Généralisation d'algorithmes de réduction de dimension

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Généralisation d'algorithmes de réduction de dimension

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Latent Variable Models for Stochastic Discount Factors.

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time series of asset prices. In the CAPM or APT beta pricing models, the dimension reduction is cross-sectional in nature, while in time-series state-space models, dimension is reduced longitudinally by assuming conditional independence between consecutive returns, given a small number of state variables. In this paper, we use the concept of Stochastic Discount Factor (SDF) or pricing kernel as a unifying principle to integrate these two concepts of latent variables. Beta pricing relations amount to characterize the factors as a basis of a vectorial space for the SDF. The coefficients of the SDF with respect to the factors are specified as deterministic functions of some state variables which summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross-sectional factor structure, that is, a conditional independence between contemporaneous returns of a large number of assets, given a small number of factors, like in standard Factor Analysis. We provide this unifying analysis in the context of conditional equilibrium beta pricing as well as asset pricing with stochastic volatility, stochastic interest rates and other state variables. We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals. We interpret various instantaneous causality relationships between state variables and market fundamentals as leverage effects and discuss their central role relative to the validity of standard CAPM-like stock pricing and preference-free option pricing.

Factor models, VARMA processes and parameter instability with applications in macroeconomics

Avec les avancements de la technologie de l'information, les données temporelles économiques et financières sont de plus en plus disponibles. Par contre, si les techniques standard de l'analyse des séries temporelles sont utilisées, une grande quantité d'information est accompagnée du problème de dimensionnalité. Puisque la majorité des séries d'intérêt sont hautement corrélées, leur dimension peut être réduite en utilisant l'analyse factorielle. Cette technique est de plus en plus populaire en sciences économiques depuis les années 90. Étant donnée la disponibilité des données et des avancements computationnels, plusieurs nouvelles questions se posent. Quels sont les effets et la transmission des chocs structurels dans un environnement riche en données? Est-ce que l'information contenue dans un grand ensemble d'indicateurs économiques peut aider à mieux identifier les chocs de politique monétaire, à l'égard des problèmes rencontrés dans les applications utilisant des modèles standards? Peut-on identifier les chocs financiers et mesurer leurs effets sur l'économie réelle? Peut-on améliorer la méthode factorielle existante et y incorporer une autre technique de réduction de dimension comme l'analyse VARMA? Est-ce que cela produit de meilleures prévisions des grands agrégats macroéconomiques et aide au niveau de l'analyse par fonctions de réponse impulsionnelles? Finalement, est-ce qu'on peut appliquer l'analyse factorielle au niveau des paramètres aléatoires? Par exemple, est-ce qu'il existe seulement un petit nombre de sources de l'instabilité temporelle des coefficients dans les modèles macroéconomiques empiriques? Ma thèse, en utilisant l'analyse factorielle structurelle et la modélisation VARMA, répond à ces questions à travers cinq articles. Les deux premiers chapitres étudient les effets des chocs monétaire et financier dans un environnement riche en données. Le troisième article propose une nouvelle méthode en combinant les modèles à facteurs et VARMA. Cette approche est appliquée dans le quatrième article pour mesurer les effets des chocs de crédit au Canada. La contribution du dernier chapitre est d'imposer la structure à facteurs sur les paramètres variant dans le temps et de montrer qu'il existe un petit nombre de sources de cette instabilité. Le premier article analyse la transmission de la politique monétaire au Canada en utilisant le modèle vectoriel autorégressif augmenté par facteurs (FAVAR). Les études antérieures basées sur les modèles VAR ont trouvé plusieurs anomalies empiriques suite à un choc de la politique monétaire. Nous estimons le modèle FAVAR en utilisant un grand nombre de séries macroéconomiques mensuelles et trimestrielles. Nous trouvons que l'information contenue dans les facteurs est importante pour bien identifier la transmission de la politique monétaire et elle aide à corriger les anomalies empiriques standards. Finalement, le cadre d'analyse FAVAR permet d'obtenir les fonctions de réponse impulsionnelles pour tous les indicateurs dans l'ensemble de données, produisant ainsi l'analyse la plus complète à ce jour des effets de la politique monétaire au Canada. Motivée par la dernière crise économique, la recherche sur le rôle du secteur financier a repris de l'importance. Dans le deuxième article nous examinons