Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

Tests for Cointegration Rank and the Initial Condition

Many economic events involve initial observations that substantially deviate from long-run steady state. Initial conditions of this type have been found to impact diversely on the power of univariate unit root tests, whereas the impact on multivariate tests is largely unknown. This paper investigates the impact of the initial condition on tests for cointegration rank. We compare the local power of the widely used likelihood ratio (LR) test with the local power of a test based on the eigenvalues of the companion matrix. We find that the power of the LR test is increasing in the magnitude of the initial condition, whereas the power of the other test is decreasing. The behaviour of the tests is investigated in an application to price convergence.

Bayesian Decentralized Spectrum Sensing in Cognitive Radio Networks

This paper considers the problem of spectrum sensing, i.e., the detection of whether or not a primary user is transmitting data by a cognitive radio. The Bayesian framework is adopted, with the performance measure being the probability of detection error. A decentralized setup, where N sensors use M observations each to arrive at individual decisions that are combined at a fusion center to form the overall decision is considered. The unknown fading channel between the primary sensor and the cognitive radios makes the individual decision rule computationally complex, hence, a generalized likelihood ratio test (GLRT)-based approach is adopted. Analysis of the probabilities of false alarm and miss detection of the proposed method reveals that the error exponent with respect to M is zero. Also, the fusion of N individual decisions offers a diversity advantage, similar to diversity reception in communication systems, and a tight bound on the error exponent is presented. Through an analysis in the low power regime, the number of observations needed as a function of received power, to achieve a given probability of error is determined. Monte-Carlo simulations confirm the accuracy of the analysis.

Narrowband signal detection techniques in shallow ocean by acoustic vector sensor array

This paper presents the formulation and performance analysis of four techniques for detection of a narrowband acoustic source in a shallow range-independent ocean using an acoustic vector sensor (AVS) array. The array signal vector is not known due to the unknown location of the source. Hence all detectors are based on a generalized likelihood ratio test (GLRT) which involves estimation of the array signal vector. One non-parametric and three parametric (model-based) signal estimators are presented. It is shown that there is a strong correlation between the detector performance and the mean-square signal estimation error. Theoretical expressions for probability of false alarm and probability of detection are derived for all the detectors, and the theoretical predictions are compared with simulation results. It is shown that the detection performance of an AVS array with a certain number of sensors is equal to or slightly better than that of a conventional acoustic pressure sensor array with thrice as many sensors.

A Bacterial Foraging Optimization and Learning Automata Based Feature Selection for Motor Imagery EEG Classification

Selection of relevant features is an open problem in Brain-computer interfacing (BCI) research. Sometimes, features extracted from brain signals are high dimensional which in turn affects the accuracy of the classifier. Selection of the most relevant features improves the performance of the classifier and reduces the computational cost of the system. In this study, we have used a combination of Bacterial Foraging Optimization and Learning Automata to determine the best subset of features from a given motor imagery electroencephalography (EEG) based BCI dataset. Here, we have employed Discrete Wavelet Transform to obtain a high dimensional feature set and classified it by Distance Likelihood Ratio Test. Our proposed feature selector produced an accuracy of 80.291% in 216 seconds.

SPEECH ENHANCEMENT USING DISCRIMINATIVE RANDOM FIELDS

Speech enhancement in stationary noise is addressed using the ideal channel selection framework. In order to estimate the binary mask, we propose to classify each time-frequency (T-F) bin of the noisy signal as speech or noise using Discriminative Random Fields (DRF). The DRF function contains two terms - an enhancement function and a smoothing term. On each T-F bin, we propose to use an enhancement function based on likelihood ratio test for speech presence, while Ising model is used as smoothing function for spectro-temporal continuity in the estimated binary mask. The effect of the smoothing function over successive iterations is found to reduce musical noise as opposed to using only enhancement function. The binary mask is inferred from the noisy signal using Iterated Conditional Modes (ICM) algorithm. Sentences from NOIZEUS corpus are evaluated from 0 dB to 15 dB Signal to Noise Ratio (SNR) in 4 kinds of additive noise settings: additive white Gaussian noise, car noise, street noise and pink noise. The reconstructed speech using the proposed technique is evaluated in terms of average segmental SNR, Perceptual Evaluation of Speech Quality (PESQ) and Mean opinion Score (MOS).

