Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Bayesian estimation of generalized exponential distribution under noninformative priors

The generalized exponential distribution, proposed by Gupta and Kundu (1999), is a good alternative to standard lifetime distributions as exponential, Weibull or gamma. Several authors have considered the problem of Bayesian estimation of the parameters of generalized exponential distribution, assuming independent gamma priors and other informative priors. In this paper, we consider a Bayesian analysis of the generalized exponential distribution by assuming the conventional non-informative prior distributions, as Jeffreys and reference prior, to estimate the parameters. These priors are compared with independent gamma priors for both parameters. The comparison is carried out by examining the frequentist coverage probabilities of Bayesian credible intervals. We shown that maximal data information prior implies in an improper posterior distribution for the parameters of a generalized exponential distribution. It is also shown that the choice of a parameter of interest is very important for the reference prior. The different choices lead to different reference priors in this case. Numerical inference is illustrated for the parameters by considering data set of different sizes and using MCMC (Markov Chain Monte Carlo) methods.

Modelos estocásticos com heterocedasticidade: Uma abordagem Bayesiana para os retornos do Ibovespa

Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student's t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and a reparameterization of models under analysis was taken into account to map parameters' space into real space. The procedure adopts a normal prior distribution for the transformed parameters. The posterior summaries were obtained by Monte Carlo Markov Chain (MCMC) simulation methods. The methodology was evaluated by a series of Bovespa Index returns and the predictive ordinate criterion was employed to select the best adjustment model to the data. Results show that, as a rule, the proposed Bayesian approach provides satisfactory estimates and that the GARCH process with Student's t distribution adjusted better to the data.

A bayesian analysis for the parameters of the exponential-logarithmic distribution

The exponential-logarithmic is a new lifetime distribution with decreasing failure rate and interesting applications in the biological and engineering sciences. Thus, a Bayesian analysis of the parameters would be desirable. Bayesian estimation requires the selection of prior distributions for all parameters of the model. In this case, researchers usually seek to choose a prior that has little information on the parameters, allowing the data to be very informative relative to the prior information. Assuming some noninformative prior distributions, we present a Bayesian analysis using Markov Chain Monte Carlo (MCMC) methods. Jeffreys prior is derived for the parameters of exponential-logarithmic distribution and compared with other common priors such as beta, gamma, and uniform distributions. In this article, we show through a simulation study that the maximum likelihood estimate may not exist except under restrictive conditions. In addition, the posterior density is sometimes bimodal when an improper prior density is used. © 2013 Copyright Taylor and Francis Group, LLC.

Análise Bayesiana para a distribuição Exponencial-Logarítmica

Pós-graduação em Matematica Aplicada e Computacional - FCT

Aspectos computacionais para inferência na distribuição gama generalizada

Pós-graduação em Matematica Aplicada e Computacional - FCT

A Note on the Prior Distributions of Weibull Parameters for the Reliability Function

In Bayesian Inference it is often desirable to have a posterior density reflecting mainly the information from sample data. To achieve this purpose it is important to employ prior densities which add little information to the sample. We have in the literature many such prior densities, for example, Jeffreys (1967), Lindley (1956); (1961), Hartigan (1964), Bernardo (1979), Zellner (1984), Tibshirani (1989), etc. In the present article, we compare the posterior densities of the reliability function by using Jeffreys, the maximal data information (Zellner, 1984), Tibshirani's, and reference priors for the reliability function R(t) in a Weibull distribution.

Weak phenotypic reversion of ivermectin resistance in a field resistant isolate of Haemonchus contortus by verapamil

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Effects of intra-hippocampal infusion of WAY-100635 on plus-maze behavior in mice - Influence of site of injection and prior test experience

The positive profile of systemically-administered 5-HT(1A) receptor antagonists in several rodent models of anxiolytic activity suggests an important role for postsynaptic 5-HT(1A) receptor mechanisms in anxiety. To test this hypothesis, we investigated the effects of WAY-100635 microinfusions (0, 0.1, 1.0 or 3.0 mug in 0.2 mul) into the dorsal (DH) or ventral (VH) hippocampus an behaviours displayed by male Swiss-Webster mice in the elevated plus-maze. As prior experience is known to modify pharmacological responses in this test, the effects of intra-hippocampal infusions were examined both in maze-naive and maze-experienced subjects. Test videotapes were scored for conventional indices of anxiety (% open arm entries/time) and locomotor activity (closed arm entries), as well as a range of ethological measures (e.g. risk assessment). In maze-naive mice, intra-VH (but not intra-M) infusions of WAY-100635 (3.0 mug but not lower doses) increased open arm exploration and reduced risk assessment. These effects were observed in the absence of significant changes in locomotor activity. In contrast, neither intra-VH nor intra-DH infusions of WAY-100635 altered the behaviour of maze-experienced mice. These Findings suggest that postsynaptic 5-HT(1A) receptors in the ventral (but not dorsal) hippocampus play a significant role both in the mediation of plus-maze anxiety in mice and in experientially-induced alterations in responses to this test. (C) 2002 Elsevier B.V. BY All rights reserved.

