Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across markets. This indicates that, despite a regional proximity and homogeneity of the markets, index volatilities are driven by different factors

Two algorithms for detection of mutually occluding traffic signs

The robust identification of the traffic signs represents the first and one of the most important steps in the development of a traffic sign recognition (TSR) system. Traffic signs detection usually involves a color segmentation process that uses the information related to the chromatic properties of the road signs. Since the traffic video data is captured in diverse road and weather conditions, the problem relating to traffic sign detection is quite challenging. Among several issues that need to be addressed during this processing stage, the problem generated by mutually occluding traffic signs (mutual occlusion occurs when one traffic sign partially occludes the surface of other road signs) that are attached to the same pole require special attention. In these situations the color segmentation process fails to correctly identify the regions that are associated with the traffic signs. These traffic sign detection failures compromise the performance of other stages of the TSR system and in this paper we propose two approaches that address the segmentation of mutually occluding traffic signs. The first approach uses the information associated with the inner parts of the traffic signs, while the second approach applies the watershed transform to identify the signs that have their borders in contact or are mutually occluding

AppFM, une plate-forme de gestion de modules de TAL

International audienceAppFM is a tool between a NLP pipeline framework and a system service management. It allows integration of applications with complex dependencies into functional modules workflows of convenient usage within multiples interfaces.AppFM est un outil à mi-chemin entre un environnement de création de chaînes modulaires de TAL et un gestionnaire de services systèmes. Il permet l'intégration d'applications ayant des dépendances complexes en des chaînes de traitements réutilisables facilement par le biais de multiples interfaces

Scalable Probabilistic Forecasting in Retail with Gradient Boosted Trees: A Practitioner's Approach

The recent M5 competition has advanced the state-of-the-art in retail forecasting. However, we notice important differences between the competition challenge and the challenges we face in a large e-commerce company. The datasets in our scenario are larger (hundreds of thousands of time series), and e-commerce can afford to have a larger assortment than brick-and-mortar retailers, leading to more intermittent data. To scale to larger dataset sizes with feasible computational effort, firstly, we investigate a two-layer hierarchy and propose a top-down approach to forecasting at an aggregated level with less amount of series and intermittency, and then disaggregating to obtain the decision-level forecasts. Probabilistic forecasts are generated under distributional assumptions. Secondly, direct training at the lower level with subsamples can also be an alternative way of scaling. Performance of modelling with subsets is evaluated with the main dataset. Apart from a proprietary dataset, the proposed scalable methods are evaluated using the Favorita dataset and the M5 dataset. We are able to show the differences in characteristics of the e-commerce and brick-and-mortar retail datasets. Notably, our top-down forecasting framework enters the top 50 of the original M5 competition, even with models trained at a higher level under a much simpler setting

Handling the MAUP: methods for identifying appropriate scales of aggregation based on measures on spatial and non-spatial variance

The Modifiable Areal Unit Problem or MAUP is frequently alluded to but rarely addressed directly. The MAUP posits that statistical distributions, relationships and trends can exhibit very different properties when the same data are aggregated or combined over different reporting units or scales. This paper explores a number of approaches for determining appropriate scales of spatial aggregation. It examines a travel survey, undertaken in Ha Noi, Vietnam, that captures attitudes towards a potential ban of motorised transport in the city centre. The data are rich, capturing travel destinations, purposes, modes and frequencies, as well as respondent demographics (age, occupation, housing etc) including home locations. The dataset is highly dimensional, with a large n (26339 records) and a large m (142 fields). When the raw individual level data are used to analyse the factors associated with travel ban attitudes, the resultant models are weak and inconclusive - the data are too noisy. Aggregating the data can overcome this, but this raises the question of appropriate aggregation scales. This paper demonstrates how aggregation scales can be evaluated using a range of different metrics related to spatial and non-spatial variances. In so doing it demonstrates how the MAUP can be directly addressed in analyses of spatial data

HIV-1 full-genome phylogenetics of generalized epidemics in sub-Saharan Africa: impact of missing nucleotide characters in next-generation sequences.

