Systematic risk estimation in symmetric models

The aim of this article is to discuss the estimation of the systematic risk in capital asset pricing models with heavy-tailed error distributions to explain the asset returns. Diagnostic methods for assessing departures from the model assumptions as well as the influence of observations on the parameter estimates are also presented. It may be shown that outlying observations are down weighted in the maximum likelihood equations of linear models with heavy-tailed error distributions, such as Student-t, power exponential, logistic II, so on. This robustness aspect may also be extended to influential observations. An application in which the systematic risk estimate of Microsoft is compared under normal and heavy-tailed errors is presented for illustration.

Pricing farm-level agricultural insurance: a Bayesian approach

This paper applies Hierarchical Bayesian Models to price farm-level yield insurance contracts. This methodology considers the temporal effect, the spatial dependence and spatio-temporal models. One of the major advantages of this framework is that an estimate of the premium rate is obtained directly from the posterior distribution. These methods were applied to a farm-level data set of soybean in the State of the Parana (Brazil), for the period between 1994 and 2003. The model selection was based on a posterior predictive criterion. This study improves considerably the estimation of the fair premium rates considering the small number of observations.

Spatio-temporal modeling of agricultural yield data with an application to pricing crop insurance contracts

This article presents a statistical model of agricultural yield data based on a set of hierarchical Bayesian models that allows joint modeling of temporal and spatial autocorrelation. This method captures a comprehensive range of the various uncertainties involved in predicting crop insurance premium rates as opposed to the more traditional ad hoc, two-stage methods that are typically based on independent estimation and prediction. A panel data set of county-average yield data was analyzed for 290 counties in the State of Parana (Brazil) for the period of 1990 through 2002. Posterior predictive criteria are used to evaluate different model specifications. This article provides substantial improvements in the statistical and actuarial methods often applied to the calculation of insurance premium rates. These improvements are especially relevant to situations where data are limited.

Pricing corporate bonds in Brazil: 2000 to 2004

This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond`s maturity influence pricing and points out associations of long-term bonds with better rating issues. (C) 2008 Elsevier Inc. All rights reserved.

Heterogeneity, saving-investment dynamics and capital mobility in Latin America

The purpose of this paper is to analyze the dynamics of national saving-investment relationship in order to determine the degree of capital mobility in 12 Latin American countries. The analytically relevant correlation is the short-term one, defined as that between changes in saving and investment. Of special interest is the speed at which variables return to the long run equilibrium relationship, which is interpreted as being negatively related to the degree of capital mobility. The long run correlation, in turn, captures the coefficient implied by the solvency constraint. We find that heterogeneity and cross-section dependence completely change the estimation of the long run coefficient. Besides we obtain a more precise short run coefficient estimate compared to the existent estimates in the literature. There is evidence of an intermediate degree of capital mobility, and the coefficients are extremely stable over time.

Financial leverage and tangibility of assets of Brazilian companies of agribusiness in the post-real plan period

This paper aims to study the relationship between the debt level and the asset structure of Brazilian companies of the agribusiness sector, since it is considered a current and relevant discussion: to evaluate the mechanisms for fund-raising and guarantees. The methodology of Granger`s Causality test and Autoregressive Vectors was used to conduct a comparative analysis, applied to a financial database of companies with open capital of Brazilian agribusiness, in particular the agricultural sector and Fisheries and Food and Beverages in a period of 10 years (1997-2007) from quarterly series available in the database of Economatica(R). The results demonstrated that changes in leverage generate variations in the tangibility of the companies, a fact that can be explained by the large search of funding secured by fiduciary transfer of fixed assets, which facilitates access to credit by business of the Agribusiness sector, increasing the payment time and lowering interest rates.

Comparative study of dental arch width in plaster models, photocopies and digitized images

The aim of this study was to comparatively assess dental arch width, in the canine and molar regions, by means of direct measurements from plaster models, photocopies and digitized images of the models. The sample consisted of 130 pairs of plaster models, photocopies and digitized images of the models of white patients (n = 65), both genders, with Class I and Class II Division 1 malocclusions, treated by standard Edgewise mechanics and extraction of the four first premolars. Maxillary and mandibular intercanine and intermolar widths were measured by a calibrated examiner, prior to and after orthodontic treatment, using the three modes of reproduction of the dental arches. Dispersion of the data relative to pre- and posttreatment intra-arch linear measurements (mm) was represented as box plots. The three measuring methods were compared by one-way ANOVA for repeated measurements (α = 0.05). Initial / final mean values varied as follows: 33.94 to 34.29 mm / 34.49 to 34.66 mm (maxillary intercanine width); 26.23 to 26.26 mm / 26.77 to 26.84 mm (mandibular intercanine width); 49.55 to 49.66 mm / 47.28 to 47.45 mm (maxillary intermolar width) and 43.28 to 43.41 mm / 40.29 to 40.46 mm (mandibular intermolar width). There were no statistically significant differences between mean dental arch widths estimated by the three studied methods, prior to and after orthodontic treatment. It may be concluded that photocopies and digitized images of the plaster models provided reliable reproductions of the dental arches for obtaining transversal intra-arch measurements.

