917 resultados para ARCH and GARCH Models


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We present a new version (> 2.0) of the hglm package for fitting hierarchical generalized linear models (HGLMs) with spatially correlated random effects. CAR() and SAR() families for conditional and simultaneous autoregressive random effects were implemented. Eigen decomposition of the matrix describing the spatial structure (e.g., the neighborhood matrix) was used to transform the CAR/SAR random effects into an independent, but eteroscedastic, Gaussian random effect. A linear predictor is fitted for the random effect variance to estimate the parameters in the CAR and SAR models. This gives a computationally efficient algorithm for moderately sized problems.

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In the last years extreme hydrometeorological phenomena have increased in number and intensity affecting the inhabitants of various regions, an example of these effects are the central basins of the Gulf of Mexico (CBGM) that they have been affected by 55.2% with floods and especially the state of Veracruz (1999-2013), leaving economic, social and environmental losses. Mexico currently lacks sufficient hydrological studies for the measurement of volumes in rivers, since is convenient to create a hydrological model (HM) suited to the quality and quantity of the geographic and climatic information that is reliable and affordable. Therefore this research compares the semi-distributed hydrological model (SHM) and the global hydrological model (GHM), with respect to the volumes of runoff and achieve to predict flood areas, furthermore, were analyzed extreme hydrometeorological phenomena in the CBGM, by modeling the Hydrologic Modeling System (HEC-HMS) which is a SHM and the Modèle Hydrologique Simplifié à I'Extrême (MOHYSE) which is a GHM, to evaluate the results and compare which model is suitable for tropical conditions to propose public policies for integrated basins management and flood prevention. Thus it was determined the temporal and spatial framework of the analyzed basins according to hurricanes and floods. It were developed the SHM and GHM models, which were calibrated, validated and compared the results to identify the sensitivity to the real model. It was concluded that both models conform to tropical conditions of the CBGM, having MOHYSE further approximation to the real model. Worth mentioning that in Mexico there is not enough information, besides there are no records of MOHYSE use in Mexico, so it can be a useful tool for determining runoff volumes. Finally, with the SHM and the GHM were generated climate change scenarios to develop risk studies creating a risk map for urban planning, agro-hydrological and territorial organization.

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Institutions continue to face increasing pressure from faculty, students, and other concerned constituents to divest endowment holdings from perceived social injustices. In this report, investment officers and advisory committee members offer insight into institutional practices used to respond to these concerns through the adoption of socially responsible investment policies and other socially responsible investment options. Contacts offer recommendations on balancing the administration’s fiduciary responsibility to ensure maximum endowment returns with the social concerns of institutional constituents.

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Com o objetivo de mostrar uma aplicação dos modelos da família GARCH a taxas de câmbio, foram utilizadas técnicas estatísticas englobando análise multivariada de componentes principais e análise de séries temporais com modelagem de média e variância (volatilidade), primeiro e segundo momentos respectivamente. A utilização de análise de componentes principais auxilia na redução da dimensão dos dados levando a estimação de um menor número de modelos, sem contudo perder informação do conjunto original desses dados. Já o uso dos modelos GARCH justifica-se pela presença de heterocedasticidade na variância dos retornos das séries de taxas de câmbio. Com base nos modelos estimados foram simuladas novas séries diárias, via método de Monte Carlo (MC), as quais serviram de base para a estimativa de intervalos de confiança para cenários futuros de taxas de câmbio. Para a aplicação proposta foram selecionadas taxas de câmbio com maior market share de acordo com estudo do BIS, divulgado a cada três anos.

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

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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As a new modeling method, support vector regression (SVR) has been regarded as the state-of-the-art technique for regression and approximation. In this study, the SVR models had been introduced and developed to predict body and carcass-related characteristics of 2 strains of broiler chicken. To evaluate the prediction ability of SVR models, we compared their performance with that of neural network (NN) models. Evaluation of the prediction accuracy of models was based on the R-2, MS error, and bias. The variables of interest as model output were BW, empty BW, carcass, breast, drumstick, thigh, and wing weight in 2 strains of Ross and Cobb chickens based on intake dietary nutrients, including ME (kcal/bird per week), CP, TSAA, and Lys, all as grams per bird per week. A data set composed of 64 measurements taken from each strain were used for this analysis, where 44 data lines were used for model training, whereas the remaining 20 lines were used to test the created models. The results of this study revealed that it is possible to satisfactorily estimate the BW and carcass parts of the broiler chickens via their dietary nutrient intake. Through statistical criteria used to evaluate the performance of the SVR and NN models, the overall results demonstrate that the discussed models can be effective for accurate prediction of the body and carcass-related characteristics investigated here. However, the SVR method achieved better accuracy and generalization than the NN method. This indicates that the new data mining technique (SVR model) can be used as an alternative modeling tool for NN models. However, further reevaluation of this algorithm in the future is suggested.

