Estimação e previsão no processo INARCH(2)

In the last decades the study of integer-valued time series has gained notoriety due to its broad applicability (modeling the number of car accidents in a given highway, or the number of people infected by a virus are two examples). One of the main interests of this area of study is to make forecasts, and for this reason it is very important to propose methods to make such forecasts, which consist of nonnegative integer values, due to the discrete nature of the data. In this work, we focus on the study and proposal of forecasts one, two and h steps ahead for integer-valued second-order autoregressive conditional heteroskedasticity processes [INARCH (2)], and in determining some theoretical properties of this model, such as the ordinary moments of its marginal distribution and the asymptotic distribution of its conditional least squares estimators. In addition, we study, via Monte Carlo simulation, the behavior of the estimators for the parameters of INARCH(2) processes obtained using three di erent methods (Yule- Walker, conditional least squares, and conditional maximum likelihood), in terms of mean squared error, mean absolute error and bias. We present some forecast proposals for INARCH(2) processes, which are compared again via Monte Carlo simulation. As an application of this proposed theory, we model a dataset related to the number of live male births of mothers living at Riachuelo city, in the state of Rio Grande do Norte, Brazil.

Estudo de famílias wavelets para aplicação na análise em DOAS

Trace gases are important to our environment even though their presence comes only by ‘traces’, but their concentrations must be monitored, so any necessary interventions can be done at the right time. There are some lower and upper boundaries which produce nice conditions for our lives and then monitoring trace gases comes as an essential task nowadays to be accomplished by many techniques. One of them is the differential optical absorption spectroscopy (DOAS), which consists mathematically on a regression - the classical method uses least-squares - to retrieve the trace gases concentrations. In order to achieve better results, many works have tried out different techniques instead of the classical approach. Some have tried to preprocess the signals to be analyzed by a denoising procedure - e.g. discrete wavelet transform (DWT). This work presents a semi-empirical study to find out the most suitable DWT family to be used in this denoising. The search seeks among many well-known families the one to better remove the noise, keeping the original signal’s main features, then by decreasing the noise, the residual left after the regression is done decreases too. The analysis take account the wavelet decomposition level, the threshold to be applied on the detail coefficients and how to apply them - hard or soft thresholding. The signals used come from an open and online data base which contains characteristic signals from some trace gases usually studied.

Estudo de famílias wavelets para aplicação na análise em DOAS

Trace gases are important to our environment even though their presence comes only by ‘traces’, but their concentrations must be monitored, so any necessary interventions can be done at the right time. There are some lower and upper boundaries which produce nice conditions for our lives and then monitoring trace gases comes as an essential task nowadays to be accomplished by many techniques. One of them is the differential optical absorption spectroscopy (DOAS), which consists mathematically on a regression - the classical method uses least-squares - to retrieve the trace gases concentrations. In order to achieve better results, many works have tried out different techniques instead of the classical approach. Some have tried to preprocess the signals to be analyzed by a denoising procedure - e.g. discrete wavelet transform (DWT). This work presents a semi-empirical study to find out the most suitable DWT family to be used in this denoising. The search seeks among many well-known families the one to better remove the noise, keeping the original signal’s main features, then by decreasing the noise, the residual left after the regression is done decreases too. The analysis take account the wavelet decomposition level, the threshold to be applied on the detail coefficients and how to apply them - hard or soft thresholding. The signals used come from an open and online data base which contains characteristic signals from some trace gases usually studied.

Comparação de modelos estáticos, otimização dos determinantes da estrutura de capital das PME's portuguesas

Dissertação, Mestrado, Contabilidade e Fiscalidade, Instituto Politécnico de Santarém, Escola Superior de Gestão e Tecnologia, 2016

Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás

ALVES, Janaína da Silva. Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás. Revista Ciências Administrativas, Fotaleza, v. 13, n. 1, p.147-157, ago. 2007.

