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.

A useful empirical bayesian method to analyse industrial data from saturated factorial designs

The use of saturated two-level designs is very popular, especially in industrial applications where the cost of experiments is too high. Standard classical approaches are not appropriate to analyze data from saturated designs, since we could only get the estimates of the main factor effects and we would not have degrees of freedom to estimate the variance of the error. In this paper, we propose the use of empirical Bayesian procedures to get inferences for data obtained from saturated designs. The proposed methodology is illustrated assuming a simulated data set. © 2013 Growing Science Ltd. All rights reserved.

Análise clássica e bayesiana do modelo Weibull modificado generalizado

Pós-graduação em Matematica Aplicada e Computacional - FCT

Fator de visão do céu e intensidade de ilhas de calor na escala do pedestre

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

Exigência de lisina para mantença determinada com galos de diferentes genótipos

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

Clássicos versus Keynes: a abordagem formal de David Champernowne

Este texto tem por objetivo ressaltar um aspecto que não tem sido tratado com a devida profundidade na literatura que estuda a formalização da Teoria Geral do Emprego, dos Juros e da Moeda de John Maynard Keynes (1936). Mais precisamente, o texto destaca a estratégia de formalização adotada por David G. Champernowne em seu artigo intitulado Unemployment, Basic and Monetary: the classical analysis and the keynesian, publicado em 1935-36 na Review of Economic Studies. Chamamos a atenção para o fato dele distinguir a teoria clássica da teoria de Keynes não apenas pelos pressupostos adotados por cada teoria, mas principalmente pela construção de subsistemas a partir de um sistema geral, com características recursivas (relações de causalidade) distintas. As explicações em prosa, a descrição algébrica das funções comportamentais e condições de equilíbrio e a ilustração por meio de diagramas, além da escolha de conjuntos específicos de variáveis para representar cada uma das teorias e suas diferentes versões são aspectos deste artigo de Champernowne que merecem uma análise mais minuciosa.

Fractal behavior throughout stretch zone of 15-5PH steel under elastic-plastic loading conditions

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

A model to predict R134a refrigerant leakage through the radial clearance of rolling piston compressors

In this paper a non-isothermal two-phase model for oil-R134a refrigerant mixture flow is presented to predict the R134a leakage through the radial clearance of rolling piston compressors. The flow is divided in a liquid single-phase region and in a two-phase region, in which the homogeneous model is used to simulate the flow. The refrigerant leakage is determined using the mixture mass flow rate and the refrigerant mass fraction variation along the flow. The results are obtained for inlet pressures varying from 200 to 700 kPa, inlet temperatures ranging from 40 to 60 degrees C, and minimal clearances between 10 and 60 mu m. The results are firstly compared to existing isothermal model data, showing that there is a significant difference between the leakage flow rates predicted by isothermal and non-isothermal models. Finally, a useful general equation for compressor designers is proposed to calculate the refrigerant leakage for a large range of operation conditions. (C) 2012 Elsevier Ltd and IIR. All rights reserved.

Willingness of Brazilian dentists to treat an HIV-infected patient

A study of the willingness of 363 general dental practices in Brazil to accept a patient infected with human immunodeficiency virus for treatment of dental pain and the provision of routine dental care showed only 44% of dental practices to be willing to provide dental care. Willingness was influenced neither by financial factors nor the local prevalence of human immunodeficiency virus disease. © 1994.

Assessing the above-ground biomass of a complex tropical rainforest using a canopy crane

Current estimates of the total biomass in tropical rainforests vary considerably; this is due in large part to the different approaches that are used to calculate biomass. In this study we have used a canopy crane to measure the tree architectures in a 1 ha plot of complex mesophyll vine forest at Cape Tribulation, Australia. Methods were developed to measure and calculate the crown and stem biomass of six major species of tree and palm (Alstonia scholaris (Apocynaceae), Cleistanthus myrianthus (Euphorbiaceae), Endiandra microneura (Lauraceae), Myristica insipida (Myristicaceae), Acmena graveolens (Myrtaceae), Normanbya normanbyi (Arecaceae)) using the unique access provided by the crane. This has allowed the first non-destructive biomass estimate to be carried out for a forest of this type. Allometric equations which relate tree biomass to the measured variable 'diameter at breast height' were developed for the six species, and a general equation was also developed for trees on the plot. The general equation was similar in form to equations developed for tropical rainforests in Brazil and New Guinea. The species equations were applied at the level of families, the generalized equation was applied to the remaining species which allowed the biomass of a total of 680 trees to be calculated. This has provided a current estimate of 270 t ha-1 above-ground biomass at the Australian Canopy Crane site; a value comparable to lowland rainforests in Panama and French Guiana. Using the same tree database seven alternative allometric equations (literature equations for tropical rainforests) were used to calculate the site biomass, the range was large (252-446 t ha-1) with only three equations providing estimates within 34 t ha-1 (12.5%) of the site value. Our use of multiple species-specific allometric equations has provided a site estimate only slightly larger (1%) than that obtained using allometric equations developed specifically for tropical wet rainforests. We have demonstrated that it is possible to non-destructively measure the biomass in a complex forest using an on-site canopy crane. In conjunction the development of crown maps and a detailed tree architecture database allows changes in forest structure to be followed quantitatively. © 2007 Ecological Society of Australia.

Cônicas e aplicações

Pós-graduação em Matemática Universitária - IGCE

Superfícies quádricas. Transformação das coordenadas

Pós-graduação em Matemática Universitária - IGCE

Avaliação de modelos estatísticos considerando a incerteza da paternidade

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Análise Espacial dos Anos Potenciais de Vida Perdidos por Causas Externas no Estado de São Paulo 2000 e 2010

Pós-graduação em Saúde Coletiva - FMB

Análise de parâmetros adimensionais num escoamento em meio poroso visando a deformação de elementos cerâmicos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)