Automatic model selection for forecasting brazilian stock returns

This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We nd that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.

Bayesian binary regression model: an application to in-hospital death after AMI prediction

Um modelo bayesiano de regressão binária é desenvolvido para predizer óbito hospitalar em pacientes acometidos por infarto agudo do miocárdio. Métodos de Monte Carlo via Cadeias de Markov (MCMC) são usados para fazer inferência e validação. Uma estratégia para construção de modelos, baseada no uso do fator de Bayes, é proposta e aspectos de validação são extensivamente discutidos neste artigo, incluindo a distribuição a posteriori para o índice de concordância e análise de resíduos. A determinação de fatores de risco, baseados em variáveis disponíveis na chegada do paciente ao hospital, é muito importante para a tomada de decisão sobre o curso do tratamento. O modelo identificado se revela fortemente confiável e acurado, com uma taxa de classificação correta de 88% e um índice de concordância de 83%.

Regressão Simplex aplicada a delineamentos de mistura e utilização do Algoritmo Boosting

In the composition of this work are present two parts. The first part contains the theory used. The second part contains the two articles. The first article examines two models of the class of generalized linear models for analyzing a mixture experiment, which studied the effect of different diets consist of fat, carbohydrate, and fiber on tumor expression in mammary glands of female rats, given by the ratio mice that had tumor expression in a particular diet. Mixture experiments are characterized by having the effect of collinearity and smaller sample size. In this sense, assuming normality for the answer to be maximized or minimized may be inadequate. Given this fact, the main characteristics of logistic regression and simplex models are addressed. The models were compared by the criteria of selection of models AIC, BIC and ICOMP, simulated envelope charts for residuals of adjusted models, odds ratios graphics and their respective confidence intervals for each mixture component. It was concluded that first article that the simplex regression model showed better quality of fit and narrowest confidence intervals for odds ratio. The second article presents the model Boosted Simplex Regression, the boosting version of the simplex regression model, as an alternative to increase the precision of confidence intervals for the odds ratio for each mixture component. For this, we used the Monte Carlo method for the construction of confidence intervals. Moreover, it is presented in an innovative way the envelope simulated chart for residuals of the adjusted model via boosting algorithm. It was concluded that the Boosted Simplex Regression model was adjusted successfully and confidence intervals for the odds ratio were accurate and lightly more precise than the its maximum likelihood version.

Estudo das estruturas terciária e quaternária de proteínas por espalhamento de raios X a baixos ângulos integrado a técnicas de modelagem

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

Interpretação e conceituação dos tipos de perfis faciais por meio de paquímetro do perfil facial e de comitê de avaliadores utilizando fotografias faciais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Influências multi-escala da paisagem e limiar da fragmentação em morcegos no cerrado

Pós-graduação em Ciências Biológicas (Zoologia) - IBRC

Efeito da quantidade de habitat, do tamanho do fragmento e da posição dos recursos sobre a frugivoria em ambientes fragmentados

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

Efeito da fragmentação sobre a persistência de anfíbios anuros (Amphibia: Anura) na Mata Atlântica

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

Efeitos da desconexão de habitat na diversidade funcional de anfíbios anuros (Amphibia: Anura) na Mata Atlântica