Modelos autorregressivos com valores inteiros não negativos : aplicação em séries económicas de Cabo Verde

No estudo de séries temporais, os processos estocásticos usuais assumem que as distribuições marginais são contínuas e, em geral, não são adequados para modelar séries de contagem, pois as suas características não lineares colocam alguns problemas estatísticos, principalmente na estimação dos parâmetros. Assim, investigou-se metodologias apropriadas de análise e modelação de séries com distribuições marginais discretas. Neste contexto, Al-Osh and Alzaid (1987) e McKenzie (1988) introduziram na literatura a classe dos modelos autorregressivos com valores inteiros não negativos, os processos INAR. Estes modelos têm sido frequentemente tratados em artigos científicos ao longo das últimas décadas, pois a sua importância nas aplicações em diversas áreas do conhecimento tem despertado um grande interesse no seu estudo. Neste trabalho, após uma breve revisão sobre séries temporais e os métodos clássicos para a sua análise, apresentamos os modelos autorregressivos de valores inteiros não negativos de primeira ordem INAR (1) e a sua extensão para uma ordem p, as suas propriedades e alguns métodos de estimação dos parâmetros nomeadamente, o método de Yule-Walker, o método de Mínimos Quadrados Condicionais (MQC), o método de Máxima Verosimilhança Condicional (MVC) e o método de Quase Máxima Verosimilhança (QMV). Apresentamos também um critério automático de seleção de ordem para modelos INAR, baseado no Critério de Informação de Akaike Corrigido, AICC, um dos critérios usados para determinar a ordem em modelos autorregressivos, AR. Finalmente, apresenta-se uma aplicação da metodologia dos modelos INAR em dados reais de contagem relativos aos setores dos transportes marítimos e atividades de seguros de Cabo Verde.

Determinantes da Estrutura de Capital de Companhias Abertas Brasileiras Não-Financeiras: Um Estudo Empírico com Dados em Painel

When a company desires to invest in a project, it must obtain resources needed to make the investment. The alternatives are using firm s internal resources or obtain external resources through contracts of debt and issuance of shares. Decisions involving the composition of internal resources, debt and shares in the total resources used to finance the activities of a company related to the choice of its capital structure. Although there are studies in the area of finance on the debt determinants of firms, the issue of capital structure is still controversial. This work sought to identify the predominant factors that determine the capital structure of Brazilian share capital, non-financial firms. This work was used a quantitative approach, with application of the statistical technique of multiple linear regression on data in panel. Estimates were made by the method of ordinary least squares with model of fixed effects. About 116 companies were selected to participate in this research. The period considered is from 2003 to 2007. The variables and hypotheses tested in this study were built based on theories of capital structure and in empirical researches. Results indicate that the variables, such as risk, size, and composition of assets and firms growth influence their indebtedness. The profitability variable was not relevant to the composition of indebtedness of the companies analyzed. However, analyzing only the long-term debt, comes to the conclusion that the relevant variables are the size of firms and, especially, the composition of its assets (tangibility).This sense, the smaller the size of the undertaking or the greater the representation of fixed assets in total assets, the greater its propensity to long-term debt. Furthermore, this research could not identify a predominant theory to explain the capital structure of Brazilian

O argumento de inclusão enquanto política de acesso à universidade pública

There are a great number of evidences showing that education is extremely important in many economic and social dimensions. In Brazil, education is a right guaranteed by the Federal Constitution; however, in the Brazilian legislation the right to the three stages of basic education: Kindergarten, Elementary and High School is better promoted and supported than the right to education at College level. According to educational census data (INEP, 2009), 78% of all enrolments in College education are in private schools, while the reverse is found in High School: 84% of all matriculations are in public schools, which shows a contradiction in the admission into the universities. The Brazilian scenario presents that public universities receive mostly students who performed better and were prepared in elementary and high school education in private schools, while private universities attend students who received their basic education in public schools, which are characterized as low quality. These facts have led researchers to raise the possible determinants of student performance on standardized tests, such as the Brazilian Vestibular exam, to guide the development of policies aimed at equal access to College education. Seeking inspiration in North American models of affirmative action policies, some Brazilian public universities have suggested rate policies to enable and facilitate the entry of "minorities" (blacks, pardos1, natives, people of low income and public school students) to free College education. At the Federal University of the state Rio Grande do Norte (UFRN), the first incentives for candidates from public schools emerged in 2006, being improved and widespread during the last 7 years. This study aimed to analyse and discuss the Argument of Inclution (AI) - the affirmative action policy that provides additional scoring for students from public schools. From an extensive database, the Ordinary Least Squares (OLS) technique was used as well as a Quantile Regression considering as control the variables of personal, socioeconomic and educational characteristics of the candidates from the Brazilian Vestibular exam 2010 of the Federal University of the state Rio Grande do Norte (UFRN). The results demonstrate the importance of this incentive system, besides the magnitude of other variables

Investimentos ambientais e o desempenho econômico das empresas: um estudo utilizando dados em painel

