An autoregressive conditional filtering process to remove intraday seasonal volatility and its application to testing the noisy rational expectations model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

Tests of the Intersensory Redundancy Hypothesis across early postnatal development

The Intersensory Redundancy Hypothesis (IRH; Bahrick & Lickliter, 2000, 2002, 2012) predicts that early in development information presented to a single sense modality will selectively recruit attention to modality-specific properties of stimulation and facilitate learning of those properties at the expense of amodal properties (unimodal facilitation). Vaillant (2010) demonstrated that bobwhite quail chicks prenatally exposed to a maternal call alone (unimodal stimulation) are able to detect a pitch change, a modality-specific property, in subsequent postnatal testing between the familiarized call and the same call with altered pitch. In contrast, chicks prenatally exposed to a maternal call paired with a temporally synchronous light (redundant audiovisual stimulation) were unable to detect a pitch change. According to the IRH (Bahrick & Lickliter, 2012), as development proceeds and the individual's perceptual abilities increase, the individual should detect modality-specific properties in both nonredundant, unimodal and redundant, bimodal conditions. However, when the perceiver is presented with a difficult task, relative to their level of expertise, unimodal facilitation should become evident. The first experiment of the present study exposed bobwhite quail chicks 24 hr after hatching to unimodal auditory, nonredundant audiovisual, or redundant audiovisual presentations of a maternal call for 10min/hr for 24 hours. All chicks were subsequently tested 24 hr after the completion of the stimulation (72 hr following hatching) between the familiarized maternal call and the same call with altered pitch. Chicks from all experimental groups (unimodal, nonredundant audiovisual, and redundant audiovisual exposure) significantly preferred the familiarized call over the pitch-modified call. The second experiment exposed chicks to the same exposure conditions, but created a more difficult task by narrowing the pitch range between the two maternal calls with which they were tested. Chicks in the unimodal and nonredundant audiovisual conditions demonstrated detection of the pitch change, whereas the redundant audiovisual exposure group did not show detection of the pitch change, providing evidence of unimodal facilitation. These results are consistent with predictions of the IRH and provide further support for the effects of unimodal facilitation and the role of task difficulty across early development.

Reliability analysis of encapsulation methods for lead -based paint through an accelerated life testing

The adverse health effects of long-term exposure to lead are well established, with major uptake into the human body occurring mainly through oral ingestion by young children. Lead-based paint was frequently used in homes built before 1978, particularly in inner-city areas. Minority populations experience the effects of lead poisoning disproportionately. ^ Lead-based paint abatement is costly. In the United States, residents of about 400,000 homes, occupied by 900,000 young children, lack the means to correct lead-based paint hazards. The magnitude of this problem demands research on affordable methods of hazard control. One method is encapsulation, defined as any covering or coating that acts as a permanent barrier between the lead-based paint surface and the environment. ^ Two encapsulants were tested for reliability and effective life span through an accelerated lifetime experiment that applied stresses exceeding those encountered under normal use conditions. The resulting time-to-failure data were used to extrapolate the failure time under conditions of normal use. Statistical analysis and models of the test data allow forecasting of long-term reliability relative to the 20-year encapsulation requirement. Typical housing material specimens simulating walls and doors coated with lead-based paint were overstressed before encapsulation. A second, un-aged set was also tested. Specimens were monitored after the stress test with a surface chemical testing pad to identify the presence of lead breaking through the encapsulant. ^ Graphical analysis proposed by Shapiro and Meeker and the general log-linear model developed by Cox were used to obtain results. Findings for the 80% reliability time to failure varied, with close to 21 years of life under normal use conditions for encapsulant A. The application of product A on the aged gypsum and aged wood substrates yielded slightly lower times. Encapsulant B had an 80% reliable life of 19.78 years. ^ This study reveals that encapsulation technologies can offer safe and effective control of lead-based paint hazards and may be less expensive than other options. The U.S. Department of Health and Human Services and the CDC are committed to eliminating childhood lead poisoning by 2010. This ambitious target is feasible, provided there is an efficient application of innovative technology, a goal to which this study aims to contribute. ^

Evidence of the heterogeneous market hypothesis using wavelet multi -resolution analysis