Fiabilidad de los predictores clínicos y de la biopsia de arteria temporal en el diagnóstico de la arteritis de células gigantes

182 p. : il.

Reproductive biology of carpenter seabream (Argyrozona argyrozona) (Pisces: Sparidae) in a marine protected area

The carpenter seabream (Argyrozona argyrozona) is an endemic South African sparid that comprises an important part of the handline fishery. A three-year study (1998−2000) into its reproductive biology within the Tsitsikamma National Park revealed that these fishes are serial spawning late gonochorists. The size at 50% maturity (L50) was estimated at 292 and 297 mm FL for both females and males, respectively. A likelihood ratio test revealed that there was no significant difference between male and female L50 (P>0.5). Both monthly gonadosomatic indices and macroscopically determined ovarian stages strongly indicate that A. argyrozona within the Tsitsikamma National Park spawn in the astral summer between November and April. The presence of postovulatory follicles (POFs) confirmed a six-month spawning season, and monthly proportions of early (0−6 hour old) POFs showed that spawning frequency was highest (once every 1−2 days) from December to March. Although spawning season was more highly correlated to photoperiod (r = 0.859) than temperature (r = −0.161), the daily proportion of spawning fish was strongly correlated (r= 0.93) to ambient temperature over the range 9−22oC. These results indicate that short-term upwelling events, a strong feature in the Tsitsikamma National Park during summer, may negatively affect carpenter fecundity. Both spawning frequency and duration (i.e., length of spawning season) increased with fish length. As a result of the allometric relationship between annual fecundity and fish mass a 3-kg fish was calculated to produce fivefold more eggs per kilogram of body weight than a fish of 1 kg. In addition to producing more eggs per unit of weight each year, larger fish also produce significantly larger eggs.

Comparative molecular population genetics of phycoerythrin locus in Prochlorococcus

As the only remainder type of phycobiliproteins in Prochlorococcus, the actual role of phycoerythrin still remains unknown. Previous studies revealed that two different forms of phycoerythrin gene were found in two ecotypes of Prochlorococcus that are specifically adapted to either high light (HL) or low light (LL) conditions. Here we analyze patterns of phycoerythrin nucleotide variation in the HL- and LL-Prochlorococcus populations. Our analyses reveal a significantly greater number of non-synonymous fixed substitutions in peB and peA than expected based on interspecific comparisons. This pattern of excess non-synonymous fixed substitutions is not seen in other five phycoerythrin-related genes (peZ/V/Y/T/S). Several neutrality statistical tests indicate an excess of rare frequency polymorphisms in the LL-Prochlorococcus data, but an excess of intermediate frequency polymorphisms in the HL-Prochlorococcus data. Distributions of the positively selected sites identified using the likelihood ratio test, when mapped onto the phycoerythrin tertiary structure, reveal that HL- and LL-phycoerythrin should be under different selective patterns. These findings may provide insights into the likely role of selection at the phycoerythrin locus and motivate further research to unveil the function of phycoerythrin in Prochlorococcus.

