182 resultados para implied volatility function models
em Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP)
Resumo:
In this paper we make use of some stochastic volatility models to analyse the behaviour of a weekly ozone average measurements series. The models considered here have been used previously in problems related to financial time series. Two models are considered and their parameters are estimated using a Bayesian approach based on Markov chain Monte Carlo (MCMC) methods. Both models are applied to the data provided by the monitoring network of the Metropolitan Area of Mexico City. The selection of the best model for that specific data set is performed using the Deviance Information Criterion and the Conditional Predictive Ordinate method.
Resumo:
Background Peripheral muscle strength and endurance are decreased in patients with chronic pulmonary diseases and seem to contribute to patients' exercise intolerance. However, the authors are not aware of any studies evaluating peripheral muscle function in children with asthma. It seems to be implied that children with asthma have lower aerobic fitness, but there are limited studies comparing the aerobic capacity of children with and without asthma. The present study aimed to evaluate muscle strength and endurance in children with persistent asthma and their association with aerobic capacity and inhaled corticosteroid consumption. Methods Forty children with mild persistent asthma (MPA) or severe persistent asthma (SPA) (N=20 each) and 20 children without asthma (control group) were evaluated. Upper (pectoralis and latissimus dorsi) and lower (quadriceps) muscle strength and endurance were assessed, and cardiopulmonary exercise testing was performed. Inhaled corticosteroid consumption during the last 6 and 24 months was also quantified. Results Children with SPA presented a reduction in peak oxygen consumption (VO(2)) (28.2 +/- 8.1 vs 34.7 +/- 6.9 ml/kg/min; p<0.01) and quadriceps endurance (43.1 +/- 6.7 vs 80.9 +/- 11.9 repetitions; p<0.05) compared with the control group, but not the MPA group (31.5 +/- 6.1 ml/kg/min and 56.7 +/- 47.7 repetitions respectively; p>0.05). Maximal upper and lower muscle strength was preserved in children with both mild and severe asthma (p>0.05). Finally, the authors observed that lower muscle endurance weakness was not associated with reductions in either peak VO(2) (r=0.22, p>0.05) or corticosteroid consumption (r=-0.31, p>0.05) in children with asthma. Conclusion The findings suggest that cardiopulmonary exercise and lower limb muscle endurance should be a priority during physical training programs for children with severe asthma.
Resumo:
The mass function of cluster-size halos and their redshift distribution are computed for 12 distinct accelerating cosmological scenarios and confronted to the predictions of the conventional flat Lambda CDM model. The comparison with Lambda CDM is performed by a two-step process. First, we determine the free parameters of all models through a joint analysis involving the latest cosmological data, using supernovae type Ia, the cosmic microwave background shift parameter, and baryon acoustic oscillations. Apart from a braneworld inspired cosmology, it is found that the derived Hubble relation of the remaining models reproduces the Lambda CDM results approximately with the same degree of statistical confidence. Second, in order to attempt to distinguish the different dark energy models from the expectations of Lambda CDM, we analyze the predicted cluster-size halo redshift distribution on the basis of two future cluster surveys: (i) an X-ray survey based on the eROSITA satellite, and (ii) a Sunayev-Zeldovich survey based on the South Pole Telescope. As a result, we find that the predictions of 8 out of 12 dark energy models can be clearly distinguished from the Lambda CDM cosmology, while the predictions of 4 models are statistically equivalent to those of the Lambda CDM model, as far as the expected cluster mass function and redshift distribution are concerned. The present analysis suggests that such a technique appears to be very competitive to independent tests probing the late time evolution of the Universe and the associated dark energy effects.
Resumo:
We present measurements of J/psi yields in d + Au collisions at root S(NN) = 200 GeV recorded by the PHENIX experiment and compare them with yields in p + p collisions at the same energy per nucleon-nucleon collision. The measurements cover a large kinematic range in J/psi rapidity (-2.2 < y < 2.4) with high statistical precision and are compared with two theoretical models: one with nuclear shadowing combined with final state breakup and one with coherent gluon saturation effects. In order to remove model dependent systematic uncertainties we also compare the data to a simple geometric model. The forward rapidity data are inconsistent with nuclear modifications that are linear or exponential in the density weighted longitudinal thickness, such as those from the final state breakup of the bound state.