A responsabilidade social empresarial é vista de maneira genérica como o comprometimento da empresa para com a sociedade. O papel das organizações na sociedade tem provocado discussões por meio de duas correntes teóricas distintas: a Teoria dos Shareholders (acionistas) e a Teoria dos Stakeholders (partes interessadas). Diante desse cenário, este estudo tem como objetivo analisar a relação entre os investimentos ambientais e o desempenho econômico das empresas. Para tanto, desenvolveu-se uma pesquisa aplicada, com abordagem quantitativa, documental e descritiva, contando com uma amostra de 353 empresas, compreendendo as informações contidas nos balanços sociais modelo IBASE publicados no período de 1996 a 2007. No tratamento dos dados, realizou-se a estimação de modelo econométrico com dados em painel com análise de regressão múltipla por Mínimos Quadrados Ordinários. Os resultados indicam que os Investimentos Ambientais Internos (IAI) e os Investimentos Ambientais Externos (IAE) impactam, de modo significante, tanto a Receita Líquida (RL) das empresas quanto o Resultado Operacional (RO). Constata-se, ao generalizar, que os setores não apresentam características de homogeneidade interna e não há diferenciação entre setores capaz de explicar o desempenho econômico de forma diferenciada, sendo o único setor significativo o de petróleo e gás.

Conversor de energia das ondas em energia elétrica com dispositivo de coluna de água oscilante: simulação numérica e estudo geométrico

Os oceanos representam um dos maiores recursos naturais, possuindo expressivo potencial energético, podendo suprir parte da demanda energética mundial. Nas últimas décadas, alguns dispositivos destinados à conversão da energia das ondas dos oceanos em energia elétrica têm sido estudados. No presente trabalho, o princípio de funcionamento do conversor do tipo Coluna de Água Oscilante, do inglês Oscillating Water Colum, (OWC) foi analisado numericamente. As ondas incidentes na câmara hidro-pneumática da OWC, causam um movimento alternado da coluna de água no interior da câmara, o qual produz um fluxo alternado de ar que passa pela chaminé. O ar passa e aciona uma turbina a qual transmite energia para um gerador elétrico. O objetivo do presente estudo foi investigar a influência de diferentes formas geométricas da câmara sobre o fluxo resultante de ar que passa pela turbina, que influencia no desempenho do dispositivo. Para isso, geometrias diferentes para o conversor foram analisadas empregando modelos computacionais 2D e 3D. Um modelo computacional desenvolvido nos softwares GAMBIT e FLUENT foi utilizado, em que o conversor OWC foi acoplado a um tanque de ondas. O método Volume of Fluid (VOF) e a teoria de 2ª ordem Stokes foram utilizados para gerar ondas regulares, permitindo uma interação mais realista entre o conversor, água, ar e OWC. O Método dos Volumes Finitos (MVF) foi utilizado para a discretização das equações governantes. Neste trabalho o Contructal Design (baseado na Teoria Constructal) foi aplicado pela primeira vez em estudos numéricos tridimensionais de OWC para fim de encontrar uma geometria que mais favorece o desempenho do dispositivo. A função objetivo foi a maximização da vazão mássica de ar que passa através da chaminé do dispositivo OWC, analisado através do método mínimos quadrados, do inglês Root Mean Square (RMS). Os resultados indicaram que a forma geométrica da câmara influencia na transformação da energia das ondas em energia elétrica. As geometrias das câmaras analisadas que apresentaram maior área da face de incidência das ondas (sendo altura constante), apresentaram também maior desempenho do conversor OWC. A melhor geometria, entre os casos desse estudo, ofereceu um ganho no desempenho do dispositivo em torno de 30% maior.

Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás

ALVES, Janaína da Silva. Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás. Revista Ciências Administrativas, Fotaleza, v. 13, n. 1, p.147-157, ago. 2007.

Crescimento e poluição: a curva ambiental de Kuznets para o Brasil.

Este trabalho tem como objetivo verificar se no Brasil exista a relação da hipótese da curva ambiental de Kuznets, onde atividades que degradam o meio ambiente vão diminuindo após certo ponto de renda per capita atingido. Essa teoria será verificada através de um modelo estimado por mínimos quadrados ordinários com as variáveis de emissão de CO2 e a renda per capita e seus termos ao quadrado e ao cubo. Segundo os resultados obtidos, o Brasil ainda não apresenta este padrão de curva de Kuznets.

