Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.

Momentum risk: An approach following the correlations between active stocks

The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.

Why are offspring born larger when it is colder? Phenotypic plasticity for offspring size in the cladoceran Simocephalus vetulus (Müller)

It has been predicted on theorerical grounds (Sibly & Calow, 1983; Taylor & Williams, 1984) that optimal offspring size should be highly sensitive to juvenile growth and survival rates. To test such models, genetically-identical individuals of Simicephalus vetulus were reared at different temperatures and monitored for offspring size and juvenile growth rate. As adult size correlates negatively with temperature, an analysis of covariance was performed to separate the effects of temperature and maternal size. The result is that offspring size indeed correlates negatively with juvenile growth rate. Comparisons are made with field observation of several authors on seasonal variation of offspring size and alternative explanations are discussed. It is concluded that present experiments support the prediction of the theoretical models.

Effects of selection and drift on G matrix evolution in a heterogeneous environment: a multivariate Qst-Fst Test with the freshwater snail Galba truncatula.

Unraveling the effect of selection vs. drift on the evolution of quantitative traits is commonly achieved by one of two methods. Either one contrasts population differentiation estimates for genetic markers and quantitative traits (the Q(st)-F(st) contrast) or multivariate methods are used to study the covariance between sets of traits. In particular, many studies have focused on the genetic variance-covariance matrix (the G matrix). However, both drift and selection can cause changes in G. To understand their joint effects, we recently combined the two methods into a single test (accompanying article by Martin et al.), which we apply here to a network of 16 natural populations of the freshwater snail Galba truncatula. Using this new neutrality test, extended to hierarchical population structures, we studied the multivariate equivalent of the Q(st)-F(st) contrast for several life-history traits of G. truncatula. We found strong evidence of selection acting on multivariate phenotypes. Selection was homogeneous among populations within each habitat and heterogeneous between habitats. We found that the G matrices were relatively stable within each habitat, with proportionality between the among-populations (D) and the within-populations (G) covariance matrices. The effect of habitat heterogeneity is to break this proportionality because of selection for habitat-dependent optima. Individual-based simulations mimicking our empirical system confirmed that these patterns are expected under the selective regime inferred. We show that homogenizing selection can mimic some effect of drift on the G matrix (G and D almost proportional), but that incorporating information from molecular markers (multivariate Q(st)-F(st)) allows disentangling the two effects.

Psychometric properties of the Marlowe-Crowne Social Desirability Scale in eight African countries and Switzerland

The purpose of this study was to assess the cross-cultural validity of the Marlowe-Crowne Social Desirability scale short form C, in a large sample of French-speaking participants from eight African countries and Switzerland. Exploratory and confirmatory analyses suggested retaining a two-factor structure. Item bias detection according to country was conducted for all 13 items and effect was calculated with R2. For the two-factor solution, 9 items were associated with a negligible effect size, 3 items with a moderate one, and 1 item with a large one. A series of analyses of covariance considering the acquiescence variable as a covariate showed that the acquiescence tendency does not contribute to the bias at item level. This research indicates that the psychometric properties of this instrument do not reach a scalar equivalence but that a culturally reliable measurement of social desirability could be developed.

Enhancing personal effectiveness : the impacts of Costa Rica Outward Bound on students in an independent school in southwestern Ontario

This project examines students in a private school in southwestern Ontario on a 17 -day Costa Rica Outward Bound Rainforest multielement course. The study attempted to discover whether voluntary teenage participants could increase their self-perceptions of life effectiveness by participating in a 17-day expedition. A total of9 students participated in the study. The experimental design that was implemented was a mixed methods design. Participants filled in a Life Effectiveness Questionnaire (LEQ) at four predesignated times during the study. These time intervals occurred (a) before the trip commenced, (b) the first day of the trip, ( c) the last day of the trip, and (d) 1 month after the trip ended. Fieldnotes and recordings from informal group debriefing sessions were also used to gather information. Data collected in this study were analyzed in a variety of ways by the researcher. Analyses that were run on the data included the Friedman test for covariance, means, medians, and the Wilcoxon Pairs Test. The questionnaires were analyzed quantitatively, and the fieldnotes were analyzed qualitatively. Nonparametric statistical analysis was implemented as a result of the small group size of participants. Both sets of data were grouped and discussed according to similarities and differences. The data indicate that voluntary teenage participants experience significant changes over time in the areas of time management, social competency, emotional control, active initiative, and self-confidence. The types of outcomes from this study illustrate that Outward Bound-type opportunities should be offered to teenagers in Ontario schools as a means to bring about self-development.

Physical activity of children with developmental coordination disorder in the presence of attention deficit hyperactivity disorder : does gender matter?