Resumo:
We study a stochastic lattice model describing the dynamics of coexistence of two interacting biological species. The model comprehends the local processes of birth, death, and diffusion of individuals of each species and is grounded on interaction of the predator-prey type. The species coexistence can be of two types: With self-sustained coupled time oscillations of population densities and without oscillations. We perform numerical simulations of the model on a square lattice and analyze the temporal behavior of each species by computing the time correlation functions as well as the spectral densities. This analysis provides an appropriate characterization of the different types of coexistence. It is also used to examine linked population cycles in nature and in experiment.
Resumo:
We obtain the exact nonequilibrium work generating function (NEWGF) for a small system consisting of a massive Brownian particle connected to internal and external springs. The external work is provided to the system for a finite-time interval. The Jarzynski equality, obtained in this case directly from the NEWGF, is shown to be valid for the present model, in an exact way regardless of the rate of external work.
Resumo:
This paper presents both the theoretical and the experimental approaches of the development of a mathematical model to be used in multi-variable control system designs of an active suspension for a sport utility vehicle (SUV), in this case a light pickup truck. A complete seven-degree-of-freedom model is successfully quickly identified, with very satisfactory results in simulations and in real experiments conducted with the pickup truth. The novelty of the proposed methodology is the use of commercial software in the early stages of the identification to speed up the process and to minimize the need for a large number of costly experiments. The paper also presents major contributions to the identification of uncertainties in vehicle suspension models and in the development of identification methods using the sequential quadratic programming, where an innovation regarding the calculation of the objective function is proposed and implemented. Results from simulations of and practical experiments with the real SUV are presented, analysed, and compared, showing the potential of the method.
Resumo:
In this study, regression models are evaluated for grouped survival data when the effect of censoring time is considered in the model and the regression structure is modeled through four link functions. The methodology for grouped survival data is based on life tables, and the times are grouped in k intervals so that ties are eliminated. Thus, the data modeling is performed by considering the discrete models of lifetime regression. The model parameters are estimated by using the maximum likelihood and jackknife methods. To detect influential observations in the proposed models, diagnostic measures based on case deletion, which are denominated global influence, and influence measures based on small perturbations in the data or in the model, referred to as local influence, are used. In addition to those measures, the local influence and the total influential estimate are also employed. Various simulation studies are performed and compared to the performance of the four link functions of the regression models for grouped survival data for different parameter settings, sample sizes and numbers of intervals. Finally, a data set is analyzed by using the proposed regression models. (C) 2010 Elsevier B.V. All rights reserved.
Resumo:
The objective of the present study was to estimate milk yield genetic parameters applying random regression models and parametric correlation functions combined with a variance function to model animal permanent environmental effects. A total of 152,145 test-day milk yields from 7,317 first lactations of Holstein cows belonging to herds located in the southeastern region of Brazil were analyzed. Test-day milk yields were divided into 44 weekly classes of days in milk. Contemporary groups were defined by herd-test-day comprising a total of 2,539 classes. The model included direct additive genetic, permanent environmental, and residual random effects. The following fixed effects were considered: contemporary group, age of cow at calving (linear and quadratic regressions), and the population average lactation curve modeled by fourth-order orthogonal Legendre polynomial. Additive genetic effects were modeled by random regression on orthogonal Legendre polynomials of days in milk, whereas permanent environmental effects were estimated using a stationary or nonstationary parametric correlation function combined with a variance function of different orders. The structure of residual variances was modeled using a step function containing 6 variance classes. The genetic parameter estimates obtained with the model using a stationary correlation function associated with a variance function to model permanent environmental effects were similar to those obtained with models employing orthogonal Legendre polynomials for the same effect. A model using a sixth-order polynomial for additive effects and a stationary parametric correlation function associated with a seventh-order variance function to model permanent environmental effects would be sufficient for data fitting.
