Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the dynamics of the vector error-correction representation (Vahid and Engle, 1993); something that has been already investigated in that VECM context by Johansen and Swensen (1999, 2011) but has not been discussed before with this new emphasis. We also provide the present value reduced rank constraints to be tested within the log-linear model. Our second contribution relates to forecasting time series that are subject to those long and short-run reduced rank restrictions. The reason why appropriate common cyclical feature restrictions might improve forecasting is because it finds natural exclusion restrictions preventing the estimation of useless parameters, which would otherwise contribute to the increase of forecast variance with no expected reduction in bias. We applied the techniques discussed in this paper to data known to be subject to present value restrictions, i.e. the online series maintained and up-dated by Shiller. We focus on three different data sets. The fi rst includes the levels of interest rates with long and short maturities, the second includes the level of real price and dividend for the S&P composite index, and the third includes the logarithmic transformation of prices and dividends. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to them. Moreover, imposing short-run restrictions produce forecast winners 70% of the time for target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Multivariate analysis for the classification and differentiation of Madeira wines according to main grape varieties

In order to differentiate and characterize Madeira wines according to main grape varieties, the volatile composition (higher alcohols, fatty acids, ethyl esters and carbonyl compounds) was determined for 36 monovarietal Madeira wine samples elaborated from Boal, Malvazia, Sercial and Verdelho white grape varieties. The study was carried out by headspace solid-phase microextraction technique (HS-SPME), in dynamic mode, coupled with gas chromatography–mass spectrometry (GC–MS). Corrected peak area data for 42 analytes from the above mentioned chemical groups was used for statistical purposes. Principal component analysis (PCA) was applied in order to determine the main sources of variability present in the data sets and to establish the relation between samples (objects) and volatile compounds (variables). The data obtained by GC–MS shows that the most important contributions to the differentiation of Boal wines are benzyl alcohol and (E)-hex-3-en-1-ol. Ethyl octadecanoate, (Z)-hex-3-en-1-ol and benzoic acid are the major contributions in Malvazia wines and 2-methylpropan-1-ol is associated to Sercial wines. Verdelho wines are most correlated with 5-(ethoxymethyl)-furfural, nonanone and cis-9-ethyldecenoate. A 96.4% of prediction ability was obtained by the application of stepwise linear discriminant analysis (SLDA) using the 19 variables that maximise the variance of the initial data set.

Correlations among behavior, performance and environment in broiler breeders using multivariate analysis

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

A simple approach to integrate the ecotoxicological and chemical data for the establishment of environmental risk levels

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

Generalized linear mixed models for the genetic evaluation of binary reproductive traits: a simulation study

The objective of this study was to evaluate the use of probit and logit link functions for the genetic evaluation of early pregnancy using simulated data. The following simulation/analysis structures were constructed: logit/logit, logit/probit, probit/logit, and probit/probit. The percentages of precocious females were 5, 10, 15, 20, 25 and 30% and were adjusted based on a change in the mean of the latent variable. The parametric heritability (h²) was 0.40. Simulation and genetic evaluation were implemented in the R software. Heritability estimates (ĥ²) were compared with h² using the mean squared error. Pearson correlations between predicted and true breeding values and the percentage of coincidence between true and predicted ranking, considering the 10% of bulls with the highest breeding values (TOP10) were calculated. The mean ĥ² values were under- and overestimated for all percentages of precocious females when logit/probit and probit/logit models used. In addition, the mean squared errors of these models were high when compared with those obtained with the probit/probit and logit/logit models. Considering ĥ², probit/probit and logit/logit were also superior to logit/probit and probit/logit, providing values close to the parametric heritability. Logit/probit and probit/logit presented low Pearson correlations, whereas the correlations obtained with probit/probit and logit/logit ranged from moderate to high. With respect to the TOP10 bulls, logit/probit and probit/logit presented much lower percentages than probit/probit and logit/logit. The genetic parameter estimates and predictions of breeding values of the animals obtained with the logit/logit and probit/probit models were similar. In contrast, the results obtained with probit/logit and logit/probit were not satisfactory. There is need to compare the estimation and prediction ability of logit and probit link functions.