To characterize HIV-1 transmission dynamics in regions where the burden of HIV-1 is greatest, the 'Phylogenetics and Networks for Generalised HIV Epidemics in Africa' consortium (PANGEA-HIV) is sequencing full-genome viral isolates from across sub-Saharan Africa. We report the first 3,985 PANGEA-HIV consensus sequences from four cohort sites (Rakai Community Cohort Study, n=2,833; MRC/UVRI Uganda, n=701; Mochudi Prevention Project, n=359; Africa Health Research Institute Resistance Cohort, n=92). Next-generation sequencing success rates varied: more than 80% of the viral genome from the gag to the nef genes could be determined for all sequences from South Africa, 75% of sequences from Mochudi, 60% of sequences from MRC/UVRI Uganda, and 22% of sequences from Rakai. Partial sequencing failure was primarily associated with low viral load, increased for amplicons closer to the 3' end of the genome, was not associated with subtype diversity except HIV-1 subtype D, and remained significantly associated with sampling location after controlling for other factors. We assessed the impact of the missing data patterns in PANGEA-HIV sequences on phylogeny reconstruction in simulations. We found a threshold in terms of taxon sampling below which the patchy distribution of missing characters in next-generation sequences has an excess negative impact on the accuracy of HIV-1 phylogeny reconstruction, which is attributable to tree reconstruction artifacts that accumulate when branches in viral trees are long. The large number of PANGEA-HIV sequences provides unprecedented opportunities for evaluating HIV-1 transmission dynamics across sub-Saharan Africa and identifying prevention opportunities. Molecular epidemiological analyses of these data must proceed cautiously because sequence sampling remains below the identified threshold and a considerable negative impact of missing characters on phylogeny reconstruction is expected

Identification and characterization of novel associations in the CASP8/ALS2CR12 region on chromosome 2 with breast cancer risk.