les effets et la propagation des chocs de crédit sur l'économie réelle en utilisant un grand ensemble d'indicateurs économiques et financiers dans le cadre d'un modèle à facteurs structurel. Nous trouvons qu'un choc de crédit augmente immédiatement les diffusions de crédit (credit spreads), diminue la valeur des bons de Trésor et cause une récession. Ces chocs ont un effet important sur des mesures d'activité réelle, indices de prix, indicateurs avancés et financiers. Contrairement aux autres études, notre procédure d'identification du choc structurel ne requiert pas de restrictions temporelles entre facteurs financiers et macroéconomiques. De plus, elle donne une interprétation des facteurs sans restreindre l'estimation de ceux-ci. Dans le troisième article nous étudions la relation entre les représentations VARMA et factorielle des processus vectoriels stochastiques, et proposons une nouvelle classe de modèles VARMA augmentés par facteurs (FAVARMA). Notre point de départ est de constater qu'en général les séries multivariées et facteurs associés ne peuvent simultanément suivre un processus VAR d'ordre fini. Nous montrons que le processus dynamique des facteurs, extraits comme combinaison linéaire des variables observées, est en général un VARMA et non pas un VAR comme c'est supposé ailleurs dans la littérature. Deuxièmement, nous montrons que même si les facteurs suivent un VAR d'ordre fini, cela implique une représentation VARMA pour les séries observées. Alors, nous proposons le cadre d'analyse FAVARMA combinant ces deux méthodes de réduction du nombre de paramètres. Le modèle est appliqué dans deux exercices de prévision en utilisant des données américaines et canadiennes de Boivin, Giannoni et Stevanovic (2010, 2009) respectivement. Les résultats montrent que la partie VARMA aide à mieux prévoir les importants agrégats macroéconomiques relativement aux modèles standards. Finalement, nous estimons les effets de choc monétaire en utilisant les données et le schéma d'identification de Bernanke, Boivin et Eliasz (2005). Notre modèle FAVARMA(2,1) avec six facteurs donne les résultats cohérents et précis des effets et de la transmission monétaire aux États-Unis. Contrairement au modèle FAVAR employé dans l'étude ultérieure où 510 coefficients VAR devaient être estimés, nous produisons les résultats semblables avec seulement 84 paramètres du processus dynamique des facteurs. L'objectif du quatrième article est d'identifier et mesurer les effets des chocs de crédit au Canada dans un environnement riche en données et en utilisant le modèle FAVARMA structurel. Dans le cadre théorique de l'accélérateur financier développé par Bernanke, Gertler et Gilchrist (1999), nous approximons la prime de financement extérieur par les credit spreads. D'un côté, nous trouvons qu'une augmentation non-anticipée de la prime de financement extérieur aux États-Unis génère une récession significative et persistante au Canada, accompagnée d'une hausse immédiate des credit spreads et taux d'intérêt canadiens. La composante commune semble capturer les dimensions importantes des fluctuations cycliques de l'économie canadienne. L'analyse par décomposition de la variance révèle que ce choc de crédit a un effet important sur différents secteurs d'activité réelle, indices de prix, indicateurs avancés et credit spreads. De l'autre côté, une hausse inattendue de la prime canadienne de financement extérieur ne cause pas d'effet significatif au Canada. Nous montrons que les effets des chocs de crédit au Canada sont essentiellement causés par les conditions globales, approximées ici par le marché américain. Finalement, étant donnée la procédure d'identification des chocs structurels, nous trouvons des facteurs interprétables économiquement. Le comportement des agents et de l'environnement économiques peut varier à travers le temps (ex. changements de stratégies de la politique monétaire, volatilité de chocs) induisant de l'instabilité des paramètres dans les modèles en forme réduite. Les modèles à paramètres variant dans le temps (TVP) standards supposent traditionnellement les processus stochastiques indépendants pour tous les TVPs. Dans cet article nous montrons que le nombre de sources de variabilité temporelle des coefficients est probablement très petit, et nous produisons la première évidence empirique connue dans les modèles macroéconomiques empiriques. L'approche Factor-TVP, proposée dans Stevanovic (2010), est appliquée dans le cadre d'un modèle VAR standard avec coefficients aléatoires (TVP-VAR). Nous trouvons qu'un seul facteur explique la majorité de la variabilité des coefficients VAR, tandis que les paramètres de la volatilité des chocs varient d'une façon indépendante. Le facteur commun est positivement corrélé avec le taux de chômage. La même analyse est faite avec les données incluant la récente crise financière. La procédure suggère maintenant deux facteurs et le comportement des coefficients présente un changement important depuis 2007. Finalement, la méthode est appliquée à un modèle TVP-FAVAR. Nous trouvons que seulement 5 facteurs dynamiques gouvernent l'instabilité temporelle dans presque 700 coefficients.

