Fitting spatial models in the R package: hglm

We present a new version of the hglm package for fittinghierarchical generalized linear models (HGLM) with spatially correlated random effects. A CAR family for conditional autoregressive random effects was implemented. Eigen decomposition of the matrix describing the spatial structure (e.g. the neighborhood matrix) was used to transform the CAR random effectsinto an independent, but heteroscedastic, gaussian random effect. A linear predictor is fitted for the random effect variance to estimate the parameters in the CAR model.This gives a computationally efficient algorithm for moderately sized problems (e.g. n<5000).

Fitting conditional and simultaneous autoregressive spatial models in hglm

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.

Analysis Of Semi-Distributed And Global Hydrological Models In The Central Tropical Basins Of The Gulf Of Mexico To The Effects Of Extreme Hydrometeorological Phenomena

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.

Tests of conditional asset pricing models in the brazilian stock market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference between the 3-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from individual securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be important for the appropriate pricing of the portfolios.

A few more moments to finance theory: introducing higher moments in investment theory and econometrics

None

The Capm and Fama-French models in Brazil: a comparative study

This paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as a benchmark for comparative purposes. We use two competing econometric methods, the Generalized Method of Moments (GMM) by (Hansen, 1982) and the Iterative Nonlinear Seemingly Unrelated Regression Estimation (ITNLSUR) by Burmeister and McElroy (1988). Both methods nest other options based on the procedure by Fama-MacBeth (1973). The estimations show that the FF model fits the Brazilian data better than CAPM, however it is imprecise compared with the US analog. We argue that this is a consequence of an absence of clear-cut anomalies in Brazilian data, specially those related to firm size. The tests on the efficiency of the models - nullity of intercepts and fitting of the cross-sectional regressions - presented mixed conclusions. The tests on intercept failed to rejected the CAPM when Brazilian value-premium-wise portfolios were used, contrasting with US data, a very well documented conclusion. The ITNLSUR has estimated an economically reasonable and statistically significant market risk premium for Brazil around 6.5% per year without resorting to any particular data set aggregation. However, we could not find the same for the US data during identical period or even using a larger data set. Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são Infrontados, os modelos Capital Asset Pricing Model (CAPM)e de 3 fatores de Fama-French. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ao ano.

Factors affecting the technical efficiency of production of the Brazilian banking system : a comparison of four statistical models in the context of data envelopment analysis

This paper uses an output oriented Data Envelopment Analysis (DEA) measure of technical efficiency to assess the technical efficiencies of the Brazilian banking system. Four approaches to estimation are compared in order to assess the significance of factors affecting inefficiency. These are nonparametric Analysis of Covariance, maximum likelihood using a family of exponential distributions, maximum likelihood using a family of truncated normal distributions, and the normal Tobit model. The sole focus of the paper is on a combined measure of output and the data analyzed refers to the year 2001. The factors of interest in the analysis and likely to affect efficiency are bank nature (multiple and commercial), bank type (credit, business, bursary and retail), bank size (large, medium, small and micro), bank control (private and public), bank origin (domestic and foreign), and non-performing loans. The latter is a measure of bank risk. All quantitative variables, including non-performing loans, are measured on a per employee basis. The best fits to the data are provided by the exponential family and the nonparametric Analysis of Covariance. The significance of a factor however varies according to the model fit although it can be said that there is some agreements between the best models. A highly significant association in all models fitted is observed only for nonperforming loans. The nonparametric Analysis of Covariance is more consistent with the inefficiency median responses observed for the qualitative factors. The findings of the analysis reinforce the significant association of the level of bank inefficiency, measured by DEA residuals, with the risk of bank failure.