Previous studies have suggested that polymorphisms in CASP8 on chromosome 2 are associated with breast cancer risk. To clarify the role of CASP8 in breast cancer susceptibility, we carried out dense genotyping of this region in the Breast Cancer Association Consortium (BCAC). Single-nucleotide polymorphisms (SNPs) spanning a 1 Mb region around CASP8 were genotyped in 46 450 breast cancer cases and 42 600 controls of European origin from 41 studies participating in the BCAC as part of a custom genotyping array experiment (iCOGS). Missing genotypes and SNPs were imputed and, after quality exclusions, 501 typed and 1232 imputed SNPs were included in logistic regression models adjusting for study and ancestry principal components. The SNPs retained in the final model were investigated further in data from nine genome-wide association studies (GWAS) comprising in total 10 052 case and 12 575 control subjects. The most significant association signal observed in European subjects was for the imputed intronic SNP rs1830298 in ALS2CR12 (telomeric to CASP8), with per allele odds ratio and 95% confidence interval [OR (95% confidence interval, CI)] for the minor allele of 1.05 (1.03-1.07), P = 1 × 10(-5). Three additional independent signals from intronic SNPs were identified, in CASP8 (rs36043647), ALS2CR11 (rs59278883) and CFLAR (rs7558475). The association with rs1830298 was replicated in the imputed results from the combined GWAS (P = 3 × 10(-6)), yielding a combined OR (95% CI) of 1.06 (1.04-1.08), P = 1 × 10(-9). Analyses of gene expression associations in peripheral blood and normal breast tissue indicate that CASP8 might be the target gene, suggesting a mechanism involving apoptosis.Part of this work was supported by the European Community´s Seventh Framework Programme under grant agreement number 223175 (grant number HEALTH-F2-2009-223175) (COGS). Funding for the iCOGS infrastructure came from: the European Community's Seventh Framework Programme under grant agreement n° 223175 (HEALTH-F2-2009-223175) (COGS), Cancer Research UK (C1287/A10118, C1287/A 10710, C12292/A11174, C1281/A12014, C5047/A8384, C5047/A15007, C5047/A10692), the National Institutes of Health (CA128978) and Post-Cancer GWAS initiative (1U19 CA148537, 1U19 CA148065 and 1U19 CA148112 - the GAME-ON initiative), the Department of Defence (W81XWH-10-1-0341), the Canadian Institutes of Health Research (CIHR) for the CIHR Team in Familial Risks of Breast Cancer, Komen Foundation for the Cure, the Breast Cancer Research Foundation, and the Ovarian Cancer Research Fund. The ABCFS, NC-BCFR and OFBCR work was supported by the United States National Cancer Institute, National Institutes of Health (NIH) under RFA-CA-06-503 and through cooperative agreements with members of the Breast Cancer Family Registry (BCFR) and Principal Investigators, including Cancer Care Ontario (U01 CA69467), Northern California Cancer Center (U01 CA69417), University of Melbourne (U01 CA69638). Samples from the NC-BCFR were processed and distributed by the Coriell Institute for Medical Research. The content of this manuscript does not necessarily reflect the views or policies of the National Cancer Institute or any of the collaborating centers in the BCFR, nor does mention of trade names, commercial products, or organizations imply endorsement by the US Government or the BCFR. The ABCFS was also supported by the National Health and Medical Research Council of Australia, the New South Wales Cancer Council, the Victorian Health Promotion Foundation (Australia) and the Victorian Breast Cancer Research Consortium. J.L.H. is a National Health and Medical Research Council (NHMRC) Australia Fellow and a Victorian Breast Cancer Research Consortium Group Leader. M.C.S. is a NHMRC Senior Research Fellow and a Victorian Breast Cancer Research Consortium Group Leader. The ABCS was supported by the Dutch Cancer Society [grants NKI 2007-3839; 2009 4363]; BBMRI-NL, which is a Research Infrastructure financed by the Dutch government (NWO 184.021.007); and the Dutch National Genomics Initiative. The ACP study is funded by the Breast Cancer Research Trust, UK. The work of the BBCC was partly funded by ELAN-Fond of the University Hospital of Erlangen. The BBCS is funded by Cancer Research UK and Breakthrough Breast Cancer and acknowledges NHS funding to the NIHR Biomedical Research Centre, and the National Cancer Research Network (NCRN). The BBCS GWAS received funding from The Institut National de Cancer. ES is supported by NIHR Comprehensive Biomedical Research Centre, Guy's & St. Thomas' NHS Foundation Trust in partnership with King's College London, United Kingdom. IT is supported by the Oxford Biomedical Research Centre. The BSUCH study was supported by the Dietmar-Hopp Foundation, the Helmholtz Society and the German Cancer Research Center (DKFZ). The CECILE study was funded by Fondation de France, Institut National du Cancer (INCa), Ligue Nationale contre le Cancer, Ligue contre le Cancer Grand Ouest, Agence Nationale de Sécurité Sanitaire (ANSES), Agence Nationale de la Recherche (ANR). The was supported by the Chief Physician Johan Boserup and Lise Boserup Fund, the Danish Medical Research Council and Herlev Hospital. The CNIO-BCS was supported by the Genome Spain Foundation, the Red Temática de Investigación Cooperativa en Cáncer and grants from the Asociación Española Contra el Cáncer and the Fondo de Investigación Sanitario (PI11/00923 