Computational tools for comparing asymmetric GARCH models via Bayes factors

In this paper we use Markov chain Monte Carlo (MCMC) methods in order to estimate and compare GARCH models from a Bayesian perspective. We allow for possibly heavy tailed and asymmetric distributions in the error term. We use a general method proposed in the literature to introduce skewness into a continuous unimodal and symmetric distribution. For each model we compute an approximation to the marginal likelihood, based on the MCMC output. From these approximations we compute Bayes factors and posterior model probabilities. (C) 2012 IMACS. Published by Elsevier B.V. All rights reserved.

Metropolitan and regional health planning: dilemmas of the Pact for Health in the Baixada Santista Metropolitan Area, Sao Paulo State, Brazil

This paper focuses on the relationship between metropolitan and regional health planning based on the processes of regionalization and the Pact for Health in the Baixada Santista Metropolitan Area, Sao Paulo State, Brazil. The method used was a case study in two stages, namely during initial implementation of the Pact for Health (2007) and the Regional Administration Committees (CGR) and in 2010. Municipal and regional health systems managers and the director of the Metropolitan Agency were interviewed, and records were analyzed from ten years of meetings of the Regional Inter-Administration Committee and the Regional Development Council. Four issues emerged: financing and infrastructure; health services utilization; inefficiency of the Regional Health Administration's instruments and decision-making levels; and the relationship between different levels in the Administration. Metropolitan health management remained as an underlying issue, appearing only incidentally or tangentially to regional management. Despite some limitations, the CGR has been legitimized as a space for regional health management.

Parameter recovery for a skew-normal IRT model under a Bayesian approach: hierarchical framework, prior and kernel sensitivity and sample size

Item response theory (IRT) comprises a set of statistical models which are useful in many fields, especially when there is an interest in studying latent variables (or latent traits). Usually such latent traits are assumed to be random variables and a convenient distribution is assigned to them. A very common choice for such a distribution has been the standard normal. Recently, Azevedo et al. [Bayesian inference for a skew-normal IRT model under the centred parameterization, Comput. Stat. Data Anal. 55 (2011), pp. 353-365] proposed a skew-normal distribution under the centred parameterization (SNCP) as had been studied in [R. B. Arellano-Valle and A. Azzalini, The centred parametrization for the multivariate skew-normal distribution, J. Multivariate Anal. 99(7) (2008), pp. 1362-1382], to model the latent trait distribution. This approach allows one to represent any asymmetric behaviour concerning the latent trait distribution. Also, they developed a Metropolis-Hastings within the Gibbs sampling (MHWGS) algorithm based on the density of the SNCP. They showed that the algorithm recovers all parameters properly. Their results indicated that, in the presence of asymmetry, the proposed model and the estimation algorithm perform better than the usual model and estimation methods. Our main goal in this paper is to propose another type of MHWGS algorithm based on a stochastic representation (hierarchical structure) of the SNCP studied in [N. Henze, A probabilistic representation of the skew-normal distribution, Scand. J. Statist. 13 (1986), pp. 271-275]. Our algorithm has only one Metropolis-Hastings step, in opposition to the algorithm developed by Azevedo et al., which has two such steps. This not only makes the implementation easier but also reduces the number of proposal densities to be used, which can be a problem in the implementation of MHWGS algorithms, as can be seen in [R.J. Patz and B.W. Junker, A straightforward approach to Markov Chain Monte Carlo methods for item response models, J. Educ. Behav. Stat. 24(2) (1999), pp. 146-178; R. J. Patz and B. W. Junker, The applications and extensions of MCMC in IRT: Multiple item types, missing data, and rated responses, J. Educ. Behav. Stat. 24(4) (1999), pp. 342-366; A. Gelman, G.O. Roberts, and W.R. Gilks, Efficient Metropolis jumping rules, Bayesian Stat. 5 (1996), pp. 599-607]. Moreover, we consider a modified beta prior (which generalizes the one considered in [3]) and a Jeffreys prior for the asymmetry parameter. Furthermore, we study the sensitivity of such priors as well as the use of different kernel densities for this parameter. Finally, we assess the impact of the number of examinees, number of items and the asymmetry level on the parameter recovery. Results of the simulation study indicated that our approach performed equally as well as that in [3], in terms of parameter recovery, mainly using the Jeffreys prior. Also, they indicated that the asymmetry level has the highest impact on parameter recovery, even though it is relatively small. A real data analysis is considered jointly with the development of model fitting assessment tools. The results are compared with the ones obtained by Azevedo et al. The results indicate that using the hierarchical approach allows us to implement MCMC algorithms more easily, it facilitates diagnosis of the convergence and also it can be very useful to fit more complex skew IRT models.

