882 resultados para VaR Estimation methods, Statistical Methods, Risk managment, Investments


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We present a comparative analysis of projected impacts of climate change on river runoff from two types of distributed hydrological model, a global hydrological model (GHM) and catchment-scale hydrological models (CHM). Analyses are conducted for six catchments that are global in coverage and feature strong contrasts in spatial scale as well as climatic and development conditions. These include the Liard (Canada), Mekong (SE Asia), Okavango (SW Africa), Rio Grande (Brazil), Xiangu (China) and Harper's Brook (UK). A single GHM (Mac-PDM.09) is applied to all catchments whilst different CHMs are applied for each catchment. The CHMs typically simulate water resources impacts based on a more explicit representation of catchment water resources than that available from the GHM, and the CHMs include river routing. Simulations of average annual runoff, mean monthly runoff and high (Q5) and low (Q95) monthly runoff under baseline (1961-1990) and climate change scenarios are presented. We compare the simulated runoff response of each hydrological model to (1) prescribed increases in global mean temperature from the HadCM3 climate model and (2)a prescribed increase in global-mean temperature of 2oC for seven GCMs to explore response to climate model and structural uncertainty. We find that differences in projected changes of mean annual runoff between the two types of hydrological model can be substantial for a given GCM, and they are generally larger for indicators of high and low flow. However, they are relatively small in comparison to the range of projections across the seven GCMs. Hence, for the six catchments and seven GCMs we considered, climate model structural uncertainty is greater than the uncertainty associated with the type of hydrological model applied. Moreover, shifts in the seasonal cycle of runoff with climate change are presented similarly by both hydrological models, although for some catchments the monthly timing of high and low flows differs.This implies that for studies that seek to quantify and assess the role of climate model uncertainty on catchment-scale runoff, it may be equally as feasible to apply a GHM as it is to apply a CHM, especially when climate modelling uncertainty across the range of available GCMs is as large as it currently is. Whilst the GHM is able to represent the broad climate change signal that is represented by the CHMs, we find, however, that for some catchments there are differences between GHMs and CHMs in mean annual runoff due to differences in potential evaporation estimation methods, in the representation of the seasonality of runoff, and in the magnitude of changes in extreme monthly runoff, all of which have implications for future water management issues.

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Modeling the vertical penetration of photosynthetically active radiation (PAR) through the ocean, and its utilization by phytoplankton, is fundamental to simulating marine primary production. The variation of attenuation and absorption of light with wavelength suggests that photosynthesis should be modeled at high spectral resolution, but this is computationally expensive. To model primary production in global 3d models, a balance between computer time and accuracy is necessary. We investigate the effects of varying the spectral resolution of the underwater light field and the photosynthetic efficiency of phytoplankton (α∗), on primary production using a 1d coupled ecosystem ocean turbulence model. The model is applied at three sites in the Atlantic Ocean (CIS (∼60°N), PAP (∼50°N) and ESTOC (∼30°N)) to include the effect of different meteorological forcing and parameter sets. We also investigate three different methods for modeling α∗ – as a fixed constant, varying with both wavelength and chlorophyll concentration [Bricaud, A., Morel, A., Babin, M., Allali, K., Claustre, H., 1998. Variations of light absorption by suspended particles with chlorophyll a concentration in oceanic (case 1) waters. Analysis and implications for bio-optical models. J. Geophys. Res. 103, 31033–31044], and using a non-spectral parameterization [Anderson, T.R., 1993. A spectrally averaged model of light penetration and photosynthesis. Limnol. Oceanogr. 38, 1403–1419]. After selecting the appropriate ecosystem parameters for each of the three sites we vary the spectral resolution of light and α∗ from 1 to 61 wavebands and study the results in conjunction with the three different α∗ estimation methods. The results show modeled estimates of ocean primary productivity are highly sensitive to the degree of spectral resolution and α∗. For accurate simulations of primary production and chlorophyll distribution we recommend a spectral resolution of at least six wavebands if α∗ is a function of wavelength and chlorophyll, and three wavebands if α∗ is a fixed value.

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Sensory thresholds are often collected through ascending forced-choice methods. Group thresholds are important for comparing stimuli or populations; yet, the method has two problems. An individual may correctly guess the correct answer at any concentration step and might detect correctly at low concentrations but become adapted or fatigued at higher concentrations. The survival analysis method deals with both issues. Individual sequences of incorrect and correct answers are adjusted, taking into account the group performance at each concentration. The technique reduces the chance probability where there are consecutive correct answers. Adjusted sequences are submitted to survival analysis to determine group thresholds. The technique was applied to an aroma threshold and a taste threshold study. It resulted in group thresholds similar to ASTM or logarithmic regression procedures. Significant differences in taste thresholds between younger and older adults were determined. The approach provides a more robust technique over previous estimation methods.

