Estimation or simulation? That is the question

The issue of smoothing in kriging has been addressed either by estimation or simulation. The solution via estimation calls for postprocessing kriging estimates in order to correct the smoothing effect. Stochastic simulation provides equiprobable images presenting no smoothing and reproducing the covariance model. Consequently, these images reproduce both the sample histogram and the sample semivariogram. However, there is still a problem, which is the lack of local accuracy of simulated images. In this paper, a postprocessing algorithm for correcting the smoothing effect of ordinary kriging estimates is compared with sequential Gaussian simulation realizations. Based on samples drawn from exhaustive data sets, the postprocessing algorithm is shown to be superior to any individual simulation realization yet, at the expense of providing one deterministic estimate of the random function.

Bayesian estimation of regression parameters in elliptical measurement error models

The main object of this paper is to discuss the Bayes estimation of the regression coefficients in the elliptically distributed simple regression model with measurement errors. The posterior distribution for the line parameters is obtained in a closed form, considering the following: the ratio of the error variances is known, informative prior distribution for the error variance, and non-informative prior distributions for the regression coefficients and for the incidental parameters. We proved that the posterior distribution of the regression coefficients has at most two real modes. Situations with a single mode are more likely than those with two modes, especially in large samples. The precision of the modal estimators is studied by deriving the Hessian matrix, which although complicated can be computed numerically. The posterior mean is estimated by using the Gibbs sampling algorithm and approximations by normal distributions. The results are applied to a real data set and connections with results in the literature are reported. (C) 2011 Elsevier B.V. All rights reserved.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a lack of parsimony, as well as the traditional ones. We suggest a new procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties. In order to compute the fit of each model, we propose an iterative procedure to compute the maximum likelihood estimates of parameters of a VAR model with short-run and long-run restrictions. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank, relative to the commonly used procedure of selecting the lag-length only and then testing for cointegration.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian inflation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in different measures of forecasting accuracy are substantial, especially for short horizons.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian in ation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in di¤erent measures of forecasting accuracy are substantial, especially for short horizons.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. A Monte Carlo study explores the finite sample performance of this procedure and evaluates the forecasting accuracy of models selected by this procedure. Two empirical applications confirm the usefulness of the model selection procedure proposed here for forecasting.

Essays on Spatial Econometrics

Esta dissertação concentra-se nos processos estocásticos espaciais definidos em um reticulado, os chamados modelos do tipo Cliff & Ord. Minha contribuição nesta tese consiste em utilizar aproximações de Edgeworth e saddlepoint para investigar as propriedades em amostras finitas do teste para detectar a presença de dependência espacial em modelos SAR (autoregressivo espacial), e propor uma nova classe de modelos econométricos espaciais na qual os parâmetros que afetam a estrutura da média são distintos dos parâmetros presentes na estrutura da variância do processo. Isto permite uma interpretação mais clara dos parâmetros do modelo, além de generalizar uma proposta de taxonomia feita por Anselin (2003). Eu proponho um estimador para os parâmetros do modelo e derivo a distribuição assintótica do estimador. O modelo sugerido na dissertação fornece uma interpretação interessante ao modelo SARAR, bastante comum na literatura. A investigação das propriedades em amostras finitas dos testes expande com relação a literatura permitindo que a matriz de vizinhança do processo espacial seja uma função não-linear do parâmetro de dependência espacial. A utilização de aproximações ao invés de simulações (mais comum na literatura), permite uma maneira fácil de comparar as propriedades dos testes com diferentes matrizes de vizinhança e corrigir o tamanho ao comparar a potência dos testes. Eu obtenho teste invariante ótimo que é também localmente uniformemente mais potente (LUMPI). Construo o envelope de potência para o teste LUMPI e mostro que ele é virtualmente UMP, pois a potência do teste está muito próxima ao envelope (considerando as estruturas espaciais definidas na dissertação). Eu sugiro um procedimento prático para construir um teste que tem boa potência em uma gama de situações onde talvez o teste LUMPI não tenha boas propriedades. Eu concluo que a potência do teste aumenta com o tamanho da amostra e com o parâmetro de dependência espacial (o que está de acordo com a literatura). Entretanto, disputo a visão consensual que a potência do teste diminui a medida que a matriz de vizinhança fica mais densa. Isto reflete um erro de medida comum na literatura, pois a distância estatística entre a hipótese nula e a alternativa varia muito com a estrutura da matriz. Fazendo a correção, concluo que a potência do teste aumenta com a distância da alternativa à nula, como esperado.