Electronic Properties of Water in Liquid Environment. A Sequential QM/MM Study Using the Free Energy Gradient Method

There is a continuous search for theoretical methods that are able to describe the effects of the liquid environment on molecular systems. Different methods emphasize different aspects, and the treatment of both the local and bulk properties is still a great challenge. In this work, the electronic properties of a water molecule in liquid environment is studied by performing a relaxation of the geometry and electronic distribution using the free energy gradient method. This is made using a series of steps in each of which we run a purely molecular mechanical (MM) Monte Carlo Metropolis simulation of liquid water and subsequently perform a quantum mechanical/molecular mechanical (QM/MM) calculation of the ensemble averages of the charge distribution, atomic forces, and second derivatives. The MP2/aug-cc-pV5Z level is used to describe the electronic properties of the QM water. B3LYP with specially designed basis functions are used for the magnetic properties. Very good agreement is found for the local properties of water, such as geometry, vibrational frequencies, dipole moment, dipole polarizability, chemical shift, and spin-spin coupling constants. The very good performance of the free energy method combined with a QM/MM approach along with the possible limitations are briefly discussed.

Calculations of the spectral shifts and line profiles of alkaline earth atoms in liquid helium environment

Liquid configurations generated by Metropolis Monte Carlo simulations are used in time-dependent density functional theory calculations of the spectral line shifts and line profiles of the lowest lying excitation of the alkaline earth atoms, Be, Mg, Ca, Sr and Ba embedded in liquid helium. The results are in very good agreement with the available experimental data. Special attention is given to the calculated spectroscopic shift and the associated line broadening. The analysis specifies the inhomogeneous broadening of the three separate contributions due to the splitting of the s -> p transition of the alkaline earth atom in the liquid environment. (C) 2012 Elsevier B. V. All rights reserved.

Composição e uso de ladrilhos nos quadros de portas e janelas em construções urbanas do século XVIII.

O artigo apresenta a caraterização e a análise dos ladrilhos utilizados em construções do século XVIII, na cidade de Paranaguá, no Estado do Paraná, avaliando principalmente sua composição química. Através da análise de microscópio eletrônico de varredura foi possível coletar informações que permitiram interpretações sobre a composição dessas peças. Em Paranaguá, grande parte das edificações setecentistas possui paredes em alvenaria de pedra enquanto a utilização desses ladrilhos esteve restrita às estruturas dos quadros de portas e janelas, como alternativa às vergas e umbrais de cantaria ou madeira usados em construções até a primeira metade do século XIX. Algumas ruínas existentes no centro histórico revelam fortes indícios dos materiais empregados, modo de assentamento e dimensões desses ladrilhos. Essas peças são mais delgadas do que os tijolos, ressaltando que estes elementos foram bastante empregados a partir da segunda metade do século XIX. Observando os ladrilhos a olho nu, é possível verificar a variedade de agregados que compõem as argilas. Sendo assim, este trabalho é uma contribuição para a história dos materiais e das técnicas construtivas da cidade de Paranaguá e sua relação de influências com a metrópole portuguesa, ao mesmo tempo em que permitiu apropriações e adaptações locais.

Metrópole e região: dilemas da pactuação da saúde. O caso da Região Metropolitana da Baixada Santista, São Paulo, Brasil

O trabalho aborda aspectos da relação entre metropolização e regionalização em saúde, tendo por base os processos de regionalização e pactuação na Região Metropolitana da Baixada Santista, São Paulo, Brasil. Trata-se de estudo de caso, realizado em dois momentos: o primeiro, no início da implementação do Pacto pela Saúde (2007) e dos Colegiados de Gestão Regional (CGR), e o segundo, em 2010. Foram entrevistados gestores municipais e regionais do SUS e a direção da Agência Metropolitana. Também foram analisadas atas de dez anos de reuniões da Comissão Intergestora Regional e do Conselho de Desenvolvimento da Baixada Santista. Emergiram quatro grandes temas: financiamento e infraestrutura; utilização de serviços; ineficiência das instâncias e instrumentos de gestão; relação entre os níveis de gestão. Permaneceu latente a questão da metropolização, que aparece de forma incipiente ou tangencial à gestão regional. Avalia-se que apesar de algumas limitações, o CGR vem se legitimando como espaço de gestão regional.

