Bayesian inference for CoVaR

Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting market participants' risk capital. Commonly used risk management tools fail to account for potential spillover effects among institutions because they provide individual risk assessment. We contribute to analyse the interdependence effects of extreme events providing an estimation tool for evaluating the Conditional Value-at-Risk (CoVaR) defined as the Value-at-Risk of an institution conditioned on another institution being under distress. In particular, our approach relies on Bayesian quantile regression framework. We propose a Markov chain Monte Carlo algorithm exploiting the Asymmetric Laplace distribution and its representation as a location-scale mixture of Normals. Moreover, since risk measures are usually evaluated on time series data and returns typically change over time, we extend the CoVaR model to account for the dynamics of the tail behaviour. Application on U.S. companies belonging to different sectors of the Standard and Poor's Composite Index (S&P500) is considered to evaluate the marginal contribution to the overall systemic risk of each individual institutio

Fly-By-Wireless for Next Generation Aircraft: Challenges and Potential solutions

”Fly-By-Wireless” paradigm based on wireless connectivity in aircraft has the potential to improve efficiency and flexibility, while reducing weight, fuel consumption and maintenance costs. In this paper, first, the opportunities and challenges for wireless technologies in safety-critical avionics context are discussed. Then, the assessment of such technologies versus avionics requirements is provided in order to select the most appropriate one for a wireless aircraft application. As a result, the design of a Wireless Avionics Network based on Ultra WideBand technology is investigated, considering the issues of determinism, reliability and security

Sharp detection of smooth signals in a high-dimensional sparse matrix with indirect observations

We consider a matrix-valued Gaussian sequence model, that is, we observe a sequence of high-dimensional $M \times N$ matrices of heterogeneous Gaussian random variables $x_{ij,k}$ for $i \in\{1,...,M\}$, $j \in \{1,...,N\}$ and $k \in \mathbb{Z}$. The standard deviation of our observations is \ep k^s for some \ep >0 and $s \geq 0$. We give sharp rates for the detection of a sparse submatrix of size $m \times n$ with active components. A component $(i,j)$ is said active if the sequence $\{x_{ij,k}\}_k$ have mean $\{\theta_{ij,k}\}_k$ within a Sobolev ellipsoid of smoothness $\tau >0$ and total energy $\sum_k \theta^2_{ij,k}$ larger than some r^2_\ep. Our rates involve relationships between $m,\, n, \, M$ and $N$ tending to infinity such that $m/M$, $n/N$ and \ep tend to 0, such that a test procedure that we construct has asymptotic minimax risk tending to 0. We prove corresponding lower bounds under additional assumptions on the relative size of the submatrix in the large matrix of observations. Except for these additional conditions our rates are asymptotically sharp. Lower bounds for hypothesis testing problems mean that no test procedure can distinguish between the null hypothesis (no signal) and the alternative, i.e. the minimax risk for testing tends to 1

Bayesian optimal adaptive estimation using a sieve prior

We derive rates of contraction of posterior distributions on nonparametric models resulting from sieve priors. The aim of the paper is to provide general conditions to get posterior rates when the parameter space has a general structure, and rate adaptation when the parameter space is, e.g., a Sobolev class. The conditions employed, although standard in the literature, are combined in a different way. The results are applied to density, regression, nonlinear autoregression and Gaussian white noise models. In the latter we have also considered a loss function which is different from the usual l2 norm, namely the pointwise loss. In this case it is possible to prove that the adaptive Bayesian approach for the l2 loss is strongly suboptimal and we provide a lower bound on the rate.Comment: 33 pages, 2 figure

Université : les défis de la professionnalisation

accessible en ligne : http://www.cereq.fr/index.php/publications/Universite-les-defis-de-la-professionnalisationLa professionnalisation à l'université recouvre aujourd'hui deux dimensions : l'acquisition de compétences professionnelles reconnues, mais aussi l'accompagnement des étudiants dans leur parcours d'études en vue de leur future insertion sur le marché du travail. Ces nouvelles missions ont obligé les universités à repenser une approche de la professionnalisation à la fois dans la construction de leur offre de formation et dans sa mise en oeuvre par des structures ad hoc. Comment la professionnalisation se pense et se construit à l'université ? La note aborde cette question d'un triple point de vue.La première partie donne une image globale de la professionnalisation dans l'enseignement supérieur et de ses évolutions. Des DUT aux licences et masters pro,l'offre s'est en effet fortement diversifiée. En 2008, 42 % des étudiants sont engagés dans une formation professionnelle au sein du système universitaire, formations qui ne présentent pas toutes le même degré de professionnalisation. La combinaison de différents registres (engagement des milieux professionnels, positionnement du diplôme dans un cursus, mode d'entrée sur le marché du travail) permet d'en dresser une typologie. Le passage au LMD conforte le caractère inéluctable du mouvement de professionnalisation à l'université. Dans la lignée des directives européennes, et notamment de la Stratégie de Lisbonne, l'insertion professionnelle des étudiants, leur " employabilité " deviennent des enjeux stratégiques forts. Cette seconde partie met l'accent sur le recadrage politique des missions des universités qui doivent désormais se préoccuper de l'orientation et de l'insertion professionnelle de leurs étudiants. La troisième partie examine plus finement la mise en oeuvre du Plan pour la réussite en licence de 2007 dans une dizaine d'universités. Elle analyse la manière dont se déclinent l'intégration de modules de professionnalisation dans les licences générales, la place du stage et la préparation du projet professionnel. Elle aborde enfin la question des dispositifs adoptés au service de la mission d'insertion. Le déplacement qui s'est opéré ces dernières années de la professionnalisation des formations vers celle des missions des universités modifie en profondeur le système universitaire

