Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model

In this study, we propose a new semi-nonparametric (SNP) density model for describing the density of portfolio returns. This distribution, which we refer to as the multivariate moments expansion (MME), admits any non-Gaussian (multivariate) distribution as its basis because it is specified directly in terms of the basis density’s moments. To obtain the expansion of the Gaussian density, the MME is a reformulation of the multivariate Gram-Charlier (MGC), but the MME is much simpler and tractable than the MGC when positive transformations are used to produce well-defined densities. As an empirical application, we extend the dynamic conditional equicorrelation (DECO) model to an SNP framework using the MME. The resulting model is parameterized in a feasible manner to admit two-stage consistent estimation and it represents the DECO as well as the salient non-Gaussian features of portfolio return distributions. The in- and out-of-sample performance of a MME-DECO model of a portfolio of 10 assets demonstrate that it can be a useful tool for risk management purposes.

Higher-order moments in the theory of diversifying and portfolio composition

This paper examines the role of higher-order moments in portfolio choice within an expected-utility framework. We consider two-, three-, four- and five-parameter density functions for portfolio returns and derive exact conditions under which investors would all be optimally plungers rather than diversifiers. Through comparative statics we show the importance of higher-order risk preference properties, such as riskiness, prudence and temperance, in determining plunging behaviour. Empirical estimates for the S&P500 provide evidence for the optimality of diversification.

Statistical classification of road pavements using near field vehicle rolling noise measurements

Low noise surfaces have been increasingly considered as a viable and cost-effective alternative to acoustical barriers. However, road planners and administrators frequently lack information on the correlation between the type of road surface and the resulting noise emission profile. To address this problem, a method to identify and classify different types of road pavements was developed, whereby near field road noise is analyzed using statistical learning methods. The vehicle rolling sound signal near the tires and close to the road surface was acquired by two microphones in a special arrangement which implements the Close-Proximity method. A set of features, characterizing the properties of the road pavement, was extracted from the corresponding sound profiles. A feature selection method was used to automatically select those that are most relevant in predicting the type of pavement, while reducing the computational cost. A set of different types of road pavement segments were tested and the performance of the classifier was evaluated. Results of pavement classification performed during a road journey are presented on a map, together with geographical data. This procedure leads to a considerable improvement in the quality of road pavement noise data, thereby increasing the accuracy of road traffic noise prediction models.

Some reflections on acquisition, processing and analysis of statistical data in forest soils

Beyond the classical statistical approaches (determination of basic statistics, regression analysis, ANOVA, etc.) a new set of applications of different statistical techniques has increasingly gained relevance in the analysis, processing and interpretation of data concerning the characteristics of forest soils. This is possible to be seen in some of the recent publications in the context of Multivariate Statistics. These new methods require additional care that is not always included or refered in some approaches. In the particular case of geostatistical data applications it is necessary, besides to geo-reference all the data acquisition, to collect the samples in regular grids and in sufficient quantity so that the variograms can reflect the spatial distribution of soil properties in a representative manner. In the case of the great majority of Multivariate Statistics techniques (Principal Component Analysis, Correspondence Analysis, Cluster Analysis, etc.) despite the fact they do not require in most cases the assumption of normal distribution, they however need a proper and rigorous strategy for its utilization. In this work, some reflections about these methodologies and, in particular, about the main constraints that often occur during the information collecting process and about the various linking possibilities of these different techniques will be presented. At the end, illustrations of some particular cases of the applications of these statistical methods will also be presented.

Avaliação do débito máximo da tosse (peak cough flow) na doença pulmonar obstrutiva crónica

