934 resultados para RANDOM PERMUTATION MODEL
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A generalised model for the prediction of single char particle gasification dynamics, accounting for multi-component mass transfer with chemical reaction, heat transfer, as well as structure evolution and peripheral fragmentation is developed in this paper. Maxwell-Stefan analysis is uniquely applied to both micro and macropores within the framework of the dusty-gas model to account for the bidisperse nature of the char, which differs significantly from the conventional models that are based on a single pore type. The peripheral fragmentation and random-pore correlation incorporated into the model enable prediction of structure/reactivity relationships. The occurrence of chemical reaction within the boundary layer reported by Biggs and Agarwal (Chem. Eng. Sci. 52 (1997) 941) has been confirmed through an analysis of CO/CO2 product ratio obtained from model simulations. However, it is also quantitatively observed that the significance of boundary layer reaction reduces notably with the reduction of oxygen concentration in the flue gas, operational pressure and film thickness. Computations have also shown that in the presence of diffusional gradients peripheral fragmentation occurs in the early stages on the surface, after which conversion quickens significantly due to small particle size. Results of the early commencement of peripheral fragmentation at relatively low overall conversion obtained from a large number of simulations agree well with experimental observations reported by Feng and Bhatia (Energy & Fuels 14 (2000) 297). Comprehensive analysis of simulation results is carried out based on well accepted physical principles to rationalise model prediction. (C) 2001 Elsevier Science Ltd. AH rights reserved.
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In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We also conduct a small sample study for one of the test statistics through a simulated example. (C) 2002 Elsevier Science (USA).
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Fixed-point roundoff noise in digital implementation of linear systems arises due to overflow, quantization of coefficients and input signals, and arithmetical errors. In uniform white-noise models, the last two types of roundoff errors are regarded as uniformly distributed independent random vectors on cubes of suitable size. For input signal quantization errors, the heuristic model is justified by a quantization theorem, which cannot be directly applied to arithmetical errors due to the complicated input-dependence of errors. The complete uniform white-noise model is shown to be valid in the sense of weak convergence of probabilistic measures as the lattice step tends to zero if the matrices of realization of the system in the state space satisfy certain nonresonance conditions and the finite-dimensional distributions of the input signal are absolutely continuous.
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The Load-Unload Response Ratio (LURR) method is an intermediate-term earthquake prediction approach that has shown considerable promise. It involves calculating the ratio of a specified energy release measure during loading and unloading where loading and unloading periods are determined from the earth tide induced perturbations in the Coulomb Failure Stress on optimally oriented faults. In the lead-up to large earthquakes, high LURR values are frequently observed a few months or years prior to the event. These signals may have a similar origin to the observed accelerating seismic moment release (AMR) prior to many large earthquakes or may be due to critical sensitivity of the crust when a large earthquake is imminent. As a first step towards studying the underlying physical mechanism for the LURR observations, numerical studies are conducted using the particle based lattice solid model (LSM) to determine whether LURR observations can be reproduced. The model is initialized as a heterogeneous 2-D block made up of random-sized particles bonded by elastic-brittle links. The system is subjected to uniaxial compression from rigid driving plates on the upper and lower edges of the model. Experiments are conducted using both strain and stress control to load the plates. A sinusoidal stress perturbation is added to the gradual compressional loading to simulate loading and unloading cycles and LURR is calculated. The results reproduce signals similar to those observed in earthquake prediction practice with a high LURR value followed by a sudden drop prior to macroscopic failure of the sample. The results suggest that LURR provides a good predictor for catastrophic failure in elastic-brittle systems and motivate further research to study the underlying physical mechanisms and statistical properties of high LURR values. The results provide encouragement for earthquake prediction research and the use of advanced simulation models to probe the physics of earthquakes.
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Dissertação de Mestrado, Gestão de Empresa (MBA), 16 de Julho de 2013, Universidade dos Açores.
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We present a new model of the lepton sector that uses a family symmetry A(4) to make predictions for lepton mixing which are invariant under any permutation of the three flavours. We show that those predictions broadly agree with the experimental data, leading to a largish sin(2)theta(12) greater than or similar to 0.34, to vertical bar cos delta vertical bar greater than or similar to 0.7, and to vertical bar 0.5 - sin(2)theta(23)vertical bar greater than or similar to 0.08; cos delta and 0.5 - sin(2)theta(23) are predicted to have identical signs. (C) 2013 Elsevier B.V. All rights reserved.