Resumo:
A total of 152,145 weekly test-day milk yield records from 7317 first lactations of Holstein cows distributed in 93 herds in southeastern Brazil were analyzed. Test-day milk yields were classified into 44 weekly classes of DIM. The contemporary groups were defined as herd-year-week of test-day. The model included direct additive genetic, permanent environmental and residual effects as random and fixed effects of contemporary group and age of cow at calving as covariable, linear and quadratic effects. Mean trends were modeled by a cubic regression on orthogonal polynomials of DIM. Additive genetic and permanent environmental random effects were estimated by random regression on orthogonal Legendre polynomials. Residual variances were modeled using third to seventh-order variance functions or a step function with 1, 6,13,17 and 44 variance classes. Results from Akaike`s and Schwarz`s Bayesian information criterion suggested that a model considering a 7th-order Legendre polynomial for additive effect, a 12th-order polynomial for permanent environment effect and a step function with 6 classes for residual variances, fitted best. However, a parsimonious model, with a 6th-order Legendre polynomial for additive effects and a 7th-order polynomial for permanent environmental effects, yielded very similar genetic parameter estimates. (C) 2008 Elsevier B.V. All rights reserved.
Resumo:
We examined the association between IL28B single-nucleotide polymorphism rs12979860, hepatitis C virus (HCV) kinetic, and pegylated interferon alpha-2a pharmacodynamic parameters in HIV/HCV-coinfected patients from South America. Twenty-six subjects received pegylated interferon alpha-2a + ribavirin. Serum HCV-RNA and interferon concentrations were measured frequently during the first 12 weeks of therapy and analyzed using mathematical models. African Americans and whites had a similar distribution of IL28B genotypes (P = 0.5). The IL28B CC genotype was overrepresented (P = 0.015) in patients infected with HCV genotype-3 compared with genotype-1. In both genotype-1 and genotype-3, the first-phase viral decline and the average pegylated interferon-alpha-2a effectiveness during the first week of therapy were larger (trend P <= 0.12) in genotype-CC compared with genotypes-TC/TT. In genotype-1 patients, the second slower phase of viral decline (days 2-29) and infected cells loss rate, delta, were larger (P = 0.02 and 0.11, respectively) in genotype-CC than in genotypes-TC/TT. These associations were not observed in genotype-3 patients.
Resumo:
Background and Aim: It is unclear to what extent diabetes modulates the ageing-related adaptations of cardiac geometry and function. Methods and Results: We examined 1005 adults, aged 25-74 years, from a population-based survey at baseline in 1994/5 and at follow-up in 2004/5. We compared persistently non-diabetic individuals (ND; no diabetes at baseline and at follow-up, n = 833) with incident (ID; non-diabetic at baseline and diabetic at follow-up, n = 36) and with prevalent diabetics (PD; diabetes at baseline and follow-up examination, n = 21). Left ventricular (LV) geometry and function were evaluated by echocardiography. Statistical analyses were performed with multivariate linear regression models. Over ten years the PD group displayed a significantly stronger relative increase of LV mass (+9.34% vs. +23.7%) that was mediated by a more pronounced increase of LV end-diastolic diameter (+0% vs. +6.95%) compared to the ND group. In parallel, LA diameter increased (+4.50% vs. +12.7%), whereas ejection fraction decreased (+3.02% vs. -4.92%) more significantly in the PD group. Moreover, at the follow-up examination the PD and ID groups showed a significantly worse diastolic function, indicated by a higher E/EM ratio compared with the ND group (11.6 and 11.8 vs. 9.79, respectively). Conclusions: Long-standing diabetes was associated with an acceleration of age-related changes of left ventricular geometry accumulating in an eccentric remodelling of the left ventricle. Likewise, echocardiographic measures of systolic and diastolic ventricular function deteriorated more rapidly in individuals with diabetes. (C) 2009 Elsevier B.V. All rights reserved.