Amphibian populations worldwide have been suffering declines generated by habitat degradation, loss, fragmentation and habitat split. With habitat loss and fragmentation in the landscape comes habitat split, which is the separation between the adult anuran habitat and breeding sites, forcing individuals to move through matrix during breeding seasons. Thus, habitat split increases the chance of extinction of amphibians with aquatic larval development and acts as a filter in the selection of species having great influence on species richness and community structure. The use of functional diversity allows us to consider the identity and characteristics of each species to understand the effects of fragmentation processes. The objective of this study was to estimate the effects of habitat split, as well as habitat loss in the landscape, on amphibians functional diversity (FD) and species richness (S). We selected 26 landscapes from a database with anuran surveys of Brazilian Atlantic Forest. For each landscape we calculated DF, S and landscape metrics at multiple scales. To calculate the DF we considered traits that influenced species use and persistence in the landscape. We refined maps of forest remnants and water bodies for metrics calculation. To relate DF and S (response variables) to landscape variables (explanatory variables), we used a model selection approach, fitting generalized linear models (GLMS) and making your selection with AICc. We compared the effect of model absence and models with habitat split, habitat amount and habitat connectivity effects, as well as their interaction. The most plausible models for S were the sum and interaction between habitat split in 7.5 km scale. For anurans with terrestrial development, habitat amount was the only plausible explanatory variable, in the 5 km scale. For anurans with aquatic larvae habitat amount in larger scales and the addition of habitat amount and habitat split were plausible...

Efeito do gradiente interior-borda-matriz, e do tipo de matriz sobre a entomofaúna edáfica em fragmentos de cerrado

edge effect. Thus, under the influence of the adjacent matrix, fragments undergo microclimatic alterations that accentuate changes in species composition and community structure. In order to better understand edge and matrix effects on the richness and abundance of edaphic arthropods, this study assessed: (a) the difference between habitat (fragment) and non-habitat (matrix); (b) whether there is a continuous interior-edge-matrix gradient; and (c) the difference between matrices for arthropod orders richness and abundance. We selected 15 landscapes, 5 of which contained a cerrado fragment surrounded by sugarcane cultivation, 5 with a cerrado fragment within eucalyptus and 5 with a cerrado fragment within pasture. In each landscape the soil fauna was collected along with the soil and then extracted with the aid of the modified Berlese-Tullgren funnel. We chose the orders Coleoptera, Collembola, Mesostigmata and Oribatida for analysis, and after separation of the individuals we used model selection analysis via AIC. The model type fragment x matrix was the most likely to explain richness, total and relative abundances of the four orders (wAICc between 0,6623 and 1,0). The model of edge distance (edge effect) was plausible to total abundance and relative abundance of Mesostigmata order (wAICc=0,2717 and 0,186). Local environmental variables (soil texture, temperature and relative humidity), and fragment size were also measured to avoid confounding factors and were not presented as plausible models to explain the patterns. So edaphic arthropods, despite protecting themselves under the ground, are extremely sensitive to fragmentation, even with the replacement of natural habitat by agricultural use, such as sugarcane, pasture and eucalyptus. This group should be studied environmental impact assessments because provides important ecosystem se ravincde s inacnludd eisd ainn efficient bio-indicator

Efeito da quantidade de habitat, do tamanho do fragmento e da posição dos recursos sobre a frugivoria em ambientes fragmentados

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

Efeito da fragmentação sobre a persistência de anfíbios anuros (Amphibia: Anura) na Mata Atlântica

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

Efeitos da desconexão de habitat na diversidade funcional de anfíbios anuros (Amphibia: Anura) na Mata Atlântica

Amphibian populations worldwide have been suffering declines generated by habitat degradation, loss, fragmentation and habitat split. With habitat loss and fragmentation in the landscape comes habitat split, which is the separation between the adult anuran habitat and breeding sites, forcing individuals to move through matrix during breeding seasons. Thus, habitat split increases the chance of extinction of amphibians with aquatic larval development and acts as a filter in the selection of species having great influence on species richness and community structure. The use of functional diversity allows us to consider the identity and characteristics of each species to understand the effects of fragmentation processes. The objective of this study was to estimate the effects of habitat split, as well as habitat loss in the landscape, on amphibians functional diversity (FD) and species richness (S). We selected 26 landscapes from a database with anuran surveys of Brazilian Atlantic Forest. For each landscape we calculated DF, S and landscape metrics at multiple scales. To calculate the DF we considered traits that influenced species use and persistence in the landscape. We refined maps of forest remnants and water bodies for metrics calculation. To relate DF and S (response variables) to landscape variables (explanatory variables), we used a model selection approach, fitting generalized linear models (GLMS) and making your selection with AICc. We compared the effect of model absence and models with habitat split, habitat amount and habitat connectivity effects, as well as their interaction. The most plausible models for S were the sum and interaction between habitat split in 7.5 km scale. For anurans with terrestrial development, habitat amount was the only plausible explanatory variable, in the 5 km scale. For anurans with aquatic larvae habitat amount in larger scales and the addition of habitat amount and habitat split were plausible...