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Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar, ainda permanecem questões científicas empíricas sobre a identificação do modelo geral teórico de mercado mais adequado para modelar a difusão das séries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investigação da dissertação é duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da memória de longo prazo, debruçando-se sobre o comportamento das séries diárias de retornos dos principais índices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfeiçoamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hipótese de mercado eficiente EMH na presença de séries financeiras com processos sem incrementos independentes e identicamente distribuídos (i.i.d.). O estudo empírico indica a possibilidade de utilização alternativa das obrigações do tesouro (OT’s) com maturidade de longo prazo no cálculo dos retornos do mercado, dado que o seu comportamento nos mercados de dívida soberana reflete a confiança dos investidores nas condições financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difusão de preços definido pelo movimento Browniano geométrico gBm alegue proporcionar um bom ajustamento das séries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independência das inovações residuais são adulterados pelos dados empíricos analisados. Por isso, na procura de evidências sobre a propriedade de memória longa nos mercados recorre-se à rescaled-range analysis R/S e à detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracionário fBm, para estimar o expoente Hurst H em relação às séries de dados completas e para calcular o expoente Hurst “local” H t em janelas móveis. Complementarmente, são realizados testes estatísticos de hipóteses através do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclusão única a partir de todos os métodos sobre a natureza da dependência para o mercado acionista em geral, os resultados empíricos são inconclusivos. Isso quer dizer que o grau de memória de longo prazo e, assim, qualquer classificação, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presença de memória longa, sob a forma de persistência, nos retornos acionistas da Bélgica, Holanda e Portugal. Isto sugere que estes mercados estão mais sujeitos a maior previsibilidade (“efeito José”), mas também a tendências que podem ser inesperadamente interrompidas por descontinuidades (“efeito Noé”), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evidência de dinâmica fractal ter suporte estatístico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hipótese de passeio aleatório com incrementos i.i.d., que é a base da EMH na sua forma fraca. Atendendo a isso, propõem-se contributos para aperfeiçoamento do CAPM, através da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de memória de longo prazo nos índices acionistas, quer quando as séries de retornos seguem um processo i.i.d. não correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com dependência estatística, descrito pelo fBm(em que H é diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML é que a medida de memória de longo prazo, definida por H, é a referência adequada para traduzir o risco em modelos que possam ser aplicados a séries de dados que sigam processos i.i.d. e processos com dependência não linear. Então, estas formulações contemplam a EMH como um caso particular possível.
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We propose a 3-D gravity model for the volcanic structure of the island of Maio (Cape Verde archipelago) with the objective of solving some open questions concerning the geometry and depth of the intrusive Central Igneous Complex. A gravity survey was made covering almost the entire surface of the island. The gravity data was inverted through a non-linear 3-D approach which provided a model constructed in a random growth process. The residual Bouguer gravity field shows a single positive anomaly presenting an elliptic shape with a NWSE trending long axis. This Bouguer gravity anomaly is slightly off-centred with the island but its outline is concordant with the surface exposure of the Central Igneous Complex. The gravimetric modelling shows a high-density volume whose centre of mass is about 4500 m deep. With increasing depth, and despite the restricted gravimetric resolution, the horizontal sections of the model suggest the presence of two distinct bodies, whose relative position accounts for the elongated shape of the high positive Bouguer gravity anomaly. These bodies are interpreted as magma chambers whose coeval volcanic counterparts are no longer preserved. The orientation defined by the two bodies is similar to that of other structures known in the southern group of the Cape Verde islands, thus suggesting a possible structural control constraining the location of the plutonic intrusions.
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OBJECTIVE: The objective of the study was to develop a model for estimating patient 28-day in-hospital mortality using 2 different statistical approaches. DESIGN: The study was designed to develop an outcome prediction model for 28-day in-hospital mortality using (a) logistic regression with random effects and (b) a multilevel Cox proportional hazards model. SETTING: The study involved 305 intensive care units (ICUs) from the basic Simplified Acute Physiology Score (SAPS) 3 cohort. PATIENTS AND PARTICIPANTS: Patients (n = 17138) were from the SAPS 3 database with follow-up data pertaining to the first 28 days in hospital after ICU admission. INTERVENTIONS: None. MEASUREMENTS AND RESULTS: The database was divided randomly into 5 roughly equal-sized parts (at the ICU level). It was thus possible to run the model-building procedure 5 times, each time taking four fifths of the sample as a development set and the remaining fifth as the validation set. At 28 days after ICU admission, 19.98% of the patients were still in the hospital. Because of the different sampling space and outcome variables, both models presented a better fit in this sample than did the SAPS 3 admission score calibrated to vital status at hospital discharge, both on the general population and in major subgroups. CONCLUSIONS: Both statistical methods can be used to model the 28-day in-hospital mortality better than the SAPS 3 admission model. However, because the logistic regression approach is specifically designed to forecast 28-day mortality, and given the high uncertainty associated with the assumption of the proportionality of risks in the Cox model, the logistic regression approach proved to be superior.