Resumo:
Introduction. Lower urinary tract symptoms (LUTS) and erectile dysfunction (ED) are common problems in middle-aged and older men. Recently, epidemiologic studies have shown significant associations between severity of LUTS and male sexual dysfunction. Aim. We analyzed the role of prostate enlargement, LUTS, and prostate specific antigen (PSA) levels in the erectile function of Brazilian men who underwent prostate cancer (PCa) screening. Method. We analyzed data from 1,008 consecutive patients enrolled in a PCa screening program. Benign prostatic hyperplasia (BPH) was defined as a prostate weight greater than 30 g as defined by digital rectal examination. For statistical analysis, we used the chi-squared and analysis of variance tests. The odds ratios (OR) for correlation of ED with prostate volume LUTS and PSA were estimated using logistic regression models. Main Outcome Measure. The American Urological Association (AUA) symptom score for LUTS and the International Index of Erectile Function. Results. Mean patient age was 61.2 years (45-87) and median PSA value was 1.9 ng/mL. BPH was identified in 48.5% of patients. Mild, moderate, and severe LUTS were found in 52.3%, 30.9%, and 16.8% of cases, respectively. ED was classified as absent, mild, mild to moderate, moderate, and severe in 18.6%, 23.1%, 18.6%, 15.2%, and 24.5%, respectively. While only 5.4% of the patients with no ED presented severe LUTS, this finding was observed in 27.1% of patients with severe ED (P<0.001). Univariate logistic regression analysis demonstrated that age, prostate volume, AUA symptom score, and PSA levels were significant predictors of ED. However, when controlled for patient age, only LUTS remained as an independent predictor of ED. Conclusions. Controlling for patient age, LUTS are independent risk factors for the development of ED among Brazilian men who undergo PCa screening.
Resumo:
Context: Physiological activation of the prokineticin pathway has a critical role in olfactory bulb morphogenesis and GnRH secretion in mice. Objective: To investigate PROK2 and PROKR2 mutations in patients with hypogonadotropic hypogonadism (HH) associated or not with olfactory abnormalities. Design: We studied 107 Brazilian patients with HH (63 with Kallmann syndrome and 44 with normosmic HH) and 100 control individuals. The coding regions of PROK2 and PROKR2 were amplified by PCR followed by direct automatic sequencing. Results: In PROK2, two known frameshift mutations were identified. Two brothers with Kallmann syndrome harbored the homozygous p. G100fsX121 mutation, whereas one male with normosmic HH harbored the heterozygous p. I55fsX56 mutation. In PROKR2, four distinct mutations (p. R80C, p. Y140X, p. L173R, and p. R268C) were identified in five patients with Kallmann syndrome and in one patient with normosmic HH. These mutations were not found in the control group. The p. R80C, p. L173R, and p. R268C missense mutations were identified in the heterozygous state in the HH patients and in their asymptomatic first-degree relatives. In addition, nomutations of FGFR1, KAL1, GnRHR, KiSS-1, or GPR54 were identified in these patients. Notably, the new nonsense mutation (p. Y140X) was identified in the homozygous state in an anosmic boy with micropenis, bilateral cryptorchidism, and high-arched palate. His asymptomatic parents were heterozygous for this severe defect. Conclusion: We expanded the repertoire of PROK2 and PROKR2 mutations in patients with HH. In addition, we show that PROKR2 haploinsufficiency is not sufficient to cause Kallmann syndrome or normosmic HH, whereas homozygous loss-of-function mutations either in PROKR2 or PROK2 are sufficient to cause disease phenotype, in accordance with the Prokr2 and Prok2 knockout mouse models.
Resumo:
The afferent nerves of the cornea and conjunctiva, efferent nerves of the lacrimal gland, and the lacrimal gland are a functional unit that works cooperatively to produce the aqueous component of tears. A decrease in the lacrimal gland secretory function can lead to dry eye disease. Because aging is a risk factor for dry eye disease, study of the changes in the function of the lacrimal gland functional unit with age is important for developing treatments to prevent dry eye disease. No one mechanism is known to induce the changes that occur with aging, although multiple different mechanisms have been associated with aging. These fall into two theoretical categories: programmed theories of aging (immunological, genetic, apoptotic, and neuroendocrine) and error theories of aging (protein alteration, somatic mutation, etc). Lacrimal glands undergo structural and functional alteration with increasing age. In mouse models of aging, it has been shown that neural stimulation of protein secretion is an early target of aging, accompanied by an increase in mast cells and lipofuscin accumulation. Hyperglycemia and increased lymphocytic infiltration can contribute to this loss of function at older ages. These findings suggest that an increase in oxidative stress may play a role in the loss of lacrimal gland function with age. For the afferent and efferent neural components of the lacrimal gland functional unit, immune or inflammatory mediated decrease in nerve function could contribute to loss of lacrimal gland secretion with age. More research in this area is critically needed.