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.

Prospective validation of the Pulmonary Embolism Severity Index. A clinical prognostic model for pulmonary embolism

Practice guidelines recommend outpatient care for selected patients with non-massive pulmonary embolism (PE), but fail to specify how these low-risk patients should be identified. Using data from U.S. patients, we previously derived the Pulmonary Embolism Severity Index (PESI), a prediction rule that risk stratifies patients with PE. We sought to validate the PESI in a European patient cohort. We prospectively validated the PESI in patients with PE diagnosed at six emergency departments in three European countries. We used baseline data for the rule's 11 prognostic variables to stratify patients into five risk classes (I-V) of increasing probability of mortality. The outcome was overall mortality at 90 days after presentation. To assess the accuracy of the PESI to predict mortality, we estimated the sensitivity, specificity, and predictive values for low- (risk classes I/II) versus higher-risk patients (risk classes III-V), and the discriminatory power using the area under the receiver operating characteristic (ROC) curve. Among 357 patients with PE, overall mortality was 5.9%, ranging from 0% in class I to 17.9% in class V. The 186 (52%) low-risk patients had an overall mortality of 1.1% (95% confidence interval [CI]: 0.1-3.8%) compared to 11.1% (95% CI: 6.8-16.8%) in the 171 (48%) higher-risk patients. The PESI had a high sensitivity (91%, 95% CI: 71-97%) and a negative predictive value (99%, 95% CI: 96-100%) for predicting mortality. The area under the ROC curve was 0.78 (95% CI: 0.70-0.86). The PESI reliably identifies patients with PE who are at low risk of death and who are potential candidates for outpatient care. The PESI may help physicians make more rational decisions about hospitalization for patients with PE.

Ruling out coronary heart disease in primary care patients with chest pain : a clinical prediction score

ABSTRACT: BACKGROUND: Chest pain raises concern for the possibility of coronary heart disease. Scoring methods have been developed to identify coronary heart disease in emergency settings, but not in primary care. METHODS: Data were collected from a multicenter Swiss clinical cohort study including 672 consecutive patients with chest pain, who had visited one of 59 family practitioners' offices. Using delayed diagnosis we derived a prediction rule to rule out coronary heart disease by means of a logistic regression model. Known cardiovascular risk factors, pain characteristics, and physical signs associated with coronary heart disease were explored to develop a clinical score. Patients diagnosed with angina or acute myocardial infarction within the year following their initial visit comprised the coronary heart disease group. RESULTS: The coronary heart disease score was derived from eight variables: age, gender, duration of chest pain from 1 to 60 minutes, substernal chest pain location, pain increases with exertion, absence of tenderness point at palpation, cardiovascular risks factors, and personal history of cardiovascular disease. Area under the receiver operating characteristics curve was of 0.95 with a 95% confidence interval of 0.92; 0.97. From this score, 413 patients were considered as low risk for values of percentile 5 of the coronary heart disease patients. Internal validity was confirmed by bootstrapping. External validation using data from a German cohort (Marburg, n = 774) revealed a receiver operating characteristics curve of 0.75 (95% confidence interval, 0.72; 0.81) with a sensitivity of 85.6% and a specificity of 47.2%. CONCLUSIONS: This score, based only on history and physical examination, is a complementary tool for ruling out coronary heart disease in primary care patients complaining of chest pain.

Flow-R, a model for susceptibility mapping of debris flows and other gravitational hazards at a regional scale: some case studies

Every year, debris flows cause huge damage in mountainous areas. Due to population pressure in hazardous zones, the socio-economic impact is much higher than in the past. Therefore, the development of indicative susceptibility hazard maps is of primary importance, particularly in developing countries. However, the complexity of the phenomenon and the variability of local controlling factors limit the use of processbased models for a first assessment. A debris flow model has been developed for regional susceptibility assessments using digital elevation model (DEM) with a GIS-based approach.. The automatic identification of source areas and the estimation of debris flow spreading, based on GIS tools, provide a substantial basis for a preliminary susceptibility assessment at a regional scale. One of the main advantages of this model is its workability. In fact, everything is open to the user, from the data choice to the selection of the algorithms and their parameters. The Flow-R model was tested in three different contexts: two in Switzerland and one in Pakistan, for indicative susceptibility hazard mapping. It was shown that the quality of the DEM is the most important parameter to obtain reliable results for propagation, but also to identify the potential debris flows sources.