Study of surface free energy on a lattice-gas model applied to Liquid bridge

The pulmonary crackling and the formation of liquid bridges are problems that for centuries have been attracting the attention of scientists. In order to study these phenomena, it was developed a canonical cubic lattice-gas­ like model to explain the rupture of liquid bridges in lung airways [A. Alencar et al., 2006, PRE]. Here, we further develop this model and add entropy analysis to study thermodynamic properties, such as free energy and force. The simulations were performed using the Monte Carlo method with Metropolis algorithm. The exchange between gas and liquid particles were performed randomly according to the Kawasaki dynamics and weighted by the Boltzmann factor. Each particle, which can be solid (s), liquid (l) or gas (g), has 26 neighbors: 6 + 12 + 8, with distances 1, √2 and √3, respectively. The energy of a lattice's site m is calculated by the following expression: Em = ∑k=126 Ji(m)j(k) in witch (i, j) = g, l or s. Specifically, it was studied the surface free energy of the liquid bridge, trapped between two planes, when its height is changed. For that, was considered two methods. First, just the internal energy was calculated. Then was considered the entropy. It was fond no difference in the surface free energy between this two methods. We calculate the liquid bridge force between the two planes using the numerical surface free energy. This force is strong for small height, and decreases as the distance between the two planes, height, is increased. The liquid-gas system was also characterized studying the variation of internal energy and heat capacity with the temperature. For that, was performed simulation with the same proportion of liquid and gas particle, but different lattice size. The scale of the liquid-gas system was also studied, for low temperature, using different values to the interaction Jij.

Essays on Bayesian Inference for Social Networks

This thesis presents Bayesian solutions to inference problems for three types of social network data structures: a single observation of a social network, repeated observations on the same social network, and repeated observations on a social network developing through time. A social network is conceived as being a structure consisting of actors and their social interaction with each other. A common conceptualisation of social networks is to let the actors be represented by nodes in a graph with edges between pairs of nodes that are relationally tied to each other according to some definition. Statistical analysis of social networks is to a large extent concerned with modelling of these relational ties, which lends itself to empirical evaluation. The first paper deals with a family of statistical models for social networks called exponential random graphs that takes various structural features of the network into account. In general, the likelihood functions of exponential random graphs are only known up to a constant of proportionality. A procedure for performing Bayesian inference using Markov chain Monte Carlo (MCMC) methods is presented. The algorithm consists of two basic steps, one in which an ordinary Metropolis-Hastings up-dating step is used, and another in which an importance sampling scheme is used to calculate the acceptance probability of the Metropolis-Hastings step. In paper number two a method for modelling reports given by actors (or other informants) on their social interaction with others is investigated in a Bayesian framework. The model contains two basic ingredients: the unknown network structure and functions that link this unknown network structure to the reports given by the actors. These functions take the form of probit link functions. An intrinsic problem is that the model is not identified, meaning that there are combinations of values on the unknown structure and the parameters in the probit link functions that are observationally equivalent. Instead of using restrictions for achieving identification, it is proposed that the different observationally equivalent combinations of parameters and unknown structure be investigated a posteriori. Estimation of parameters is carried out using Gibbs sampling with a switching devise that enables transitions between posterior modal regions. The main goal of the procedures is to provide tools for comparisons of different model specifications. Papers 3 and 4, propose Bayesian methods for longitudinal social networks. The premise of the models investigated is that overall change in social networks occurs as a consequence of sequences of incremental changes. Models for the evolution of social networks using continuos-time Markov chains are meant to capture these dynamics. Paper 3 presents an MCMC algorithm for exploring the posteriors of parameters for such Markov chains. More specifically, the unobserved evolution of the network in-between observations is explicitly modelled thereby avoiding the need to deal with explicit formulas for the transition probabilities. This enables likelihood based parameter inference in a wider class of network evolution models than has been available before. Paper 4 builds on the proposed inference procedure of Paper 3 and demonstrates how to perform model selection for a class of network evolution models.