Estimation of genetic parameters for partial egg production periods by means of random regression models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Use of direct and iterative solvers for estimation of SNP effects in genome-wide selection

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelo de covariância bayesiana para seleção de protfólios de investimentos

The portfolio theory is a field of study devoted to investigate the decision-making by investors of resources. The purpose of this process is to reduce risk through diversification and thus guarantee a return. Nevertheless, the classical Mean-Variance has been criticized regarding its parameters and it is observed that the use of variance and covariance has sensitivity to the market and parameter estimation. In order to reduce the estimation errors, the Bayesian models have more flexibility in modeling, capable of insert quantitative and qualitative parameters about the behavior of the market as a way of reducing errors. Observing this, the present study aimed to formulate a new matrix model using Bayesian inference as a way to replace the covariance in the MV model, called MCB - Covariance Bayesian model. To evaluate the model, some hypotheses were analyzed using the method ex post facto and sensitivity analysis. The benchmarks used as reference were: (1) the classical Mean Variance, (2) the Bovespa index's market, and (3) in addition 94 investment funds. The returns earned during the period May 2002 to December 2009 demonstrated the superiority of MCB in relation to the classical model MV and the Bovespa Index, but taking a little more diversifiable risk that the MV. The robust analysis of the model, considering the time horizon, found returns near the Bovespa index, taking less risk than the market. Finally, in relation to the index of Mao, the model showed satisfactory, return and risk, especially in longer maturities. Some considerations were made, as well as suggestions for further work

Estimation of genetic parameters for milk yield in Murrah buffaloes by Bayesian inference

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Tungsten permanent chemical modifier for fast estimation of Se contents in soil by graphite furnace atomic absorption spectrometry

A tungsten carbide coating on the integrated platform of a transversely heated graphite atomizer was used as a modifier for the direct determination of Se in soil extracts by graphite furnace atomic absorption spectrometry. Diethylenetriaminepentaacetic acid (0.0050 mol L-1) plus ammonium hydrogencarbonate (1.0 mol L-1) extracted predominantly available inorganic selenate from soil. The formation of a large amount of carbonaceous residue inside the atomizer was avoided with a first pyrolysis step at 600 degreesC assisted by air during 30 s. For 20 muL of soil extracts delivered to the atomizer and calibration by matrix matching, an analytical curve (10.0-100 mug of L-1) with good linear correlation (r = 0.999) between integrated absorbance and analyte concentration was established. The characteristic mass was similar to63 pg of Se, and the lifetime of the tube was similar to750 firings. The limit of detection was 1.6 mug L-1, and the relative standard deviations (n = 12) were typically <4% for a soil extract containing 50 mug of L-1. The accuracy of the determination of Se was checked for soil samples by means of addition/recovery tests. Recovery data of Se added to four enriched soil samples varied from 80 to 90% and indicated an accurate method.

Unscented Kalman Filter Applied to the Spacecraft Attitude Estimation with Euler Angles

The aim of this work is to test an algorithm to estimate, in real time, the attitude of an artificial satellite using real data supplied by attitude sensors that are on board of the CBERS-2 satellite (China Brazil Earth Resources Satellite). The real-time estimator used in this work for attitude determination is the Unscented Kalman Filter. This filter is a new alternative to the extended Kalman filter usually applied to the estimation and control problems of attitude and orbit. This algorithm is capable of carrying out estimation of the states of nonlinear systems, without the necessity of linearization of the nonlinear functions present in the model. This estimation is possible due to a transformation that generates a set of vectors that, suffering a nonlinear transformation, preserves the same mean and covariance of the random variables before the transformation. The performance will be evaluated and analyzed through the comparison between the Unscented Kalman filter and the extended Kalman filter results, by using real onboard data.

