Comparação de metodologias para a construção da estrutura a termo de taxas de juros (ETTJ) dos títulos públicos brasileiros

Este trabalho tem como objetivo construir estruturas a termo da taxa de juros de títulos públicos brasileiros através do uso de modelos estatísticos paramétricos. Estudou-se a capacidade de ajuste de modelos distintos do tipo “splines” e “exponenciais” através de testes de apreçamento de diferentes títulos públicos (prefixados, e indexados à inflação), sob métricas que incluem análises dentro e fora da amostra utilizada no processo de estimação dos modelos. Identificamos que os modelos baseados em funções exponenciais se sobressaem nos testes e parecem ser os mais adequados para construção destas curvas de juros de títulos públicos brasileiros. Vislumbramos os resultados deste estudo como um primeiro passo para a criação de uma importante ferramenta de auxílio à regulação dos mercados de títulos públicos brasileiros, pois a construção de curvas de juros adequadas possibilita uma marcação a mercado de cada título coerente com o preço dos demais, oferecendo melhora na capacidade de se estimar regiões de confiança para preços futuros destes títulos. Palavras-Chave: taxa de juros – estrutura a termo da taxa de juros – renda fixa – títulos públicos.

Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

Random regression analyses using B-spline functions to model growth of Nellore cattle

The objective of this study was to estimate (co)variance components using random regression on B-spline functions to weight records obtained from birth to adulthood. A total of 82 064 weight records of 8145 females obtained from the data bank of the Nellore Breeding Program (PMGRN/Nellore Brazil) which started in 1987, were used. The models included direct additive and maternal genetic effects and animal and maternal permanent environmental effects as random. Contemporary group and dam age at calving (linear and quadratic effect) were included as fixed effects, and orthogonal Legendre polynomials of age (cubic regression) were considered as random covariate. The random effects were modeled using B-spline functions considering linear, quadratic and cubic polynomials for each individual segment. Residual variances were grouped in five age classes. Direct additive genetic and animal permanent environmental effects were modeled using up to seven knots (six segments). A single segment with two knots at the end points of the curve was used for the estimation of maternal genetic and maternal permanent environmental effects. A total of 15 models were studied, with the number of parameters ranging from 17 to 81. The models that used B-splines were compared with multi-trait analyses with nine weight traits and to a random regression model that used orthogonal Legendre polynomials. A model fitting quadratic B-splines, with four knots or three segments for direct additive genetic effect and animal permanent environmental effect and two knots for maternal additive genetic effect and maternal permanent environmental effect, was the most appropriate and parsimonious model to describe the covariance structure of the data. Selection for higher weight, such as at young ages, should be performed taking into account an increase in mature cow weight. Particularly, this is important in most of Nellore beef cattle production systems, where the cow herd is maintained on range conditions. There is limited modification of the growth curve of Nellore cattle with respect to the aim of selecting them for rapid growth at young ages while maintaining constant adult weight.

Métodos numéricos para resolução de equações diferenciais ordinárias lineares baseados em interpolação por spline

In this work we have elaborated a spline-based method of solution of inicial value problems involving ordinary differential equations, with emphasis on linear equations. The method can be seen as an alternative for the traditional solvers such as Runge-Kutta, and avoids root calculations in the linear time invariant case. The method is then applied on a central problem of control theory, namely, the step response problem for linear EDOs with possibly varying coefficients, where root calculations do not apply. We have implemented an efficient algorithm which uses exclusively matrix-vector operations. The working interval (till the settling time) was determined through a calculation of the least stable mode using a modified power method. Several variants of the method have been compared by simulation. For general linear problems with fine grid, the proposed method compares favorably with the Euler method. In the time invariant case, where the alternative is root calculation, we have indications that the proposed method is competitive for equations of sifficiently high order.