In finance literature many economic theories and models have been proposed to explain and estimate the relationship between risk and return. Assuming risk averseness and rational behavior on part of the investor, the models are developed which are supposed to help in forming efficient portfolios that either maximize (minimize) the expected rate of return (risk) for a given level of risk (rates of return). One of the most used models to form these efficient portfolios is the Sharpe's Capital Asset Pricing Model (CAPM). In the development of this model it is assumed that the investors have homogeneous expectations about the future probability distribution of the rates of return. That is, every investor assumes the same values of the parameters of the probability distribution. Likewise financial volatility homogeneity is commonly assumed, where volatility is taken as investment risk which is usually measured by the variance of the rates of return. Typically the square root of the variance is used to define financial volatility, furthermore it is also often assumed that the data generating process is made of independent and identically distributed random variables. This again implies that financial volatility is measured from homogeneous time series with stationary parameters. In this dissertation, we investigate the assumptions of homogeneity of market agents and provide evidence for the case of heterogeneity in market participants' information, objectives, and expectations about the parameters of the probability distribution of prices as given by the differences in the empirical distributions corresponding to different time scales, which in this study are associated with different classes of investors, as well as demonstrate that statistical properties of the underlying data generating processes including the volatility in the rates of return are quite heterogeneous. In other words, we provide empirical evidence against the traditional views about homogeneity using non-parametric wavelet analysis on trading data, The results show heterogeneity of financial volatility at different time scales, and time-scale is one of the most important aspects in which trading behavior differs. In fact we conclude that heterogeneity as posited by the Heterogeneous Markets Hypothesis is the norm and not the exception.

A heuristic algorithm to generate test program sequences for moving probe electronic test equipment

The electronics industry, is experiencing two trends one of which is the drive towards miniaturization of electronic products. The in-circuit testing predominantly used for continuity testing of printed circuit boards (PCB) can no longer meet the demands of smaller size circuits. This has lead to the development of moving probe testing equipment. Moving Probe Test opens up the opportunity to test PCBs where the test points are on a small pitch (distance between points). However, since the test uses probes that move sequentially to perform the test, the total test time is much greater than traditional in-circuit test. While significant effort has concentrated on the equipment design and development, little work has examined algorithms for efficient test sequencing. The test sequence has the greatest impact on total test time, which will determine the production cycle time of the product. Minimizing total test time is a NP-hard problem similar to the traveling salesman problem, except with two traveling salesmen that must coordinate their movements. The main goal of this thesis was to develop a heuristic algorithm to minimize the Flying Probe test time and evaluate the algorithm against a "Nearest Neighbor" algorithm. The algorithm was implemented with Visual Basic and MS Access database. The algorithm was evaluated with actual PCB test data taken from Industry. A statistical analysis with 95% C.C. was performed to test the hypothesis that the proposed algorithm finds a sequence which has a total test time less than the total test time found by the "Nearest Neighbor" approach. Findings demonstrated that the proposed heuristic algorithm reduces the total test time of the test and, therefore, production cycle time can be reduced through proper sequencing.

An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

From Theory-Inspired to Theory-Based Interventions : A Protocol for Developing and Testing a Methodology for Linking Behaviour Change Techniques to Theoretical Mechanisms of Action

This research is funded by UK Medical Research Council grant number MR/L011115/1. We would like to thank the 105 experts in behaviour change who have committed their time and offered their expertise for study 2 of this research. We are also very grateful to all those who sent us peer-reviewed behaviour change intervention descriptions for study 1. Finally, we would like thank Dr. Emma Beard and Dr. Dan Dediu for their statistical input and to all the researchers, particularly Holly Walton, who have assisted in the coding of papers for study 1.

An R-package for the Estimation and Testing of Multiple Covariates and Biomarker Interactions for Survival Data Based on Local Partial Likelihood

When we study the variables that a ffect survival time, we usually estimate their eff ects by the Cox regression model. In biomedical research, e ffects of the covariates are often modi ed by a biomarker variable. This leads to covariates-biomarker interactions. Here biomarker is an objective measurement of the patient characteristics at baseline. Liu et al. (2015) has built up a local partial likelihood bootstrap model to estimate and test this interaction e ffect of covariates and biomarker, but the R code developed by Liu et al. (2015) can only handle one variable and one interaction term and can not t the model with adjustment to nuisance variables. In this project, we expand the model to allow adjustment to nuisance variables, expand the R code to take any chosen interaction terms, and we set up many parameters for users to customize their research. We also build up an R package called "lplb" to integrate the complex computations into a simple interface. We conduct numerical simulation to show that the new method has excellent fi nite sample properties under both the null and alternative hypothesis. We also applied the method to analyze data from a prostate cancer clinical trial with acid phosphatase (AP) biomarker.