Crescimento econômico e desigualdade entre gêneros no Brasil: uma abordagem através da curva de kuznets

Este trabalho busca apresentar a relação entre o crescimento econômico e a desigualdade de gênero, no Brasil durante o período de 1990 a 2012, verificando se esta relação apresenta-se como a Curva de Kuznets, isto é, se apresenta fases, crescimento da desigualdade de gênero e decrescimento da desigualdade de gênero conforme ocorre o crescimento econômico no país. Através do método de Mínimos Quadrados Ordinários (MQO) será estimado um modelo quadrático e um modelo cúbico, buscando testar se a hipótese da Curva de Kuznets apresentará o formato de “U” invertido ou o formato de “S” da curva adaptada de Kuznets para gênero. Os resultados obtidos mostram que o Brasil se encontra, possivelmente, entre a primeira fase e a segunda fase da relação entre o crescimento econômico e a desigualdade de gênero, neste período, apresentando o formato de “U” invertido.

Análise e proposição de estratégias de estimação e controle de velocidade para motores de indução trifásicos

This study presents a proposal of speed servomechanisms without the use of mechanical sensors (sensorless) using induction motors. A comparison is performed and propose techniques for pet rotor speed, analyzing performance in different conditions of speed and load. For the determination of control technique, initially, is performed an analysis of the technical literature of the main control and speed estimation used, with their characteristics and limitations. The proposed technique for servo sensorless speed induction motor uses indirect field-oriented control (IFOC), composed of four controllers of the proportional-integral type (PI): rotor flux controller, speed controller and current controllers in the direct and quadrature shaft. As the main focus of the work is in the speed control loop was implemented in Matlab the recursive least squares algorithm (RLS) for identification of mechanical parameters, such as moment of inertia and friction coefficient. Thus, the speed of outer loop controller gains can be self adjusted to compensate for any changes in the mechanical parameters. For speed estimation techniques are analyzed: MRAS by rotóricos fluxes MRAS by counter EMF, MRAS by instantaneous reactive power, slip, locked loop phase (PLL) and sliding mode. A proposition of estimation in sliding mode based on speed, which is performed a change in rotor flux observer structure is displayed. To evaluate the techniques are performed theoretical analyzes in Matlab simulation environment and experimental platform in electrical machinery drives. The DSP TMS320F28069 was used for experimental implementation of speed estimation techniques and check the performance of the same in a wide speed range, including load insertion. From this analysis is carried out to implement closed-loop control of sensorless speed IFOC structure. The results demonstrated the real possibility of replacing mechanical sensors for estimation techniques proposed and analyzed. Among these, the estimator based on PLL demonstrated the best performance in various conditions, while the technique based on sliding mode has good capacity estimation in steady state and robustness to parametric variations.

Modeling height-diameter relationship in pinus pinaster ait. in the forest intervention zone of Lomba, NE-Portugal

In this work, the relationship between diameter at breast height (d) and total height (h) of individual-tree was modeled with the aim to establish provisory height-diameter (h-d) equations for maritime pine (Pinus pinaster Ait.) stands in the Lomba ZIF, Northeast Portugal. Using data collected locally, several local and generalized h-d equations from the literature were tested and adaptations were also considered. Model fitting was conducted by using usual nonlinear least squares (nls) methods. The best local and generalized models selected, were also tested as mixed models applying a first-order conditional expectation (FOCE) approximation procedure and maximum likelihood methods to estimate fixed and random effects. For the calibration of the mixed models and in order to be consistent with the fitting procedure, the FOCE method was also used to test different sampling designs. The results showed that the local h-d equations with two parameters performed better than the analogous models with three parameters. However a unique set of parameter values for the local model can not be used to all maritime pine stands in Lomba ZIF and thus, a generalized model including covariates from the stand, in addition to d, was necessary to obtain an adequate predictive performance. No evident superiority of the generalized mixed model in comparison to the generalized model with nonlinear least squares parameters estimates was observed. On the other hand, in the case of the local model, the predictive performance greatly improved when random effects were included. The results showed that the mixed model based in the local h-d equation selected is a viable alternative for estimating h if variables from the stand are not available. Moreover, it was observed that it is possible to obtain an adequate calibrated response using only 2 to 5 additional h-d measurements in quantile (or random) trees from the distribution of d in the plot (stand). Balancing sampling effort, accuracy and straightforwardness in practical applications, the generalized model from nls fit is recommended. Examples of applications of the selected generalized equation to the forest management are presented, namely how to use it to complete missing information from forest inventory and also showing how such an equation can be incorporated in a stand-level decision support system that aims to optimize the forest management for the maximization of wood volume production in Lomba ZIF maritime pine stands.