Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap methods. Yet the latter remain approximate. In this paper, we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts. We study procedures based on the standard test statistics [e.g., the Goldfeld-Quandt, Glejser, Bartlett, Cochran, Hartley, Breusch-Pagan-Godfrey, White and Szroeter criteria] as well as tests for autoregressive conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of combined test statistics) to allow for unknown breakpoints in the error variance. We exploit the technique of Monte Carlo tests to obtain provably exact p-values, for both the standard and the new tests suggested. We show that the MC test procedure conveniently solves the intractable null distribution problem, in particular those raised by the sup-type and combined test statistics as well as (when relevant) unidentified nuisance parameter problems under the null hypothesis. The method proposed works in exactly the same way with both Gaussian and non-Gaussian disturbance distributions [such as heavy-tailed or stable distributions]. The performance of the procedures is examined by simulation. The Monte Carlo experiments conducted focus on : (1) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one exogenous variable, and (ii) the mean of the dependent variable; (3) grouped heteroskedasticity; (4) breaks in variance at unknown points. We find that the proposed tests achieve perfect size control and have good power.

Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions.

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. We suggest controlling the size of such tests (under nonparametric assumptions) by using permutational versions of the tests jointly with the method of Monte Carlo tests properly adjusted to deal with discrete distributions. We also propose a combined test procedure, whose level is again perfectly controlled through the Monte Carlo test technique and has better power properties than the individual tests that are combined. Finally, in a simulation experiment, we show that the technique suggested provides perfect control of test size and that the new tests proposed can yield sizeable power improvements.

Simulation-Based Finite-Sample Normality Tests in Linear Regressions

In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the location-scale model; hence reliance on available significance points in the context of regression models may cause size distortions. We propose a general solution to the problem of controlling the size normality tests for the disturbances of standard linear regression, which is based on using the technique of Monte Carlo tests.

Les cycles d'azulejos de l'église du couvent de Louriçal (Portugal) attribués à Valentim de Almeida (1692-1779)

Pour respecter les droits d'auteur, la version électronique de ce mémoire a été dépouillée de ses documents visuels et audio-visuels. La version intégrale du mémoire a été déposée au Service de la gestion des documents et des archives de l'Université de Montréal

Caractérisation de la composante toxicocinétique du facteur d’ajustement pour la variabilité interindividuelle utilisé en analyse du risque toxicologique

Un facteur d’incertitude de 10 est utilisé par défaut lors de l’élaboration des valeurs toxicologiques de référence en santé environnementale, afin de tenir compte de la variabilité interindividuelle dans la population. La composante toxicocinétique de cette variabilité correspond à racine de 10, soit 3,16. Sa validité a auparavant été étudiée sur la base de données pharmaceutiques colligées auprès de diverses populations (adultes, enfants, aînés). Ainsi, il est possible de comparer la valeur de 3,16 au Facteur d’ajustement pour la cinétique humaine (FACH), qui constitue le rapport entre un centile élevé (ex. : 95e) de la distribution de la dose interne dans des sous-groupes présumés sensibles et sa médiane chez l’adulte, ou encore à l’intérieur d’une population générale. Toutefois, les données expérimentales humaines sur les polluants environnementaux sont rares. De plus, ces substances ont généralement des propriétés sensiblement différentes de celles des médicaments. Il est donc difficile de valider, pour les polluants, les estimations faites à partir des données sur les médicaments. Pour résoudre ce problème, la modélisation toxicocinétique à base physiologique (TCBP) a été utilisée pour simuler la variabilité interindividuelle des doses internes lors de l’exposition aux polluants. Cependant, les études réalisées à ce jour n’ont que peu permis d’évaluer l’impact des conditions d’exposition (c.-à-d. voie, durée, intensité), des propriétés physico/biochimiques des polluants, et des caractéristiques de la population exposée sur la valeur du FACH et donc la validité de la valeur par défaut de 3,16. Les travaux de la présente thèse visent à combler ces lacunes. À l’aide de simulations de Monte-Carlo, un modèle TCBP a d’abord été utilisé pour simuler la variabilité interindividuelle des doses internes (c.-à-d. chez les adultes, ainés, enfants, femmes enceintes) de contaminants de l’eau lors d’une exposition par voie orale, respiratoire, ou cutanée. Dans un deuxième temps, un tel modèle a été utilisé pour simuler cette variabilité lors de l’inhalation de contaminants à intensité et durée variables. Ensuite, un algorithme toxicocinétique à l’équilibre probabiliste a été utilisé pour estimer la variabilité interindividuelle des doses internes lors d’expositions chroniques à des contaminants hypothétiques aux propriétés physico/biochimiques variables. Ainsi, les propriétés de volatilité, de fraction métabolisée, de voie métabolique empruntée ainsi que de biodisponibilité orale ont fait l’objet d’analyses spécifiques. Finalement, l’impact du référent considéré et des caractéristiques démographiques sur la valeur du FACH lors de l’inhalation chronique a été évalué, en ayant recours également à un algorithme toxicocinétique à l’équilibre. Les distributions de doses internes générées dans les divers scénarios élaborés ont permis de calculer dans chaque cas le FACH selon l’approche décrite plus haut. Cette étude a mis en lumière les divers déterminants de la sensibilité toxicocinétique selon le sous-groupe et la mesure de dose interne considérée. Elle a permis de caractériser les déterminants du FACH et donc les cas où ce dernier dépasse la valeur par défaut de 3,16 (jusqu’à 28,3), observés presqu’uniquement chez les nouveau-nés et en fonction de la substance mère. Cette thèse contribue à améliorer les connaissances dans le domaine de l’analyse du risque toxicologique en caractérisant le FACH selon diverses considérations.