Resumo Objectivos: Avaliação da Tosse em doentes com Doença Pulmonar Obstrutiva Crónica (DPOC). Identificar e determinar a relação dos factores preditivos que contribuem para a deterioração da capacidade de tosse nestes indivíduos. Tipo de estudo: Estudo observacional descritivo de natureza transversal. Definição dos casos: Os critérios de diagnóstico da DPOC são o quadro clínico e o Gold standard para diagnóstico da DPOC – a espirometria. População-alvo: Todos os utentes com patologia primária de DPOC diagnosticada que se desloquem ao serviço de função respiratória do Hospital de Viseu, para realizar provas. Método de Amostragem: Foi utilizada uma amostra aleatória constituída por todos os indivíduos, que cumpriram os critérios de inclusão, conscientes e colaborantes, que aceitaram participar neste estudo. Dimensão da amostra: Uma amostra de 55 indivíduos que se deslocaram ao serviço de função respiratória, entre Janeiro e Junho de 2009, para realizar provas de função respiratória. Condução do estudo: Os utentes que aceitaram participar neste estudo foram sujeitos a um questionário de dados clínicos e realizaram 5 testes: índice de massa corporal (IMC), estudo funcional respiratório e gasometria arterial, avaliação da força dos músculos respiratórios (PImax e PEmax) e avaliação do débito máximo da tosse (Peak Cough Flow). Análise estatística: Foram obtidos dados caracterizadores da amostra em estudo, sendo posteriormente correlacionado o valor de débito máximo da tosse (Peak Cough Flow) com os resultados obtidos para as avaliações do IMC, estudo funcional respiratório, PImax e PEmax, gasometria, avaliação da capacidade de Tosse e número de internamentos no último ano por agudização da DPOC. Tendo sido encontrados os valores de correlação entre o Peak Cough Flow e os restantes parâmetros. Resultados: Após análise dos resultados, foram obtidos os valores de Peak Cough Flow para a população com DPOC e verificou-se valores diminuídos em comparação com os valores normais da população, tendo-se verificado maiores valores de PCF em indivíduos do sexo masculino, em comparação aos valores do sexo feminino. Foi analisada a relação entre o PCF e a idade, peso, altura e IMC, não tendo sido encontrada relação, dado que a tosse não apresenta uma variação segundo os valores antropométricos, tal como a relação com os valores espirométricos. Quanto aos parâmetros funcionais respiratórios foram analisadas as relações com o PCF. Verificou-se relações significativas entre o PCF e o FEV1, a FVC, o PEF, apresentando uma relação positiva, onde maiores valores destes parâmetros estão correlacionados com maiores picos de tosse. Quanto a RAW e RV, o PCF apresenta uma relação negativa, onde uma maior resistência da via aérea ou doentes mais hiperinsuflados leva a menores valores de PCF. Por outro lado não foi encontrada relação entre o PCF e a FRC e o TLC. Quanto à força dos músculos respiratórios, verificou-se relação significativa com o PImax e a PEmax em que a fraqueza ao nível dos músculos respiratórios contribuem para um menor valor de PCF. Relativamente aos valores da gasometria arterial, verificou-se relação entre o PCF e a PaO2 de forma positiva, em que doentes hipoxémicos apresentam menores valores de tosse, e a PaCO2, de forma negativa, em que os doentes hipercápnicos apresentam menores valores de PCF tendo sido verificada relação entre o PCF e o pH e sO2. Quanto à relação entre o número de internamentos por agudização da DPOC no último ano e o PCF verificou-se uma relação significativa, onde um menor valor de PCF contribui para uma maior taxa de internamento por agudização da DPOC. Conclusão: Este conjunto de conclusões corrobora a hipótese inicialmente formulada, de que o Peak Cough Flow se encontra diminuído nos indivíduos com Doença Pulmonar Obstrutiva Crónica onde a variação do PCF se encontra directamente relacionada com os parâmetros funcionais respiratórios, com a força dos músculos respiratórios e com os valores de gasometria arterial. ABSTRACT: Aims: Cough evaluation in Chronic Obstructive Pulmonary Disease (COPD) patients. Identify and determine the relation of the predictive factors that contribute to the cough capacity degradation in this type of patients. Type of study: Descriptive observational study of transversal nature. Case definition: The COPD diagnosis criteria are the clinical presentation and the gold standard to the COPD diagnosis- the Spirometry. Target Population: Every patients, with primary pathology of COPD diagnosed, who went to the respiratory function service of Viseu hospital to perform tests. Sampling Method: It was used a random sample constituted by all the, conscious and cooperating individuals, who complied with the inclusion criteria and who accepted to make part of this study. Sample size: A sample of 55 individuals that went to the respiratory function service between January and June 2009 to perform respiratory function tests. Study: The patients who accepted to make part of this study were submitted to a clinical data questionary and performed 5 tests: body mass index (BMI), respiratory functional study, arterial blood gas level, evaluation of respiratory muscles strength (maximal inspiratory pressure (MIP) and maximum expiratory pressure (MEP)), and Peak Cough Flow evaluation. Statistic Analysis: Were obtained characterizing data of the sample in study, and later correlated the value of the Peak Cough Flow with the results from the evaluation of the body mass index (BMI), the respiratory functional study the MIP and MEP, the arterial blood gas level and also with the ability to cough evaluation and the number of hospitalizations in the last year for COPD exacerbations. The values of correlation between the Peak Cough Flow and the other parameters were found. Results: After analyzing the results, were obtained the values of Peak Cough Flow for the population with COPD. There were decreased values compared with the population normal values, having been found higher values of PCF in males compared to female values. It was analyzed the relation between the PCF and the age, weight, height and BMI but no relation was found on account of the fact that the cough does not show a variation according to anthropometric parameters, such as the relation with spirometric values. As for the respiratory functional parameters were analyzed relations with the PCF. There were significant relations between the PCF and FEV1, the FVC, the PEF, presenting a positive relation, where higher values of these parameters are correlated with higher incidence of cough. Concerning the RAW and RV, the PCF has a negative relation, in which a higher airway resistance or in more hyperinflated patients, leads to lower values of PCF. On the other hand no correlation was found between the PCF and the FRC and TLC. Regarding the respiratory muscle strength, there was a significant relation with the MIP and MEP, in which the weakness at the level of respiratory muscles contribute to a lower value of PCF. For values of arterial blood gas level, there was no relation between the PCF and PaO2, in a positive way, in which patients with hypoxemia present lower values of cough, and PaCO2, in a negative way in which hypercapnic patients had lower values of PCF, having being founded a relation between the PCF and the pH and sO2. As for the relation between the number of hospitalizations for COPD exacerbation in the last year and the PCF was found a significant relation, in which a smaller value of PCF contributes to a higher rate of hospitalization for COPD exacerbation. Conclusion: This set of findings supports the hypothesis first formulated that Peak Cough Flow is decreased in individuals with Chronic Obstructive Pulmonary Disease, in which the variation of the PCF is directly related to the respiratory function parameters, the strength of respiratory muscles and the values of arterial blood gases.