Baerg, S., Cairney, J., Hay, J., Rempel, L. and Faught, B.E. (2009). Physical Activity of Children with Developmental Coordination Disorder in the Presence of Attention Deficit Hyperactivity Disorder: Does Gender Matter? Brock University, St. Catharines, Ontario, CANADA. Children with Developmental Coordination Disorder (DCD) have difficulties in motor coordination. Attention-deficit hyperactive disorder (ADHD) is considered the condition most co-morbid with DCD at approximately 50%. Children with DCD are generally less physically active (PA) than their peers, while children with ADHD are often considered more physically active. It is not known if the physical activity patterns of children with DCD-ADHD resemble those of children with primarily DCD or that of their healthy peers. The primary objective of this research was to contrast physical activity patterns between children with DCD, DCD-ADHD, and healthy controls. Since boys are generally reported as more physically active than girls, a secondary objective was to determine if gender moderated the association between groups and physical activity. A sample of males (n=66) and females (n=44) were recruited from the Physical Health Activity Study Team (PHAST) longitudinal study. The Movement Assessment Battery for Children (2nd Ed.) was used to identify probable cases of DCD, and Connor's Revised Parent Rating Scale- Short Version to identify ADHD. Subjects (mean age=12.8±.4 yrs) were allocated to three groups; DCD (n=32), DCD-ADHD (n=30) and control (n=48). Physical activity was monitored for seven days with the Actical® accelerometer (activity count, step count and energy expenditure). Children completed the Participation Questionnaire (PQ) during the in-school session of data collection for the PHAST study. Height, weight and body mass index (BMI) were also determined. Analysis of variance showed significant group differences for activity count (F(2,56)=5.36, p=.007) and PQ (F(2,44 )=6. 71, p=.003) in males, while a significant group difference for step count (F(2,37)=3.55, p=.04) was found in females. Post hoc comparison tests (Tukey) identified significantly lower PQ and activity count between males with OCD and controls (p=.004) and males with DCD-ADHD and controls (p=.003). Conversely, females with DCD-ADHD had significantly more step counts than their controls (p=.01). Analysis of covariance demonstrated a gender by DCD groups negative interaction for males (activity count) (F(2,92):;:3.11, p=.049) and a positive interaction for females (step count) (F(1,92)=4.92, p=.009). Hyperactivity in females with DCD-ADHD appears to contribute to more physical activity, whereas DCD may contribute to decreased activity in males with DCD and DCDADHD. Further research is needed to examine gender differences in physical activity within the context of DCD and ADHD.

The association between blood pressure and vascular characteristics in children

Hypertension is thought to exist in up to five percent of children. A select number of studies have investigated the role elevated blood pressure plays in pediatric atherosclerotic progression. However these studies contain significant methodological flaws and fail to recognize important confounding factors. Therefore, the influence of elevated blood pressure on arterial health in children remains to be clearly understood. The purpose of this study was to investigate the association between blood pressure (BP) and arterial thickness and stiffuess in children. Common carotid artery (CCA) intima-media thickness (IMT) and distensibility (Dist), as well as systemic pulse wave velocity (PWV) were measured in 21 elevated blood pressure (EBP; BP ~ 95th percentile) and 83 normal blood pressure (NBP; BP < 90th percentile) children 11-14 years of age. Both EBP and NBP groups demonstrated BP within the normal clinical range, but EBP showed significantly elevated BP as compared to the NBP group. Independent t-tests failed to show significant differences between the EBP and NBP groups for CCA IMT (0.43 ± 0.05 mm and 0.42 ± 0.06 mm, respectively) and Dist (0.0058 ± 0.0024 mmHg-1 and 0.0064 ± 0.0019 mmHil respectively). In contrast, a significantly elevated PWV (pcovariance controlling for the effects of maturation, age, sex and obesity. This study shows for the first time that children with elevated BP do not have significantly altered central arterial structure and function as measured through CCA Dist and IMT, but do possess significantly altered systemic arterial stiffuess as measured through PWV. This may be the result of sympathetic predominance and its significant influence on the peripheral vasculature. More studies are needed to clearly illustrate the temporal sequence of pediatric atherosclerotic progression in response to elevated BP.

The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity.

This paper studies seemingly unrelated linear models with integrated regressors and stationary errors. By adding leads and lags of the first differences of the regressors and estimating this augmented dynamic regression model by feasible generalized least squares using the long-run covariance matrix, we obtain an efficient estimator of the cointegrating vector that has a limiting mixed normal distribution. Simulation results suggest that this new estimator compares favorably with others already proposed in the literature. We apply these new estimators to the testing of purchasing power parity (PPP) among the G-7 countries. The test based on the efficient estimates rejects the PPP hypothesis for most countries.