GRASP and statistical bounds for heuristic solutions to combinatorial problems

The quality of a heuristic solution to a NP-hard combinatorial problem is hard to assess. A few studies have advocated and tested statistical bounds as a method for assessment. These studies indicate that statistical bounds are superior to the more widely known and used deterministic bounds. However, the previous studies have been limited to a few metaheuristics and combinatorial problems and, hence, the general performance of statistical bounds in combinatorial optimization remains an open question. This work complements the existing literature on statistical bounds by testing them on the metaheuristic Greedy Randomized Adaptive Search Procedures (GRASP) and four combinatorial problems. Our findings confirm previous results that statistical bounds are reliable for the p-median problem, while we note that they also seem reliable for the set covering problem. For the quadratic assignment problem, the statistical bounds has previously been found reliable when obtained from the Genetic algorithm whereas in this work they found less reliable. Finally, we provide statistical bounds to four 2-path network design problem instances for which the optimum is currently unknown.

Evaluating statistical and machine learning methods to predict risk of in-hospital child mortality in Uganda

Thesis (Master's)--University of Washington, 2016-08

The renormalization group via statistical inference

In physics, one attempts to infer the rules governing a system given only the results of imperfect measurements. Hence, microscopic theories may be effectively indistinguishable experimentally. We develop an operationally motivated procedure to identify the corresponding equivalence classes of states, and argue that the renormalization group (RG) arises from the inherent ambiguities associated with the classes: one encounters flow parameters as, e.g., a regulator, a scale, or a measure of precision, which specify representatives in a given equivalence class. This provides a unifying framework and reveals the role played by information in renormalization. We validate this idea by showing that it justifies the use of low-momenta n-point functions as statistically relevant observables around a Gaussian hypothesis. These results enable the calculation of distinguishability in quantum field theory. Our methods also provide a way to extend renormalization techniques to effective models which are not based on the usual quantum-field formalism, and elucidates the relationships between various type of RG.

Is phraseology the third articulation of language? Fresh insights into a theoretical conundrum