Landmark-based morphometric analysis in selected species of serranid fishes (Perciformes : Teleostei)

Morphological differences among 6 species of marine fishes belonging to 2 subfamilies of the family Serranidae (Serraninae: Dules auriga, Diplectrum formosum, and D, radiale; Epinephelinae: Epinephelus marginatus, Mycteroperca acutirostris, and M. bonaci) were studied by the geometric morphometric method of thin-plate splines and multivariate analysis of partial-warp scores. The decomposition of shape variation into uniform and nonaffine components of shape change indicate that major differences among species are related to both components of shape variation. Significant differences were found among species with respect to the uniform components, but there is no clear separation of taxonomic groups related to these components, and species are instead separated on the basis of body height and caudal peduncle length. Non-uniform changes in body shape, in turn, clearly differentiate the species of Serraninae and Epinephelinae. These shape changes are probably related to differences in habitat and feeding habits among the species.

Variation in mandible shape in Thrichomys apereoides (Mammalia: Rodentia): Geometric analysis of a complex morphological structure

The model of development and evolution of complex morphological structures conceived by Atchley and Hall in 1991 (Biol. Rev. 66:101-157), which establishes that changes at the macroscopic, morphogenetic level can be statistically detected as variation in skeletal units at distinct scales, was applied in combination with the formalism of geometric morphometrics to study variation in mandible shape among populations of the rodent species Thrichomys apereoides. The thin-plate spline technique produced geometric descriptors of shape derived from anatomical landmarks in the mandible, which we used with graphical and inferential approaches to partition the contribution of global and localized components to the observed differentiation in mandible shape. A major pattern of morphological differentiation in T. apereoides is attributable to localized components of shape at smaller geometric scales associated with specific morphogenetic units of the mandible. On the other hand, a clinal trend of variation is associated primarily with localized components of shape at larger geometric scales. Morphogenetic mechanisms assumed to be operating to produce the observed differentiation in the specific units of the mandible include mesenchymal condensation differentiation, muscle hypertrophy, and tooth growth. Perspectives for the application of models of morphological evolution and geometric morphometrics to morphologically based systematic biology are considered.

Modelos genéticos para a produção no dia do controle em bovinos Gir Leiteiro (Bos indicus)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estudo genético quantitativo do fluxo lácteo em bovinos da raça Holandesa

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelos para estimação de componentes de (co)variância para produção de leite no dia do controle de vacas da raça Holandesa

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estimação de parâmetros genéticos para características de crescimento em bovinos da raça Canchim com modelos de dimensão finita e infinita

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

Polynomials to model the growth of young bulls in performance tests

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Projeto mecânico de um redutor de engrenagens sem-fim numa esteira transportadora inclinada

This work aims to present the design and development of a speed reducer worm gear that will be implemented on an inclined treadmill that aims to raise the load below the top floor. The project start was made with research on issues related to mechanisms and machine elements, and these theories of fundamental importance in the development of device components, along with the help of SolidWorks software that was used to model the main parts of the project and Microsoft Office Excel 2007 was used to alight formulas to perform calculations of the project. All data for calculations were taken from the conditions of the problem to be solved in the best possible way the proposed problem (lifting load from the belt). Following the entire sequence of design gearbox assembly, beginning in pre-sizing and endless selection of electric motor, which consists of an iterative project, then scaling the worm gear and crown, shafts, splines, calculation and bearing selection

Determinants of linear growth from infancy to school-aged years: a population-based follow-up study in urban Amazonian children