Quadratic M-Estimators for ARCH-Type Processes

This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the variance and the variance of the variance, that is, the skewness and kurtosis. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M-estimation. The ususal univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms the relevance of our approach, in particular, the importance of skewness.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form

In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are given. A consistent estimator of the asymptotic covariance matrix of the estimator is also provided, so that tests and confidence intervals can easily be constructed.

Effets d’un programme prénatal de groupe adressé aux couples parentaux pour prévenir la dépression postnatale des femmes de classes moyenne et défavorisée habitant en Catalogne Nord et en France Sud

La dépression postnatale (DP) est un problème de santé publique très fréquent dans différentes cultures (Affonso et al, 2000). En effet, entre 10% à 15% des mères souffrent d’une symptomatogie dépressive ainsi que l’indiquent Gorman et al. (2004). La prévention de la DP est l’objectif de différents programmes prénatals et postnatals (Dennis, 2005; Lumley et al, 2004). Certains auteurs notent qu’il est difficile d’avoir accès aux femmes à risque après la naissance (Evins et al, 2000; Georgiopoulos et al, 2001). Mais, les femmes fréquentent les centres de santé pendant la grossesse et il est possible d’identifier les cas à risque à partir des symptômes prénataux dépressifs ou somatiques (Riguetti-Veltema et al, 2006); d’autant plus qu’un grand nombre de facteurs de risque de la DP sont présents pendant la grossesse (O’Hara et Gorman, 2004). C’est pourquoi cette étude fut initiée pendant le premier trimestre de la grossesse à partir d’une détection précoce du risque de DP chez n= 529 femmes de classes moyenne et défavorisée, et, cela, au moyen d’un questionnaire validé utilisé à l’aide d’une entrevue. L’étude s’est effectuée dans trois villes : Barcelone, Figueres, et Béziers au cours des années 2003 à 2005. Objectif général : La présente étude vise à évaluer les effets d’un programme prénatal de groupes de rencontre appliqué dans la présente étude chez des couples de classe socioéconomique non favorisée dont les femmes sont considérées comme à risque de dépression postnatale. L’objectif spécifique est de comparer deux groupes de femmes (un groupe expérimental et un groupe témoin) par rapport aux effets du programme prénatal sur les symptômes de dépression postnatale mesurés à partir de la 4ème semaine après l’accouchement avec l’échelle EPDS. Hypothèse: Les femmes participant au programme prénatal de groupe adressé aux couples parentaux, composé de 10 séances hebdomadaires et inspiré d’une orientation psychosomatique présenteront, au moins, un taux de 6% inférieur de cas à risque de dépression postnatale que les femmes qui ne participent pas, et cela, une fois évaluées avec l’échelle EPDS (≥12) 4 semaines après leur accouchement. Matériel et méthode: La présente étude évaluative est basée sur un essai clinique randomisé et longitudinal; il s’étend de la première ou deuxième visite d’échographie pendant la grossesse à un moment situé entre la 4ème et la 12ème semaine postnatale. Les participants à l’étude sont des femmes de classes moyenne et défavorisée identifiées à risque de DP et leur conjoint. Toutes les femmes répondant aux critères d’inclusion à la période du recrutement ont effectué une entrevue de sélection le jour de leur échographie prénatale à l’hôpital (n=529). Seules les femmes indiquant un risque de DP furent sélectionnées (n= 184). Par la suite, elles furent distribuées de manière aléatoire dans deux groupes: expérimental (n=92) et témoin (n=92), au moyen d’un programme informatique appliqué par un statisticien considérant le risque de DP selon le questionnaire validé par Riguetti-Veltema et al. (2006) appliqué à l’aide d’une entrevue. Le programme expérimental consistait en dix séances hebdomadaires de groupe, de deux heures et vingt minutes de durée ; un appel téléphonique entre séances a permis d’assurer la continuité de la participation des sujets. Le groupe témoin a eu accès aux soins habituels. Le programme expérimental commençait à la fin du deuxième trimestre de grossesse et fut appliqué par un médecin et des sages-femmes spécialement préparées au préalable; elles ont dirigé les séances prénatales avec une approche psychosomatique. Les variables associées à la DP (non psychotique) comme la symptomatologie dépressive, le soutien social, le stress et la relation de couple ont été évaluées avant et après la naissance (pré-test/post-test) chez toutes les femmes participantes des deux groupes (GE et GC) utilisant : l’échelle EPDS (Cox et al,1987), le Functional Social Support Questionnaire (Broadhead et al, 1988), l’évaluation du stress de Holmes et Rahe (1967) et, l’échelle d’ajustement dyadique de Spanier (1976). La collecte des données prénatales a eu lieu à l’hôpital, les femmes recevaient les questionnaires à la fin de l’entrevue, les complétaient à la maison et les retournaient au rendez-vous suivant. Les données postnatales ont été envoyées par les femmes utilisant la poste locale. Résultats: Une fois évalués les symptômes dépressifs postnatals avec l’échelle EPDS entre la 4ème et la 12ème semaine postnatale et considérant le risque de DP au point de césure ≥ 12 de l’échelle, le pourcentage de femmes à risque de DP est de 39,34%; globalement, les femmes étudiées présentent un taux élevé de symptomatologie dépressive. Les groupes étant comparables sur toutes les variables prénatales, notons une différence dans l’évaluation postnatale de l’EPDS (≥12) de 11,2% entre le groupe C et le groupe E (45,5% et 34,3%). Et la différence finale entre les moyennes de l’EPDS postnatal est de 1,76 ( =11,10 ±6,05 dans le groupe C et =9,34 ±5,17 dans le groupe E) ; cette différence s’aproche de la limite de la signification (p=0,08). Ceci est dû à un certain nombre de facteurs dont le faible nombre de questionnaires bien complétés à la fin de l’étude. Les femmes du groupe expérimental présentent une diminution significative des symptômes dépressifs (t=2,50 / P= 0,01) comparativement au pré-test et indiquant une amélioration au contraire du groupe témoin sans changement. Les analyses de régression et de covariance montrent que le soutien social postnatal, les symptômes dépressifs prénatals et le stress postnatal ont une relation significative avec les symptômes dépressifs postnatals (P<0,0001 ; P=0.003; P=0.004). La relation du couple n’a pas eu d’impact sur le risque de DP dans la présente étude. Par contre, on constate d’autres résultats secondaires significatifs: moins de naissances prématurées, plus d’accouchements physiologiques et un plus faible taux de somatisations non spécifiques chez les mères du groupe expérimental. Recommandations: Les résultats obtenus nous suggèrent la considération des aspects suivants: 1) il faudrait appliquer les mesures pour détecter le risque de DP à la période prénatale au moment des visites d’échographie dont presque toutes les femmes sont atteignables; il est possible d’utiliser à ce moment un questionnaire de détection validé car, son efficacité semble démontrée; 2) il faudrait intervenir auprès des femmes identifiées à risque à la période prénatale à condition de prolonger le programme préventif après la naissance, tel qu’indiqué par d’autres études et par la demande fréquente des femmes évaluées. L’intervention prénatale de groupe n’est pas suffisante pour éviter le risque de DP chez la totalité des femmes. C’est pourquoi une troisième recommandation consisterait à : 3) ajouter des interventions individuelles pour les cas les plus graves et 4) il paraît nécessaire d’augmenter le soutien social chez des femmes défavorisées vulnérables car cette variable s’est révélée très liée au risque de dépression postnatale.