and PI081120). The Human Genotyping-CEGEN Unit (CNIO) is supported by the Instituto de Salud Carlos III. The CTS was supported by the California Breast Cancer Act of 1993; National Institutes of Health (grants R01 CA77398 and the Lon V Smith Foundation [LVS39420].); the California Breast Cancer Research Fund (contract 97-10500). Collection of cancer incidence data used in this study was supported by the California Department of Public Health as part of the statewide cancer reporting program mandated by California Health and Safety Code Section 103885. The ESTHER study was supported by a grant from the Baden Württemberg Ministry of Science, Research and Arts. Additional cases were recruited in the context of the VERDI study, which was supported by a grant from the German Cancer Aid (Deutsche Krebshilfe). The GC-HBOC was supported by Deutsche Krebshilfe (107 352). The GENICA was funded by the Federal Ministry of Education and Research (BMBF) Germany grants 01KW9975/5, 01KW9976/8, 01KW9977/0 and 01KW0114, the Robert Bosch Foundation, Stuttgart, Deutsches Krebsforschungszentrum (DKFZ), Heidelberg, Institute for Prevention and Occupational Medicine of the German Social Accident Insurance, Institute of the Ruhr University Bochum (IPA), Bochum, Germany, as well as the Department of Internal Medicine, Evangelische Kliniken Bonn gGmbH, Johanniter Krankenhaus, Bonn, Germany. The HEBCS was financially supported by the Helsinki University Central Hospital Research Fund, Academy of Finland (266528), the Finnish Cancer Society, The Nordic Cancer Union and the Sigrid Juselius Foundation. The GWS population allele and genotype frequencies were obtained from the data source funded by the Nordic Center of Excellence in Disease Genetics based on samples regionally selected from Finland, Sweden and Denmark. The HERPACC was supported by a Grant-in-Aid for Scientific Research on Priority Areas from the Ministry of Education, Science, Sports, Culture and Technology of Japan, by a Grant-in-Aid for the Third Term Comprehensive 10-Year Strategy for Cancer Control from Ministry Health, Labour and Welfare of Japan, by Health and Labour Sciences Research Grants for Research on Applying Health Technology from Ministry Health, Labour and Welfare of Japan and by National Cancer Center Research and Development Fund. The HMBCS was supported by a grant from the Friends of Hannover Medical School and by the Rudolf Bartling Foundation. Financial support for KARBAC was provided through the regional agreement on medical training and clinical research (ALF) between Stockholm County Council and Karolinska Institutet, The Swedish Cancer Society and the Gustav V Jubilee foundation. The KBCP was financially supported by the special Government Funding (EVO) of Kuopio University Hospital grants, Cancer Fund of North Savo, the Finnish Cancer Organizations, the Academy of Finland and by the strategic funding of the University of Eastern Finland. kConFab is supported by grants from the National Breast Cancer Foundation, the NHMRC, the Queensland Cancer Fund, the Cancer Councils of New South Wales, Victoria, Tasmania and South Australia and the Cancer Foundation of Western Australia. The kConFab Clinical Follow Up Study was funded by the NHMRC [145684, 288704, 454508]. Financial support for the AOCS was provided by the United States Army Medical Research and Materiel Command [DAMD17-01-1-0729], the Cancer Council of Tasmania and Cancer Foundation of Western Australia and the NHMRC [199600]. G.C.T. and P.W. are supported by the NHMRC. LAABC is supported by grants (1RB-0287, 3PB-0102, 5PB-0018, 10PB-0098) from the California Breast Cancer Research Program. Incident breast cancer cases were collected by the USC Cancer Surveillance Program (CSP), which is supported under subcontract by the California Department of Health. The CSP is also part of the National Cancer Institute's Division of Cancer Prevention and Control Surveillance, Epidemiology, and End Results Program, under contract number N01CN25403. LMBC is supported by the 'Stichting tegen Kanker' (232-2008 and 196-2010). Diether Lambrechts is supported by the FWO and the KULPFV/10/016-SymBioSysII. The MARIE study was supported by the Deutsche Krebshilfe e.V. [70-2892-BR I], the Hamburg Cancer Society, the German Cancer Research Center and the Federal Ministry of Education and Research (BMBF) Germany [01KH0402, 01KH0408, 01KH0409]. MBCSG is supported by grants from the Italian Association for Cancer Research (AIRC) and by funds from the Italian citizens who allocated the 5/1000 share of their tax payment in support of the Fondazione IRCCS Istituto Nazionale Tumori, according to Italian laws (INT-Institutional strategic projects “5x1000”). The MCBCS was supported by the NIH grant CA128978, an NIH Specialized Program of Research Excellence (SPORE) in Breast Cancer [CA116201], the Breast Cancer Research Foundation, a generous gift from the David F. and Margaret T. Grohne Family Foundation and the Ting Tsung and Wei Fong Chao Foundation. MCCS cohort recruitment was funded by VicHealth and Cancer Council Victoria. The MCCS was further supported by Australian NHMRC grants 209057, 251553 and 504711 and by infrastructure provided by Cancer Council Victoria. The MEC was support by NIH grants CA63464, CA54281, CA098758 and CA132839. The work of MTLGEBCS was supported by the Quebec Breast Cancer Foundation, the Canadian Institutes of Health Research for the “CIHR