A prediction rule to identify low-risk patients with pulmonary embolism.

BACKGROUND: A simple prognostic model could help identify patients with pulmonary embolism who are at low risk of death and are candidates for outpatient treatment. METHODS: We randomly allocated 15,531 retrospectively identified inpatients who had a discharge diagnosis of pulmonary embolism from 186 Pennsylvania hospitals to derivation (67%) and internal validation (33%) samples. We derived our rule to predict 30-day mortality using classification tree analysis and patient data routinely available at initial examination as potential predictor variables. We used data from a European prospective study to externally validate the rule among 221 inpatients with pulmonary embolism. We determined mortality and nonfatal adverse medical outcomes across derivation and validation samples. RESULTS: Our final model consisted of 10 patient factors (age > or = 70 years; history of cancer, heart failure, chronic lung disease, chronic renal disease, and cerebrovascular disease; and clinical variables of pulse rate > or = 110 beats/min, systolic blood pressure < 100 mm Hg, altered mental status, and arterial oxygen saturation < 90%). Patients with none of these factors were defined as low risk. The 30-day mortality rates for low-risk patients were 0.6%, 1.5%, and 0% in the derivation, internal validation, and external validation samples, respectively. The rates of nonfatal adverse medical outcomes were less than 1% among low-risk patients across all study samples. CONCLUSIONS: This simple prediction rule accurately identifies patients with pulmonary embolism who are at low risk of short-term mortality and other adverse medical outcomes. Prospective validation of this rule is important before its implementation as a decision aid for outpatient treatment.

Homology modeling and metabolism prediction of human carboxylesterase-2 using docking analyses by GriDock: a parallelized tool based on AutoDock 4.0.

Metabolic problems lead to numerous failures during clinical trials, and much effort is now devoted to developing in silico models predicting metabolic stability and metabolites. Such models are well known for cytochromes P450 and some transferases, whereas less has been done to predict the activity of human hydrolases. The present study was undertaken to develop a computational approach able to predict the hydrolysis of novel esters by human carboxylesterase hCES2. The study involved first a homology modeling of the hCES2 protein based on the model of hCES1 since the two proteins share a high degree of homology (congruent with 73%). A set of 40 known substrates of hCES2 was taken from the literature; the ligands were docked in both their neutral and ionized forms using GriDock, a parallel tool based on the AutoDock4.0 engine which can perform efficient and easy virtual screening analyses of large molecular databases exploiting multi-core architectures. Useful statistical models (e.g., r (2) = 0.91 for substrates in their unprotonated state) were calculated by correlating experimental pK(m) values with distance between the carbon atom of the substrate's ester group and the hydroxy function of Ser228. Additional parameters in the equations accounted for hydrophobic and electrostatic interactions between substrates and contributing residues. The negatively charged residues in the hCES2 cavity explained the preference of the enzyme for neutral substrates and, more generally, suggested that ligands which interact too strongly by ionic bonds (e.g., ACE inhibitors) cannot be good CES2 substrates because they are trapped in the cavity in unproductive modes and behave as inhibitors. The effects of protonation on substrate recognition and the contrasting behavior of substrates and products were finally investigated by MD simulations of some CES2 complexes.

Prediction of postpartum depression using multilayer perceptrons and pruning.

OBJECTIVE. The main goal of this paper is to obtain a classification model based on feed-forward multilayer perceptrons in order to improve postpartum depression prediction during the 32 weeks after childbirth with a high sensitivity and specificity and to develop a tool to be integrated in a decision support system for clinicians. MATERIALS AND METHODS. Multilayer perceptrons were trained on data from 1397 women who had just given birth, from seven Spanish general hospitals, including clinical, environmental and genetic variables. A prospective cohort study was made just after delivery, at 8 weeks and at 32 weeks after delivery. The models were evaluated with the geometric mean of accuracies using a hold-out strategy. RESULTS. Multilayer perceptrons showed good performance (high sensitivity and specificity) as predictive models for postpartum depression. CONCLUSIONS. The use of these models in a decision support system can be clinically evaluated in future work. The analysis of the models by pruning leads to a qualitative interpretation of the influence of each variable in the interest of clinical protocols.