Linear dimensional changes in plaster die models using different elastomeric materials

Dental impression is an important step in the preparation of prostheses since it provides the reproduction of anatomic and surface details of teeth and adjacent structures. The objective of this study was to evaluate the linear dimensional alterations in gypsum dies obtained with different elastomeric materials, using a resin coping impression technique with individual shells. A master cast made of stainless steel with fixed prosthesis characteristics with two prepared abutment teeth was used to obtain the impressions. References points (A, B, C, D, E and F) were recorded on the occlusal and buccal surfaces of abutments to register the distances. The impressions were obtained using the following materials: polyether, mercaptan-polysulfide, addition silicone, and condensation silicone. The transfer impressions were made with custom trays and an irreversible hydrocolloid material and were poured with type IV gypsum. The distances between identified points in gypsum dies were measured using an optical microscope and the results were statistically analyzed by ANOVA (p < 0.05) and Tukey's test. The mean of the distances were registered as follows: addition silicone (AB = 13.6 µm, CD=15.0 µm, EF = 14.6 µm, GH=15.2 µm), mercaptan-polysulfide (AB = 36.0 µm, CD = 36.0 µm, EF = 39.6 µm, GH = 40.6 µm), polyether (AB = 35.2 µm, CD = 35.6 µm, EF = 39.4 µm, GH = 41.4 µm) and condensation silicone (AB = 69.2 µm, CD = 71.0 µm, EF = 80.6 µm, GH = 81.2 µm). All of the measurements found in gypsum dies were compared to those of a master cast. The results demonstrated that the addition silicone provides the best stability of the compounds tested, followed by polyether, polysulfide and condensation silicone. No statistical differences were obtained between polyether and mercaptan-polysulfide materials.

Allometric models for estimating the phytomass of a secondary Atlantic Forest area of southeastern Brazil

The purpose of this study was to develop and validate equations to estimate the aboveground phytomass of a 30 years old plot of Atlantic Forest. In two plots of 100 m², a total of 82 trees were cut down at ground level. For each tree, height and diameter were measured. Leaves and woody material were separated in order to determine their fresh weights in field conditions. Samples of each fraction were oven dried at 80 °C to constant weight to determine their dry weight. Tree data were divided into two random samples. One sample was used for the development of the regression equations, and the other for validation. The models were developed using single linear regression analysis, where the dependent variable was the dry mass, and the independent variables were height (h), diameter (d) and d²h. The validation was carried out using Pearson correlation coefficient, paired t-Student test and standard error of estimation. The best equations to estimate aboveground phytomass were: lnDW = -3.068+2.522lnd (r² = 0.91; s y/x = 0.67) and lnDW = -3.676+0.951ln d²h (r² = 0.94; s y/x = 0.56).

Descriptor-and fragment-based QSAR models for a series of Schistosoma mansoni purine nucleoside inhibitors

The enzyme purine nucleoside phosphorylase from Schistosoma mansoni (SmPNP) is an attractive molecular target for the treatment of major parasitic infectious diseases, with special emphasis on its role in the discovery of new drugs against schistosomiasis, a tropical disease that affects millions of people worldwide. In the present work, we have determined the inhibitory potency and developed descriptor- and fragment-based quantitative structure-activity relationships (QSAR) for a series of 9-deazaguanine analogs as inhibitors of SmPNP. Significant statistical parameters (descriptor-based model: r² = 0.79, q² = 0.62, r²pred = 0.52; and fragment-based model: r² = 0.95, q² = 0.81, r²pred = 0.80) were obtained, indicating the potential of the models for untested compounds. The fragment-based model was then used to predict the inhibitory potency of a test set of compounds, and the predicted values are in good agreement with the experimental results

Comparison of some theoretical models for fittings of the temperature dependence of the fundamental energy gap in GaAs

In this work we report on a comparison of some theoretical models usually used to fit the dependence on temperature of the fundamental energy gap of semiconductor materials. We used in our investigations the theoretical models of Viña, Pässler-p and Pässler-ρ to fit several sets of experimental data, available in the literature for the energy gap of GaAs in the temperature range from 12 to 974 K. Performing several fittings for different values of the upper limit of the analyzed temperature range (Tmax), we were able to follow in a systematic way the evolution of the fitting parameters up to the limit of high temperatures and make a comparison between the zero-point values obtained from the different models by extrapolating the linear dependence of the gaps at high T to T = 0 K and that determined by the dependence of the gap on isotope mass. Using experimental data measured by absorption spectroscopy, we observed the non-linear behavior of Eg(T) of GaAs for T > ΘD.

