Elmer E. Frees to Sir (5 October 1962)

https://egrove.olemiss.edu/mercorr_anti/1130/thumbnail.jp

Testing the Gaussian Copula Hypothesis for Financial Assets Dependences

Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets can be modeled by the Gaussian copula. We find that most pairs of currencies and pairs of major stocks are compatible with the Gaussian copula hypothesis, while this hypothesis can be rejected for the dependence between pairs of commodities (metals). Notwithstanding the apparent qualification of the Gaussian copula hypothesis for most of the currencies and the stocks, a non-Gaussian copula, such as the Student's copula, cannot be rejected if it has sufficiently many ``degrees of freedom''. As a consequence, it may be very dangerous to embrace blindly the Gaussian copula hypothesis, especially when the correlation coefficient between the pair of asset is too high as the tail dependence neglected by the Gaussian copula can be as large as 0.6, i.e., three out five extreme events which occur in unison are missed.Comment: Latex document of 43 pages including 14 eps figure

Distorted Copulas: Constructions and Tail Dependence

Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1] the distortion C ψ: [0, 1]2 → [0, 1], C ψ(x, y) = ψ{C[ψ−1(x), ψ−1(y)]} is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on ψ that ensures that any distortion of C by means of ψ is again a copula. The presented results allow us to introduce in a more flexible way families of copulas exhibiting different behavior in the tails

The Chaperone ClpX Stimulates Expression of Staphylococcus aureus Protein A by Rot Dependent and Independent Pathways

The Clp ATPases (Hsp100) constitute a family of closely related proteins that have protein reactivating and remodelling activities typical of molecular chaperones. In Staphylococcus aureus the ClpX chaperone is essential for virulence and for transcription of spa encoding Protein A. The present study was undertaken to elucidate the mechanism by which ClpX stimulates expression of Protein A. For this purpose, we prepared antibodies directed against Rot, an activator of spa transcription, and demonstrated that cells devoid of ClpX contain three-fold less Rot than wild-type cells. By varying Rot expression from an inducible promoter we showed that expression of Protein A requires a threshold level of Rot. In the absence of ClpX the Rot content is reduced below this threshold level, hence, explaining the substantially reduced Protein A expression in the clpX mutant. Experiments addressed at pinpointing the role of ClpX in Rot synthesis revealed that ClpX is required for translation of Rot. Interestingly, translation of the spa mRNA was, like the rot mRNA, enhanced by ClpX. These data demonstrate that ClpX performs dual roles in regulating Protein A expression, as ClpX stimulates transcription of spa by enhancing translation of Rot, and that ClpX additionally is required for full translation of the spa mRNA. The current findings emphasize that ClpX has a central role in fine-tuning virulence regulation in S. aureus

Modelling stochastic bivariate mortality

Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk. This paper represents a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach. On the theoretical side, we extend to couples the Cox processes set up, i.e. the idea that mortality is driven by a jump process whose intensity is itself a stochastic process, proper of a particular generation within each gender. Dependence between the survival times of the members of a couple is captured by an Archimedean copula. On the calibration side, we fit the joint survival function by calibrating separately the (analytical) copula and the (analytical) margins. First, we select the best fit copula according to the methodology of Wang and Wells (2000) for censored data. Then, we provide a sample-based calibration for the intensity, using a time-homogeneous, non mean-reverting, affine process: this gives the analytical marginal survival functions. Coupling the best fit copula with the calibrated margins we obtain, on a sample generation, a joint survival function which incorporates the stochastic nature of mortality improvements and is far from representing independency.On the contrary, since the best fit copula turns out to be a Nelsen one, dependency is increasing with age and long-term dependence exists

Comparative genomics of isolates of a pseudomonas aeruginosa epidemic strain associated with chronic lung infections of cystic fibrosis patients

Pseudomonas aeruginosa is the main cause of fatal chronic lung infections among individuals suffering from cystic fibrosis (CF). During the past 15 years, particularly aggressive strains transmitted among CF patients have been identified, initially in Europe and more recently in Canada. The aim of this study was to generate high-quality genome sequences for 7 isolates of the Liverpool epidemic strain (LES) from the United Kingdom and Canada representing different virulence characteristics in order to: (1) associate comparative genomics results with virulence factor variability and (2) identify genomic and/or phenotypic divergence between the two geographical locations. We performed phenotypic characterization of pyoverdine, pyocyanin, motility, biofilm formation, and proteolytic activity. We also assessed the degree of virulence using the Dictyostelium discoideum amoeba model. Comparative genomics analysis revealed at least one large deletion (40-50 kb) in 6 out of the 7 isolates compared to the reference genome of LESB58. These deletions correspond to prophages, which are known to increase the competitiveness of LESB58 in chronic lung infection. We also identified 308 non-synonymous polymorphisms, of which 28 were associated with virulence determinants and 52 with regulatory proteins. At the phenotypic level, isolates showed extensive variability in production of pyocyanin, pyoverdine, proteases and biofilm as well as in swimming motility, while being predominantly avirulent in the amoeba model. Isolates from the two continents were phylogenetically and phenotypically undistinguishable. Most regulatory mutations were isolate-specific and 29% of them were predicted to have high functional impact. Therefore, polymorphism in regulatory genes is likely to be an important basis for phenotypic diversity among LES isolates, which in turn might contribute to this strain's adaptability to varying conditions in the CF lung

Supportive interventions to improve physiological and psychological health outcomes among patients undergoing cystectomy: A systematic review

Background Our understanding of effective perioperative supportive interventions for patients undergoing cystectomy procedures and how these may affect short and long-term health outcomes is limited. Methods Randomised controlled trials involving any non-surgical, perioperative interventions designed to support or improve the patient experience for patients undergoing cystectomy procedures were reviewed. Comparison groups included those exposed to usual clinical care or standard procedure. Studies were excluded if they involved surgical procedure only, involved bowel preparation only or involved an alternative therapy such as aromatherapy. Any short and long-term outcomes reflecting the patient experience or related urological health outcomes were considered. Results 19 articles (representing 15 individual studies) were included for review. Heterogeneity in interventions and outcomes across studies meant meta-analyses were not possible. Participants were all patients with bladder cancer and interventions were delivered over different stages of the perioperative period. The overall quality of evidence and reporting was low and outcomes were predominantly measured in the short-term. However, the findings show potential for exercise therapy, pharmaceuticals, ERAS protocols, psychological/educational programmes, chewing gum and nutrition to benefit a broad range of physiological and psychological health outcomes. Conclusions Supportive interventions to date have taken many different forms with a range of potentially meaningful physiological and psychological health outcomes for cystectomy patients. Questions remain as to what magnitude of short-term health improvements would lead to clinically relevant changes in the overall patient experience of surgery and long-term recovery