Breaking down the non-normality of daily stock returns

This paper investigates whether the non-normality typically observed in daily stock-market returns could arise because of the joint existence of breaks and GARCH effects. It proposes a data-driven procedure to credibly identify the number and timing of breaks and applies it on the benchmark stock-market indices of 27 OECD countries. The findings suggest that a substantial element of the observed deviations from normality might indeed be due to the co-existence of breaks and GARCH effects. However, the presence of structural changes is found to be the primary reason for the non-normality and not the GARCH effects. Also, there is still some remaining excess kurtosis that is unlikely to be linked to the specification of the conditional volatility or the presence of breaks. Finally, an interesting sideline result implies that GARCH models have limited capacity in forecasting stock-market volatility.

Monetary variability and monetary variables in the Franc zone

Failure to detect or account for structural changes in economic modelling can lead to misleading policy inferences, which can be perilous, especially for the more fragile economies of developing countries. Using three potential monetary policy instruments (Money Base, M0, and Reserve Money) for 13 member-states of the CFA Franc zone over the period 1989:11-2002:09, we investigate the magnitude of information extracted by employing data-driven techniques when analyzing breaks in time-series, rather than the simplifying practice of imposing policy implementation dates as break dates. The paper also tests Granger's (1980) aggregation theory and highlights some policy implications of the results.

Stock market efficiency before and after a financial liberalisation reform:do breaks in volatility dynamics matter?

This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances in the econometrics of structural change, it compares the distribution of the returns of five East Asian emerging markets when breaks in the mean and variance are either (i) imposed using certain official liberalisation dates or (ii) detected non-parametrically using a data-driven procedure. The results suggest that measuring deviations from normality of stock returns with no provision for potentially existing breaks incorporates substantial bias. This is likely to severely affect any inference based on the corresponding descriptive or test statistics.

Intonation contour realisation for Standard Yorùbá text-to-speech synthesis:a fuzzy computational approach

This paper presents a novel intonation modelling approach and demonstrates its applicability using the Standard Yorùbá language. Our approach is motivated by the theory that abstract and realised forms of intonation and other dimensions of prosody should be modelled within a modular and unified framework. In our model, this framework is implemented using the Relational Tree (R-Tree) technique. The R-Tree is a sophisticated data structure for representing a multi-dimensional waveform in the form of a tree. Our R-Tree for an utterance is generated in two steps. First, the abstract structure of the waveform, called the Skeletal Tree (S-Tree), is generated using tone phonological rules for the target language. Second, the numerical values of the perceptually significant peaks and valleys on the S-Tree are computed using a fuzzy logic based model. The resulting points are then joined by applying interpolation techniques. The actual intonation contour is synthesised by Pitch Synchronous Overlap Technique (PSOLA) using the Praat software. We performed both quantitative and qualitative evaluations of our model. The preliminary results suggest that, although the model does not predict the numerical speech data as accurately as contemporary data-driven approaches, it produces synthetic speech with comparable intelligibility and naturalness. Furthermore, our model is easy to implement, interpret and adapt to other tone languages.

Dynamic Ontologies in Information Security Systems

Different types of ontologies and knowledge or metaknowledge connected to them are considered and analyzed aiming at realization in contemporary information security systems (ISS) and especially the case of intrusion detection systems (IDS) or intrusion prevention systems (IPS). Human-centered methods INCONSISTENCY, FUNNEL, CALEIDOSCOPE and CROSSWORD are algorithmic or data-driven methods based on ontologies. All of them interact on a competitive principle ‘survival of the fittest’. They are controlled by a Synthetic MetaMethod SMM. It is shown that the data analysis frequently needs an act of creation especially if it is applied to knowledge-poor environments. It is shown that human-centered methods are very suitable for resolutions in case, and often they are based on the usage of dynamic ontologies

Towards in silico prediction of immunogenic epitopes

As torrents of new data now emerge from microbial genomics, bioinformatic prediction of immunogenic epitopes remains challenging but vital. In silico methods often produce paradoxically inconsistent results: good prediction rates on certain test sets but not others. The inherent complexity of immune presentation and recognition processes complicates epitope prediction. Two encouraging developments – data driven artificial intelligence sequence-based methods for epitope prediction and molecular modeling methods based on three-dimensional protein structures – offer hope for the future.