雨生红球藻中虾青素合成相关酶基因的转录调控序列分析

虾青素是一种具有极强抗氧化活性的类胡萝卜素，具有广泛的应用价值。雨生红球藻是一种单细胞绿藻，在逆境胁迫条件下能够大量合成并迅速积累虾青素，其积累量最高可达细胞干重的4%，从而成为目前首选的天然虾青素合成工具。但是，虾青素的大量积累总是发生在不适于生物量积累的环境胁迫条件下，虾青素积累与生物量积累之间成为一对矛盾，制约着虾青素大量生产。 异戊烯焦磷酸异构酶（IPI）、β-胡萝卜素酮化酶（BKT）和β-胡萝卜素氧化酶（CRTO）是虾青素合成过程中的相关酶。已有研究结果表明，这些酶基因的表达调控至少是部分发生在转录水平上的，这就为我们从转录水平上研究虾青素生物合成关键酶基因的调控机制提供了重要线索。 本文研究结果如下： 1. 利用基因组步移的方法克隆了两条异戊烯焦磷酸异构酶基因（ipi）的5’上游侧翼序列（1.8kb和2.5kb），预示着ipi的转录由不止一个启动子调控。 2. 利用上述方法克隆了两条β-胡萝卜素氧化酶基因（crtO）5'上游侧翼序列（1kb和2kb）。以lacZ为报告基因的瞬间表达实验结果表明，长度为320bp(-682/-363)的crtO 5'上游侧翼序列具有很强的启动转录活性，提示这段序列包含了启动子的结构。 3. 利用凝胶阻滞的方法研究了雨生红球藻中bkt强启动转录活性区域，即 309bp(-617/-309)启动子区域的转录因子结合位点，并发现在-396/-338的59bp区域内存在特异的核蛋白结合位点。通过序列分析，发现此59bp区域并不包含TATA或者CAAT-box，而是存在对光、缺氧、p-香豆酸及激素反应的G-box。 4. 根据国外已经获得的ipi和crtO全长cDNA序列，利用长距离PCR法从红球藻基因组中扩增到基因组序列。发现ipi和crtO均包含6个外显子和5个内含子，内含子的剪切位点基本符合GU-AG规律。并通过似然比检验（Likelihood ratio test）的方法发现两基因在进化过程中存在着正选择现象。 这些工作为下一步继续寻找与上述特定DNA调控区域特异结合的反式作用因子（蛋白质因子）奠定了基础。

Survival analysis of adult tuberculosis disease

Background: We conducted a survival analysis of all the confirmed cases of Adult Tuberculosis (TB) patients treated in Cork-City, Ireland. The aim of this study was to estimate Survival time (ST), including median time of survival and to assess the association and impact of covariates (TB risk factors) to event status and ST. The outcome of the survival analysis is reported in this paper. Methods: We used a retrospective cohort study research design to review data of 647 bacteriologically confirmed TB patients from the medical record of two teaching hospitals. Mean age 49 years (Range 18–112). We collected information on potential risk factors of all confirmed cases of TB treated between 2008–2012. For the survival analysis, the outcome of interest was ‘treatment failure’ or ‘death’ (whichever came first). A univariate descriptive statistics analysis was conducted using a non- parametric procedure, Kaplan -Meier (KM) method to estimate overall survival (OS), while the Cox proportional hazard model was used for the multivariate analysis to determine possible association of predictor variables and to obtain adjusted hazard ratio. P value was set at <0.05, log likelihood ratio test at >0.10. Data were analysed using SPSS version 15.0. Results: There was no significant difference in the survival curves of male and female patients. (Log rank statistic = 0.194, df = 1, p = 0.66) and among different age group (Log rank statistic = 1.337, df = 3, p = 0.72). The mean overall survival (OS) was 209 days (95%CI: 92–346) while the median was 51 days (95% CI: 35.7–66). The mean ST for women was 385 days (95%CI: 76.6–694) and for men was 69 days (95%CI: 48.8–88.5). Multivariate Cox regression showed that patient who had history of drug misuse had 2.2 times hazard than those who do not have drug misuse. Smokers and alcohol drinkers had hazard of 1.8 while patients born in country of high endemicity (BICHE) had hazard of 6.3 and HIV co-infection hazard was 1.2. Conclusion: There was no significant difference in survival curves of male and female and among age group. Women had a higher ST compared to men. But men had a higher hazard rate compared to women. Anti-TNF, immunosuppressive medication and diabetes were found to be associated with longer ST, while alcohol, smoking, RICHE, BICHE was associated with shorter ST.

