Assessment of groups in a network organization based on the Shapley group value.

The focus of this paper is the assessment of groups of agents or units in a network organization. Given a social network, the relations between agents are modeled by means of a graph, and its functionality will be codified by means of a cooperative game. Building on previous work of Gomez et al. (2003) for the individual case, we propose a Myerson group value to evaluate the ability of each group of agents inside the social network to achieve the organization's goals. We analyze this centrality measure, and in particular we offer several decompositions that facilitate obtaining a precise interpretation of it.

Determining departure times in dynamic and stochastic maritime routing and scheduling problem

In maritime transportation, decisions are made in a dynamic setting where many aspects of the future are uncertain. However, most academic literature on maritime transportation considers static and deterministic routing and scheduling problems. This work addresses a gap in the literature on dynamic and stochastic maritime routing and scheduling problems, by focusing on the scheduling of departure times. Five simple strategies for setting departure times are considered, as well as a more advanced strategy which involves solving a mixed integer mathematical programming problem. The latter strategy is significantly better than the other methods, while adding only a small computational effort.

ϕ-Divergence Based Procedure for Parametric Change-Point Problems

This paper studies the change-point problem for a general parametric, univariate or multivariate family of distributions. An information theoretic procedure is developed which is based on general divergence measures for testing the hypothesis of the existence of a change. For comparing the exact sizes of the new test-statistic using the criterion proposed in Dale (J R Stat Soc B 48–59, 1986), a simulation study is performed for the special case of exponentially distributed random variables. A complete study of powers of the test-statistics and their corresponding relative local efficiencies, is also considered.

A historical account of types of fuzzy sets and their relationships

In this paper, we review the definition and basic properties of the different types of fuzzy sets that have appeared up to now in the literature. We also analyze the relationships between them and enumerate some of the applications in which they have been used.

Influence analysis of robust Wald-type tests

We consider a robust version of the classical Wald test statistics for testing simple and composite null hypotheses for general parametric models. These test statistics are based on the minimum density power divergence estimators instead of the maximum likelihood estimators. An extensive study of their robustness properties is given though the influence functions as well as the chi-square inflation factors. It is theoretically established that the level and power of these robust tests are stable against outliers, whereas the classical Wald test breaks down. Some numerical examples confirm the validity of the theoretical results.

Simulación de Sucesos Discretos. Prácticas en casos reales con R. Competición de estudiantes de simulación

La Simulación de Sucesos Discretos (SSD)es una metodología que permite aplicar los procedimientos de simulación estocástica, para representar un sistema en el que las variables aleatorias que lo componen están relacionadas entre si. En esta monografía se recogen distintos casos reales en los que puede aplicarse SSD junto con su implementación en R y resultados finales.

Bayesian estimation in generalized autoregressive conditional heteroskedasticity models

Esta tesis doctoral nace con el propósito de entender, analizar y sobre todo modelizar el comportamiento estadístico de las series financieras. En este sentido, se puede afirmar que los modelos que mejor recogen las especiales características de estas series son los modelos de heterocedasticidad condicionada en tiempo discreto,si los intervalos de tiempo en los que se recogen los datos lo permiten, y en tiempo continuo si tenemos datos diarios o datos intradía. Con esta finalidad, en esta tesis se proponen distintos estimadores bayesianos para la estimación de los parámetros de los modelos GARCH en tiempo discreto (Bollerslev (1986)) y COGARCH en tiempo continuo (Kluppelberg et al. (2004)). En el capítulo 1 se introducen las características de las series financieras y se presentan los modelos ARCH, GARCH y COGARCH, así como sus principales propiedades. Mandelbrot (1963) destacó que las series financieras no presentan estacionariedad y que sus incrementos no presentan autocorrelación, aunque sus cuadrados sí están correlacionados. Señaló también que la volatilidad que presentan no es constante y que aparecen clusters de volatilidad. Observó la falta de normalidad de las series financieras, debida principalmente a su comportamiento leptocúrtico, y también destacó los efectos estacionales que presentan las series, analizando como se ven afectadas por la época del año o el día de la semana. Posteriormente Black (1976) completó la lista de características especiales incluyendo los denominados leverage effects relacionados con como las fluctuaciones positivas y negativas de los precios de los activos afectan a la volatilidad de las series de forma distinta.

A methodology for hierarchical image segmentation evaluation

This paper proposes a method to evaluate hierarchical image segmentation procedures, in order to enable comparisons between different hierarchical algorithms and of these with other (non-hierarchical) segmentation techniques (as well as with edge detectors) to be made. The proposed method builds up on the edge-based segmentation evaluation approach by considering a set of reference human segmentations as a sample drawn from the population of different levels of detail that may be used in segmenting an image. Our main point is that, since a hierarchical sequence of segmentations approximates such population, those segmentations in the sequence that best capture each human segmentation level of detail should provide the basis for the evaluation of the hierarchical sequence as a whole. A small computational experiment is carried out to show the feasibility of our approach.