Is phraseology the third articulation of language? Fresh insights into a theoretical conundrum Jean-Pierre Colson University of Louvain (Louvain-la-Neuve, Belgium) Although the notion of phraseology is now used across a wide range of linguistic disciplines, its definition and the classification of phraseological units remain a subject of intense debate. It is generally agreed that phraseology implies polylexicality, but this term is problematic as well, because it brings us back to one of the most controversial topics in modern linguistics: the definition of a word. On the other hand, another widely accepted principle of language is the double articulation or duality of patterning (Martinet 1960): the first articulation consists of morphemes and the second of phonemes. The very definition of morphemes, however, also poses several problems, and the situation becomes even more confused if we wish to take phraseology into account. In this contribution, I will take the view that a corpus-based and computational approach to phraseology may shed some new light on this theoretical conundrum. A better understanding of the basic units of meaning is necessary for more efficient language learning and translation, especially in the case of machine translation. Previous research (Colson 2011, 2012, 2013, 2014), Corpas Pastor (2000, 2007, 2008, 2013, 2015), Corpas Pastor & Leiva Rojo (2011), Leiva Rojo (2013), has shown the paramount importance of phraseology for translation. A tentative step towards a coherent explanation of the role of phraseology in language has been proposed by Mejri (2006): it is postulated that a third articulation of language intervenes at the level of words, including simple morphemes, sequences of free and bound morphemes, but also phraseological units. I will present results from experiments with statistical associations of morphemes across several languages, and point out that (mainly) isolating languages such as Chinese are interesting for a better understanding of the interplay between morphemes and phraseological units. Named entities, in particular, are an extreme example of intertwining cultural, statistical and linguistic elements. Other examples show that the many borrowings and influences that characterize European languages tend to give a somewhat blurred vision of the interplay between morphology and phraseology. From a statistical point of view, the cpr-score (Colson 2016) provides a methodology for adapting the automatic extraction of phraseological units to the morphological structure of each language. The results obtained can therefore be used for testing hypotheses about the interaction between morphology, phraseology and culture. Experiments with the cpr-score on the extraction of Chinese phraseological units show that results depend on how the basic units of meaning are defined: a morpheme-based approach yields good results, which corroborates the claim by Beck and Mel'čuk (2011) that the association of morphemes into words may be similar to the association of words into phraseological units. A cross-linguistic experiment carried out for English, French, Spanish and Chinese also reveals that the results are quite compatible with Mejri’s hypothesis (2006) of a third articulation of language. Such findings, if confirmed, also corroborate the notion of statistical semantics in language. To illustrate this point, I will present the PhraseoRobot (Colson 2016), a computational tool for extracting phraseological associations around key words from the media, such as Brexit. The results confirm a previous study on the term globalization (Colson 2016): a significant part of sociolinguistic associations prevailing in the media is related to phraseology in the broad sense, and can therefore be partly extracted by means of statistical scores. References Beck, D. & I. Mel'čuk (2011). Morphological phrasemes and Totonacan verbal morphology. Linguistics 49/1: 175-228. Colson, J.-P. (2011). La traduction spécialisée basée sur les corpus : une expérience dans le domaine informatique. In : Sfar, I. & S. Mejri, La traduction de textes spécialisés : retour sur des lieux communs. Synergies Tunisie n° 2. Gerflint, Agence universitaire de la Francophonie, p. 115-123. Colson, J.-P. (2012). Traduire le figement en langue de spécialité : une expérience de phraséologie informatique. In : Mogorrón Huerta, P. & S. Mejri (dirs.), Lenguas de especialidad, traducción, fijación / Langues spécialisées, figement et traduction. Encuentros Mediterráneos / Rencontres Méditerranéennes, N°4. Universidad de Alicante, p. 159-171. Colson, J.-P. (2013). Pratique traduisante et idiomaticité : l’importance des structures semi-figées. In : Mogorrón Huerta, P., Gallego Hernández, D., Masseau, P. & Tolosa Igualada, M. (eds.), Fraseología, Opacidad y Traduccíon. Studien zur romanischen Sprachwissenschaft und interkulturellen Kommunikation (Herausgegeben von Gerd Wotjak). Frankfurt am Main, Peter Lang, p. 207-218. Colson, J.-P. (2014). La phraséologie et les corpus dans les recherches traductologiques. Communication lors du colloque international Europhras 2014, Association Européenne de Phraséologie. Université de Paris Sorbonne, 10-12 septembre 2014. Colson, J-P. (2016). Set phrases around globalization : an experiment in corpus-based computational phraseology. In: F. Alonso Almeida, I. Ortega Barrera, E. Quintana Toledo and M. Sánchez Cuervo (eds.), Input a Word, Analyse the World: Selected Approaches to Corpus Linguistics. Newcastle upon Tyne: Cambridge Scholars Publishing, p. 141-152. Corpas Pastor, G. (2000). Acerca de la (in)traducibilidad de la fraseología. In: G. Corpas Pastor (ed.), Las lenguas de Europa: Estudios de fraseología, fraseografía y traducción. Granada: Comares, p. 483-522. Corpas Pastor, G. (2007). Europäismen - von Natur aus phraseologische Äquivalente? Von blauem Blut und sangre azul. In: M. Emsel y J. Cuartero Otal (eds.), Brücken: Übersetzen und interkulturelle Kommunikationen. Festschrift für Gerd Wotjak zum 65. Geburtstag, Fráncfort: Peter Lang, p. 65-77. Corpas Pastor, G. (2008). Investigar con corpus en traducción: los retos de un nuevo paradigma [Studien zur romanische Sprachwissenschaft und interkulturellen Kommunikation, 49], Fráncfort: Peter Lang. Corpas Pastor, G. (2013). Detección, descripción y contraste de las unidades fraseológicas mediante tecnologías lingüísticas. In Olza, I. & R. Elvira Manero (eds.) Fraseopragmática. Berlin: Frank & Timme, p. 335-373. Leiva Rojo, J. (2013). La traducción de unidades fraseológicas (alemán-español/español-alemán) como parámetro para la evaluación y revisión de traducciones. In: Mellado Blanco, C., Buján, P, Iglesias N.M., Losada M.C. & A. Mansilla (eds), La fraseología del alemán y el español: lexicografía y traducción. ELS, Etudes Linguistiques / Linguistische Studien, Band 11. München: Peniope, p. 31-42. Leiva Rojo, J. & G. Corpas Pastor (2011). Placing Italian idioms in a foreign milieu: a case study. In: Pamies Bertrán, A., Luque Nadal, L., Bretana, J. &; M. Pazos (eds), (2011). Multilingual phraseography. Second Language Learning and Translation Applications. Baltmannsweiler: Schneider Verlag (Colección: Phraseologie und Parömiologie, 28), p. 289-298. Martinet, A. (1966). Eléments de linguistique générale. Paris: Colin. Mejri, S. (2006). Polylexicalité, monolexicalité et double articulation. Cahiers de Lexicologie 2: 209-221.

