Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais utilizando a distribuição t multivariada

The multivariate t models are symmetric and with heavier tail than the normal distribution, important feature in financial data. In this theses is presented the Bayesian estimation of a dynamic factor model, where the factors follow a multivariate autoregressive model, using multivariate t distribution. Since the multivariate t distribution is complex, it was represented in this work as a mix between a multivariate normal distribution and a square root of a chi-square distribution. This method allowed to define the posteriors. The inference on the parameters was made taking a sample of the posterior distribution, through the Gibbs Sampler. The convergence was verified through graphical analysis and the convergence tests Geweke (1992) and Raftery & Lewis (1992a). The method was applied in simulated data and in the indexes of the major stock exchanges in the world.

Modelos duplo sigmoidais para o crescimento de frutos do cafeeiro

Coffee is one of the main products of Brazilian agriculture, the country is currently the largest producer and exporter. Knowing the growth pattern of a fruit can assist in the development of culture indicating for example, the times of increased fruit weight and its optimum harvest, essential to improve the management and quality of coffee. Some authors indicate that the growth curve of the coffee fruit has a double sigmoid shape. However, it consists of just a visual observation without exploring the use of regression models. The aims of this study were: i) determine if the growth pattern of the coffee fruit is really double sigmoidal; ii) to propose a new approach in weighted importance re-sampling to estimate the parameters of regression models and select the most suitable double sigmoidal model to describe the growth of coffee fruits; iii) to study the spatial distribution effect of the crop in the growth curve of coffee fruits. In the first article the aim was determine if the growth pattern of the coffee fruit is really double sigmoidal. The models double Gompertz and double Logistic showed significantly superior fit to models of simple sigmoid confirming that the standard of coffee fruits growth is really double sigmoidal. In the second article we propose to consider an approximation of the likelihood as the candidate distribution of the weighted importance resampling, aiming to facilitate the process of obtaining samples of marginal distributions of each parameter. This technique was effective since it provided parameters with practical interpretation and low computational effort, therefore, it can be used to estimate parameters of double sigmoidal growth curves. The nonlinear model double Logistic was the most appropriate to describe the growth curve of coffee fruits. In the third article aimed to verify the influence of different planting alignments and sun exposure faces in the fruits growth curve. A difference between the growth rates in the two stages of fruit development was identified, regardless the side. Although it has been proven differences in productivity and quality of coffee, there was no difference between the growth curves in the different planting alignments herein studied.

Relação entre governança corporativa e gerenciamento de resultados: um estudo em empresas brasileiras listadas na BM&FBOVESPA

The objective of this work was to identify a possible relation between corporate governance, through the structure of the boards of directors and the levels of earnings management of Brazilian public companies. The study is characterized as a descriptive, of a hypothetical-deductive nature, with quantitative approach guided by the estimation model proposed by Kang and Sivaramakrishnan (1995). The sample was comprised by 56 companies, analyzed in the period from 2011 to 2014. The information on the companies were extracted from Economatica databank. For the data analysis, we used multivariate techniques, such as Pearson correlation and panel data in POLS, Fixed Effects and Random Effects approaches. Furthermore, we applied the mean comparison test ANOVA. The results obtained show that, generally, the organizations tend to follow the profile of boards of directors recommended by the codes of corporative governance. However, the characteristics of the composition of the board, regarding its size and the duality of positions that are not yet sufficient to be considered capable of inhibiting the discretionary practice of the studied companies. Relative the control variables, only size and return on equity presented no significant relation with result management. It is important to highlight that literature point many factors that explain the different impacts caused by the formation of the administration board in different regions or countries. Among the factors pointed, we highlight the legal system of the country, the economic and political development, the importance of the capital market, and the level of accounting education.

Estabilidade e adaptabilidade de híbridos de milho utilizando a abordagem AMMI-bayesiano

Biplot graphics are widely employed in the study of the genotypeenvironment interactions, but they are only a graphical tool without a statistical hypothesis test. The singular values and scores (singular vectors) used in biplots correspond to specific estimates of its parameters, and the use of uncertainty measures may lead to different conclusions from those provided by a simple visual evaluation. The aim of this work is to estimate the genotype-environment interactions, using AMMI analysis, through Bayesian approach. Therefore the credibility intervals can be used for decision-making in different situations of analyses. It allows to verify the consistency of the selection and recommendation of cultivars. Two analyses were performed. The first analysis looked into 10 regular commercial hybrids and all possible 45 hybrids obtained from them. They were assessed in 15 locations. The second analysis evaluated 28 hybrids in 35 different environments, with imbalance data. The ellipses were grouped according to the standard of interaction in the biplot. The AMMI analysis with a Bayesian approach proved to be a complete analysis of stability and adaptability, which provides important information that may help the breeder in their decisions. The regions of credibility, built in the biplots, allow to perform an accurate selection and a precise genotype recommendation, with a level of credibility. Genotypes and environments can be grouped according to the existing interaction pattern, which makes possible to formulate specific recommendations. Moreover the environments can be evaluated, in order to find out which ones contribute similarly to the interaction and those to be discarted. The method makes possible to deal with imbalanced data in a natural way, showing efficiency for multienvironment trials. The prediction takes into account instability and the interaction standard of the observed data, in order to establish a direct comparison between genotypes of both 1st and 2nd seasons.