The Cyclin D1 (CCND1) A870G polymorphism predicts clinical outcome to lapatinib and capecitabine in HER2-positive metastatic breast cancer

BACKGROUND: Lapatinib plus capecitabine emerged as an efficacious therapy in metastatic breast cancer (mBC). We aimed to identify germline single-nucleotide polymorphisms (SNPs) in genes involved in capecitabine catabolism and human epidermal receptor signaling that were associated with clinical outcome to assist in selecting patients likely to benefit from this combination.

PATIENTS AND METHODS: DNA was extracted from 240 of 399 patients enrolled in EGF100151 clinical trial (NCT00078572; clinicaltrials.gov) and SNPs were successfully evaluated in 234 patients. The associations between SNPs and clinical outcome were analyzed using Fisher's exact test, Kaplan-Meier curves, log-rank tests, likelihood ratio test within logistic or Cox regression model, as appropriate.

RESULTS: There were significant interactions between CCND1 A870G and clinical outcome. Patients carrying the A-allele were more likely to benefit from lapatinib plus capecitabine versus capecitabine when compared with patients harboring G/G (P = 0.022, 0.024 and 0.04, respectively). In patients with the A-allele, the response rate (RR) was significantly higher with lapatinib plus capecitabine (35%) compared with capecitabine (11%; P = 0.001) but not between treatments in patients with G/G (RR = 24% and 32%, respectively; P = 0.85). Time to tumor progression (TTP) was longer in patients with the A-allele treated with lapatinib plus capecitabine compared with capecitabine (median TTP = 7.9 and 3.4 months; P < 0.001), but not in patients with G/G (median TTP = 6.1 and 6.6 months; P = 0.92).

CONCLUSION: Our findings suggest that CCND1A870G may be useful in predicting clinical outcome in HER2-positive mBC patients treated with lapatinib plus capecitabine.

Statistical Tests for Joint Analysis of Performance Measures

Recently there has been an increasing interest in the development of new methods using Pareto optimality to deal with multi-objective criteria (for example, accuracy and architectural complexity). Once one has learned a model based on their devised method, the problem is then how to compare it with the state of art. In machine learning, algorithms are typically evaluated by comparing their performance on different data sets by means of statistical tests. Unfortunately, the standard tests used for this purpose are not able to jointly consider performance measures. The aim of this paper is to resolve this issue by developing statistical procedures that are able to account for multiple competing measures at the same time. In particular, we develop two tests: a frequentist procedure based on the generalized likelihood-ratio test and a Bayesian procedure based on a multinomial-Dirichlet conjugate model. We further extend them by discovering conditional independences among measures to reduce the number of parameter of such models, as usually the number of studied cases is very reduced in such comparisons. Real data from a comparison among general purpose classifiers is used to show a practical application of our tests.

Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions.

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We also suggest a MC quasi-LR (QLR) test based on feasible generalized least squares (FGLS). We show that the latter statistics are pivotal under the null, which provides the justification for applying MC tests. Furthermore, we extend the exact independence test proposed by Harvey and Phillips (1982) to the multi-equation framework. Specifically, we introduce several induced tests based on a set of simultaneous Harvey/Phillips-type tests and suggest a simulation-based solution to the associated combination problem. The properties of the proposed tests are studied in a Monte Carlo experiment which shows that standard asymptotic tests exhibit important size distortions, while MC tests achieve complete size control and display good power. Moreover, MC-QLR tests performed best in terms of power, a result of interest from the point of view of simulation-based tests. The power of the MC induced tests improves appreciably in comparison to standard Bonferroni tests and, in certain cases, outperforms the likelihood-based MC tests. The tests are applied to data used by Fischer (1993) to analyze the macroeconomic determinants of growth.