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This paper presents the mathematical development of a body-centric nonlinear dynamic model of a quadrotor UAV that is suitable for the development of biologically inspired navigation strategies. Analytical approximations are used to find an initial guess of the parameters of the nonlinear model, then parameter estimation methods are used to refine the model parameters using the data obtained from onboard sensors during flight. Due to the unstable nature of the quadrotor model, the identification process is performed with the system in closed-loop control of attitude angles. The obtained model parameters are validated using real unseen experimental data. Based on the identified model, a Linear-Quadratic (LQ) optimal tracker is designed to stabilize the quadrotor and facilitate its translational control by tracking body accelerations. The LQ tracker is tested on an experimental quadrotor UAV and the obtained results are a further means to validate the quality of the estimated model. The unique formulation of the control problem in the body frame makes the controller better suited for bio-inspired navigation and guidance strategies than conventional attitude or position based control systems that can be found in the existing literature.

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This paper presents an open-source canopy height profile (CHP) toolkit designed for processing small-footprint full-waveform LiDAR data to obtain the estimates of effective leaf area index (LAIe) and CHPs. The use of the toolkit is presented with a case study of LAIe estimation in discontinuous-canopy fruit plantations. The experiments are carried out in two study areas, namely, orange and almond plantations, with different percentages of canopy cover (48% and 40%, respectively). For comparison, two commonly used discrete-point LAIe estimation methods are also tested. The LiDAR LAIe values are first computed for each of the sites and each method as a whole, providing “apparent” site-level LAIe, which disregards the discontinuity of the plantations’ canopies. Since the toolkit allows for the calculation of the study area LAIe at different spatial scales, between-tree-level clumpingcan be easily accounted for and is then used to illustrate the impact of the discontinuity of canopy cover on LAIe retrieval. The LiDAR LAIe estimates are therefore computed at smaller scales as a mean of LAIe in various grid-cell sizes, providing estimates of “actual” site-level LAIe. Subsequently, the LiDAR LAIe results are compared with theoretical models of “apparent” LAIe versus “actual” LAIe, based on known percent canopy cover in each site. The comparison of those models to LiDAR LAIe derived from the smallest grid-cell sizes against the estimates of LAIe for the whole site has shown that the LAIe estimates obtained from the CHP toolkit provided values that are closest to those of theoretical models.

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The purpose of this article is to present a new method to predict the response variable of an observation in a new cluster for a multilevel logistic regression. The central idea is based on the empirical best estimator for the random effect. Two estimation methods for multilevel model are compared: penalized quasi-likelihood and Gauss-Hermite quadrature. The performance measures for the prediction of the probability for a new cluster observation of the multilevel logistic model in comparison with the usual logistic model are examined through simulations and an application.

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This paper examines whether European Monetary Union (EMU) countries share fairly the effect of their membership in Eurozone (EZ) or whether are winners and losers in this ''Euro-game''. By using panel data of 27 European Union (EU) Member States for the period 2001-2012 in the context of a gravity model, we focus on estimating the Euro’s effect on bilateral trade and we detect whether this effect differs across the Member States of EZ. Two estimation methods are applied: Pooled OLS estimator and Fixed Effects estimator. The empirical results come to the conclusion that the individual country effects differ and are statistically significant, indicating that EMU’s effect on trade differs across the Member States of EZ. The overall effect of the Euro is statistically insignificant, regardless the estimation method, demonstrating that the common European currency may have no effect on bilateral trade.

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Canada releases over 150 billion litres of untreated and undertreated wastewater into the water environment every year1. To clean up urban wastewater, new Federal Wastewater Systems Effluent Regulations (WSER) on establishing national baseline effluent quality standards that are achievable through secondary wastewater treatment were enacted on July 18, 2012. With respect to the wastewater from the combined sewer overflows (CSO), the Regulations require the municipalities to report the annual quantity and frequency of effluent discharges. The City of Toronto currently has about 300 CSO locations within an area of approximately 16,550 hectares. The total sewer length of the CSO area is about 3,450 km and the number of sewer manholes is about 51,100. A system-wide monitoring of all CSO locations has never been undertaken due to the cost and practicality. Instead, the City has relied on estimation methods and modelling approaches in the past to allow funds that would otherwise be used for monitoring to be applied to the reduction of the impacts of the CSOs. To fulfill the WSER requirements, the City is now undertaking a study in which GIS-based hydrologic and hydraulic modelling is the approach. Results show the usefulness of this for 1) determining the flows contributing to the combined sewer system in the local and trunk sewers for dry weather flow, wet weather flow, and snowmelt conditions; 2) assessing hydraulic grade line and surface water depth in all the local and trunk sewers under heavy rain events; 3) analysis of local and trunk sewer capacities for future growth; and 4) reporting of the annual quantity and frequency of CSOs as per the requirements in the new Regulations. This modelling approach has also allowed funds to be applied toward reducing and ultimately eliminating the adverse impacts of CSOs rather than expending resources on unnecessary and costly monitoring.