La construcció de l'església de Sant Feliu de Girona al segle XIV. Els llibres d'obra

Aquesta tesi doctoral com diu el seu títol es centra en analitzar la construcció de l'església de Sant Feliu de Girona al segle XIV a través de l'anàlisi dels llibres d'obra conservats a l'Arxiu Diòcesa de Girona. Aquesta tesi doctoral esta dividida en quatre parts. En la primera part s'analitza la historiografia de l'església de Sant Feliu de Girona des del segle XVII fins a l'actualitat. Dins d'aquest apartat s'analitzen les notícies que aporten els diferents autors i es situa el context historiogràfic de cadascun dels segles. S'ha realitzat un estudi molt exhaustiu en les darreres publicacions del segle XX i inicis del segle XXI. Un cop analitzades aquestes fonts - secundàries -, dins d'aquesta primera part del treball s'ha passat a analitzar els llibres d'obra del segle XIV. S'analitzaràn els aspectes formals i els diferents escrivans encarregats de realitzar aquests llibres d'obra. Aquesta serà la documentació bàsica per realitzar aquesta tesi doctoral. En la segona part del treball es procedirà a analitzar la gestió i el finançament de l'Obra. Es tracta d'una anàlisi, bàsicament dels ingressos, per veure quines són les estratègies que es duen a terme per aconseguir el màxim de recursos per la construcció i per les necessitats "litúrgiques" de l'església de Sant Feliu de Girona. En aquest apartat s'ha analitzat l'Obra com a entitat amb les persones que formen part d'ella i el paper que correspon a cadascuna d'elles (l'obrer, l'escrivà, el mestre d'obres, el questor). També s'han analitzat els promotors i aquells ingressos que, pel seu volum, subministren el nombre més gran de diners a l'Obra ("annates", bacins, etc.). La tercera part ha consistit en l'elaboració de la cronologia constructiva de l'església de Sant Feliu de Girona partint de la informació obtinguda en els llibres d'obra corresponent a les despeses. S'han analitzat totes aquelles obres, tant pel que fa a la construcció de l'edifici com pel que fa a reparacions i manteniment, que tenen lloc entre l'any 1349 (data del primer llibre d'obra de despeses) i l'any 1391. En aquesta part no s'ha entrat a analitzar de forma exhaustiva les figures que fan possible la construcció de l'església al segle XIV ja que això pertany al contingut de la darrera part del nostre treball. La darrera part del treball correspon a l'execució de les obres. En aquesta part trobem quatre grans capítols: els mestres d'obra, la mà d'obra, els materials i els mitjans auxiliars. En cadascun d'aquests capítols s'ha incidit sobre el rol dels diferents treballadors durant la construcció del temple, els materials utilitzats i les seves característiques (pedra, fusta, aglomerants, etc.) i els mitjans auxiliars utilitzats per col.locar aquests materials en obra. S'han separat els mestres d'obres de la resta de treballadors ja que els primers juguen un rol diferenciat dels segons. S'ha intentat analitzar en ambdós casos els seus sous i les tasques de cadascun d'ells. Pel que fa als materials també s'ha procedit a analitzar d'on s'extreuen, com han arribat a peu d'obra i on s'emmagatzemen i manipulen o transformen abans d'ésser col.locats en obra. Dels mitjans auxiliars s'ha intentat analitzar les funcions per la qual es fan servir les eines (apareixen totes les de l'ofici de pedrer), els enginys (elevar pesos), les bastides (poder treballar en alçada) i el encofrats (garantir la resistència inicial dels elements constructius). Evidentment s'han establert unes conclusions de cadascuna de les parts i unes conclusions finals. La tesi també inclou els agraïments corresponents, el prefaci i la bibliografia.