Força Muscular Isocinética após Reconstrução do Ligamento Cruzado Anterior – Influência do Tipo de Enxerto (Osso-Tendão-Osso/Isquio-Tibiais)

Introdução: É reconhecida a importância do ligamento cruzado anterior (LCA) no funcionamento normal do joelho. Em caso de rotura ligamentar, nomeadamente em desportos com marcada solicitação dos movimentos de rotação do joelho, é justificada a necessidade de reconstrução do LCA na maioria dos casos. Objetivo (s): Avaliar a influência do tipo de enxerto na reconstrução do ligamento cruzado anterior na força muscular isocinética, assim como na funcionalidade e sintomas após 6 meses. Métodos: Estudo transversal analítico, constituído por 20 indivíduos voluntários do sexo masculino, que haviam sido submetidos a uma ligamentoplastia do cruzado anterior, pelo mesmo cirurgião, seguido de uma intervenção individualizada por um fisioterapeuta. Em 10 indivíduos, o procedimento cirúrgico foi realizado com enxerto do tendão rotuliano (grupo OTO), e nos restantes 10 com enxerto do semitendinoso e gracilis (grupo STG). Como forma de avaliar a Força Muscular Isocinética (Peak Torque, Trabalho Total Muscular, ratio Isquiotibiais/Quadricipite), foi utilizado o Dinamómetro Isocinético Biodex. A avaliação foi efectuada apenas aos 6 meses após o procedimento cirúrgico. Para observação da funcionalidade, amplitude de movimento e sintomas, utilizou-se o questionário International Knee Documentation Committee (IKDC). Resultados: Foi possível observar que entre os grupos apenas se observaram diferenças significativas no peak torque de extensão a 180º no membro não lesado (p=0,019). Contudo, foi observada uma tendência para o grupo OTO apresentar um maior défice no peak torque e trabalho total muscular em extensão. Comparativamente ao membro contra-lateral, o membro lesado apresentou valores significativamente inferiores na maioria das variáveis ( p < 0,05). Conclusão: Após 6 meses de pós-cirúrgico com reabilitação de fisioterapia, não foi possível apontar qual o enxerto que garante uma melhor recuperação da força muscular. Aos 6 meses, ambos os grupos ainda apresentaram limitações musculares, quando comparados com o lado contra-lateral. Relativamente ao rácio isquiotibiais/quadricípite, assim como no IKDC, não se observaram diferenças entre os dois tipos de enxertos.