Background: Although linear growth during childhood may be affected by early-life exposures, few studies have examined whether the effects of these exposures linger on during school age, particularly in low-and middle-income countries. Methods: We conducted a population-based longitudinal study of 256 children living in the Brazilian Amazon, aged 0.1 y to 5.5 y in 2003. Data regarding socioeconomic and maternal characteristics, infant feeding practices, morbidities, and birth weight and length were collected at baseline of the study (2003). Child body length/height was measured at baseline and at follow-up visits (in 2007 and 2009). Restricted cubic splines were used to construct average height-for-age Z score (HAZ) growth curves, yielding estimated HAZ differences among exposure categories at ages 0.5 y, 1 y, 2 y, 5 y, 7 y, and 10 y. Results: At baseline, median age was 2.6 y (interquartile range, 1.4 y-3.8 y), and mean HAZ was -0.53 (standard deviation, 1.15); 10.2% of children were stunted. In multivariable analysis, children in households above the household wealth index median were 0.30 Z taller at age 5 y (P = 0.017), and children whose families owned land were 0.34 Z taller by age 10 y (P = 0.023), when compared with poorer children. Mothers in the highest tertile for height had children whose HAZ were significantly higher compared with those of children from mothers in the lowest height tertile at all ages. Birth weight and length were positively related to linear growth throughout childhood; by age 10 y, children weighing >3500 g at birth were 0.31 Z taller than those weighing 2501 g to 3500 g (P = 0.022) at birth, and children measuring >= 51 cm at birth were 0.51 Z taller than those measuring <= 48 cm (P = 0.005). Conclusions: Results suggest socioeconomic background is a potentially modifiable predictor of linear growth during the school-aged years. Maternal height and child's anthropometric characteristics at birth are positively associated with HAZ up until child age 10 y.

Random regression analyses using B-spline functions to model growth of Nellore cattle

The objective of this study was to estimate (co)variance components using random regression on B-spline functions to weight records obtained from birth to adulthood. A total of 82 064 weight records of 8145 females obtained from the data bank of the Nellore Breeding Program (PMGRN/Nellore Brazil) which started in 1987, were used. The models included direct additive and maternal genetic effects and animal and maternal permanent environmental effects as random. Contemporary group and dam age at calving (linear and quadratic effect) were included as fixed effects, and orthogonal Legendre polynomials of age (cubic regression) were considered as random covariate. The random effects were modeled using B-spline functions considering linear, quadratic and cubic polynomials for each individual segment. Residual variances were grouped in five age classes. Direct additive genetic and animal permanent environmental effects were modeled using up to seven knots (six segments). A single segment with two knots at the end points of the curve was used for the estimation of maternal genetic and maternal permanent environmental effects. A total of 15 models were studied, with the number of parameters ranging from 17 to 81. The models that used B-splines were compared with multi-trait analyses with nine weight traits and to a random regression model that used orthogonal Legendre polynomials. A model fitting quadratic B-splines, with four knots or three segments for direct additive genetic effect and animal permanent environmental effect and two knots for maternal additive genetic effect and maternal permanent environmental effect, was the most appropriate and parsimonious model to describe the covariance structure of the data. Selection for higher weight, such as at young ages, should be performed taking into account an increase in mature cow weight. Particularly, this is important in most of Nellore beef cattle production systems, where the cow herd is maintained on range conditions. There is limited modification of the growth curve of Nellore cattle with respect to the aim of selecting them for rapid growth at young ages while maintaining constant adult weight.

Evaluating different methods of microarray data normalization

Abstract Background With the development of DNA hybridization microarray technologies, nowadays it is possible to simultaneously assess the expression levels of thousands to tens of thousands of genes. Quantitative comparison of microarrays uncovers distinct patterns of gene expression, which define different cellular phenotypes or cellular responses to drugs. Due to technical biases, normalization of the intensity levels is a pre-requisite to performing further statistical analyses. Therefore, choosing a suitable approach for normalization can be critical, deserving judicious consideration. Results Here, we considered three commonly used normalization approaches, namely: Loess, Splines and Wavelets, and two non-parametric regression methods, which have yet to be used for normalization, namely, the Kernel smoothing and Support Vector Regression. The results obtained were compared using artificial microarray data and benchmark studies. The results indicate that the Support Vector Regression is the most robust to outliers and that Kernel is the worst normalization technique, while no practical differences were observed between Loess, Splines and Wavelets. Conclusion In face of our results, the Support Vector Regression is favored for microarray normalization due to its superiority when compared to the other methods for its robustness in estimating the normalization curve.