Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics

This paper develops likelihood-based methods for estimation, inference, model selection, and forecasting of continuous-time integer-valued trawl processes. The full likelihood of integer-valued trawl processes is, in general, highly intractable, motivating the use of composite likelihood methods, where we consider the pairwise likelihood in lieu of the full likelihood. Maximizing the pairwise likelihood of the data yields an estimator of the parameter vector of the model, and we prove consistency and asymptotic normality of this estimator. The same methods allow us to develop probabilistic forecasting methods, which can be used to construct the predictive distribution of integer-valued time series. In a simulation study, we document good finite sample performance of the likelihood-based estimator and the associated model selection procedure. Lastly, the methods are illustrated in an application to modelling and forecasting financial bid-ask spread data, where we find that it is beneficial to carefully model both the marginal distribution and the autocorrelation structure of the data. We argue that integer-valued trawl processes are especially well-suited in such situations

Data for Genetic Analysis Workshop (GAW) 15 Problem 2, Genetic Causes of Rheumatoid Arthritis and Associated Traits

For Genetic Analysis Workshop 15 Problem 2, we organized data from several ongoing studies designed to identify genetic and environmental risk factors for rheumatoid arthritis. Data were derived from the North American Rheumatoid Arthritis Consortium (NARAC), collaboration among Canadian researchers, the European Consortium on Rheumatoid Arthritis Families (ECRAF), and investigators from Manchester, England. All groups used a common standard for defining rheumatoid arthritis, but NARAC also further selected for a more severe phenotype in the probands. Genotyping and family structures for microsatellite-based linkage analysis were provided from all centers. In addition, all centers but ECRAF have genotyped families for linkage analysis using SNPs and these data were additionally provided. NARAC also had additional data from a dense genotyping analysis of a region of chromosome 18 and results from candidate gene studies, which were provided. Finally, smoking influences risk for rheumatoid arthritis, and data were provided from the NARAC study on this behavior as well as some additional phenotypes measuring severity. Several questions could be evaluated using the data that were provided. These include comparing linkage analysis using single-nucleotide polymorphisms versus microsatellites and identifying credible regions of linkage outside the HLA region on chromosome 6p13, which has been extensively documented; evaluating the joint effects of smoking with genetic factors; and identifying more homogenous subsets of families for whom genetic susceptibility might be stronger, so that linkage and association studies may be more efficiently conducted

Data for Genetic Analysis Workshop (GAW) 15 Problem 2, genetic causes of rheumatoid arthritis and associated traits

For Genetic Analysis Workshop 15 Problem 2, we organized data from several ongoing studies designed to identify genetic and environmental risk factors for rheumatoid arthritis. Data were derived from the North American Rheumatoid Arthritis Consortium (NARAC), collaboration among Canadian researchers, the European Consortium on Rheumatoid Arthritis Families (ECRAF), and investigators from Manchester, England. All groups used a common standard for defining rheumatoid arthritis, but NARAC also further selected for a more severe phenotype in the probands. Genotyping and family structures for microsatellite-based linkage analysis were provided from all centers. In addition, all centers but ECRAF have genotyped families for linkage analysis using SNPs and these data were additionally provided. NARAC also had additional data from a dense genotyping analysis of a region of chromosome 18 and results from candidate gene studies, which were provided. Finally, smoking influences risk for rheumatoid arthritis, and data were provided from the NARAC study on this behavior as well as some additional phenotypes measuring severity. Several questions could be evaluated using the data that were provided. These include comparing linkage analysis using single-nucleotide polymorphisms versus microsatellites and identifying credible regions of linkage outside the HLA region on chromosome 6p13, which has been extensively documented; evaluating the joint effects of smoking with genetic factors; and identifying more homogenous subsets of families for whom genetic susceptibility might be stronger, so that linkage and association studies may be more efficiently conducted

Oral abstracts 3: RA Treatment and outcomesO13. Validation of jadas in all subtypes of juvenile idiopathic arthritis in a clinical setting

Background: Juvenile Arthritis Disease Activity Score (JADAS) is a 4 variable composite disease activity (DA) score for JIA (including active 10, 27 or 71 joint count (AJC), physician global (PGA), parent/child global (PGE) and ESR). The validity of JADAS for all ILAR subtypes in the routine clinical setting is unknown. We investigated the construct validity of JADAS in the clinical setting in all subtypes of JIA through application to a prospective inception cohort of UK children presenting with new onset inflammatory arthritis. Methods: JADAS 10, 27 and 71 were determined for all children in the Childhood Arthritis Prospective Study (CAPS) with complete data available at baseline. Correlation of JADAS 10, 27 and 71 with single DA markers was determined for all subtypes. All correlations were calculated using Spearman's rank statistic. Results: 262/1238 visits had sufficient data for calculation of JADAS (1028 (83%) AJC, 744 (60%) PGA, 843 (68%) PGE and 459 (37%) ESR). Median age at disease onset was 6.0 years (IQR 2.6-10.4) and 64% were female. Correlation between JADAS 10, 27 and 71 approached 1 for all subtypes. Median JADAS 71 was 5.3 (IQR 2.2-10.1) with a significant difference between median JADAS scores between subtypes (p < 0.01). Correlation of JADAS 71 with each single marker of DA was moderate to high in the total cohort (see Table 1). Overall, correlation with AJC, PGA and PGE was moderate to high and correlation with ESR, limited JC, parental pain and CHAQ was low to moderate in the individual subtypes. Correlation coefficients in the extended oligoarticular, rheumatoid factor negative and enthesitis related subtypes were interpreted with caution in view of low numbers. Conclusions: This study adds to the body of evidence supporting the construct validity of JADAS. JADAS correlates with other measures of DA in all ILAR subtypes in the routine clinical setting. Given the high frequency of missing ESR data, it would be useful to assess the validity of JADAS without inclusion of the ESR. Disclosure statement: All authors have declared no conflicts of interest. Table 1Spearman's correlation between JADAS 71 and single markers DA by ILAR subtype ILAR Subtype Systemic onset JIA Persistent oligo JIA Extended oligo JIA Rheumatoid factor neg JIA Rheumatoid factor pos JIA Enthesitis related JIA Psoriatic JIA Undifferentiated JIA Unknown subtype Total cohort Number of children 23 111 12 57 7 9 19 7 17 262 AJC 0.54 0.67 0.53 0.75 0.53 0.34 0.59 0.81 0.37 0.59 PGA 0.63 0.69 0.25 0.73 0.14 0.05 0.50 0.83 0.56 0.64 PGE 0.51 0.68 0.83 0.61 0.41 0.69 0.71 0.9 0.48 0.61 ESR 0.28 0.31 0.35 0.4 0.6 0.85 0.43 0.7 0.5 0.53 Limited 71 JC 0.29 0.51 0.23 0.37 0.14 -0.12 0.4 0.81 0.45 0.41 Parental pain 0.23 0.62 0.03 0.57 0.41 0.69 0.7 0.79 0.42 0.53 Childhood health assessment questionnaire 0.25 0.57 -0.07 0.36 -0.47 0.84 0.37 0.8 0.66 0.4