Role of comorbidities in outcome prediction after status epilepticus.

Status epilepticus (SE) is associated with significant mortality and morbidity. A reliable prognosis may help better manage medical resources and treatment strategies. We examined the role of preexisting comorbidities on the outcome of patients with SE, an aspect that has received little attention to date. We prospectively studied incident SE episodes in 280 adults occurring over 55 months in our tertiary care hospital, excluding patients with postanoxic encephalopathy. Different models predicting mortality and return to clinical baseline at hospital discharge were compared, which included demographics, SE etiology, a validated clinical Status Epilepticus Severity Score (STESS), and comorbidities (assessed with the Charlson Comorbidity Index) as independent variables. The overall short-term mortality was 14%, and only half of patients returned to their clinical baseline. On bivariate analyses, age, STESS, potentially fatal etiologies, and number of preexisting comorbidities were all significant predictors of both mortality and return to clinical baseline. As compared with the simplest predictive model (including demographics and deadly etiology), adding SE severity and comorbidities resulted in an improved predictive performance (C statistics 0.84 vs. 0.77 for mortality, and 0.86 vs. 0.82. for return to clinical baseline); comorbidities, however, were not independently related to outcome. Considering comorbidities and clinical presentation, in addition to age and etiology, slightly improves the prediction of SE outcome with respect to both survival and functional status. This analysis also emphasizes the robust predictive role of etiology and age.

Prediction of fat-free mass using bioelectrical impedance analysis in young adults from five populations of African origin.

Background/objectives:Bioelectrical impedance analysis (BIA) is used in population and clinical studies as a technique for estimating body composition. Because of significant under-representation in existing literature, we sought to develop and validate predictive equation(s) for BIA for studies in populations of African origin.Subjects/methods:Among five cohorts of the Modeling the Epidemiologic Transition Study, height, weight, waist circumference and body composition, using isotope dilution, were measured in 362 adults, ages 25-45 with mean body mass indexes ranging from 24 to 32. BIA measures of resistance and reactance were measured using tetrapolar placement of electrodes and the same model of analyzer across sites (BIA 101Q, RJL Systems). Multiple linear regression analysis was used to develop equations for predicting fat-free mass (FFM), as measured by isotope dilution; covariates included sex, age, waist, reactance and height(2)/resistance, along with dummy variables for each site. Developed equations were then tested in a validation sample; FFM predicted by previously published equations were tested in the total sample.Results:A site-combined equation and site-specific equations were developed. The mean differences between FFM (reference) and FFM predicted by the study-derived equations were between 0.4 and 0.6âeuro0/00kg (that is, 1% difference between the actual and predicted FFM), and the measured and predicted values were highly correlated. The site-combined equation performed slightly better than the site-specific equations and the previously published equations.Conclusions:Relatively small differences exist between BIA equations to estimate FFM, whether study-derived or published equations, although the site-combined equation performed slightly better than others. The study-derived equations provide an important tool for research in these understudied populations.

Prediction and discrimination of osteoporotic hip fracture in postmenopausal women.

Osteoporotic hip fractures increase dramatically with age and are responsible for considerable morbidity and mortality. Several treatments to prevent the occurrence of hip fracture have been validated in large randomized trials and the current challenge is to improve the identification of individuals at high risk of fracture who would benefit from therapeutic or preventive intervention. We have performed an exhaustive literature review on hip fracture predictors, focusing primarily on clinical risk factors, dual X-ray absorptiometry (DXA), quantitative ultrasound, and bone markers. This review is based on original articles and meta-analyses. We have selected studies that aim both to predict the risk of hip fracture and to discriminate individuals with or without fracture. We have included only postmenopausal women in our review. For studies involving both men and women, only results concerning women have been considered. Regarding clinical factors, only prospective studies have been taken into account. Predictive factors have been used as stand-alone tools to predict hip fracture or sequentially through successive selection processes or by combination into risk scores. There is still much debate as to whether or not the combination of these various parameters, as risk scores or as sequential or concurrent combinations, could help to better predict hip fracture. There are conflicting results on whether or not such combinations provide improvement over each method alone. Sequential combination of bone mineral density and ultrasound parameters might be cost-effective compared with DXA alone, because of fewer bone mineral density measurements. However, use of multiple techniques may increase costs. One problem that precludes comparison of most published studies is that they use either relative risk, or absolute risk, or sensitivity and specificity. The absolute risk of individuals given their risk factors and bone assessment results would be a more appropriate model for decision-making than relative risk. Currently, a group appointed by the World Health Organization and lead by Professor John Kanis is working on such a model. It will therefore be possible to further assess the best choice of threshold to optimize the number of women needed to screen for each country and each treatment.