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It is shown that the affine Toda models (AT) constitute a gauge fixed version of the conformal affine Toda model (CAT). This result enables one to map every solution of the AT models into an infinite number of solutions of the corresponding CAT models, each one associated to a point of the orbit of the conformal group. The Hirota τ-functions are introduced and soliton solutions for the AT and CAT models associated to SL̂ (r+1) and SP̂ (r) are constructed.

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Linear mixed effects models have been widely used in analysis of data where responses are clustered around some random effects, so it is not reasonable to assume independence between observations in the same cluster. In most biological applications, it is assumed that the distributions of the random effects and of the residuals are Gaussian. This makes inferences vulnerable to the presence of outliers. Here, linear mixed effects models with normal/independent residual distributions for robust inferences are described. Specific distributions examined include univariate and multivariate versions of the Student-t, the slash and the contaminated normal. A Bayesian framework is adopted and Markov chain Monte Carlo is used to carry out the posterior analysis. The procedures are illustrated using birth weight data on rats in a texicological experiment. Results from the Gaussian and robust models are contrasted, and it is shown how the implementation can be used for outlier detection. The thick-tailed distributions provide an appealing robust alternative to the Gaussian process in linear mixed models, and they are easily implemented using data augmentation and MCMC techniques.

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Abstract: The aim of this study was to evaluate the occurence of compensation in mesiodistal axial inclinations of canines in skeletal malocclusions patients. The sample consisted of 25 Angle Class II, division 1 malocclusion (group 1) and 19 Angle Class III malocclusion patients (group 2). After measurement of dental angulations through a method that associates plaster model photography and AutoCad software, comparisons between the groups were performed by T-test for independent samples. Results showed that there was no statistically significant difference (p ≤ 0.05) between groups, when maxillary canine angulations were compared. Regarding the mandibular canines, there was a statistically significant difference in dental angulation, expressed by 3.2° for group 1 and 0.15° for group 2. An upright position tendency for mandibular canines was observed in the Angle Class III sample. This configures a pattern of compensatory coronary positioning, since the angulation of these teeth makes them occupy less space in the dental arch and consequently mandibular incisors can be in a more retracted position in the sagittal plane.

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A total of 61,528 weight records from 22,246 Nellore animals born between 1984 and 2002 were used to compare different multiple-trait analysis methods for birth to mature weights. The following models were used: standard multivarite model (MV), five reduced-rank models fitting the first 1, 2, 3, 4 and 5 genetic principal components, and five models using factor analysis with 1, 2, 3, 4 and 5 factors. Direct additive genetic random effects and residual effects were included in all models. In addition, maternal genetic and maternal permanent environmental effects were included as random effects for birth and weaning weight. The models included contemporary group as fixed effect and age of animal at recording (except for birth weight) and age of dam at calving as linear and quadratic effects (for birth weight and weaning weight). The maternal genetic, maternal permanent environmental and residual (co)variance matrices were assumed to be full rank. According to model selection criteria, the model fitting the three first principal components (PC3) provided the best fit, without the need for factor analysis models. Similar estimates of phenotypic, direct additive and maternal genetic, maternal permanent environmental and residual (co)variances were obtained with models MV and PC3. Direct heritability ranged from 0.21 (birth weight) to 0.45 (weight at 6 years of age). The genetic and phenotypic correlations obtained with model PC3 were slightly higher than those estimated with model MV. In general, the reduced-rank model substantially decreased the number of parameters in the analyses without reducing the goodness-of-fit. © 2013 Elsevier B.V.

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We analyzed 46,161 monthly test-day records of milk production from 7453 first lactations of crossbred dairy Gyr (Bos indicus) x Holstein cows. The following seven models were compared: standard multivariate model (M10), three reduced rank models fitting the first 2, 3, or 4 genetic principal components, and three models considering a 2-, 3-, or 4-factor structure for the genetic covariance matrix. Full rank residual covariance matrices were considered for all models. The model fitting the first two principal components (PC2) was the best according to the model selection criteria. Similar phenotypic, genetic, and residual variances were obtained with models M10 and PC2. The heritability estimates ranged from 0.14 to 0.21 and from 0.13 to 0.21 for models M10 and PC2, respectively. The genetic correlations obtained with model PC2 were slightly higher than those estimated with model M10. PC2 markedly reduced the number of parameters estimated and the time spent to reach convergence. We concluded that two principal components are sufficient to model the structure of genetic covariances between test-day milk yields. © FUNPEC-RP.

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