Anxiolytic-like effect of way-100635 microinfusions into the median (but not dorsal) raphe nucleus in mice exposed to the plus-maze: influence of prior test experience

Studies in several laboratories have confirmed the anxiolytic potential of a wide range of 5-HT1A receptor antagonists in rats and mice, with recent evidence pointing to a postsynaptic site of action in the ventral hippocampus. It would, therefore, be predicted that blockade of 5-HT1A somatodendritic autoreceptors in the midbrain raphe nuclei should produce anxiogenic-like effects. To test this hypothesis, we investigated the effects of WAY-100635 microinfusions (0, 1.0 or 3.0 mug in 0.1 mul) into the dorsal (DRN) or median (MRN) raphe nuclei on behaviours displayed by male Swiss-Webster mice in the elevated plus-maze. As this test is sensitive to prior experience. The effects of intra-raphe infusions were examined both in maze-naive and maze-experienced subjects. Sessions, were videotaped and subsequently scored for conventional indices of anxiety (open arm avoidance) and locomotor activity (closed arm entries), as well as a range of ethological measures (e.g. risk assessment). In maze-naive mice, intra-MRN (but not intra-DRN) infusions of WAY-100635 (3.0 mug) increased open arm exploration and reduced risk assessment. Importantly, these effects could not be attributed to a general reduction in locomotor activity. A similar, though somewhat weaker, pattern of behavioural change was observed in maze-experienced animals. This unexpected anxiolytic effect of 5-HT1A autoreceptor blockade in the MRN cannot be accounted fur by a disinhibition of 5-HT release in forebrain targets (e.g. hippocampus and amygdala), where stimulation of postsynaptic 5-HT1A receptors enhances anxiety-like responses. However, as the MRN also projects to the periaqueductal gray matter (PAG), an area known to be sensitive to the anti-aversive effects or 5-HT, it is argued that present results may reflect increased 5-HT release at this crucial midbrain locus within the neural circuitry of defense. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Blockade of fear-induced antinociception with intra-amygdala infusion of midazolam: Influence of prior test experience

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Role of nitric oxide in the periaqueductal gray in defensive behavior in mice: influence of prior local N-methyl-D-aspartate receptor activation and aversive condition

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Prior exposure to stress delays extinction but does not modify reinstatement of nicotine-induced conditioned place preference

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Efeito da via de parto sobre a força muscular do assoalho pélvico

OBJETIVO: analisar a influência da via de parto sobre a força muscular do assoalho pélvico (FM-AP). MÉTODOS: estudo clínico de corte transversal, para avaliar a FM-AP pelo teste da avaliação da força do assoalho pélvico (AFA) e uso do perineômetro em primíparas, entre 20-30 anos de idade, 4-6 meses pós-parto. A contração, medida pelos dois testes, foi classificada em: zero - ausência, um - leve, dois - moderada e três - normal, sustentada por 6 segundos. Avaliaram-se 94 mulheres, entre 20 e 30 anos, divididas em três grupos: pós-parto vaginal (n=32); pós-cesárea (n=32) e nulíparas (n=30). A variável independente foi a via de parto e a dependente, a FM-AP. A comparação entre os graus de contração foi realizada pelo teste de Kruskal-Wallis e o teste de Dunn para comparações múltiplas; a influência da via de parto pelo teste chi2, o risco relativo (RR) para alteração da FM-AP e o coeficiente kappa para avaliar equivalência entre os testes. RESULTADOS: a mediana e 1º e 3º quartil da FM-AP foram menores (p=0,01) pós-parto vaginal (2,0;1-2) e intermediários pós-cesárea (2,0; 2-3) em relação às nulíparas (3,0;2-3), tanto analisadas pelo AFA como pelo perineômetro. Aumentou o RR de exame alterado pós-parto vaginal (RR=2,5; IC 95%: 1,3-5,0; p=0,002); (RR=2,3; IC 95%: 1,2-4,3; p=0,005) e pós-cesárea (RR=1,5; IC 95%: 0,94-2,57; p=0,12); (RR=1,3; IC 95%: 0,85-2,23; p=0,29) pelo PFSE e perineômetro, respectivamente. CONCLUSÕES: o parto vaginal diminuiu a força muscular do AP de primíparas quando comparado com os casos submetidos à cesárea e com as nulíparas.