A clinical prognostic model for the identification of low-risk patients with acute symptomatic pulmonary embolism and active cancer.

BACKGROUND: Physicians need a specific risk-stratification tool to facilitate safe and cost-effective approaches to the management of patients with cancer and acute pulmonary embolism (PE). The objective of this study was to develop a simple risk score for predicting 30-day mortality in patients with PE and cancer by using measures readily obtained at the time of PE diagnosis. METHODS: Investigators randomly allocated 1,556 consecutive patients with cancer and acute PE from the international multicenter Registro Informatizado de la Enfermedad TromboEmbólica to derivation (67%) and internal validation (33%) samples. The external validation cohort for this study consisted of 261 patients with cancer and acute PE. Investigators compared 30-day all-cause mortality and nonfatal adverse medical outcomes across the derivation and two validation samples. RESULTS: In the derivation sample, multivariable analyses produced the risk score, which contained six variables: age > 80 years, heart rate ≥ 110/min, systolic BP < 100 mm Hg, body weight < 60 kg, recent immobility, and presence of metastases. In the internal validation cohort (n = 508), the 22.2% of patients (113 of 508) classified as low risk by the prognostic model had a 30-day mortality of 4.4% (95% CI, 0.6%-8.2%) compared with 29.9% (95% CI, 25.4%-34.4%) in the high-risk group. In the external validation cohort, the 18% of patients (47 of 261) classified as low risk by the prognostic model had a 30-day mortality of 0%, compared with 19.6% (95% CI, 14.3%-25.0%) in the high-risk group. CONCLUSIONS: The developed clinical prediction rule accurately identifies low-risk patients with cancer and acute PE.

Developing methodologies to allow the robust prediction dynamic context dominated by perturbations

El principal objectiu del projecte era desenvolupar millores conceptuals i metodològiques que permetessin una millor predicció dels canvis en la distribució de les espècies (a una escala de paisatge) derivats de canvis ambientals en un context dominat per pertorbacions. En un primer estudi, vàrem comparar l'eficàcia de diferents models dinàmics per a predir la distribució de l'hortolà (Emberiza hortulana). Els nostres resultats indiquen que un model híbrid que combini canvis en la qualitat de l'hàbitat, derivats de canvis en el paisatge, amb un model poblacional espacialment explícit és una aproximació adequada per abordar canvis en la distribució d'espècies en contextos de dinàmica ambiental elevada i una capacitat de dispersió limitada de l'espècie objectiu. En un segon estudi abordarem la calibració mitjançant dades de seguiment de models de distribució dinàmics per a 12 espècies amb preferència per hàbitats oberts. Entre les conclusions extretes destaquem: (1) la necessitat de que les dades de seguiment abarquin aquelles àrees on es produeixen els canvis de qualitat; (2) el biaix que es produeix en la estimació dels paràmetres del model d'ocupació quan la hipòtesi de canvi de paisatge o el model de qualitat d'hàbitat són incorrectes. En el darrer treball estudiarem el possible impacte en 67 espècies d’ocells de diferents règims d’incendis, definits a partir de combinacions de nivells de canvi climàtic (portant a un augment esperat de la mida i freqüència d’incendis forestals), i eficiència d’extinció per part dels bombers. Segons els resultats dels nostres models, la combinació de factors antropogènics del regim d’incendis, tals com l’abandonament rural i l’extinció, poden ser més determinants per als canvis de distribució que els efectes derivats del canvi climàtic. Els productes generats inclouen tres publicacions científiques, una pàgina web amb resultats del projecte i una llibreria per a l'entorn estadístic R.

