ϕ-Divergence Based Procedure for Parametric Change-Point Problems

This paper studies the change-point problem for a general parametric, univariate or multivariate family of distributions. An information theoretic procedure is developed which is based on general divergence measures for testing the hypothesis of the existence of a change. For comparing the exact sizes of the new test-statistic using the criterion proposed in Dale (J R Stat Soc B 48–59, 1986), a simulation study is performed for the special case of exponentially distributed random variables. A complete study of powers of the test-statistics and their corresponding relative local efficiencies, is also considered.

Influence analysis of robust Wald-type tests

We consider a robust version of the classical Wald test statistics for testing simple and composite null hypotheses for general parametric models. These test statistics are based on the minimum density power divergence estimators instead of the maximum likelihood estimators. An extensive study of their robustness properties is given though the influence functions as well as the chi-square inflation factors. It is theoretically established that the level and power of these robust tests are stable against outliers, whereas the classical Wald test breaks down. Some numerical examples confirm the validity of the theoretical results.

Testing Independence in High Dimensions & Identifiability of Graphical Models

Thesis (Ph.D.)--University of Washington, 2016-06

Future long-horizon performance measurement conditional on past survival

This paper examines the measurement of long-horizon abnormal performance when stock selection is conditional on an extended period of past survival. Filtering on survival results in a sample driven towards more-established, frequently traded stocks and this has implications for the choice of benchmark used in performance measurement (especially in the presence of the well-documented size effect). A simulation study is conducted to document the properties of commonly employed performance measures conditional on past survival. The results suggest that the popular index benchmarks used in long-horizon event studies are severely biased and yield test statistics that are badly misspecified. In contrast, a matched-stock benchmark based on size and industry performs consistently well. Also, an eligible-stock index designed to mitigate the influence of the size effect proves effective.

Stochastic volatility and the goodness-of-fit of the Heston model

Recently, Drǎgulescu and Yakovenko proposed an analytical formula for computing the probability density function of stock log returns, based on the Heston model, which they tested empirically. Their research design inadvertently favourably biased the fit of the data to the Heston model, thus overstating their empirical results. Furthermore, Drǎgulescu and Yakovenko did not perform any goodness-of-fit statistical tests. This study employs a research design that facilitates statistical tests of the goodness-of-fit of the Heston model to empirical returns. Robustness checks are also performed. In brief, the Heston model outperformed the Gaussian model only at high frequencies and even so does not provide a statistically acceptable fit to the data. The Gaussian model performed (marginally) better at medium and low frequencies, at which points the extra parameters of the Heston model have adverse impacts on the test statistics. © 2005 Taylor & Francis Group Ltd.

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.

Unifractality and multifractality in the Italian stock market

Tests for random walk behaviour in the Italian stock market are presented, based on an investigation of the fractal properties of the log return series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Critical values for the test statistics are generated using Monte Carlo simulations of random Gaussian innovations. Evidence is reported of multifractality, and the departure from random walk behaviour is statistically significant on standard criteria. The observed pattern is attributed primarily to fat tails in the return probability distribution, associated with volatility clustering in returns measured over various time scales. © 2009 Elsevier Inc. All rights reserved.

Statistical considerations in the kinetic analysis of PET-FDG brain tumour studies

Dynamic positron emission tomography (PET) imaging can be used to track the distribution of injected radio-labelled molecules over time in vivo. This is a powerful technique, which provides researchers and clinicians the opportunity to study the status of healthy and pathological tissue by examining how it processes substances of interest. Widely used tracers include 18F-uorodeoxyglucose, an analog of glucose, which is used as the radiotracer in over ninety percent of PET scans. This radiotracer provides a way of quantifying the distribution of glucose utilisation in vivo. The interpretation of PET time-course data is complicated because the measured signal is a combination of vascular delivery and tissue retention effects. If the arterial time-course is known, the tissue time-course can typically be expressed in terms of a linear convolution between the arterial time-course and the tissue residue function. As the residue represents the amount of tracer remaining in the tissue, this can be thought of as a survival function; these functions been examined in great detail by the statistics community. Kinetic analysis of PET data is concerned with estimation of the residue and associated functionals such as ow, ux and volume of distribution. This thesis presents a Markov chain formulation of blood tissue exchange and explores how this relates to established compartmental forms. A nonparametric approach to the estimation of the residue is examined and the improvement in this model relative to compartmental model is evaluated using simulations and cross-validation techniques. The reference distribution of the test statistics, generated in comparing the models, is also studied. We explore these models further with simulated studies and an FDG-PET dataset from subjects with gliomas, which has previously been analysed with compartmental modelling. We also consider the performance of a recently proposed mixture modelling technique in this study.