Parameterized Link Functions in Generalized Linear Random Effect Models: a Case Study on Breast Cancer Treatment

In non-linear random effects some attention has been very recently devoted to the analysis ofsuitable transformation of the response variables separately (Taylor 1996) or not (Oberg and Davidian 2000) from the transformations of the covariates and, as far as we know, no investigation has been carried out on the choice of link function in such models. In our study we consider the use of a random effect model when a parameterized family of links (Aranda-Ordaz 1981, Prentice 1996, Pregibon 1980, Stukel 1988 and Czado 1997) is introduced. We point out the advantages and the drawbacks associated with the choice of this data-driven kind of modeling. Difficulties in the interpretation of regression parameters, and therefore in understanding the influence of covariates, as well as problems related to loss of efficiency of estimates and overfitting, are discussed. A case study on radiotherapy usage in breast cancer treatment is discussed.

Principal component analysis and assessment of language network activation patterns in pediatric epilepsy

This dissertation establishes a novel data-driven method to identify language network activation patterns in pediatric epilepsy through the use of the Principal Component Analysis (PCA) on functional magnetic resonance imaging (fMRI). A total of 122 subjects’ data sets from five different hospitals were included in the study through a web-based repository site designed here at FIU. Research was conducted to evaluate different classification and clustering techniques in identifying hidden activation patterns and their associations with meaningful clinical variables. The results were assessed through agreement analysis with the conventional methods of lateralization index (LI) and visual rating. What is unique in this approach is the new mechanism designed for projecting language network patterns in the PCA-based decisional space. Synthetic activation maps were randomly generated from real data sets to uniquely establish nonlinear decision functions (NDF) which are then used to classify any new fMRI activation map into typical or atypical. The best nonlinear classifier was obtained on a 4D space with a complexity (nonlinearity) degree of 7. Based on the significant association of language dominance and intensities with the top eigenvectors of the PCA decisional space, a new algorithm was deployed to delineate primary cluster members without intensity normalization. In this case, three distinct activations patterns (groups) were identified (averaged kappa with rating 0.65, with LI 0.76) and were characterized by the regions of: (1) the left inferior frontal Gyrus (IFG) and left superior temporal gyrus (STG), considered typical for the language task; (2) the IFG, left mesial frontal lobe, right cerebellum regions, representing a variant left dominant pattern by higher activation; and (3) the right homologues of the first pattern in Broca's and Wernicke's language areas. Interestingly, group 2 was found to reflect a different language compensation mechanism than reorganization. Its high intensity activation suggests a possible remote effect on the right hemisphere focus on traditionally left-lateralized functions. In retrospect, this data-driven method provides new insights into mechanisms for brain compensation/reorganization and neural plasticity in pediatric epilepsy.

Class Size Reduction: A Significant Option for Improving Student Learning

Raising academic standards is a driving force behind public school initiatives. True educational reform requires a data-driven approach to choosing valid options for student improvement. We discuss current and continuing research that provides evidence that class size reduction, with related variables, is a significant option for improving student learning.

Network construction and graph theoretical analysis of functional language networks in pediatric epilepsy

This dissertation introduces a new approach for assessing the effects of pediatric epilepsy on the language connectome. Two novel data-driven network construction approaches are presented. These methods rely on connecting different brain regions using either extent or intensity of language related activations as identified by independent component analysis of fMRI data. An auditory description decision task (ADDT) paradigm was used to activate the language network for 29 patients and 30 controls recruited from three major pediatric hospitals. Empirical evaluations illustrated that pediatric epilepsy can cause, or is associated with, a network efficiency reduction. Patients showed a propensity to inefficiently employ the whole brain network to perform the ADDT language task; on the contrary, controls seemed to efficiently use smaller segregated network components to achieve the same task. To explain the causes of the decreased efficiency, graph theoretical analysis was carried out. The analysis revealed no substantial global network feature differences between the patient and control groups. It also showed that for both subject groups the language network exhibited small-world characteristics; however, the patient's extent of activation network showed a tendency towards more random networks. It was also shown that the intensity of activation network displayed ipsilateral hub reorganization on the local level. The left hemispheric hubs displayed greater centrality values for patients, whereas the right hemispheric hubs displayed greater centrality values for controls. This hub hemispheric disparity was not correlated with a right atypical language laterality found in six patients. Finally it was shown that a multi-level unsupervised clustering scheme based on self-organizing maps, a type of artificial neural network, and k-means was able to fairly and blindly separate the subjects into their respective patient or control groups. The clustering was initiated using the local nodal centrality measurements only. Compared to the extent of activation network, the intensity of activation network clustering demonstrated better precision. This outcome supports the assertion that the local centrality differences presented by the intensity of activation network can be associated with focal epilepsy.^