Urban Detection From Hyperspectral Images Using Dimension-Reduction Model and Fusion of Multiple Segmentations Based on Stuctural and Textural Features

Ce mémoire de maîtrise présente une nouvelle approche non supervisée pour détecter et segmenter les régions urbaines dans les images hyperspectrales. La méthode proposée n ́ecessite trois étapes. Tout d’abord, afin de réduire le coût calculatoire de notre algorithme, une image couleur du contenu spectral est estimée. A cette fin, une étape de réduction de dimensionalité non-linéaire, basée sur deux critères complémentaires mais contradictoires de bonne visualisation; à savoir la précision et le contraste, est réalisée pour l’affichage couleur de chaque image hyperspectrale. Ensuite, pour discriminer les régions urbaines des régions non urbaines, la seconde étape consiste à extraire quelques caractéristiques discriminantes (et complémentaires) sur cette image hyperspectrale couleur. A cette fin, nous avons extrait une série de paramètres discriminants pour décrire les caractéristiques d’une zone urbaine, principalement composée d’objets manufacturés de formes simples g ́eométriques et régulières. Nous avons utilisé des caractéristiques texturales basées sur les niveaux de gris, la magnitude du gradient ou des paramètres issus de la matrice de co-occurrence combinés avec des caractéristiques structurelles basées sur l’orientation locale du gradient de l’image et la détection locale de segments de droites. Afin de réduire encore la complexité de calcul de notre approche et éviter le problème de la ”malédiction de la dimensionnalité” quand on décide de regrouper des données de dimensions élevées, nous avons décidé de classifier individuellement, dans la dernière étape, chaque caractéristique texturale ou structurelle avec une simple procédure de K-moyennes et ensuite de combiner ces segmentations grossières, obtenues à faible coût, avec un modèle efficace de fusion de cartes de segmentations. Les expérimentations données dans ce rapport montrent que cette stratégie est efficace visuellement et se compare favorablement aux autres méthodes de détection et segmentation de zones urbaines à partir d’images hyperspectrales.

On Ordinal VC-Dimension and Some Notions of Complexity

We generalize the classical notion of Vapnik–Chernovenkis (VC) dimension to ordinal VC-dimension, in the context of logical learning paradigms. Logical learning paradigms encompass the numerical learning paradigms commonly studied in Inductive Inference. A logical learning paradigm is defined as a set W of structures over some vocabulary, and a set D of first-order formulas that represent data. The sets of models of ϕ in W, where ϕ varies over D, generate a natural topology W over W. We show that if D is closed under boolean operators, then the notion of ordinal VC-dimension offers a perfect characterization for the problem of predicting the truth of the members of D in a member of W, with an ordinal bound on the number of mistakes. This shows that the notion of VC-dimension has a natural interpretation in Inductive Inference, when cast into a logical setting. We also study the relationships between predictive complexity, selective complexity—a variation on predictive complexity—and mind change complexity. The assumptions that D is closed under boolean operators and that W is compact often play a crucial role to establish connections between these concepts. We then consider a computable setting with effective versions of the complexity measures, and show that the equivalence between ordinal VC-dimension and predictive complexity fails. More precisely, we prove that the effective ordinal VC-dimension of a paradigm can be defined when all other effective notions of complexity are undefined. On a better note, when W is compact, all effective notions of complexity are defined, though they are not related as in the noncomputable version of the framework.