SYSTEMATIC REVIEW AND META-ANALYSIS: EFFECTS OF WALKING EXERCISE IN CHRONIC MUSCULOSKELETAL PAIN

SYSTEMATIC REVIEW AND META-ANALYSIS: EFFECTS OF WALKING EXERCISE IN CHRONIC MUSCULOSKELETAL PAIN O'Connor S.R.1, Tully M.A.2, Ryan B.3, Baxter D.G.3, Bradley J.M.1, McDonough S.M.11University of Ulster, Health & Rehabilitation Sciences Research Institute, Newtownabbey, United Kingdom, 2Queen's University, UKCRC Centre of Excellence for Public Health (NI), Belfast, United Kingdom, 3University of Otago, Centre for Physiotherapy Research, Dunedin, New ZealandPurpose: To examine the effects of walking exercise on pain and self-reported function in adults with chronic musculoskeletal pain.Relevance: Chronic musculoskeletal pain is a major cause of morbidity, exerting a substantial influence on long-term health status and overall quality of life. Current treatment recommendations advocate various aerobic exercise interventions for such conditions. Walking may represent an ideal form of exercise due to its relatively low impact. However, there is currently limited evidence for its effectiveness.Participants: Not applicable.Methods: A comprehensive search strategy was undertaken by two independent reviewers according to the preferred reporting items for systematic reviews and meta-analyses (PRISMA) and the recommendations of the Cochrane Musculoskeletal Review Group. Six electronic databases (Medline, CINAHL, PsychINFO, PEDro, Sport DISCUS and the Cochrane Central Register of Controlled Trials) were searched for relevant papers published up to January 2010 using MeSH terms. All randomised or non-randomised studies published in full were considered for inclusion. Studies were required to include adults aged 18 years or over with a diagnosis of chronic low back pain, osteoarthritis or fibromyalgia. Studies were excluded if they involved peri-operative or post-operative interventions or did not include a comparative, non exercise or non-walking exercise control group. The U.S. Preventative Services Task Force system was used to assess methodological quality. Data for pain and self-reported function were extracted and converted to a score out of 100.Analysis: Data were pooled and analyzed using RevMan (v.5.0.24). Statistical heterogeneity was assessed using the X2 and I2 test statistics. A random effects model was used to calculate the mean differences and 95% CIs. Data were analyzed by length of final follow-up which was categorized as short (≤8 weeks post randomisation), mid (2-12 months) or long-term (>12 months).Results: A total of 4324 articles were identified and twenty studies (1852 participants) meeting the inclusion criteria were included in the review. Overall, studies were judged to be of at least fair methodological quality. The most common sources of likely bias were identified as lack of concealed allocation and failure to adequately address incomplete data. Data from 12 studies were suitable for meta-analysis. Walking led to reductions in pain at short (<8 weeks post randomisation) (-8.44 [-14.54, -2.33]) and mid-term (>8 weeks - 12 month) follow-up (-9.28 [-16.34, -2.22]). No effect was observed for long-term (>12 month) data (-2.49 [-7.62, 2.65]). For function, between group differences were observed for short (-11.57 [-16.06, -7.08]) and mid-term data (-13.26 [-16.91, -9.62]). A smaller effect was also observed at long-term follow-up (-5.60 [-7.70, -3.50]).Conclusions: Walking interventions were associated with statistically significant improvements in pain and function at short and mid-term follow-up. Long-term data were limited but indicated that these effects do not appear to be maintained beyond twelve months.Implications: Walking may be an effective form of exercise for individuals with chronic musculoskeletal pain. However, further research is required which examines longer term follow-up and dose-response issues in this population.Key-words: 1. Walking exercise 2. Musculoskeletal pain 3. Systematic reviewFunding acknowledgements: Department of Employment and Learning, Northern Ireland.Ethics approval: Not applicable.

Asymptotic Change-Point Analysis of the Dependencies in Time Series

In recent papers, Wied and his coauthors have introduced change-point procedures to detect and estimate structural breaks in the correlation between time series. To prove the asymptotic distribution of the test statistic and stopping time as well as the change-point estimation rate, they use an extended functional Delta method and assume nearly constant expectations and variances of the time series. In this thesis, we allow asymptotically infinitely many structural breaks in the means and variances of the time series. For this setting, we present test statistics and stopping times which are used to determine whether or not the correlation between two time series is and stays constant, respectively. Additionally, we consider estimates for change-points in the correlations. The employed nonparametric statistics depend on the means and variances. These (nuisance) parameters are replaced by estimates in the course of this thesis. We avoid assuming a fixed form of these estimates but rather we use "blackbox" estimates, i.e. we derive results under assumptions that these estimates fulfill. These results are supplement with examples. This thesis is organized in seven sections. In Section 1, we motivate the issue and present the mathematical model. In Section 2, we consider a posteriori and sequential testing procedures, and investigate convergence rates for change-point estimation, always assuming that the means and the variances of the time series are known. In the following sections, the assumptions of known means and variances are relaxed. In Section 3, we present the assumptions for the mean and variance estimates that we will use for the mean in Section 4, for the variance in Section 5, and for both parameters in Section 6. Finally, in Section 7, a simulation study illustrates the finite sample behaviors of some testing procedures and estimates.