A nonparametric ensemble transform method for Bayesian inference

Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman filters (EnKFs). These methods differ in the way Bayesian inference is implemented. Sequential Monte Carlo methods rely on importance sampling combined with a resampling step, while EnKFs utilize a linear transformation of Monte Carlo samples based on the classic Kalman filter. While EnKFs have proven to be quite robust even for small ensemble sizes, they are not consistent since their derivation relies on a linear regression ansatz. In this paper, we propose another transform method, which does not rely on any a priori assumptions on the underlying prior and posterior distributions. The new method is based on solving an optimal transportation problem for discrete random variables. © 2013, Society for Industrial and Applied Mathematics

Forecasting with difference and trend stationary models

Although difference-stationary (DS) and trend-stationary (TS) processes have been subject to considerable analysis, there are no direct comparisons for each being the data-generation process (DGP). We examine incorrect choice between these models for forecasting for both known and estimated parameters. Three sets of Monte Carlo simulations illustrate the analysis, to evaluate the biases in conventional standard errors when each model is mis-specified, compute the relative mean-square forecast errors of the two models for both DGPs, and investigate autocorrelated errors, so both models can better approximate the converse DGP. The outcomes are surprisingly different from established results.

On SETAR non-linearity and forecasting

We compare linear autoregressive (AR) models and self-exciting threshold autoregressive (SETAR) models in terms of their point forecast performance, and their ability to characterize the uncertainty surrounding those forecasts, i.e. interval or density forecasts. A two-regime SETAR process is used as the data-generating process in an extensive set of Monte Carlo simulations, and we consider the discriminatory power of recently developed methods of forecast evaluation for different degrees of non-linearity. We find that the interval and density evaluation methods are unlikely to show the linear model to be deficient on samples of the size typical for macroeconomic data

“Les petits renards qui détruisent la Vigne du Seigneur Sabaoth”. Innocent III et le Cantique des cantiques

This article examines medieval interpretations of the Song of Songs and their appearance in the correspondence of one of the greatest popes of the High Middle Ages: Innocent III (1198-1216). Innocent III’s depiction of heretics in the south of France as ‘the little foxes which destroy the vineyard of the Lord of Hosts’ was not unprecedented: decades earlier Saint Bernard of Clairvaux had also likened the ‘little foxes’ to heretics in his sermons. Bernard’s renown both as mystical theologian and tireless political advocate of the papacy meant that Innocent is likely to have drawn on such sermons for inspiration when composing his correspondence to the Christian faithful. Innocent’s references to the Song of Songs also provide conclusive evidence that a significant number of his letters have a highly personal flavour and that we really can discern a pope’s own ‘voice’ through his correspondence.

Meta-analysis to integrate effect sizes within a paper: Possible misuse and Type-1 error inflation

In recent years an increasing number of papers have employed meta-analysis to integrate effect sizes of researchers’ own series of studies within a single paper (“internal meta-analysis”). Although this approach has the obvious advantage of obtaining narrower confidence intervals, we show that it could inadvertently inflate false-positive rates if researchers are motivated to use internal meta-analysis in order to obtain a significant overall effect. Specifically, if one decides whether to stop or continue a further replication experiment depending on the significance of the results in an internal meta-analysis, false-positive rates would increase beyond the nominal level. We conducted a set of Monte-Carlo simulations to demonstrate our argument, and provided a literature review to gauge awareness and prevalence of this issue. Furthermore, we made several recommendations when using internal meta-analysis to make a judgment on statistical significance.

Critical discontinuous phase transition in the threshold contact process

We analyze a threshold contact process on a square lattice in which particles are created on empty sites with at least two neighboring particles and are annihilated spontaneously. We show by means of Monte Carlo simulations that the process undergoes a discontinuous phase transition at a definite value of the annihilation parameter, in accordance with the Gibbs phase rule, and that the discontinuous transition exhibits critical behavior. The simulations were performed by using boundary conditions in which the sites of the border of the lattice are permanently occupied by particles.