Motivation, development and validation of a new spectral greenness index : a spectral dimension related to foliage projective cover

A method is presented for the development of a regional Landsat-5 Thematic Mapper (TM) and Landsat-7 Enhanced Thematic Mapper plus (ETM+) spectral greenness index, coherent with a six-dimensional index set, based on a single ETM+ spectral image of a reference landscape. The first three indices of the set are determined by a polar transformation of the first three principal components of the reference image and relate to scene brightness, percent foliage projective cover (FPC) and water related features. The remaining three principal components, of diminishing significance with respect to the reference image, complete the set. The reference landscape, a 2200 km2 area containing a mix of cattle pasture, native woodland and forest, is located near Injune in South East Queensland, Australia. The indices developed from the reference image were tested using TM spectral images from 19 regionally dispersed areas in Queensland, representative of dissimilar landscapes containing woody vegetation ranging from tall closed forest to low open woodland. Examples of image transformations and two-dimensional feature space plots are used to demonstrate image interpretations related to the first three indices. Coherent, sensible, interpretations of landscape features in images composed of the first three indices can be made in terms of brightness (red), foliage cover (green) and water (blue). A limited comparison is made with similar existing indices. The proposed greenness index was found to be very strongly related to FPC and insensitive to smoke. A novel Bayesian, bounded space, modelling method, was used to validate the greenness index as a good predictor of FPC. Airborne LiDAR (Light Detection and Ranging) estimates of FPC along transects of the 19 sites provided the training and validation data. Other spectral indices from the set were found to be useful as model covariates that could improve FPC predictions. They act to adjust the greenness/FPC relationship to suit different spectral backgrounds. The inclusion of an external meteorological covariate showed that further improvements to regional-scale predictions of FPC could be gained over those based on spectral indices alone.

Commentary : Biomaterials offer cancer research the third dimension

In a mini review from 2002, Tyler Jacks and Robert Weinberg commented on the pioneering three-dimensional (3D) culture work from Bissell laboratories and concluded: “Suddenly the study of cancer cells in two dimensions seems quaint if not archaic.” The relevance of this statement for planning and executing mechanistic biological studies and advanced drug testing has been largely disregarded by both academic researchers and the pharmaceutical and biomedical industry in the twenty-first century.

David Hicks and Cathie Holden (eds.) (2007). Teaching The Global Dimension. London: Routledge, Taylor & Francis Group, 212 pages.

Teaching The Global Dimension (2007) is intended for primary and secondary teachers, pre-service teachers and educators interested in fostering global concerns in the education system. It aims at linking theory and practice and is structured as follows. Part 1, the global dimension, proposes an educational framework for understanding global concerns. Individual chapters in this section deal with some educational responses to global issues and the ways in which young people might become, in Hick’s terms, more “world-minded”. In the first two chapters, Hicks presents first, some educational responses to global issues that have emerged in recent decades, and second, an outline of the evolution of global education as a specific field. As with all the chapters in this book, most of the examples are drawn from the United Kingdom. Young people’s concerns, student teachers’ views and the teaching of controversial issues, comprise the other chapters in this section. Taken collectively, the chapters in Part 2 articulate the conceptual framework for developing, teaching and evaluating a global dimension across the curriculum. Individual chapters in this section, written by a range of authors, explore eight key concepts considered necessary to underpin appropriate learning experiences in the classroom. These are conflict, social justice, values and perceptions, sustainability, interdependence, human rights, diversity and citizenship. These chapters are engaging and well structured. Their common format consists of a succinct introduction, reference to positive action for change, and examples of recent effective classroom practice. Two chapters comprise the final section of this book and suggest different ways in which the global dimension can be achieved in the primary and the secondary classroom.