Team in Familial Risks of Breast Cancer” program – grant # CRN-87521 and the Ministry of Economic Development, Innovation and Export Trade – grant # PSR-SIIRI-701. MYBRCA is funded by research grants from the Malaysian Ministry of Science, Technology and Innovation (MOSTI), Malaysian Ministry of Higher Education (UM.C/HlR/MOHE/06) and Cancer Research Initiatives Foundation (CARIF). Additional controls were recruited by the Singapore Eye Research Institute, which was supported by a grant from the Biomedical Research Council (BMRC08/1/35/19/550), Singapore and the National medical Research Council, Singapore (NMRC/CG/SERI/2010). The NBCS was supported by grants from the Norwegian Research council, 155218/V40, 175240/S10 to ALBD, FUGE-NFR 181600/V11 to VNK and a Swizz Bridge Award to ALBD. The NBCS was supported by grants from the Norwegian Research council, 155218/V40, 175240/S10 to ALBD, FUGE-NFR 181600/V11 to VNK and a Swizz Bridge Award to ALBD. The NBHS was supported by NIH grant R01CA100374. Biological sample preparation was conducted the Survey and Biospecimen Shared Resource, which is supported by P30 CA68485. The OBCS was supported by research grants from the Finnish Cancer Foundation, the Academy of Finland Centre of Excellence grant 251314, the Sigrid Juselius Foundation, the University of Oulu, and the Oulu University Hospital special Govermental EVO Research Funds. The OFBCR work was supported by grant UM1 CA164920 from the National Cancer Institute. The content of this manuscript does not necessarily reflect the views or policies of the National Cancer Institute or any of the collaborating centers in the Breast Cancer Family Registry (BCFR), nor does mention of trade names, commercial products, or organizations imply endorsement by the US Government or the BCFR. The ORIGO study was supported by the Dutch Cancer Society (RUL 1997-1505) and the Biobanking and Biomolecular Resources Research Infrastructure (BBMRI-NL CP16). The PBCS was funded by Intramural Research Funds of the National Cancer Institute, Department of Health and Human Services, USA. The pKARMA study was supported by Märit and Hans Rausings Initiative Against Breast Cancer. The RBCS was funded by the Dutch Cancer Society (DDHK 2004-3124, DDHK 2009-4318). The SASBAC study was supported by funding from the Agency for Science, Technology and Research of Singapore (A*STAR), the US National Institute of Health (NIH) and the Susan G. Komen Breast Cancer Foundation. The SBCGS was supported primarily by NIH grants R01CA64277, R01CA148667, and R37CA70867. Biological sample preparation was conducted the Survey and Biospecimen Shared Resource, which is supported by P30 CA68485. The SBCS was supported by Yorkshire Cancer Research awards S295, S299, S305PA, and by the Sheffield Experimental Cancer Medicine Centre Network. NJC was supported by NCI grant R01 CA163353 and The Avon Foundation (02-2009-080). The SCCS is supported by a grant from the National Institutes of Health (R01 CA092447). Data on SCCS cancer cases used in this publication were provided by the Alabama Statewide Cancer Registry; Kentucky Cancer Registry, Lexington, KY; Tennessee Department of Health, Office of Cancer Surveillance; Florida Cancer Data System; North Carolina Central Cancer Registry, North Carolina Division of Public Health; Georgia Comprehensive Cancer Registry; Louisiana Tumor Registry; Mississippi Cancer Registry; South Carolina Central Cancer Registry; Virginia Department of Health, Virginia Cancer Registry; Arkansas Department of Health, Cancer Registry, 4815 W. Markham, Little Rock, AR 72205. The Arkansas Central Cancer Registry is fully funded by a grant from National Program of Cancer Registries, Centers for Disease Control and Prevention (CDC). Data on SCCS cancer cases from Mississippi were collected by the Mississippi Cancer Registry which participates in the National Program of Cancer Registries (NPCR) of the Centers for Disease Control and Prevention (CDC). The contents of this publication are solely the responsibility of the authors and do not necessarily represent the official views of the CDC or the Mississippi Cancer Registry. SEARCH is funded by programme grants from Cancer Research UK [C490/A10124, C490/A16561] and supported by the UK National Institute for Health Research Biomedical Research Centre at the University of Cambridge. The SEBCS was supported by the Korea Health 21 R&D Project [AO30001], Ministry of Health and Welfare, Republic of Korea. SGBCC is funded by the National Medical Research Council start-up Grant and Centre Grant (NMRC/CG/NCIS /2010). Additional controls were recruited by the Singapore Consortium of Cohort Studies-Multi-ethnic cohort (SCCS-MEC), which was funded by the Biomedical Research Council, grant number: 05/1/21/19/425. SKKDKFZS is supported by the DKFZ. The SZBCS was supported by Grant PBZ_KBN_122/P05/2004. The TBCS was funded by The National Cancer Institute Thailand. The TNBCC was supported by: MCBCS (National Institutes of Health Grants CA122340 and a Specialized Program of Research Excellence (SPORE) in Breast Cancer (CA116201), a generous gift from the David F. and Margaret T. Grohne Family Foundation and the Ting Tsung and Wei Fong Chao Foundation. This research has been partly financed by the European Union (European Social Fund – ESF) and Greek national funds through the Operational Program "Education and Lifelong Learning" of the National Strategic Reference