Event mining for system and service management

Modern IT infrastructures are constructed by large scale computing systems and administered by IT service providers. Manually maintaining such large computing systems is costly and inefficient. Service providers often seek automatic or semi-automatic methodologies of detecting and resolving system issues to improve their service quality and efficiency. This dissertation investigates several data-driven approaches for assisting service providers in achieving this goal. The detailed problems studied by these approaches can be categorized into the three aspects in the service workflow: 1) preprocessing raw textual system logs to structural events; 2) refining monitoring configurations for eliminating false positives and false negatives; 3) improving the efficiency of system diagnosis on detected alerts. Solving these problems usually requires a huge amount of domain knowledge about the particular computing systems. The approaches investigated by this dissertation are developed based on event mining algorithms, which are able to automatically derive part of that knowledge from the historical system logs, events and tickets. ^ In particular, two textual clustering algorithms are developed for converting raw textual logs into system events. For refining the monitoring configuration, a rule based alert prediction algorithm is proposed for eliminating false alerts (false positives) without losing any real alert and a textual classification method is applied to identify the missing alerts (false negatives) from manual incident tickets. For system diagnosis, this dissertation presents an efficient algorithm for discovering the temporal dependencies between system events with corresponding time lags, which can help the administrators to determine the redundancies of deployed monitoring situations and dependencies of system components. To improve the efficiency of incident ticket resolving, several KNN-based algorithms that recommend relevant historical tickets with resolutions for incoming tickets are investigated. Finally, this dissertation offers a novel algorithm for searching similar textual event segments over large system logs that assists administrators to locate similar system behaviors in the logs. Extensive empirical evaluation on system logs, events and tickets from real IT infrastructures demonstrates the effectiveness and efficiency of the proposed approaches.^

Statistical dialog management for health interventions

Research endeavors on spoken dialogue systems in the 1990s and 2000s have led to the deployment of commercial spoken dialogue systems (SDS) in microdomains such as customer service automation, reservation/booking and question answering systems. Recent research in SDS has been focused on the development of applications in different domains (e.g. virtual counseling, personal coaches, social companions) which requires more sophistication than the previous generation of commercial SDS. The focus of this research project is the delivery of behavior change interventions based on the brief intervention counseling style via spoken dialogue systems. ^ Brief interventions (BI) are evidence-based, short, well structured, one-on-one counseling sessions. Many challenges are involved in delivering BIs to people in need, such as finding the time to administer them in busy doctors' offices, obtaining the extra training that helps staff become comfortable providing these interventions, and managing the cost of delivering the interventions. Fortunately, recent developments in spoken dialogue systems make the development of systems that can deliver brief interventions possible. ^ The overall objective of this research is to develop a data-driven, adaptable dialogue system for brief interventions for problematic drinking behavior, based on reinforcement learning methods. The implications of this research project includes, but are not limited to, assessing the feasibility of delivering structured brief health interventions with a data-driven spoken dialogue system. Furthermore, while the experimental system focuses on harmful alcohol drinking as a target behavior in this project, the produced knowledge and experience may also lead to implementation of similarly structured health interventions and assessments other than the alcohol domain (e.g. obesity, drug use, lack of exercise), using statistical machine learning approaches. ^ In addition to designing a dialog system, the semantic and emotional meanings of user utterances have high impact on interaction. To perform domain specific reasoning and recognize concepts in user utterances, a named-entity recognizer and an ontology are designed and evaluated. To understand affective information conveyed through text, lexicons and sentiment analysis module are developed and tested.^