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Neste trabalho analisamos processos estocásticos com decaimento polinomial (também chamado hiperbólico) da função de autocorrelação. Nosso estudo tem enfoque nas classes dos Processos ARFIMA e dos Processos obtidos à partir de iterações da transformação de Manneville-Pomeau. Os objetivos principais são comparar diversos métodos de estimação para o parâmetro fracionário do processo ARFIMA, nas situações de estacionariedade e não estacionariedade e, além disso, obter resultados similares para o parâmetro do processo de Manneville-Pomeau. Entre os diversos métodos de estimação para os parâmetros destes dois processos destacamos aquele baseado na teoria de wavelets por ser aquele que teve o melhor desempenho.

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Esta dissertação avalia o impacto da educação sobre a renda dos jovens no Brasil, seguindo a tradição de equações de determinação de salários. O trabalho difere dos trabalhos na área realizados no Brasil em quatro aspectos. Em primeiro lugar, Em primeiro lugar, o universo de análise está focado na população jovem brasileira, a qual ingressou recentemente no mercado de trabalho e nele permanecerá por muitos anos, o que traz informações sobre as características desse mercado para os próximos 25 a 35 anos. Além disso, ele difere porque introduz a qualidade do ensino como determinante dos rendimentos. Depois, porque adota um protocolo de imputação da qualidade da educação dos jovens para os quais não se tem informação sobre a qualidade da educação, de sorte a evitar viés de seleção. E, por fim, a dissertação contrasta com os estudos correntes no tema porque explora diferentes métodos de estimação dos retornos da educação e da qualidade do ensino. Além do método tradicional dos estimadores de OLS, este trabalho considera o uso de fronteiras estocásticas de salários. As estimativas foram feitas a partir de um modelo cross-section em dois estágios. No primeiro estágio, estimou-se a equação de determinação da probabilidade de um jovem entre 11 e 21 anos de idade estudar na rede pública ou na rede privada, escolas com diferenças qualitativas grandes no país. No segundo estágio, imputou-se um indicador de qualidade da educação dos jovens num modelo econométrico de determinação da renda dos jovens entre 16 e 25 anos de idade. O procedimento com imputação foi necessário simplesmente pelo fato de nas estatísticas brasileiras não haver informações sobre a qualidade do ensino adquirido pelos indivíduos. A análise permitiu mostrar que a qualidade da educação interfere de forma significativa na renda dos jovens, com grande impacto sobre os índices de desigualdade da distribuição de renda nessa faixa de idade. Também permitiu mostrar que existe um trade-off entre o retorno da e

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Este trabalho tem por objetivo discutir detalhadamente o desenvolvimento de métodos de estimação de parâmetros de demanda e oferta em mercados de produtos diferenciados. As técnicas apresentadas consideram explicitamente a endogeneidade dos preços e podem ser aplicadas a diferentes tipos de indústrias. O sistema de demandas de mercado é derivado a partir de modelos de escolha discreta descrevendo o comportamento do consumidor. Esse sistema é então combinado com hipóteses sobre as funções custo e sobre o comportamento de determinação dos preços por parte das firmas para gerar preços e quantidades de equilíbrio. Os parâmetros a ser estimados são os que determinam os custos marginais das firmas e a distribuição dos gostos dos consumidores. Essa distribuição determina elasticidades e estas, combinadas com o custo marginal e com uma hipótese de equilíbrio de Nash na determinação de preços, determinam preços de equilíbrio. Essas elasticidades e parâmetros de custo desempenham um papel central em análises de questões descritivas e de mudanças no ambiente do mercado sob análise.