Framework (NSRF) - Research Funding Program of the General Secretariat for Research & Technology: ARISTEIA. Investing in knowledge society through the European Social Fund; and the Stefanie Spielman Breast Fund and the Ohio State University Comprehensive Cancer Center. The TWBCS is supported by the Taiwan Biobank project of the Institute of Biomedical Sciences, Academia Sinica, Taiwan. The UKBGS is funded by Breakthrough Breast Cancer and the Institute of Cancer Research (ICR). ICR acknowledges NHS funding to the NIHR Biomedical Research Centre. The Nurses’ Health Studies (CGEMS) are supported by NIH grants CA 65725, CA87969, CA49449, CA67262, CA50385 and 5UO1CA098233. The UK2 GWAS was funded by Wellcome Trust and Cancer Research UK. It included samples collected through the FBCS study, which is funded by Cancer Research UK [C8620/A8372]. It included control data obtained through the WTCCC which was funded by the Wellcome Trust. The DFBBCS GWAS was funded by The Netherlands Organisation for Scientific Research (NWO) as part of a ZonMw/VIDI grant number 91756341. Control GWA genotype data from the Rotterdam Study were funded by NWO Groot Investments (project nr. 175.010.2005.011). We thank all the individuals who took part in these studies and all the researchers, clinicians, technicians and administrative staff who have enabled this work to be carried out. This study would not have been possible without the contributions of the following: Andrew Berchuck (OCAC), Rosalind A. Eeles, Ali Amin Al Olama, Zsofia Kote-Jarai, Sara Benlloch (PRACTICAL), Antonis Antoniou, Lesley McGuffog, Ken Offit (CIMBA), Andrew Lee, and Ed Dicks, and the staff of the Centre for Genetic Epidemiology Laboratory, the staff of the CNIO genotyping unit, Sylvie LaBoissière and Frederic Robidoux and the staff of the McGill University and Génome Québec Innovation Centre, the staff of the Copenhagen DNA laboratory, and Julie M. Cunningham, Sharon A. Windebank, Christopher A. Hilker, Jeffrey Meyer and the staff of Mayo Clinic Genotyping Core Facility. We also thank Maggie Angelakos, Judi Maskiell, Gillian Dite (ABCFS), and extend our thanks to the many women and their families that generously participated in the Australian Breast Cancer Family Study and consented to us accessing their pathology material. JLH is a National Health and Medical Research Council Australia Fellow. MCS is a National Health and Medical Research Council Senior Research Fellow. JLH and MCS are both group leaders of the Victoria Breast Cancer Research Consortium. We thank Sten Cornelissen, Richard van Hien, Linde Braaf, Frans Hogervorst, Senno Verhoef, Ellen van der Schoot, Femke Atsma (ABCS). The ACP study wishes to thank the participants in the Thai Breast Cancer study. Special Thanks also go to the Thai Ministry of Public Health (MOPH), doctors and nurses who helped with the data collection process. Finally, the study would like to thank Dr Prat Boonyawongviroj, the former Permanent Secretary of MOPH and Dr Pornthep Siriwanarungsan, the Department Director-General of Disease Control who have supported the study throughout. We thank Eileen Williams, Elaine Ryder-Mills, Kara Sargus (BBCS), Niall McInerney, Gabrielle Colleran, Andrew Rowan, Angela Jones (BIGGS), Peter Bugert, and Medical Faculty Mannheim (BSUCH). We thank the staff and participants of the Copenhagen General Population Study, and for excellent technical assistance: Dorthe Uldall Andersen, Maria Birna Arnadottir, Anne Bank, and Dorthe Kjeldgård Hansen. The Danish Breast Cancer Group (DBCG) is acknowledged for the tumor information. We thank Guillermo Pita, Charo Alonso, Daniel Herrero, Nuria Álvarez, Pilar Zamora, Primitiva Menendez, the Human Genotyping-CEGEN Unit (CNIO), Hartwig Ziegler, Sonja Wolf, and Volker Hermann (ESTHER). We thank Heide Hellebrand, Stefanie Engert (GC-HBOC). GC-HBOC would like to thank the following persons for providing additional informations and samples: Prof. Dr. Norbert Arnold, Dr. Sabine Preissler-Adams, Dr. Monika Mareeva-Varon, Dr. Dieter Niederacher, Prof. Dr. Brigitte Schlegelberger, Dr. Clemens Mül. The GENICA Network: Dr. Margarete Fischer-Bosch-Institute of Clinical Pharmacology, Stuttgart, and University of Tübingen, Germany; [HB, Wing-Yee Lo, Christina Justenhoven], German Cancer Consortium (DKTK) and German Cancer Research Center (DKFZ) [HB], Department of Internal Medicine, Evangelische Kliniken Bonn gGmbH, Johanniter Krankenhaus, Bonn, Germany [YDK, Christian Baisch], Institute of Pathology, University of Bonn, Germany [Hans-Peter Fischer], Molecular Genetics of Breast Cancer, Deutsches Krebsforschungszentrum (DKFZ), Heidelberg, Germany [Ute Hamann] and Institute for Prevention and Occupational Medicine of the German Social Accident Insurance, Institute of the Ruhr University Bochum (IPA), Bochum, Germany [TB, Beate Pesch, Sylvia Rabstein, Anne Lotz]; Institute of Occupational Medicine and Maritime Medicine, University Medical Center Hamburg-Eppendorf, Germany [Volker Harth]. HEBCS thanks Kirsimari Aaltonen, Tuomas Heikkinen, and Dr. Karl von Smitten and RN Irja Erkkilä for their help with the HEBCS data and samples. We thank Peter Hillemanns, Hans Christiansen and Johann H. Karstens (HMBCS), Eija Myöhänen, Helena Kemiläinen (KBCP). kConFab thanks Heather Thorne, Eveline Niedermayr, the AOCS Management Group (D Bowtell, G Chenevix-Trench, A deFazio, D Gertig, A Green, P Webb), the ACS Management Group (A