SGP-1: prediction and validation of homologous genes based on sequence alignments

Conventional methods of gene prediction rely on the recognition of DNA-sequence signals, the coding potential or the comparison of a genomic sequence with a cDNA, EST, or protein database. Reasons for limited accuracy in many circumstances are species-specific training and the incompleteness of reference databases. Lately, comparative genome analysis has attracted increasing attention. Several analysis tools that are based on human/mouse comparisons are already available. Here, we present a program for the prediction of protein-coding genes, termed SGP-1 (Syntenic Gene Prediction), which is based on the similarity of homologous genomic sequences. In contrast to most existing tools, the accuracy of SGP-1 depends little on species-specific properties such as codon usage or the nucleotide distribution. SGP-1 may therefore be applied to nonstandard model organisms in vertebrates as well as in plants, without the need for extensive parameter training. In addition to predicting genes in large-scale genomic sequences, the program may be useful to validate gene structure annotations from databases. To this end, SGP-1 output also contains comparisons between predicted and annotated gene structures in HTML format. The program can be accessed via a Web server at http://soft.ice.mpg.de/sgp-1. The source code, written in ANSI C, is available on request from the authors.

Splitting statistical potentials into meaningful scoring functions: testing the prediction of near-native structures from decoy conformations

Background: Recent advances on high-throughput technologies have produced a vast amount of protein sequences, while the number of high-resolution structures has seen a limited increase. This has impelled the production of many strategies to built protein structures from its sequence, generating a considerable amount of alternative models. The selection of the closest model to the native conformation has thus become crucial for structure prediction. Several methods have been developed to score protein models by energies, knowledge-based potentials and combination of both.Results: Here, we present and demonstrate a theory to split the knowledge-based potentials in scoring terms biologically meaningful and to combine them in new scores to predict near-native structures. Our strategy allows circumventing the problem of defining the reference state. In this approach we give the proof for a simple and linear application that can be further improved by optimizing the combination of Zscores. Using the simplest composite score () we obtained predictions similar to state-of-the-art methods. Besides, our approach has the advantage of identifying the most relevant terms involved in the stability of the protein structure. Finally, we also use the composite Zscores to assess the conformation of models and to detect local errors.Conclusion: We have introduced a method to split knowledge-based potentials and to solve the problem of defining a reference state. The new scores have detected near-native structures as accurately as state-of-art methods and have been successful to identify wrongly modeled regions of many near-native conformations.

Flow-R, a model for susceptibility mapping of debris flows and other gravitational hazards at a regional scale

The development of susceptibility maps for debris flows is of primary importance due to population pressure in hazardous zones. However, hazard assessment by processbased modelling at a regional scale is difficult due to the complex nature of the phenomenon, the variability of local controlling factors, and the uncertainty in modelling parameters. A regional assessment must consider a simplified approach that is not highly parameter dependant and that can provide zonation with minimum data requirements. A distributed empirical model has thus been developed for regional susceptibility assessments using essentially a digital elevation model (DEM). The model is called Flow-R for Flow path assessment of gravitational hazards at a Regional scale (available free of charge under www.flow-r.org) and has been successfully applied to different case studies in various countries with variable data quality. It provides a substantial basis for a preliminary susceptibility assessment at a regional scale. The model was also found relevant to assess other natural hazards such as rockfall, snow avalanches and floods. The model allows for automatic source area delineation, given user criteria, and for the assessment of the propagation extent based on various spreading algorithms and simple frictional laws.We developed a new spreading algorithm, an improved version of Holmgren's direction algorithm, that is less sensitive to small variations of the DEM and that is avoiding over-channelization, and so produces more realistic extents. The choices of the datasets and the algorithms are open to the user, which makes it compliant for various applications and dataset availability. Amongst the possible datasets, the DEM is the only one that is really needed for both the source area delineation and the propagation assessment; its quality is of major importance for the results accuracy. We consider a 10m DEM resolution as a good compromise between processing time and quality of results. However, valuable results have still been obtained on the basis of lower quality DEMs with 25m resolution.