Efeito do gradiente interior-borda-matriz, e do tipo de matriz sobre a entomofaúna edáfica em fragmentos de cerrado

edge effect. Thus, under the influence of the adjacent matrix, fragments undergo microclimatic alterations that accentuate changes in species composition and community structure. In order to better understand edge and matrix effects on the richness and abundance of edaphic arthropods, this study assessed: (a) the difference between habitat (fragment) and non-habitat (matrix); (b) whether there is a continuous interior-edge-matrix gradient; and (c) the difference between matrices for arthropod orders richness and abundance. We selected 15 landscapes, 5 of which contained a cerrado fragment surrounded by sugarcane cultivation, 5 with a cerrado fragment within eucalyptus and 5 with a cerrado fragment within pasture. In each landscape the soil fauna was collected along with the soil and then extracted with the aid of the modified Berlese-Tullgren funnel. We chose the orders Coleoptera, Collembola, Mesostigmata and Oribatida for analysis, and after separation of the individuals we used model selection analysis via AIC. The model type fragment x matrix was the most likely to explain richness, total and relative abundances of the four orders (wAICc between 0,6623 and 1,0). The model of edge distance (edge effect) was plausible to total abundance and relative abundance of Mesostigmata order (wAICc=0,2717 and 0,186). Local environmental variables (soil texture, temperature and relative humidity), and fragment size were also measured to avoid confounding factors and were not presented as plausible models to explain the patterns. So edaphic arthropods, despite protecting themselves under the ground, are extremely sensitive to fragmentation, even with the replacement of natural habitat by agricultural use, such as sugarcane, pasture and eucalyptus. This group should be studied environmental impact assessments because provides important ecosystem se ravincde s inacnludd eisd ainn efficient bio-indicator

SELEÇÃO DE DENSIDADE DE AMOSTRAGEM COM BASE EM DADOS DE ÁREAS JÁ MAPEADAS PARA TREINAMENTO DE MODELOS DE ÁRVORE DE DECISÃO NO MAPEAMENTO DIGITAL DE SOLOS

Para estudar técnicas de amostragem, úteis ao mapeamento digital de solos (MDS), objetivou-se avaliar o efeito da variação da densidade de pontos amostrais com base em dados de áreas já mapeadas por métodos tradicionais na acurácia dos modelos de árvores de decisão (AD) para a geração de mapas de solos por MDS. Em duas bacias hidrográficas no noroeste do Rio Grande do Sul, usou-se, como referência, antigos mapas convencionais de solos na escala 1:50.000. A partir do modelo digital de elevação do terreno e da rede hidrográfica, foram gerados mapas das variáveis preditoras: elevação, declividade, curvatura, comprimento de fluxo, acúmulo de fluxo, índice de umidade topográfica e distância euclideana de rios. A escolha dos locais dos pontos amostrais foi aleatória e testaram-se densidades amostrais que variaram de 0,1 a 4 pontos/ha. O treinamento dos modelos foi realizado no software Weka, gerando-se modelos preditores usando diferentes tamanhos do nó final da AD para obter AD com tamanhos distintos. Quando não se controlou o tamanho das AD, o aumento da densidade de amostragem resultou no aumento da concordância com os mapas básicos de referências e no aumento do número de unidades de mapeamento preditas. Nas AD com tamanho controlado, o aumento da densidade de amostragem não influenciou a concordância com os mapas de referência e interferiu muito pouco no número de unidades de mapeamento preditas.