Automação da drenagem no teste de produção convencional em tanque cilíndrico

This document aims to improve the quality of the production test in vertical tanks with free water drain pipes, through a device to control the draining system. This proposal consists of an interface detector close to the tank bottle and a control valve on the pipe-drain; they are attached to a remote supervisor system, which will be minimizing the human influence in the conclusion of the test result. And for more consciousness the work shows the importance of the wells production test in the attendance and diagnosis of the productive process, informing the large number of tests executed and problems of the procedure adopted in the field today. There are many possible sources of uncertainty in this kind of test as shown in the experiments realized in the field; the object prototype of this dissertation will be made in the field, based upon the definition of parameters and characteristics of the devices proposal. For a better definition of the draining process the action results of the assessment test are shown, especially changed some for the understand ing of the real process. It shows the proposal details and the configuration that will be used in the tank of Monte Alegre s field Production Station, explaining the interface detector kind and the control system. It is the base to a pilot project now in development, named as the new project classified in the status of the new technology and production improvement of PETROBRAS in Rio Grande do Norte and Ceará. This dissertation concludes that the automation of the conventional test with the draining system will bring benefits both economically as metrologically, because it reduces the uncertainty of the test procedures with free water draining, and also decreases the number of tests with problems

Análise de DFA e de agrupamento do perfil de densidade de poços de petróleo

In recent years, the DFA introduced by Peng, was established as an important tool capable of detecting long-range autocorrelation in time series with non-stationary. This technique has been successfully applied to various areas such as: Econophysics, Biophysics, Medicine, Physics and Climatology. In this study, we used the DFA technique to obtain the Hurst exponent (H) of the profile of electric density profile (RHOB) of 53 wells resulting from the Field School of Namorados. In this work we want to know if we can or not use H to spatially characterize the spatial data field. Two cases arise: In the first a set of H reflects the local geology, with wells that are geographically closer showing similar H, and then one can use H in geostatistical procedures. In the second case each well has its proper H and the information of the well are uncorrelated, the profiles show only random fluctuations in H that do not show any spatial structure. Cluster analysis is a method widely used in carrying out statistical analysis. In this work we use the non-hierarchy method of k-means. In order to verify whether a set of data generated by the k-means method shows spatial patterns, we create the parameter Ω (index of neighborhood). High Ω shows more aggregated data, low Ω indicates dispersed or data without spatial correlation. With help of this index and the method of Monte Carlo. Using Ω index we verify that random cluster data shows a distribution of Ω that is lower than actual cluster Ω. Thus we conclude that the data of H obtained in 53 wells are grouped and can be used to characterize space patterns. The analysis of curves level confirmed the results of the k-means

Caracterização da água da microbacia do córrego rico avaliada pelo índice de qualidade de água e de estado trófico

A avaliação do índice de qualidade da água (IQA) e do índice de estado trófico médio (IETm) pode subsidiar a formulação de planos de manejo e gestão de sistemas aquáticos. Neste trabalho, foi avaliada a qualidade da água da microbacia do Córrego Rico, que abastece a cidade de Jaboticabal (SP), utilizando o IQA e IETm. As amostragens de água foram realizadas entre setembro-2007 e agosto-2008, em três pontos: a) em uma das nascentes; b) após a Estação de Tratamento de Esgoto de Monte Alto, e c) na captação de água para abastecimento público de Jaboticabal. As amostras foram analisadas quanto aos parâmetros físicos, químicos e microbiológicos: temperatura, oxigênio dissolvido, pH, DBO5, nitrogênio total, fósforo total, turbidez, resíduo total, ortofosfato, clorofila-a e Escherichia coli. de acordo com os resultados obtidos, concluiu-se que: a) as atividades antrópicas às margens do Córrego Rico reduzem a qualidade de sua água, durante os diferentes períodos do ano; b) os valores médios de IQA nos três pontos analisados apresentaram relação direta com os valores médios de IETm, porém ocorreu maior discriminação da qualidade da água pelo IETm, identificando diferentes graus de trofia para os pontos e períodos de amostragens; c) o IQA apresentou melhor diferenciação da qualidade da água entre pontos no período seco e o IETm diferenciou melhor no período chuvoso; d) o processo de autodepuração e/ou a confluência do Córrego Tijuco com o Córrego Rico contribuem para melhor qualidade da água, tornando-a adequada ao abastecimento urbano após tratamento convencional.