A Simple Method Based on ICP-MS for Estimation of Background Levels of Arsenic, Cadmium, Copper, Manganese, Nickel, Lead, and Selenium in Blood of the Brazilian Population

Throughout the world, biomonitoring has become the standard for assessing exposure of individuals to toxic elements as well as for responding to serious environmental public health problems. However, extensive biomonitoring surveys require rapid and simple analytical methods. Thus, a simple and high-throughput method is proposed for the determination of arsenic (As), cadmium (Cd), copper (Cu), manganese (Mn), nickel (Ni), lead (Pb), and selenium (Se) in blood samples by using inductively coupled plasma-mass spectrometry (ICP-MS). Prior to analysis, 200 l of blood samples was mixed with 500 l of 10% v/v tetramethylammonium hydroxide (TMAH) solution, incubated for 10 min, and subsequently diluted to 10 ml with a solution containing 0.05% w/v ethylenediamine tetraacetic acid (EDTA) + 0.005% v/v Triton X-100. After that, samples were directly analyzed by ICP-MS (ELAN DRC II). Rhodium was selected as an internal standard with matrix-matching calibration. Method detection limits were 0.08, 0.04, 0.5, 0.09, 0.12, 0.04, and 0.1 g//L for As, Cd, Cu, Mn, Ni, Pb, and Se, respectively. Validation data are provided based on the analysis of blood samples from the trace elements inter-\comparison program operated by the Institut National de Sante Publique du Quebec, Canada. Additional validation was provided by the analysis of human blood samples by the proposed method and by using electrothermal atomic absorption spectrometry (ETAAS). The method was subsequently applied for the estimation of background metal blood values in the Brazilian population. In general, the mean concentrations of As, Cd, Cu, Mn, Ni, Pb, and Se in blood were 1.1, 0.4, 890, 9.6, 2.1, 65.4, and 89.3 g/L, respectively, and are in agreement with other global populations. Influences of age, gender, smoking habits, alcohol consumption, and geographical variation on the values were also considered. Smoking habits influenced the levels of Cd in blood. The levels of Cu, Mn, and Pb were significantly correlated with gender, whereas Cu and Pb were significantly correlated with age. There were also interesting differences in Mn and Se levels in the population living in the north of Brazil compared to the south.

Effects of long-term cyclosporin therapy on gingiva of rats--analysis by stereological and biochemical estimation.

Cyclosporin A (CsA) is used as an immunosuppressive agent and its prominent side effect is the induction of gingival overgrowth, which remains a significant problem. The risk factors appraised include the duration of treatment. However, there are no stereological and biochemical studies exploring the effects of long-term CsA therapy on gingival tissue. The purpose of the present study was to investigate the level of TGF-beta1 in saliva and describe the densities of fibroblasts and collagen fibers in the gingival tissue of rats treated with CsA for long periods. Rats were treated for 60, 120, 180 and 240 days with a daily subcutaneous injection of 10 mg/kg of body weight of CsA. At the end of the experimental periods, saliva was collected for the determination of TGF-beta1 levels. After histological processing, the oral epithelium and the connective tissue area were measured as well as the volume densities of fibroblasts (Vf) and collagen fibers (Vcf). After 60 and 120 days of CsA treatment, there was a significant increase in Vf and Vcf as well as a significant increase in TGF-beta1 levels. After 180 and 240 days, reduction in the gingival overgrowth associated with significant decreases in the level of TGF-beta1, and also decreased Vf and Vcf, were observed. The data presented here suggest that after long-term therapy, a decrease in TGF-beta1 levels occurs, which might contribute to an increase in the proteolytic activity of fibroblasts in the gingiva, favoring the normality of extracellular matrix synthesis.