Síndrome da fragilidade e fatores associados em idosos comunitários do município de Santa Cruz RN

The frailty in the elderly is characterized by decreased physiological reserves, and is associated with increased risk of disability and high vulnerability to morbidity and mortality. This study is part of a multicentric project on Frailty in Elderly Brazilians (REDE FIBRA). Aims: to investigate characteristics, prevalence and associated factors related to frailty. Metodology: We interviewed 391 elderly patients aged 65 years, selected randomly. Data collection was performed using a multidimensional questionnaire containing information about socio-demographic and clinical variables. To characterize the frail elderly, was considered the phenotype proposed by Fried. Data were analyzed using descriptive statistics, bivariate analysis (χ ²) and binary logistic regression. Results: The prevalence of frailty was 17.1%. In the final model of multivariate analysis, was obtained as factors associated with frailty: advanced chronological age (p <0.001), have comorbidity (p <0.035), show dependence on performing basic activities of daily living (p <0.010) and instrumental (p <0.003) and have poor perception of health status (p <0030). Conclusions: The factors associated with frailty suggest a predictive model helping to understand the syndrome, guiding actions that minimize adverse effects on the aging process

Apoio social e síndrome da fragilidade em idosos residentes na comunidade

Introduction: The frailty in the elderly is the result of a complex interplay between many social and clinical factors involved in its genesis. Although there is an understanding of its association with increased risk of adverse clinical outcomes, still it is unclear whether this syndrome can be aggravated due to lack of social support. So, the objective of this study was to analyze the association between social support and frailty syndrome in elderly community residents. Materials and methods: Observational analytical cross-sectional study, with a sample of 300 elderly living in the city of Natal-RN. Were collected informations about socialdemographic, economics and physical health data. The Social support was assessed by the status of cohabitation; marital status; contact frequency and diversity rate; received and given attendance frequency rate; and Map Minimum Relations of the Elderly. The frailty was assessed using the following criteria: unintentional weight loss, weakness, low physical activity, exhaustion and Slowness. To observe any possible associations, we performed the Pearson chi-square test, the Student t test and multivariate analysis using binary logistic regression, adopting a significance level of 5%. Results: It was observed that there were no associations of frailty with the social support variables, except for housekeeping mode (p = 0.046) of the MMRI. For the sociodemographic, economic, physical health and social support data, only age (p <0.001), sedentary lifestyle (p = 0.002) and poor perceived health (p = 0.001) were the ones that remained in the logistic regression model, with strong association for the presence of frailty. Conclusion: Among the variables related to social support, only to help with housekeeping was significantly associated with frailty. However, more studies need to be developed to characterize the social vulnerability, as well as health services need to recognize the importance of social support as an integral part of care for the elderly

Evaluation of development traits of beef buffalo in Brazil using multivariate analysis

The buffalo population in Brazil increased about 12.9% between 1998 and 2003, to 2.8 million head, evidencing the importance of this species for the country. The objective this work was evaluation of animal growth using multivariate analysis. The data were from 2,944 water buffalo from 10 herds raised in pasture conditions in Brazil. Principal components and genetic distances were estimated using proc PRINCOMP and proc CANDISC in SAS (SAS Inst. Inc. Cary, NC, USA). Variables analyzed were birth weight (BW), age at weaning (AW), weaning weight (WT), weight adjusted to 205 d (W205), total gain between BW and WT (TG), daily gain between BW and WT (DG), weight adjusted to 365 d (W365), total gain between WT and W365 (TG3), daily gain between WT and W365 (TGD3), weight adjusted to 550 d (W550) and weight adjusted to 730 d (W730). Means and standard deviations for each variable were 39.4 +/- 3.2 kg, 225.6 +/- 38.8 d, 209.4 +/- 39.4 kg, 195.4 +/- 30.2 kg, 157.4 +/- 32.0 kg, 0.77 +/- 0.16 kg/d, 282.0 +/- 43.5 kg, 73.9 +/- 33.9 kg, 0.53 +/- 0.21 kg/d, 406.8 +/- 67.9 kg, and 468.2 +/- 70.6 kg, respectively. The eigenvalues to four first principal components were 5.29, 2.54, 1.66, 1.01, and justify 48%, 23%, 15% and 9%, respectively, with a total cumulative 95%. We created an index using the first principal component which is Y. 0.0552 BW + 0.0438 AW + 0.3142 WT + 0.3549 W205 + 0.3426 TG + 0.3426 DG + 0.4070 W365- 0.1531 TG3 - 0.2059 TGD3 - 0.3833 W550 - 0.3966 W730. This index accounted for 48% the variation in the correlation matrix. This principal component emphasizes early growth of the animal. Estimates the pair-wise squared distances between herds, D2(i vertical bar j)= ((x) over bar (i)-(x) over bar (j))' cov(-1)((x) over bar (i)-(x) over bar (j)), using with basis the average of weight of animals, showed the largest distance between herds eight (Murrah: DF) and seven (Murrah: Amazon) and the closest distance between herds one (Mediterranean - RS) and five (Jafarabadi - SP).