Temporal Mining for Distributed Systems

Many systems and applications are continuously producing events. These events are used to record the status of the system and trace the behaviors of the systems. By examining these events, system administrators can check the potential problems of these systems. If the temporal dynamics of the systems are further investigated, the underlying patterns can be discovered. The uncovered knowledge can be leveraged to predict the future system behaviors or to mitigate the potential risks of the systems. Moreover, the system administrators can utilize the temporal patterns to set up event management rules to make the system more intelligent. With the popularity of data mining techniques in recent years, these events grad- ually become more and more useful. Despite the recent advances of the data mining techniques, the application to system event mining is still in a rudimentary stage. Most of works are still focusing on episodes mining or frequent pattern discovering. These methods are unable to provide a brief yet comprehensible summary to reveal the valuable information from the high level perspective. Moreover, these methods provide little actionable knowledge to help the system administrators to better man- age the systems. To better make use of the recorded events, more practical techniques are required. From the perspective of data mining, three correlated directions are considered to be helpful for system management: (1) Provide concise yet comprehensive summaries about the running status of the systems; (2) Make the systems more intelligence and autonomous; (3) Effectively detect the abnormal behaviors of the systems. Due to the richness of the event logs, all these directions can be solved in the data-driven manner. And in this way, the robustness of the systems can be enhanced and the goal of autonomous management can be approached. This dissertation mainly focuses on the foregoing directions that leverage tem- poral mining techniques to facilitate system management. More specifically, three concrete topics will be discussed, including event, resource demand prediction, and streaming anomaly detection. Besides the theoretic contributions, the experimental evaluation will also be presented to demonstrate the effectiveness and efficacy of the corresponding solutions.

Principal Component Analysis and Assessment of Language Network Activation Patterns in Pediatric Epilepsy

This dissertation establishes a novel data-driven method to identify language network activation patterns in pediatric epilepsy through the use of the Principal Component Analysis (PCA) on functional magnetic resonance imaging (fMRI). A total of 122 subjects’ data sets from five different hospitals were included in the study through a web-based repository site designed here at FIU. Research was conducted to evaluate different classification and clustering techniques in identifying hidden activation patterns and their associations with meaningful clinical variables. The results were assessed through agreement analysis with the conventional methods of lateralization index (LI) and visual rating. What is unique in this approach is the new mechanism designed for projecting language network patterns in the PCA-based decisional space. Synthetic activation maps were randomly generated from real data sets to uniquely establish nonlinear decision functions (NDF) which are then used to classify any new fMRI activation map into typical or atypical. The best nonlinear classifier was obtained on a 4D space with a complexity (nonlinearity) degree of 7. Based on the significant association of language dominance and intensities with the top eigenvectors of the PCA decisional space, a new algorithm was deployed to delineate primary cluster members without intensity normalization. In this case, three distinct activations patterns (groups) were identified (averaged kappa with rating 0.65, with LI 0.76) and were characterized by the regions of: 1) the left inferior frontal Gyrus (IFG) and left superior temporal gyrus (STG), considered typical for the language task; 2) the IFG, left mesial frontal lobe, right cerebellum regions, representing a variant left dominant pattern by higher activation; and 3) the right homologues of the first pattern in Broca's and Wernicke's language areas. Interestingly, group 2 was found to reflect a different language compensation mechanism than reorganization. Its high intensity activation suggests a possible remote effect on the right hemisphere focus on traditionally left-lateralized functions. In retrospect, this data-driven method provides new insights into mechanisms for brain compensation/reorganization and neural plasticity in pediatric epilepsy.

Improved Criteria for Estimating Calibration Factors for Highway Safety Manual (HSM) Applications

The Highway Safety Manual (HSM) estimates roadway safety performance based on predictive models that were calibrated using national data. Calibration factors are then used to adjust these predictive models to local conditions for local applications. The HSM recommends that local calibration factors be estimated using 30 to 50 randomly selected sites that experienced at least a total of 100 crashes per year. It also recommends that the factors be updated every two to three years, preferably on an annual basis. However, these recommendations are primarily based on expert opinions rather than data-driven research findings. Furthermore, most agencies do not have data for many of the input variables recommended in the HSM. This dissertation is aimed at determining the best way to meet three major data needs affecting the estimation of calibration factors: (1) the required minimum sample sizes for different roadway facilities, (2) the required frequency for calibration factor updates, and (3) the influential variables affecting calibration factors. In this dissertation, statewide segment and intersection data were first collected for most of the HSM recommended calibration variables using a Google Maps application. In addition, eight years (2005-2012) of traffic and crash data were retrieved from existing databases from the Florida Department of Transportation. With these data, the effect of sample size criterion on calibration factor estimates was first studied using a sensitivity analysis. The results showed that the minimum sample sizes not only vary across different roadway facilities, but they are also significantly higher than those recommended in the HSM. In addition, results from paired sample t-tests showed that calibration factors in Florida need to be updated annually. To identify influential variables affecting the calibration factors for roadway segments, the variables were prioritized by combining the results from three different methods: negative binomial regression, random forests, and boosted regression trees. Only a few variables were found to explain most of the variation in the crash data. Traffic volume was consistently found to be the most influential. In addition, roadside object density, major and minor commercial driveway densities, and minor residential driveway density were also identified as influential variables.