Extremum estimators and stochastic optimization methods

Submitted in partial fulfillment for the Requirements for the Degree of PhD in Mathematics, in the Speciality of Statistics in the Faculdade de Ciências e Tecnologia

Avaliação e promoção da leitura na formação de adultos com incapacidade intelectual

A promoção de competências de leitura é um tema central, tanto na educação regular, como na educação especial em crianças em idade pré-escolar e escolar. Todavia, as competências de leitura de indivíduos adultos com incapacidade intelectual são um domínio muito pouco estudado. São também escassos os estudos direcionados à avaliação dessas competências. Esta investigação propõe uma tradução/ adaptação do APAR (Assessment of Phonological Awareness and Reading), um protocolo de avaliação da consciência fonológica (CF) e da leitura especificamente concebido para a população em estudo. Procura-se também analisar os processos cognitivos envolvidos na leitura nos quais a intervenção produzirá resultados mais significativos e confirmar uma relação positiva entre a avaliação prévia de competências escolares em contexto formativo profissional e o efetivo desenvolvimento de competências de leitura. Foram avaliadas em dois momentos (pré e pós-teste) a CF e competências de leitura de 12 adultos com incapacidade intelectual ligeira, sendo estes sujeitos a um programa de intervenção, visando áreas menos desenvolvidas das suas competências que possibilitassem desempenhos de leitura mais fortes. Ao nível da análise quantitativa, foram comparados os resultados obtidos nos dois momentos de administração. No tratamento estatístico recorreu-se a análises de correlação de Spearman para determinar a presença de indicadores de desempenho ao nível da CF e ao cálculo de coeficientes de correlação de Pearson e Spearman para controlar variáveis externas como idade, sexo e habilitações literárias. Os resultados obtidos revelam desempenhos fracos ao nível da leitura/ compreensão textual e, em particular, da CF em pré-teste e ganhos significativos globais após implementação de uma intervenção baseada em medidas de avaliação prévia de competências de leitura/compreensão e CF

Exploraty Multivariate Statistical Methods Applied to Pharmaceutical Industry CRM Data

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

Determinants of mother-baby relationship evaluated during pregnancy

ABSTRACT Background Mental health promotion is supported by a strong body of knowledge and is a matter of public health with the potential of a large impact on society. Mental health promotion programs should be implemented as soon as possible in life, preferably starting during pregnancy. Programs should focus on malleable determinants, introducing strategies to reduce risk factors or their impact on mother and child, and also on strengthening protective factors to increase resilience. The ambition of early detecting risk situations requires the development and use of tools to assess risk, and the creation of a responsive network of services based in primary health care, especially maternal consultation during pregnancy and the first months of the born child. The number of risk factors and the way they interact and are buffered by protective factors are relevant for the final impact. Maternal-fetal attachment (MFA) is not yet a totally understood and well operationalized concept. Methodological problems limit the comparison of data as many studies used small size samples, had an exploratory character or used different selection criteria and different measures. There is still a lack of studies in high risk populations evaluating the consequences of a weak MFA. Instead, the available studies are not very conclusive, but suggest that social support, anxiety and depression, self-esteem and self-control and sense of coherence are correlated with MFA. MFA is also correlated with health practices during pregnancy, that influence pregnancy and baby outcomes. MFA seems a relevant concept for the future mother baby interaction, but more studies are needed to clarify the concept and its operationalization. Attachment is a strong scientific concept with multiple implications for future child development, personality and relationship with others. Secure attachment is considered an essential basis of good mental health, and promoting mother-baby interaction offers an excellent opportunity to intervention programmes targeted at enhancing mental health and well-being. Understanding the process of attachment and intervening to improve attachment requires a comprehension of more proximal factors, but also a broader approach that assesses the impact of more distal social conditions on attachment and how this social impact is mediated by family functioning and mother-baby interaction. Finally, it is essential to understand how this knowledge could be translated in effective mental health promoting interventions and measures that could reach large populations of pregnant mothers and families. Strengthening emotional availability (EA) seems to be a relevant approach to improve the mother-baby relationship. In this review we have offered evidence suggesting a range of determinants of mother-infant relationship, including age, marital relationship, social disadvantages, migration, parental psychiatric disorders and the situations of abuse or neglect. Based on this theoretical background we constructed a theoretical model that included proximal and distal factors, risk and protective factors, including variables related to the mother, the father, their social support and mother baby interaction from early pregnancy until six months after birth. We selected the Antenatal Psychosocial Health Assessment (ALPHA) for use as an instrument to detect psychosocial risk during pregnancy. Method Ninety two pregnant women were recruited from the Maternal Health Consultation in Primary Health Care (PHC) at Amadora. They had three moments of assessment: at T1 (until 12 weeks of pregnancy) they filed out a questionnaire that included socio-demographic data, ALPHA, Edinburgh post-natal Depression Scale (EDPS), General Health Questionnaire (GHQ) and Sense of Coherence (SOC); at T2 (after the 20th weeks of pregnancy) they answered EDPS, SOC and MFA Scale (MFAS), and finally at T3 (6 months after birth), they repeated EDPS and SOC, and their interaction with their babies was videotaped and later evaluated using EA Scales. A statistical analysis has been done using descriptive statistics, correlation analysis, univariate logistic regression and multiple linear regression. Results The study has increased our knowledge on this particular population living in a multicultural, suburb community. It allow us to identify specific groups with a higher level of psychosocial risk, such as single or divorced women, young couples, mothers with a low level of education and those who are depressed or have a low SOC. The hypothesis that psychosocial risk is directly correlated with MFAS and that MFA is directly correlated with EA was not confirmed, neither the correlation between prenatal psychosocial risk and mother-baby EA. The study identified depression as a relevant risk factor in pregnancy and its higher prevalence in single or divorced women, immigrants and in those who have a higher global psychosocial risk. Depressed women have a poor MFA, and a lower structuring capacity and a higher hostility to their babies. In average, depression seems to reduce among pregnant women in the second part of their pregnancy. The children of immigrant mothers show a lower level of responsiveness to their mothers what could be transmitted through depression, as immigrant mothers have a higher risk of depression in the beginning of pregnancy and six months after birth. Young mothers have a low MFA and are more intrusive. Women who have a higher level of education are more sensitive and their babies showed to be more responsive. Women who are or have been submitted to abuse were found to have a higher level of MFA but their babies are less responsive to them. The study highlights the relevance of SOC as a potential protective factor while it is strongly and negatively related with a wide range of risk factors and mental health outcomes especially depression before, during and after pregnancy. Conclusions ALPHA proved to be a valid, feasible and reliable instrument to Primary Health Care (PHC) that can be used as a total sum score. We could not prove the association between psychosocial risk factors and MFA, neither between MFA and EA, or between psychosocial risk and EA. Depression and SOC seems to have a clear and opposite relevance on this process. Pregnancy can be considered as a maturational process and an opportunity to change, where adaptation processes occur, buffering risk, decreasing depression and increasing SOC. Further research is necessary to better understand interactions between variables and also to clarify a better operationalization of MFA. We recommend the use of ALPHA, SOC and EDPS in early pregnancy as a way of identifying more vulnerable women that will require additional interventions and support in order to decrease risk. At political level we recommend the reinforcement of Immigrant integration and the increment of education in women. We recommend more focus in health care and public health in mental health condition and psychosocial risk of specific groups at high risk. In PHC special attention should be paid to pregnant women who are single or divorced, very young, low educated and to immigrant mothers. This study provides the basis for an intervention programme for this population, that aims to reduce broad spectrum risk factors and to promote Mental Health in women who become pregnant. Health and mental health policies should facilitate the implementation of the suggested measures.