Transposable elements in the robusta coffee genome (Coffea canephora) : [W187]

Coffee is one of the most important international trade commodities and is ranked as the second most valuable primary commodity exported by southern countries. Two species are mainly used in commercial production: Coffea arabica, known as Arabica and Coffea canephora, a perennial diploid species known as Robusta. Recently, 54.4 million of Roche 454 sequences, 131,412 Sanger BAC-end sequences and 60X Illumina coverage of the 710 Mb genome of a C. canephora Double Haploid accession (DH200-94) were generated, assembled and anchored to a genetic map. The C. canephora genome sequence represents a formidable resource to understand the chromosome structure and the genome evolution. It is now well established that plant genomes are dynamic structures submitted to a wide range of modifications via the activity of Transposable Elements (TEs). Transposable elements are mobile sequences that share several key properties such as the ability to move from one chromosome location to another, to amplify their copy number within the host genome and to contribute to the chromosome structure, organization and evolution. Particularly, TEs play a major role in creating structural variation and genetic diversity in plant genomes. Here we present the identification and classification of TEs in the 568 Mb genomic sequences of the C. canephora using a combination of ab initio, similarity and structure search approaches. We used mainly the REPET package V.2.1-RC (Flutre et al., 2011) to identify, classify and annotate TE. We found that 49% of the genomic sequences are composed of TEs similarly to other sequenced plant genomes such as banana, papaya, castor bean and soybean. Class I LTR retrotransposons represent the vast majority of identified elements, accounting to 42% of the genome assembly. Gypsy elements clearly outnumbering Copiaelements since Ty3-Gypsy family covers 24.1% of the genome. Interestingly active non-autonomous LTR retrotransposons elements were detected and classified into a new subgroup of non-autonomous elements containing a capsid domain but lacking the polyprotein region. Finally in an attempt to study conservation of LTR retrotransposons between coffee and reference plant genomes, we identified an outstanding conservation of several Copia groups across very distantly related plant species, suggesting that conservation of such elements or horizontal transfer events might be more frequent than recognized actually. (Texte intégral

Élaboration d'un outil d'évaluation des performances en dénomination pour les patients bilingues atteints de la maladie d'Alzheimer

National audienceThe evaluation of naming performance of bilingual patients with Alzheimer's disease must take into account the cultural variable. To overcome the lack of language tests specifically dedicated to this population, this article discusses the development of a naming tool to identify the anomia of bilingual patients suffering from Alzheimer's disease in order to develop an appropriate speech therapy. The estimation of familiarity and cultural neutrality of 299 pictures of Bonin et al. (2003) performed by 218 subjects and inter-rater agreement have allowed us to established a list of 16 most culturally neutral items. We aim at providing the scientific community with a standardized picture naming test which is almost universal, that is, usable with subjects / patients of diverse linguistic and cultural background.L'évaluation des performances en dénomination de patients bilingues atteints de la maladie d'Alzheimer doit tenir compte de la variable culturelle. Afin de pallier l'absence de tests linguistiques spécifiquement dédiés à cette population, cet article traite l'élaboration d'un outil de dénomination d'image pour cerner le trouble d'évocation lexicale des patients bilingues souffrant de la maladie d'Alzheimer dans le but d'une prise en charge orthophonique adaptée. L'estimation de la familiarité et de la neutralité culturelle de 299 images de Bonin et al. (2003) réalisée par 218 sujets et l'agrément inter-juges ont permis d'établir une liste de 16 items les plus neutres culturellement. Nous visons à mettre à disposition de la communauté scientifique une épreuve de dénomination d'image standardisée, à portée quasi-universelle, c'est-à-dire utilisable avec des sujets / patients d'origine linguistique et culturelle variées

Performance analysis of TDMA-based Wireless Network for Safety-critical Avionics

The opportunities and challenges for using wireless interconnects for safety-critical avionics have been discussed in our previous work.A Wireless Avionics Network (WAN)has been proposed based on hybrid architecture UWB and Switched Ethernet with adequate reliability and security mechanisms to increase scalability and reduce electromagnetic susceptibility. Furthermore, a TDMA-based protocol was considered to guarantee a contention free access and enhance communication predictability. However, the use of wireless technologies may increase the communication latencies due to transmission errors, and real time constraints have to be verified. In order to deal with the worst case performance analysis of such network, an appropriate schedulability analysis based on Network Calculus formalism is presented in this paper and obtained results for a realistic case study are discussed herein