Safety and efficacy of fluoxetine on functional outcome after acute stroke (AFFINITY): a randomised, double-blind, placebo-controlled trial

Background Trials of fluoxetine for recovery after stroke report conflicting results. The Assessment oF FluoxetINe In sTroke recoverY (AFFINITY) trial aimed to show if daily oral fluoxetine for 6 months after stroke improves functional outcome in an ethnically diverse population. Methods AFFINITY was a randomised, parallel-group, double-blind, placebo-controlled trial done in 43 hospital stroke units in Australia (n=29), New Zealand (four), and Vietnam (ten). Eligible patients were adults (aged ≥18 years) with a clinical diagnosis of acute stroke in the previous 2–15 days, brain imaging consistent with ischaemic or haemorrhagic stroke, and a persisting neurological deficit that produced a modified Rankin Scale (mRS) score of 1 or more. Patients were randomly assigned 1:1 via a web-based system using a minimisation algorithm to once daily, oral fluoxetine 20 mg capsules or matching placebo for 6 months. Patients, carers, investigators, and outcome assessors were masked to the treatment allocation. The primary outcome was functional status, measured by the mRS, at 6 months. The primary analysis was an ordinal logistic regression of the mRS at 6 months, adjusted for minimisation variables. Primary and safety analyses were done according to the patient's treatment allocation. The trial is registered with the Australian New Zealand Clinical Trials Registry, ACTRN12611000774921. Findings Between Jan 11, 2013, and June 30, 2019, 1280 patients were recruited in Australia (n=532), New Zealand (n=42), and Vietnam (n=706), of whom 642 were randomly assigned to fluoxetine and 638 were randomly assigned to placebo. Mean duration of trial treatment was 167 days (SD 48·1). At 6 months, mRS data were available in 624 (97%) patients in the fluoxetine group and 632 (99%) in the placebo group. The distribution of mRS categories was similar in the fluoxetine and placebo groups (adjusted common odds ratio 0·94, 95% CI 0·76–1·15; p=0·53). Compared with patients in the placebo group, patients in the fluoxetine group had more falls (20 [3%] vs seven [1%]; p=0·018), bone fractures (19 [3%] vs six [1%]; p=0·014), and epileptic seizures (ten [2%] vs two [<1%]; p=0·038) at 6 months. Interpretation Oral fluoxetine 20 mg daily for 6 months after acute stroke did not improve functional outcome and increased the risk of falls, bone fractures, and epileptic seizures. These results do not support the use of fluoxetine to improve functional outcome after stroke