Simultaneous cell morphometry and refractive index measurement with dual-wavelength digital holographic microscopy and dye-enhanced dispersion of perfusion medium.

Digital holographic microscopy (DHM) allows optical-path-difference (OPD) measurements with nanometric accuracy. OPD induced by transparent cells depends on both the refractive index (RI) of cells and their morphology. This Letter presents a dual-wavelength DHM that allows us to separately measure both the RI and the cellular thickness by exploiting an enhanced dispersion of the perfusion medium achieved by the utilization of an extracellular dye. The two wavelengths are chosen in the vicinity of the absorption peak of the dye, where the absorption is accompanied by a significant variation of the RI as a function of the wavelength.

A note on moments of dividends

We reconsider a formula for arbitrary moments of expected discounted dividend payments in a spectrally negative L,vy risk model that was obtained in Renaud and Zhou (2007, [4]) and in Kyprianou and Palmowski (2007, [3]) and extend the result to stationary Markov processes that are skip-free upwards.

Statistical hypothesis testing and common misinterpretations: should we abandon p-value in forensic science applications?

Many people regard the concept of hypothesis testing as fundamental to inferential statistics. Various schools of thought, in particular frequentist and Bayesian, have promoted radically different solutions for taking a decision about the plausibility of competing hypotheses. Comprehensive philosophical comparisons about their advantages and drawbacks are widely available and continue to span over large debates in the literature. More recently, controversial discussion was initiated by an editorial decision of a scientific journal [1] to refuse any paper submitted for publication containing null hypothesis testing procedures. Since the large majority of papers published in forensic journals propose the evaluation of statistical evidence based on the so called p-values, it is of interest to expose the discussion of this journal's decision within the forensic science community. This paper aims to provide forensic science researchers with a primer on the main concepts and their implications for making informed methodological choices.