Applying supply chain management models in the banking industry: a brazilian case analysis

The study presents the results and recommendations deriving from the application of two supply chain management analysis models as proposed by the Supply Chain Council (SCOR, version 10.0) and by Lambert (1997, Framework for Supply Chain Management) on the logistics of cash transfers in Brazil. Cash transfers consist of the transportation of notes to and from each node of the complex network formed by the bank branches, ATMs, armored transportation providers, the government custodian, Brazilian Central Bank and financial institutions. Although the logistic to sustain these operations is so wide-ranged (country-size), complex and subject to a lot of financial regulations and security procedures, it has been detected that it was probably not fully integrated. Through the use of a primary and a secondary data research and analysis, using the above mentioned models, the study ends up with propositions to strongly improve the operations efficiency

The historic religious buildings of Ribeira Grande: implementation of christian models in the early colonies, 15th till 17th century, on the example of Cape Verde Islands

Rui Carita

Local Field Potentials in the Gustatory Cortex Carry Taste Information

It has been recently shownthat localfield potentials (LFPs)fromthe auditory and visual cortices carry information about sensory stimuli, but whether this is a universal property of sensory cortices remains to be determined. Moreover, little is known about the temporal dynamics of sensory information contained in LFPs following stimulus onset. Here we investigated the time course of the amount of stimulus information in LFPs and spikes from the gustatory cortex of awake rats subjected to tastants and water delivery on the tongue. We found that the phase and amplitude of multiple LFP frequencies carry information about stimuli, which have specific time courses after stimulus delivery. The information carried by LFP phase and amplitude was independent within frequency bands, since the joint information exhibited neither synergy nor redundancy. Tastant information in LFPs was also independent and had a different time course from the information carried by spikes. These findings support the hypothesis that the brain uses different frequency channels to dynamically code for multiple features of a stimulus.

Accelerated aging and seedling field emergence in soybean

Informações sobre a relação entre resultados de testes de vigor conduzidos em laboratório e da emergência de plântulas em campo são fundamentais para a tomada de decisões pelos produtores de sementes. O presente trabalho teve por objetivo verificar a associação entre os resultados do teste de envelhecimento acelerado e a emergência de plântulas de soja [Glycine max (L.) Merrill] em campo, em diferentes safras agrícolas e épocas de semeadura. Assim, foram efetuadas as seguintes avaliações: determinação do grau de umidade das sementes; testes de germinação, de envelhecimento acelerado e de condutividade elétrica, bem como emergência de plântulas em campo. A estimativa mais precisa do desempenho das plântulas em campo foi verificada numa faixa de valores de envelhecimento acelerado > 90%, estimando emergência em campo superior a 80% (r² = 0,90). O teste de envelhecimento acelerado permitiu avaliar a emergência de plântulas de soja em campo. No entanto, à medida que as condições ambientais do local de semeadura foram desviando-se das mais adequadas, a eficiência decresceu.

Estimates of genetic parameters for scrotal circumference using random regression models in Nelore cattle

A total of 15,901 scrotal circumference (SC) records from 5300 Nelore bulls, ranging from 229 to 560 days of age, were used with the objective of estimating (co)variance functions for SC, using random regression models. Models included the fixed effects of contemporary group and age of dam at calving as covariable (linear and quadratic effects). To model the population mean trend, a third order Legendre polynomial on animal age was utilized. The direct additive genetic and animal permanent environmental random effects were modeled by Legendre polynomials on animal age, with orders of fit ranging from 1 to 5. Residual variances were modeled considering 1 (homogeneity of variance) or 4 age classes. Results obtained with the random regression models were compared to multi-trait analysis. (Co)variance estimates using multi-trait and random regression models were similar. The model considering a third- and fifth-order Legendre polynomials for additive genetic and animal permanent environmental effects, respectively, was the most adequate to model changes in variance of SC with age. Heritability estimates for SC ranged from 0.24 (229 days of age) to 0.47 (300 days of age), remained almost constant until 500 days of age (0.52), decreasing thereafter (0.44). In general, the genetic correlations between measures of scrotal circumference obtained from 229 to 560 days of age decreased with increasing distance between ages. For genetic evaluation scrotal circumference could be measured between 400 and 500 days of age. (C) 2010 Elsevier B.V. All rights reserved.