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across markets. This indicates that, despite a regional proximity and homogeneity of the markets, index volatilities are driven by different factors

Particle approximation and the Laplace method for Bayesian filtering

La thèse porte sur l'apport de la méthode de Laplace pour l'approximation du filtre bayésien dans des modèles de Markov cachés généraux, c'est-à-dire dans un cadre séquentiel, avec comme domaine d'application privilégié la poursuite de cibles mobiles. A la base, la méthode de Laplace est une méthode asymptotique pour le calcul d'intégrales, c'est-à-dire dans un cadre statique, valide en théorie dès que la fonction à intégrer présente un maximum de plus en plus significatif, lequel apporte la contribution essentielle au résultat. En pratique, cette méthode donne des résultats souvent très précis même en dehors de ce cadre de validité théorique. Les deux contributions principales de la thèse sont les suivantes. Premièrement, nous avons utilisé la méthode de Laplace en complément du filtrage particulaire : on sait en effet que les méthodes de Monte Carlo séquentielles basées sur l'échantillonnage pondéré sont mises en difficulté quand la fonction de pondération (ici la fonction de vraisemblance) est trop localisée, par exemple quand la variance du bruit d'observation est trop faible, or c'est précisément là le domaine où la méthode de Laplace est efficace et justifiée théoriquement, d'où l'idée naturelle de combiner les deux points de vue. Nous proposons ainsi un algorithme associant la méthode de Laplace et le filtrage particulaire, appelé le Laplace particle filter. Deuxièmement, nous avons analysé l'approximation du filtre bayésien grâce à la méthode de Laplace seulement (c'est-à-dire sans génération d'échantillons aléatoires) : il s'agit ici de contrôler la propagation de l'erreur d'approximation d'un pas de temps au pas de temps suivant, dans un cadre asymptotique approprié, par exemple quand le bruit d'observation tend vers zéro, ou quand le bruit d'état et le bruit d'observation tendent conjointement (et à la même vitesse) vers zéro, ou plus généralement quand l'information contenue dans le système tend vers l'infini, avec une interprétation en terme d'identifiabilité.The thesis deals with the contribution of the Laplace method to the approximation of the Bayesian filter in hidden Markov models with continuous state--space, i.e. in a sequential framework, with target tracking as the main application domain. Originally, the Laplace method is an asymptotic method used to compute integrals, i.e. in a static framework, valid in theory as soon as the function to be integrated exhibits an increasingly dominating maximum point, which brings the essential contribution to the integral. The two main contributions of the thesis are the following. Firstly, we have combined the Laplace method and particle filters: indeed, it is well-known that sequential Monte Carlo methods based on importance sampling are inefficient when the weighting function (here, the likelihood function) is too much spatially localized, e.g. when the variance of the observation noise is too small, whereas this is precisely the situation where the Laplace method is efficient and theoretically justified, hence the natural idea of combining the two approaches. We thus propose an algorithm associating the Laplace method and particle filtering, called the Laplace particle filter. Secondly, we have analyzed the approximation of the Bayesian filter based on the Laplace method only (i.e. without any generation of random samples): the objective has been to control the propagation of the approximation error from one time step to the next time step, in an appropriate asymptotic framework, e.g. when the variance of the observation noise goes to zero, or when the variances of the model noise and of the observation noise jointly go (with the same rate) to zero, or more generally when the information contained in the system goes to infinity, with an interpretation in terms of identifiability