Butterpaper, sweat & tears : the affective dimension of engaging students during the architectural critique

Considering how dominant a feature of architectural education the critique has been, and continues to be, little has been written about the affective dimension of engaging students during this key final stage of the design or documentation process. For most students, the critique is unlike any previous educational or life experience that they have ever confronted, and the abrupt change in the instructor’s role, from tutor to judge, can be disconcerting at a time when the student is feeling their most vulnerable. The fact that the period immediately leading up to the critique habitually entails not only a focused and sustained effort, but also sleepless nights of intensive work, further exacerbates this. The purpose of this paper is to recognise the affective phenomena influencing student engagement, during the critique. The participants of this research were second to fourth year architecture students at a major Australian university. Following the implementation of trials in alternative modes of critique in architectural design and technology studios, qualitative data was obtained from students, through questionnaires and interviews. Six indicators of engagement were investigated through this research: motivation and agency, transactional engagement with staff, transactional engagement with students, institutional support, active citizenship, and non-institutional support. This research confirms that affective phenomena play a significant role in the events of the critique; the relationship between instructor and student influences student engagement, as does the choreography and spatial planning of the critique environment; and these factors ultimately have an impact on the depth of student learning.

The neglected dimension of community liveability : impact on social connectedness and active ageing in higher density accommodation

Purpose This thesis is about liveability, place and ageing in the high density urban landscape of Brisbane, Australia. As with other major developed cities around the globe, Brisbane has adopted policies to increase urban residential densities to meet the main liveability and sustainability aim of decreasing car dependence and therefore pollution, as well as to minimise the loss of greenfield areas and habitats to developers. This objective hinges on urban neighbourhoods/communities being liveable places, which residents do not have to leave for everyday living. Community/neighbourhood liveability is an essential ingredient in healthy ageing in place and has a substantial impact upon the safety, independence and well-being of older adults. It is generally accepted that ageing in place is optimal for both older people and the state. The optimality of ageing in place generally assumes that there is a particular quality to environments or standard of liveability in which people successfully age in place. The aim of this thesis was to examine if there are particular environmental qualities or aspects of liveability that test optimality and to better understand the key liveability factors that contribute to successful ageing in place. Method A strength of this thesis is that it draws on two separate studies to address the research question of what makes high density liveable for older people. In Chapter 3, the two methods are identified and differentiated as Method 1 (used in Paper 1) and Method 2 (used in Papers 2, 3, 4 and 5). Method 1 involved qualitative interviews with 24 inner city high density Brisbane residents. The major strength of this thesis is the innovative methodology outlined in the thesis as Method 2. Method 2 involved a case study approach employing qualitative and quantitative methods. Qualitative data was collected using semi-structured, in-depth interviews and time-use diaries completed by participants during the week of tracking. The quantitative data was gathered using Global Positioning Systems for tracking and Geographical Information Systems for mapping and analysis of participants’ activities. The combination of quantitative and qualitative analysis captured both participants’ subjective perceptions of their neighbourhoods and their patterns of movement. This enhanced understanding of how neighbourhoods and communities function and of the various liveability dimensions that contribute to active ageing and ageing in place for older people living in high density environments. Both studies’ participants were inner-city high density residents of Brisbane. The study based on Method 1 drew on a wider age demographic than the study based on Method 2. Findings The five papers presented in this thesis by publication indicate a complex inter-relationship of the factors that make a place liveable. The first three papers identify what is comparable and different between the physical and social factors of high density communities/neighbourhoods. The last two papers explore relationships between social engagement and broader community variables such as infrastructure and the physical built environments that are risk or protective factors relevant to community liveability, active ageing and ageing in place in high density. The research highlights the importance of creating and/or maintaining a barrier-free environment and liveable community for ageing adults. Together, the papers promote liveability, social engagement and active ageing in high density neighbourhoods by identifying factors that constitute liveability and strategies that foster active ageing and ageing in place, social connections and well-being. Recommendations There is a strong need to offer more support for active ageing and ageing in place. While the data analyses of this research provide insight into the lived experience of high density residents, further research is warranted. Further qualitative and quantitative research is needed to explore in more depth, the urban experience and opinions of older people living in urban environments. In particular, more empirical research and theory-building is needed in order to expand understanding of the particular environmental qualities that enable successful ageing in place in our cities and to guide efforts aimed at meeting this objective. The results suggest that encouraging the presence of more inner city retail outlets, particularly services that are utilised frequently in people’s daily lives such as supermarkets, medical services and pharmacies, would potentially help ensure residents fully engage in their local community. The connectivity of streets, footpaths and their role in facilitating the reaching of destinations are well understood as an important dimension of liveability. To encourage uptake of sustainable transport, the built environment must provide easy, accessible connections between buildings, walkways, cycle paths and public transport nodes. Wider streets, given that they take more time to cross than narrow streets, tend to .compromise safety - especially for older people. Similarly, the width of footpaths, the level of buffering, the presence of trees, lighting, seating and design of and distance between pedestrian crossings significantly affects the pedestrian experience for older people and impacts upon their choice of transportation. High density neighbourhoods also require greater levels of street fixtures and furniture for everyday life to make places more useable and comfortable for regular use. The importance of making the public realm useful and habitable for older people cannot be over-emphasised. Originality/value While older people are attracted to high density settings, there has been little empirical evidence linking liveability satisfaction with older people’s use of urban neighbourhoods. The current study examined the relationships between community/neighbourhood liveability, place and ageing to better understand the implications for those adults who age in place. The five papers presented in this thesis add to the understanding of what high density liveable age-friendly communities/ neighbourhoods are and what makes them so for older Australians. Neighbourhood liveability for older people is about being able to age in place and remain active. Issues of ageing in Australia and other areas of the developed world will become more critical in the coming decades. Creating livable communities for all ages calls for partnerships across all levels of government agencies and among different sectors within communities. The increasing percentage of older people in the community will have increasing political influence and it will be a foolish government who ignores the needs of an older society.