Reproducibility, reliability and validity of measurements obtained from Cecile3 digital models

The aim of this study was to determine the reproducibility, reliability and validity of measurements in digital models compared to plaster models. Fifteen pairs of plaster models were obtained from orthodontic patients with permanent dentition before treatment. These were digitized to be evaluated with the program Cécile3 v2.554.2 beta. Two examiners measured three times the mesiodistal width of all the teeth present, intercanine, interpremolar and intermolar distances, overjet and overbite. The plaster models were measured using a digital vernier. The t-Student test for paired samples and interclass correlation coefficient (ICC) were used for statistical analysis. The ICC of the digital models were 0.84 ± 0.15 (intra-examiner) and 0.80 ± 0.19 (inter-examiner). The average mean difference of the digital models was 0.23 ± 0.14 and 0.24 ± 0.11 for each examiner, respectively. When the two types of measurements were compared, the values obtained from the digital models were lower than those obtained from the plaster models (p < 0.05), although the differences were considered clinically insignificant (differences < 0.1 mm). The Cécile digital models are a clinically acceptable alternative for use in Orthodontics.

Práticas preventivas de detecção de câncer em mulheres: comparação das estimativas dos inquéritos de saúde (ISA - Capital) e vigilância de fatores de risco e proteção para doenças crônicas por inquérito telefônico (VIGITEL - São Paulo)

OBJETIVO: O objetivo deste estudo foi comparar estimativas obtidas em inquéritos domiciliar e telefônico, da realização dos exames de Papanicolaou e mamografia em mulheres residentes no município de São Paulo em 2008, segundo características sociodemográficas, bem como dimensionar as diferenças observadas. MÉTODOS: Foram utilizados os dados do ISA - Capital 2008, inquérito domiciliar realizado no município de São Paulo pela Universidade de São Paulo (USP), Universidade Estadual de Campinas (UNICAMP) e Secretaria de Estado da Saúde com apoio da Secretaria Municipal de Saúde de São Paulo, e do VIGITEL - São Paulo, inquérito telefônico realizado pelo Ministério da Saúde para Vigilância de Fatores de Risco e Proteção para Doenças Crônicas. Estimativas da realização do exame de Papanicolaou e mamografia na vida, bem como a realização no último ano foram comparadas segundo o tipo de inquérito (domiciliar/telefone) por meio de regressão de Poisson ajustada por idade e escolaridade. RESULTADOS: Não foram encontradas diferenças estatisticamente significantes entre as estimativas obtidas pelo VIGITEL e ISA - Capital para as prevalências de realização de mamografia no último ano. No entanto, para as estimativas globais de realização do exame de Papanicolaou alguma vez na vida e no último ano e da mamografia na vida, foi possível verificar diferenças estatisticamente significantes, com prevalências de cobertura superiores entre as entrevistadas pelo inquérito telefônico. CONCLUSÃO: Os resultados sinalizam a tendência de superestimação de alguns indicadores de cobertura de mamografia e de exame de Papanicolaou nos dados de pesquisa via telefone, apontando a necessidade de novos estudos que também contribuam para o melhor entendimento das diferenças observadas com o uso de diferentes modalidades de inquéritos.

Women's satisfaction with childbirth's experience in different models of care: a descriptive study

Com o objetivo de comparar a satisfação das mulheres com a experiência do parto em três modelos assistenciais, foi realizada pesquisa descritiva, com abordagem quantitativa, em dois hospitais públicos de São Paulo, um promovendo o modelo "Típico" e o outro com um centro de parto intra-hospitalar (modelo "CPNIH") e um peri-hospitalar (modelo "CPNPH"). A amostra foi constituída por 90 puérperas, 30 de cada modelo. A comparação entre os resultados referentes à satisfação das mulheres com o atendimento prestado pelos profissionais de saúde, com a qualidade da assistência e os motivos de satisfação e insatisfação, com a indicação ou recomendação dos serviços recebidos, com a sensação de segurança no processo e com as sugestões de melhorias, mostrou que o modelo CPHPH foi o melhor avaliado, vindo em seguida o CPNIH e por último o Típico. Conclui-se que o modelo peri-hospitalar de assistência ao parto deveria receber maior apoio do SUS, por se constituir em serviço em que as mulheres se mostram satisfeitas com a atenção recebida

The full Bayesian significance test for mixture models: results in gene expression clustering

Gene clustering is a useful exploratory technique to group together genes with similar expression levels under distinct cell cycle phases or distinct conditions. It helps the biologist to identify potentially meaningful relationships between genes. In this study, we propose a clustering method based on multivariate normal mixture models, where the number of clusters is predicted via sequential hypothesis tests: at each step, the method considers a mixture model of m components (m = 2 in the first step) and tests if in fact it should be m - 1. If the hypothesis is rejected, m is increased and a new test is carried out. The method continues (increasing m) until the hypothesis is accepted. The theoretical core of the method is the full Bayesian significance test, an intuitive Bayesian approach, which needs no model complexity penalization nor positive probabilities for sharp hypotheses. Numerical experiments were based on a cDNA microarray dataset consisting of expression levels of 205 genes belonging to four functional categories, for 10 distinct strains of Saccharomyces cerevisiae. To analyze the method's sensitivity to data dimension, we performed principal components analysis on the original dataset and predicted the number of classes using 2 to 10 principal components. Compared to Mclust (model-based clustering), our method shows more consistent results.