Historical biogeography and conservation of the golden-striped salamander (Chioglossa lusitanica) in northwestern Iberia: integrating ecological, phenotypic and phylogeographic data

The golden-striped salamander (Chioglossa lusitanica) is an endemic species inhabiting stream-side habitats in mountainous areas in the northwestern Iberian Peninsula. This salamandrid is listed in the IUCN Red Data Book as a threatened species. The combination of bioclimatic modeling of the species distribution and multivariate analysis of genetic and phenotypic data strengthens previous hypotheses concerning the historical biogeography of C. lusitanica: the Pleistocene subdivision of the species' range and a process of postglacial recolonization. Discrepancies between bioclimatic modeling predictions and the present-day distribution suggest that the species may still be expanding its range northwards. We propose the identification of two distinct units for the conservation of the species and suggest that this information should be taken into account in defining key areas for conservation in the Iberian Peninsula.

Multivariate searches for single top quark production with the D0 detector

We present a search for electroweak production of single top quarks in the s-channel (p (p) over bar -> t (b) over bar +X) and t-channel (p (p) over bar -> tq (b) over bar +X) modes. We have analyzed 230 pb(-1) of data collected with the D0 detector at the Fermilab Tevatron Collider at a center-of-mass energy of root s=1.96 TeV. No evidence for a single top quark signal is found. We set 95% confidence level upper limits on the production cross sections, based on binned likelihoods formed from a neural network output. The observed (expected) limits are 6.4 pb (4.5 pb) in the s-channel and 5.0 pb (5.8 pb) in the t-channel.

Search for single top quarks in the tau plus jets channel using 4.8 fb(-1) of p(p)over-bar collision data

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Geochemical characterization of heavy metal contaminated area using multivariate factorial kriging

This paper describes a geostatistical method, known as factorial kriging analysis, which is well suited for analyzing multivariate spatial information. The method involves multivariate variogram modeling, principal component analysis, and cokriging. It uses several separate correlation structures, each corresponding to a specific spatial scale, and yields a set of regionalized factors summarizing the main features of the data for each spatial scale. This method is applied to an area of high manganese-ore mining activity in Amapa State, North Brazil. Two scales of spatial variation (0.33 and 2.0 km) are identified and interpreted. The results indicate that, for the short-range structure, manganese, arsenic, iron, and cadmium are associated with human activities due to the mining work, while for the long-range structure, the high aluminum, selenium, copper, and lead concentrations, seem to be related to the natural environment. At each scale, the correlation structure is analyzed, and regionalized factors are estimated by cokriging and then mapped.

A Contribution to the Estimation of Binary Halide and Pseudo-Halide Equilibrium Constants using a Linear Extrapolation Methodology

The molar single ion activity coefficient (y(F)) of fluoride ions was determined at 25 degrees C and ionic strengths between 0.100 and 3.00 mol L(-1) NaClO(4) using an ion-selective electrode. The activity coefficient dependency on ionic strength was determined to be Phi(F) = log y(F) = 0.2315I-0.041I(2). The function Phi(F)(I), combined with functions obtained in previous work for copper (Phi(Cu)) and hydrogen (Phi(H)), allowed us to make the estimation of the stoichiometric and thermodynamic protonation constants of some halides and pseudo-halides as well as the formation constants of some pseudo-halides and fluoride 1:1 bivalent cation complexes. The calculation procedure proposed in this paper is consistent with critically-selected experimental data. It was demonstrated that it is possible to use Phi(F)(I) for predicting the thermodynamic equilibrium parameters independently of Pearson's hardness of acids and bases.

Carbon Nuclear Magnetic Resonance Spectroscopic Profiles coupled to Partial Least-Squares Multivariate Regression for Prediction of Several Physicochemical Parameters of Brazilian Commercial Gasoline

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Multivariate calibrations on H-1 NMR profiles for prediction of physicochemical parameters of Brazilian commercial gasoline

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)