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Embora tenha sido proposto que a vasculatura retínica apresenta estrutura fractal, nenhuma padronização do método de segmentação ou do método de cálculo das dimensões fractais foi realizada. Este estudo objetivou determinar se a estimação das dimensões fractais da vasculatura retínica é dependente dos métodos de segmentação vascular e dos métodos de cálculo de dimensão. Métodos: Dez imagens retinográficas foram segmentadas para extrair suas árvores vasculares por quatro métodos computacionais (“multithreshold”, “scale-space”, “pixel classification” e “ridge based detection”). Suas dimensões fractais de “informação”, de “massa-raio” e “por contagem de caixas” foram então calculadas e comparadas com as dimensões das mesmas árvores vasculares, quando obtidas pela segmentação manual (padrão áureo). Resultados: As médias das dimensões fractais variaram através dos grupos de diferentes métodos de segmentação, de 1,39 a 1,47 para a dimensão por contagem de caixas, de 1,47 a 1,52 para a dimensão de informação e de 1,48 a 1,57 para a dimensão de massa-raio. A utilização de diferentes métodos computacionais de segmentação vascular, bem como de diferentes métodos de cálculo de dimensão, introduziu diferença estatisticamente significativa nos valores das dimensões fractais das árvores vasculares. Conclusão: A estimação das dimensões fractais da vasculatura retínica foi dependente tanto dos métodos de segmentação vascular, quanto dos métodos de cálculo de dimensão utilizados

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This work proposes a new technique for phasor estimation applied in microprocessor numerical relays for distance protection of transmission lines, based on the recursive least squares method and called least squares modified random walking. The phasor estimation methods have compromised their performance, mainly due to the DC exponential decaying component present in fault currents. In order to reduce the influence of the DC component, a Morphological Filter (FM) was added to the method of least squares and previously applied to the process of phasor estimation. The presented method is implemented in MATLABr and its performance is compared to one-cycle Fourier technique and conventional phasor estimation, which was also based on least squares algorithm. The methods based on least squares technique used for comparison with the proposed method were: forgetting factor recursive, covariance resetting and random walking. The techniques performance analysis were carried out by means of signals synthetic and signals provided of simulations on the Alternative Transient Program (ATP). When compared to other phasor estimation methods, the proposed method showed satisfactory results, when it comes to the estimation speed, the steady state oscillation and the overshoot. Then, the presented method performance was analyzed by means of variations in the fault parameters (resistance, distance, angle of incidence and type of fault). Through this study, the results did not showed significant variations in method performance. Besides, the apparent impedance trajectory and estimated distance of the fault were analysed, and the presented method showed better results in comparison to one-cycle Fourier algorithm

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In Survival Analysis, long duration models allow for the estimation of the healing fraction, which represents a portion of the population immune to the event of interest. Here we address classical and Bayesian estimation based on mixture models and promotion time models, using different distributions (exponential, Weibull and Pareto) to model failure time. The database used to illustrate the implementations is described in Kersey et al. (1987) and it consists of a group of leukemia patients who underwent a certain type of transplant. The specific implementations used were numeric optimization by BFGS as implemented in R (base::optim), Laplace approximation (own implementation) and Gibbs sampling as implemented in Winbugs. We describe the main features of the models used, the estimation methods and the computational aspects. We also discuss how different prior information can affect the Bayesian estimates

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Os minerais da fração argila, goethita e hematita, são óxidos de ferro (Fe) indicadores pedoambientais com grande influência nos atributos físicos e químicos do solo. O conhecimento dos padrões espaciais desses óxidos auxilia a compreensão das interrelações de causa e efeito com os atributos do solo. Nesse sentido, a qualidade das estimativas espaciais produzidas pode alterar os resultados obtidos e, por consequência, as interpretações dos padrões espaciais obtidos. O presente estudo teve o objetivo de avaliar o desempenho dos métodos geoestatísticos de estimativas (KO) e simulações sequenciais gaussianas (SSG) na caracterização espacial de teores de óxidos de Fe, goethita (Gt) e hematita (Hm), em uma pedoforma côncava e outra convexa. Foram coletadas 121 amostras de solos em cada pedoforma de um Argissolo em pontos com espaçamentos regulares de 10 m. Os teores de óxidos de Fe foram obtidos por meio de difração de raios-X. Os dados foram submetidos a análises geoestatísticas por meio da modelagem do variograma e posterior interpolação por KO e SSG. A KO não refletiu a verdadeira variabilidade dos óxidos de Fe, hematita e goethita, demonstrando ser inapropriada para a caracterização espacial dos teores dos óxidos de Fe. Assim, o uso da SSG é preferível à krigagem quando a manutenção dos altos e baixos valores nas estimativas espaciais é necessária. O desempenho dos métodos geoestatísticos foi influenciado pelas pedoformas. Os mapas E-type devem ser recomendados em vez de mapas de KO para os óxidos de Fe, por serem ricos em detalhes e práticos na definição de zonas homogêneas para o manejo localizado em frente de KO, sobretudo em pedoforma côncava.