Statistical Analysis of Text Summarization Evaluation

This dissertation applies statistical methods to the evaluation of automatic summarization using data from the Text Analysis Conferences in 2008-2011. Several aspects of the evaluation framework itself are studied, including the statistical testing used to determine significant differences, the assessors, and the design of the experiment. In addition, a family of evaluation metrics is developed to predict the score an automatically generated summary would receive from a human judge and its results are demonstrated at the Text Analysis Conference. Finally, variations on the evaluation framework are studied and their relative merits considered. An over-arching theme of this dissertation is the application of standard statistical methods to data that does not conform to the usual testing assumptions.

Study on Bivariate Normal Distribution

Let (X, Y) be bivariate normal random vectors which represent the responses as a result of Treatment 1 and Treatment 2. The statistical inference about the bivariate normal distribution parameters involving missing data with both treatment samples is considered. Assuming the correlation coefficient ρ of the bivariate population is known, the MLE of population means and variance (ξ, η, and σ2) are obtained. Inferences about these parameters are presented. Procedures of constructing confidence interval for the difference of population means ξ – η and testing hypothesis about ξ – η are established. The performances of the new estimators and testing procedure are compared numerically with the method proposed in Looney and Jones (2003) on the basis of extensive Monte Carlo simulation. Simulation studies indicate that the testing power of the method proposed in this thesis study is higher.

Hilbert Space Valued Signal Plus Noise Models: Analysis of Structural Breaks under High Dimensionality and Temporal Dependence

This thesis is concerned with change point analysis for time series, i.e. with detection of structural breaks in time-ordered, random data. This long-standing research field regained popularity over the last few years and is still undergoing, as statistical analysis in general, a transformation to high-dimensional problems. We focus on the fundamental »change in the mean« problem and provide extensions of the classical non-parametric Darling-Erdős-type cumulative sum (CUSUM) testing and estimation theory within highdimensional Hilbert space settings. In the first part we contribute to (long run) principal component based testing methods for Hilbert space valued time series under a rather broad (abrupt, epidemic, gradual, multiple) change setting and under dependence. For the dependence structure we consider either traditional m-dependence assumptions or more recently developed m-approximability conditions which cover, e.g., MA, AR and ARCH models. We derive Gumbel and Brownian bridge type approximations of the distribution of the test statistic under the null hypothesis of no change and consistency conditions under the alternative. A new formulation of the test statistic using projections on subspaces allows us to simplify the standard proof techniques and to weaken common assumptions on the covariance structure. Furthermore, we propose to adjust the principal components by an implicit estimation of a (possible) change direction. This approach adds flexibility to projection based methods, weakens typical technical conditions and provides better consistency properties under the alternative. In the second part we contribute to estimation methods for common changes in the means of panels of Hilbert space valued time series. We analyze weighted CUSUM estimates within a recently proposed »high-dimensional low sample size (HDLSS)« framework, where the sample size is fixed but the number of panels increases. We derive sharp conditions on »pointwise asymptotic accuracy« or »uniform asymptotic accuracy« of those estimates in terms of the weighting function. Particularly, we prove that a covariance-based correction of Darling-Erdős-type CUSUM estimates is required to guarantee uniform asymptotic accuracy under moderate dependence conditions within panels and that these conditions are fulfilled, e.g., by any MA(1) time series. As a counterexample we show that for AR(1) time series, close to the non-stationary case, the dependence is too strong and uniform asymptotic accuracy cannot be ensured. Finally, we conduct simulations to demonstrate that our results are practically applicable and that our methodological suggestions are advantageous.