A new least-squares approach to differintegration modeling

Signal Processing, Vol. 86, nº 10

Metodologia Value-at-risk: aplicação a uma carteira de obrigações de tesouro portuguesas

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

Utilização de cartas de controlo para monitorização em tempo real da qualidade da água numa rede de distribuição

Dissertação para obtenção do Grau de Mestre em Engenharia e Gestão Industrial

Sistema de detecção de fogo e detecção e seguimento de objectos

Dissertação para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores

Ranking schools: a step toward increased accountability or a mere discriminatory practice?

The purpose of this paper is to contribute to the discussion of the effects of published school rankings based on average scores obtained by students on national exams. We study the effectiveness of this (low-stakes) accountability mechanism; we analyze whether students react to these rankings, by moving in or out of high-schools according to their scores and examine the movements of closing of schools. Our results suggest that families react strongly to published rankings. We also look at the changes in the socio-economic background of students of poorly performing schools in order to evaluate whether the publication of rankings has increased inequality, as feared by many observers. According to our results, published rankings do in fact reinforce stratification by income.

Structural time series models and the Kalman filter: A concise review

The continued increase in availability of economic data in recent years and, more importantly, the possibility to construct larger frequency time series, have fostered the use (and development) of statistical and econometric techniques to treat them more accurately. This paper presents an exposition of structural time series models by which a time series can be decomposed as the sum of a trend, seasonal and irregular components. In addition to a detailled analysis of univariate speci fications we also address the SUTSE multivariate case and the issue of cointegration. Finally, the recursive estimation and smoothing by means of the Kalman filter algorithm is described taking into account its different stages, from initialisation to parameter s estimation.

Portuguese average cost of capital

The oldest Portuguese share index still being calculated is the BVL/PSI-General, one which started the daily series on 5/Jan/1988 with a base value of 1000 points. Everyday a single value is computed based on the closing prices of all the shares included in the sample. Also, all corporate events affecting the price of any share beyond market sentiment are taken into account through proper adjustments, either in the numerator or the denominator of the formula. However, for dates before January 1988, there is nothing comparable to this index since the two different series known either never disclosed the methodology adopted to calculate the index or followed solutions not compatible with the above index. The present paper explains the solutions adopted to replicate as closely as possible the methodology of the BVL-General index to the main market of the Lisbon Exchange for the period 1978 – 1987. This is the first estimate of the historical Equity Risk Premium in Portugal above short-term risk-free rate from the re-opening of the market following the Carnation Revolution (and the accompanying nationalizations), to the present. In showing a value of the same order of magnitude found in other countries, the paper invites further studies on the effects of political decisions such as privatizations and joining the European Union.

Optimal design and operation of compact simulated moving bed processes for enantioseparations

Simulated moving bed (SMB) chromatography is attracting more and more attention since it is a powerful technique for complex separation tasks. Nowadays, more than 60% of preparative SMB units are installed in the pharmaceutical and in the food in- dustry [SDI, Preparative and Process Liquid Chromatography: The Future of Process Separations, International Strategic Directions, Los Angeles, USA, 2002. http://www. strategicdirections.com]. Chromatography is the method of choice in these ¯elds, be- cause often pharmaceuticals and ¯ne-chemicals have physico-chemical properties which di®er little from those of the by-products, and they may be thermally instable. In these cases, standard separation techniques as distillation and extraction are not applicable. The noteworthiness of preparative chromatography, particulary SMB process, as a sep- aration and puri¯cation process in the above mentioned industries has been increasing, due to its °exibility, energy e±ciency and higher product purity performance. Consequently, a new SMB paradigm is requested by the large number of potential small- scale applications of the SMB technology, which exploits the °exibility and versatility of the technology. In this new SMB paradigm, a number of possibilities for improving SMB performance through variation of parameters during a switching interval, are pushing the trend toward the use of units with smaller number of columns because less stationary phase is used and the setup is more economical. This is especially important for the phar- maceutical industry, where SMBs are seen as multipurpose units that can be applied to di®erent separations in all stages of the drug-development cycle. In order to reduce the experimental e®ort and accordingly the coast associated with the development of separation processes, simulation models are intensively used. One impor- tant aspect in this context refers to the determination of the adsorption isotherms in SMB chromatography, where separations are usually carried out under strongly nonlinear conditions in order to achieve higher productivities. The accurate determination of the competitive adsorption equilibrium of the enantiomeric species is thus of fundamental importance to allow computer-assisted optimization or process scale-up. Two major SMB operating problems are apparent at production scale: the assessment of product quality and the maintenance of long-term stable and controlled operation. Constraints regarding product purity, dictated by pharmaceutical and food regulatory organizations, have drastically increased the demand for product quality control. The strict imposed regulations are increasing the need for developing optically pure drugs.(...)