Bootstrapping confidence intervals for the change-point of time series

We study an AMOC time series model with an abrupt change in the mean and dependent errors that fulfill certain mixing conditions. We obtain confidence intervals for the unknown change-point via bootstrapping methods. Precisely we use a block bootstrap of the estimated centered error sequence. Then we reconstruct a sequence with a change in the mean using the same estimators as before. The difference between the change-point estimator of the resampled sequence and the one for the original sequence can be use as an approximation of the difference between the real change-point and its estimator. This enables us to construct confidence intervals using the empirical distribution of the resampled time series. A simulation study shows that the resampled confidence intervals are usually closer to their target levels and at the same time smaller than the asymptotic intervals.Comment: 25 pages, 25 figure

Using eye-tracking data to create a weighted dictionary for sentiment analysis: the eye dictionary

Extracting information from written texts is of paramount importance to many entities (e.g. businesses, public organizations, individuals), but the exponential growth of available data has made this task beyond any single human being or business. Sentiment analysis is a tool to automatically transform the information extracted into knowledge. One of the main challenges is to assess if a text is positive or negative, which can be tackled using a dictionary where each word has a positive or negative associated value and then combining single-words values to express an overall text sentiment. In order to use such lexicon-based approach, we need an existing dictionary or to build a new one. In this work we present a new dictionary for sentiment analysis developed using eye-tracking data to determine the relevance of words and we assess its performances against other existing dictionaries

Model Selection and Simplification Using Lattices

This paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a partial ordering over the space of considered models. Several examples of partial ordering in large families of models are given along with a searching algorithm to determine the best model with respect to chosen criteria.model selection and simplification; principle of coherence; lattice of models; regression; ARMA models

Model Selection and Simplification Using Lattices

This paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a partial ordering over the space of considered models. Several examples of partial ordering in large families of models are given along with a searching algorithm to deter- mine the best model with respect to chosen criteria.Model selection and simplification, Principle of coherence, Lattice of models, Regression, ARMA models

Die Lust am sicheren Untergang

Lust und deren Sicherung stehen immer in einem gewissen Gegensatz zueinander: Wenn Lust Bewegung, Veränderung, Aufregung und Wagnis einschließt, dann besteht Sicherung allemal in einer Minimierung jedweden Risikos. Wer also beides - Lust und deren Sicherung - will, befindet sich auf einer Gratwanderung. Wenn nun der Sicherung ein allzu großer Anteil der Lustmöglichkeiten geopfert wird, kommt es zu psychischen Störungen. Im Einzelleben ist dies der Ausgangspunkt für die Entwicklung von seelischen Krankheiten: in ihnen wird, meist unbewußt, die Sicherung zum Haupt- und Selbstzweck des Lebens. Im Zusammenleben mit anderen Menschen sind es Besitz, Macht und Ausbeutung, die solche Sicherungen zu garantieren scheinen - auch um den Preis von Gewalt oder Krieg. Wie die Geschichte lehrt, ist die Lust an solchen Sicherungen aber eine Lust am sicheren Untergang. Und die stellt eigentlich so etwas dar wie einen sozialen Zwang oder eine kollektive Sucht - entsprungen der verzweifelten Suche nach Bestätigung des unsicheren Selbst bzw. der in Frage gestellten kollektiven Identität

Structural breaks in panel data: large number of panels and short length time series

The detection of (structural) breaks or the so called change point problem has drawn increasing attention from the theoretical, applied economic and financial fields. Much of the existing research concentrates on the detection of change points and asymptotic properties of their estimators in panels when N, the number of panels, as well as T, the number of observations in each panel are large. In this paper we pursue a different approach, i.e., we consider the asymptotic properties when N→∞ while keeping T fixed. This situation is typically related to large (firm-level) data containing financial information about an immense number of firms/stocks across a limited number of years/quarters/months. We propose a general approach for testing for break(s) in this setup. In particular, we obtain the asymptotic behavior of test statistics. We also propose a wild bootstrap procedure that could be used to generate the critical values of the test statistics. The theoretical approach is supplemented by numerous simulations and by an empirical illustration. We demonstrate that the testing procedure works well in the framework of the four factors CAPM model. In particular, we estimate the breaks in the monthly returns of US mutual funds during the period January 2006 to February 2010 which covers the subprime crises

Diagnostic accuracy of contrast-enhanced FDG-PET/CT in primary staging of cutaneous malignant melanoma

Purpose: To evaluate the diagnostic accuracy of contrast-enhanced FDG-PET/CT (ce-PET/CT), PET-only, and CT-only in patients with newly diagnosed and resected cutaneous malignant melanoma. Methods: A final group of 56 patients (mean age 62years, range 23-86years; 29 women, 27 men) were staged with ce-PET/CT after resection of the primary tumour. Histopathology as well as clinical follow-up (mean 780days, range 102-1,390 days) served as the standards of reference. Differences between the staging modalities were tested for statistical significance with McNemar's test. Results: All imaging procedures provided low sensitivities in the detection of lymph nodes (sensitivity N-stage: PET/CT and PET-only 38.5%; CT-only 23.1%) and distant metastases (sensitivity M-stage: PET/CT 41.7%, PET-only 33.3%, CT-only 25.0%) in initial staging after resection of the primary tumour. No statistically significant differences were detected between the imaging procedures (p > 0.05). PET/CT resulted in an alteration in further treatment in two patients compared to PET-only and in four patients compared to CT-only. Conclusion: All imaging modalities had a low sensitivity on initial staging of patients with malignant melanoma. Thus, close patient follow-up must be considered mandator