Empirical analysis of the effect of dimension reduction and word order on semantic vectors

The aim of this paper is to provide a comparison of various algorithms and parameters to build reduced semantic spaces. The effect of dimension reduction, the stability of the representation and the effect of word order are examined in the context of the five algorithms bearing on semantic vectors: Random projection (RP), singular value decom- position (SVD), non-negative matrix factorization (NMF), permutations and holographic reduced representations (HRR). The quality of semantic representation was tested by means of synonym finding task using the TOEFL test on the TASA corpus. Dimension reduction was found to improve the quality of semantic representation but it is hard to find the optimal parameter settings. Even though dimension reduction by RP was found to be more generally applicable than SVD, the semantic vectors produced by RP are somewhat unstable. The effect of encoding word order into the semantic vector representation via HRR did not lead to any increase in scores over vectors constructed from word co-occurrence in context information. In this regard, very small context windows resulted in better semantic vectors for the TOEFL test.

The human dimension of nosocomial wound infection : a study in liminality

Nosocomial wound infection is a disease that has to date been primarily understood through the language of science and biomedicine. This paper reports on findings from a sociological, interpretive study that focused on the experiential dimension of this phenomenon. The illness experience of a nosocomial wound infection is examined within a cultural milieu that values the smooth, untroubled body and alternatively ascribes cultural meaning to a body that has a definable illness. Within this context the person with a chronic wound from nosocomial infection defies normative categorisation and is thus situated outside the patterning of society. The human dimension of nosocomial wound infection includes the private, existential and embodied aspects of living with a chronic, infected wound. This report indicates that the experiential dimension is characterised by an embodied state of liminality. People with this illness live an indeterminate existence that is in-between health and illness, cure and disease. As such they have no recognised place in the medical or social world.

The nurse researcher : an added dimension to qualitative research methodology

Nurse researchers are increasingly adopting qualitative methodologies for research practice and theory development. These approaches to research are, in many cases, more appropriate for the field of nursing inquiry than the previously dominant techno-rational methods. However, there remains the issue of adapting methodologies developed in other academic disciplines to the nursing research context. This paper draws upon my own experience with interpretive research to raise questions about the issue of nursing research within a social science research framework. The paper argues that by integrating the characteristics of nursing practice with the characteristics of research practice, the researcher can develop a 'nursing lens', an approach to qualitative research that brings an added dimension to social science methodologies in the nursing research context. Attention is drawn to the unique nature of the nurse-patient relationship, and the ways in which this aspect of nursing practice can enhance nursing research. Examples are given from interview transcripts to support this position.