Forecasting stock returns using model-selection criteria

This paper examines the economic significance of return predictability in Australian equities. In light of considerable model uncertainty, formal model-selection criteria are used to choose a specification for the predictive model. A portfolio-switching strategy is implemented according to model predictions. Relative to a buy-and-hold market investment, the returns to the portfolio-switching strategy are impressive under several model-selection criteria, even after accounting for transaction costs. However, as these findings are not robust across other model-selection criteria examined, it is difficult to conclude that the degree of return predictability is economically significant.

The effectiveness of hylan G-F 20 in patients with knee osteoarthritis: an application of two sets of response criteria developed by the OARSI and one set developed by OMERACT-OARSI

Objective: Secondary analyses of a previously conducted 1-year randomized controlled trial were performed to assess the application of responder criteria in patients with knee osteoarthritis (OA) using different sets of responder criteria developed by the Osteoarthritis Research Society International (OARSI) (Propositions A and B) for intra-articular drugs and Outcome Measures in Arthritis Clinical Trials (OMERACT)-OARSI (Proposition D). Methods: Two hundred fifty-five patients with knee OA were randomized to appropriate care with hylan G-F 20 (AC + H) or appropriate care without hylan G-F 20 (AC). A patient was defined as a responder at month 12 based on change in Western Ontario and McMaster Universities Osteoarthritis Index pain and function (0-100 normalized scale) and patient global assessment of OA in the study knee (at least one-category improvement in very poor, poor, fair, good and very good). All propositions incorporate both minimum relative and absolute changes. Results: Results demonstrated that statistically significant differences in responders between treatment groups, in favor of hylan G-F 20, were detected for Proposition A (AC + H = 53.5%, AC = 25.2%), Proposition B (AC + H = 56.7%, AC = 32.3%) and Proposition D (AC + H = 66.9%, AC = 42.5%). The highest effectiveness in both treatment groups was observed with Proposition D, whereas Proposition A resulted in the lowest effectiveness in both treatment groups. The treatment group differences always exceeded the required 20% minimum clinically important difference between groups established a priori, and were 28.3%, 24.4% and 24.4% for Propositions A, B and D, respectively. Conclusion: This analysis provides evidence for the capacity of OARSI and OMERACT-OARSI responder criteria to detect clinically important statistically detectable differences between treatment groups. (C) 2004 OsteoArthritis Research Society International. Published by Elsevier Ltd. All rights reserved.

Evaluation of WOMAC 20, 50, 70 response criteria in patients treated with hylan G-F 20 for knee osteoarthritis

Objective: A secondary analysis of a previously conducted one year randomised controlled trial to evaluate the capacity of responder criteria based on the WOMAC index to detect between treatment group differences. Methods: 255 patients with knee osteoarthritis were randomised to appropriate care with hylan G-F 20'' (AC+H) or appropriate care without hylan G-F 20'' (AC). In the original analysis, two definitions of patient response from baseline to month 12 were used: ( 1) at least a 20% reduction in WOMAC pain score ( WOMAC 20P); ( 2) at least a 20% reduction in WOMAC pain score and at least a 20% reduction in either WOMAC function or stiffness score ( WOMAC 20PFS). For this analysis, a responder was identified using 50% and 70% minimum clinically important response levels to investigate how increasing response affects the ability to detect treatment group differences. Results: The hylan G- F 20 group had numerically more responders using all patient responder criteria. Increasing the response level from 20% to 50% detected similar differences between treatment groups (25% to 29%). Increasing the response level to 70% reduced the differences between treatment groups (11% to 12%) to a point where the differences were not significant after Bonferroni adjustment. Conclusions: These results provide evidence for incorporating response levels ( WOMAC 50) in clinical trials. While differences at the highest threshold ( WOMAC 70) were not statistically detectable, an appropriately powered study may be capable of detecting differences even at this very high level of improvement.

Stability criteria for unsupervised temporal association networks

A biologically realizable, unsupervised learning rule is described for the online extraction of object features, suitable for solving a range of object recognition tasks. Alterations to the basic learning rule are proposed which allow the rule to better suit the parameters of a given input space. One negative consequence of such modifications is the potential for learning instability. The criteria for such instability are modeled using digital filtering techniques and predicted regions of stability and instability tested. The result is a family of learning rules which can be tailored to the specific environment, improving both convergence times and accuracy over the standard learning rule, while simultaneously insuring learning stability.

Uniqueness criteria for continuous-time Markov chains with general transition structures

We derive necessary and sufficient conditions for the existence of bounded or summable solutions to systems of linear equations associated with Markov chains. This substantially extends a famous result of G. E. H. Reuter, which provides a convenient means of checking various uniqueness criteria for birth-death processes. Our result allows chains with much more general transition structures to be accommodated. One application is to give a new proof of an important result of M. F. Chen concerning upwardly skip-free processes. We then use our generalization of Reuter's lemma to prove new results for downwardly skip-free chains, such as the Markov branching process and several of its many generalizations. This permits us to establish uniqueness criteria for several models, including the general birth, death, and catastrophe process, extended branching processes, and asymptotic birth-death processes, the latter being neither upwardly skip-free nor downwardly skip-free.

Assessment of statistical change criteria used to define significant change in neuropsychological test performance following cardiac surgery

Objective: This paper compares four techniques used to assess change in neuropsychological test scores before and after coronary artery bypass graft surgery (CABG), and includes a rationale for the classification of a patient as overall impaired. Methods: A total of 55 patients were tested before and after surgery on the MicroCog neuropsychological test battery. A matched control group underwent the same testing regime to generate test–retest reliabilities and practice effects. Two techniques designed to assess statistical change were used: the Reliable Change Index (RCI), modified for practice, and the Standardised Regression-based (SRB) technique. These were compared against two fixed cutoff techniques (standard deviation and 20% change methods). Results: The incidence of decline across test scores varied markedly depending on which technique was used to describe change. The SRB method identified more patients as declined on most measures. In comparison, the two fixed cutoff techniques displayed relatively reduced sensitivity in the detection of change. Conclusions: Overall change in an individual can be described provided the investigators choose a rational cutoff based on likely spread of scores due to chance. A cutoff value of ≥20% of test scores used provided acceptable probability based on the number of tests commonly encountered. Investigators must also choose a test battery that minimises shared variance among test scores.

Criteria for quantum coherent transfer of excitations between chromophores in a polar solvent

We show that the quantum decoherence of Forster resonant energy transfer between two optically active molecules can be described by a spin-boson model. This allows us to give quantitative criteria that are necessary for coherent quantum oscillations of excitations between the chromophores. Experimental tests of our results should be possible with flourescent resonant energy transfer (FRET) spectroscopy. Although we focus on the case of protein-pigment complexes our results are also relevant to quantum dots and organic molecules in a dielectric medium. (c) 2006 Elsevier B.V. All rights reserved.