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INTRODUCTION: For a long time, the importance of Chagas disease in Mexico, where many regarded it as an exotic malady, was questioned. Considering the great genetic diversity among isolates of Trypanosoma cruzi, the importance of this biological characterization, and the paucity of information on the clinical and biological aspects of Chagas disease in Mexico, this study aimed to identify the molecular and biological characterization of Trypanosoma cruzi isolates from different endemic areas of this country, especially of the State of Jalisco. METHODS: Eight Mexican Trypanosoma cruzi strains were biologically and genetically characterized (PCR specific for Trypanosoma cruzi, multiplex-PCR, amplification of space no transcript of the genes of the mini-exon, amplification of polymorphic regions of the mini-exon, classification by amplification of intergenic regions of the spliced leader genes, RAPD - (random amplified polymorphic DNA). RESULTS: Two profiles of parasitaemia were observed, patent (peak parasitaemia of 4.6×10(6) to 10(7) parasites/mL) and subpatent. In addition, all isolates were able to infect 100% of the animals. The isolates mainly displayed tropism for striated (cardiac and skeletal) muscle. PCR amplification of the mini-exon gene classified the eight strains as TcI. The RAPD technique revealed intraspecies variation among isolates, distinguishing strains isolated from humans and triatomines and according to geographic origin. CONCLUSIONS: The Mexican T. cruzi strains are myotrophic and belong to group TcI.
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We analyze a model where firms chose a production technology which, together with some random event, determines the final emission level. We consider the coexistence of two alternative technologies: a "clean" technology, and a "dirty" technology. The environmental regulation is based on taxes over reported emissions, and on penalties over unreported emissions. We show that the optimal inspection policy is a cut-off strategy, for several scenarios concerning the observability of the adoption of the clean technology and the cost of adopting it. We also show that the optimal inspection policy induces the firm to adopt the clean technology if the adoption cost is not too high, but the cost levels for which the firm adopts it depend on the scenario.
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There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper we develop time varying parameter models which permit cointegration. Time-varying parameter VARs (TVP-VARs) typically use state space representations to model the evolution of parameters. In this paper, we show that it is not sensible to use straightforward extensions of TVP-VARs when allowing for cointegration. Instead we develop a specification which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP-VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving a permanent/transitory variance decomposition for inflation.
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This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this interval can either be fixed or estimated from the data. Our model also allows for a time-varying degree of persistence in the transitory component of inflation. The bounds placed on trend inflation mean that standard econometric methods for estimating linear Gaussian state space models cannot be used and we develop a posterior simulation algorithm for estimating the bounded trend inflation model. In an empirical exercise with CPI inflation we find the model to work well, yielding more sensible measures of trend inflation and forecasting better than popular alternatives such as the unobserved components stochastic volatility model.
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Recent work on optimal monetary and fiscal policy in New Keynesian models suggests that it is optimal to allow steady-state debt to follow a random walk. Leith and Wren-Lewis (2012) consider the nature of the timeinconsistency involved in such a policy and its implication for discretionary policy-making. We show that governments are tempted, given inflationary expectations, to utilize their monetary and fiscal instruments in the initial period to change the ultimate debt burden they need to service. We demonstrate that this temptation is only eliminated if following shocks, the new steady-state debt is equal to the original (efficient) debt level even though there is no explicit debt target in the government’s objective function. Analytically and in a series of numerical simulations we show which instrument is used to stabilize the debt depends crucially on the degree of nominal inertia and the size of the debt-stock. We also show that the welfare consequences of introducing debt are negligible for precommitment policies, but can be significant for discretionary policy. Finally, we assess the credibility of commitment policy by considering a quasi-commitment policy which allows for different probabilities of reneging on past promises. This on-line Appendix extends the results of this paper.
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Recent work on optimal monetary and fiscal policy in New Keynesian models suggests that it is optimal to allow steady-state debt to follow a random walk. Leith and Wren-Lewis (2012) consider the nature of the timeinconsistency involved in such a policy and its implication for discretionary policy-making. We show that governments are tempted, given inflationary expectations, to utilize their monetary and fiscal instruments in the initial period to change the ultimate debt burden they need to service. We demonstrate that this temptation is only eliminated if following shocks, the new steady-state debt is equal to the original (efficient) debt level even though there is no explicit debt target in the government’s objective function. Analytically and in a series of numerical simulations we show which instrument is used to stabilize the debt depends crucially on the degree of nominal inertia and the size of the debt-stock. We also show that the welfare consequences of introducing debt are negligible for precommitment policies, but can be significant for discretionary policy. Finally, we assess the credibility of commitment policy by considering a quasi-commitment policy which allows for different probabilities of reneging on past promises. This on-line Appendix extends the results of this paper.