiles and the average profile, the one in Section 6 fits models onto the sequence of values taken by the first component of the correspondence analysis as well as onto sequences of other summary measures like the average word length. In Section 7 we fit models onto the marginal binomial sequences to identify the features that distinguish the chapters before and after that boundary. Most methods rely heavily on the use of generalized linear models