Évaluation d’une intervention infirmière Motivationnelle Selon les Stades de Changement (MSSC) sur des comportements d’auto-soins chez des patients insuffisants cardiaques

L’insuffisance cardiaque (IC), une maladie chronique caractérisée par un mauvais fonctionnement du muscle cardiaque, entraîne des symptômes comme l’essoufflement, l’œdème et la fatigue. L’IC nécessite l’adoption de comportements d’auto-soins pour prévenir les épisodes de décompensation. Le but de cette recherche est d’évaluer l’intervention infirmière motivationnelle selon les stades de changements (MSSC) sur les comportements d’auto-soins chez des patients IC. Afin de guider l’intervention MSSC, la théorie spécifique aux auto-soins chez les patients IC de Riegel et Dickson (2008) a été retenue ainsi que le modèle d’intervention de Bédard et al. (2006) combinant le modèle transthéorique (Prochaska & DiClemente, 1984) et l’entrevue motivationnelle (Miller & Rollnick, 2006). Il s’agit d’un devis expérimental randomisé (pré et post-test) avec groupe contrôle (N = 15/groupe). Les patients du groupe contrôle ont reçu les soins usuels et les patients du groupe intervention (GI) ont reçu l’intervention MSSC durant trois entretiens. Les mesures de résultats ont été collectées à un mois suite à la randomisation par une assistante de recherche aveugle à la randomisation. L’effet de l’intervention a été évalué par des analyses de covariance sur cinq mesures de résultats : la réalisation et la gestion (générale et spécifique à l’IC) des auto-soins, la confiance aux auto-soins (générale et spécifique à l’IC) et la conviction. L’acceptabilité et la faisabilité ont été évaluées. Les résultats indiquent un effet significatif sur la mesure de confiance à effectuer les auto-soins spécifiques à l’IC. La majorité des participants du GI ont progressé dans leurs stades de changement. Ces résultats soulignent le potentiel de cette approche pour favoriser l’adoption des auto-soins mais une étude à plus large échelle est proposée afin d’évaluer l’effet de cette approche dans un essai clinique randomisé.