Comunidades zooplanctônicas como bioindicadoras da qualidade da água de quatro reservatórios da região semi-árida do Rio Grande do Norte

The response of zooplankton assemblages to variations in the water quality of four man-made lakes, caused by eutrophication and siltation, was investigated by means of canonical correspondence analysis. Monte Carlo simulations using the CCA eingenvalues as test statistics revealed that changes in zooplankton species composition along the environmental gradients of trophic state and abiogenic turbidity were highly significant. The species Brachionus calyciflorus, Thermocyclops sp. and Argyrodiaptomus sp. were good indicators of eutrophic conditions while the species Brachionus dolabratus, Keratella tropica and Hexarthra sp. were good indicators of high turbidity due to suspended sediments. The rotifer genus Brachionus was the most species-rich taxon, comprising five species which were associated with different environmental conditions. Therefore, we tested whether this genus alone could potentially be a better biological indicator of these environmental gradients than the entire zooplankton assemblages or any other random set of five species. The ordination results show that the five Brachionus species alone did not explain better the observed pattern of environmental variation than most random sets of five species. Therefore, this genus could not be selected as a target taxon for more intensive environmental monitoring as has been previously suggested by Attayde and Bozelli (1998). Overall, our results show that changes in the water quality of man-made lakes in a tropical semi-arid region have significant effects on the structure of zooplankton assemblages that can potentially affect the functioning of these ecosystems

Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods

Sequential panel selection methods (spsms — procedures that sequentially use conventional panel unit root tests to identify I(0)I(0) time series in panels) are increasingly used in the empirical literature. We check the reliability of spsms by using Monte Carlo simulations based on generating directly the individual asymptotic pp values to be combined into the panel unit root tests, in this way isolating the classification abilities of the procedures from the small sample properties of the underlying univariate unit root tests. The simulations consider both independent and cross-dependent individual test statistics. Results suggest that spsms may offer advantages over time series tests only under special conditions.

Comunidades zooplanctônicas como bioindicadoras da qualidade da água de quatro reservatórios da região semi-árida do Rio Grande do Norte

The response of zooplankton assemblages to variations in the water quality of four man-made lakes, caused by eutrophication and siltation, was investigated by means of canonical correspondence analysis. Monte Carlo simulations using the CCA eingenvalues as test statistics revealed that changes in zooplankton species composition along the environmental gradients of trophic state and abiogenic turbidity were highly significant. The species Brachionus calyciflorus, Thermocyclops sp. and Argyrodiaptomus sp. were good indicators of eutrophic conditions while the species Brachionus dolabratus, Keratella tropica and Hexarthra sp. were good indicators of high turbidity due to suspended sediments. The rotifer genus Brachionus was the most species-rich taxon, comprising five species which were associated with different environmental conditions. Therefore, we tested whether this genus alone could potentially be a better biological indicator of these environmental gradients than the entire zooplankton assemblages or any other random set of five species. The ordination results show that the five Brachionus species alone did not explain better the observed pattern of environmental variation than most random sets of five species. Therefore, this genus could not be selected as a target taxon for more intensive environmental monitoring as has been previously suggested by Attayde and Bozelli (1998). Overall, our results show that changes in the water quality of man-made lakes in a tropical semi-arid region have significant effects on the structure of zooplankton assemblages that can potentially affect the functioning of these ecosystems

Power Study on Testing Epidemic Alternatives

Detecting change points in epidemic models has been studied by many scholars. Yao (1993) summarized five existing test statistics in the literature. Out of those test statistics, it was observed that the likelihood ratio statistic showed its standout power. However, all of the existing test statistics are based on an assumption that population variance is known, which is an unrealistic assumption in practice. To avoid assuming known population variance, a new test statistic for detecting epidemic models is studied in this thesis. The new test statistic is a parameter-free test statistic which is more powerful compared to the existing test statistics. Different sample sizes and lengths of epidemic durations are used for the power comparison purpose. Monte Carlo simulation is used to find the critical values of the new test statistic and to perform the power comparison. Based on the Monte Carlo simulation result, it can be concluded that the sample size and the length of the duration have some effect on the power of the tests. It can also be observed that the new test statistic studied in this thesis has higher power than the existing test statistics do in all of cases.

Validez de contenido de un cuestionario para evaluar las etapas del cambio de comportamiento en estilos de vida en escolares, Colombia: Estudio FUPRECOL

Estudio de validación en escolares pertenecientes a instituciones educativas oficiales de la ciudad de Bogotá, Colombia. Se diseñó y aplicó el CCC-FUPRECOL que indagó por las etapas de cambio para la actividad física/ejercicio, consumo de frutas, verduras, drogas, tabaco e ingesta de bebidas alcohólicas, de manera auto-diligenciada por formulario estructurado.