Beatrice Potter e la signora Webb. La politica come amministrazione del carattere

La tesi affronta la vita e la riflessione politica di Beatrice Potter collocandola all’interno del pensiero politico britannico ed europeo della fine dell’Ottocento e dei primi decenni del Novecento. Rispetto alla maggior parte della bibliografia disponibile, risulta un’autonomia e un’originalità anche rispetto alla riflessione del marito Sidney Webb. La riflessione politica di Potter è caratterizzata in primo luogo dalla ricerca del significato immediatamente politico di quella scienza sociale, che si sta affermando come approccio scientifico dominante nell’intero panorama europeo. Il lavoro è diviso in tre ampi capitoli così suddivisi: il primo ricostruisce l’eredità intellettuale di Potter, con particolare attenzione al rapporto con la filosofia evoluzionista di Herbert Spencer, suo mentore e amico. In questo capitolo vengono anche discussi i contributi di John Stuart Mill, Joseph Chamberlain, Alfred Marshall e Karl Marx e la loro influenza sull’opera di Potter. Il secondo capitolo prende in esame la sua opera prima dell’incontro con il marito e mostra come lo studio della povertà, del lavoro, della metropoli, della cooperazione e delle condizioni delle donne getti le basi di tutta la produzione successiva della partnership. Lo studio politico della povertà, cioè la messa a punto di una scienza amministrativa del carattere sociale del lavoro, rappresenta uno degli elementi principali di quella che viene qui definita un’epistemologia della democrazia. Il terzo capitolo riprende il tema cruciale della democrazia nella sua accezione «industriale» e indaga il ruolo funzionale dello Stato, anche in relazione alla teoria pluralista di Harold Laski, al socialismo guildista di George D. H. Cole e all’idealismo di Bernard Bosanquet. Centrale in questo confronto del pensiero di Potter con il più ampio dibattito degli anni venti e trenta sulla sovranità è la concezione della decadenza della civiltà capitalista e dell’emergere di una new civilisation, dopo la conversione al comunismo sovietico.

Posterior Simulation in the Generalized Linear Model with Semiparmetric Random Effects

Generalized linear mixed models with semiparametric random effects are useful in a wide variety of Bayesian applications. When the random effects arise from a mixture of Dirichlet process (MDP) model, normal base measures and Gibbs sampling procedures based on the Pólya urn scheme are often used to simulate posterior draws. These algorithms are applicable in the conjugate case when (for a normal base measure) the likelihood is normal. In the non-conjugate case, the algorithms proposed by MacEachern and Müller (1998) and Neal (2000) are often applied to generate posterior samples. Some common problems associated with simulation algorithms for non-conjugate MDP models include convergence and mixing difficulties. This paper proposes an algorithm based on the Pólya urn scheme that extends the Gibbs sampling algorithms to non-conjugate models with normal base measures and exponential family likelihoods. The algorithm proceeds by making Laplace approximations to the likelihood function, thereby reducing the procedure to that of conjugate normal MDP models. To ensure the validity of the stationary distribution in the non-conjugate case, the proposals are accepted or rejected by a Metropolis-Hastings step. In the special case where the data are normally distributed, the algorithm is identical to the Gibbs sampler.

Bayesian Hidden Markov Modeling of Array CGH Data

Genomic alterations have been linked to the development and progression of cancer. The technique of Comparative Genomic Hybridization (CGH) yields data consisting of fluorescence intensity ratios of test and reference DNA samples. The intensity ratios provide information about the number of copies in DNA. Practical issues such as the contamination of tumor cells in tissue specimens and normalization errors necessitate the use of statistics for learning about the genomic alterations from array-CGH data. As increasing amounts of array CGH data become available, there is a growing need for automated algorithms for characterizing genomic profiles. Specifically, there is a need for algorithms that can identify gains and losses in the number of copies based on statistical considerations, rather than merely detect trends in the data. We adopt a Bayesian approach, relying on the hidden Markov model to account for the inherent dependence in the intensity ratios. Posterior inferences are made about gains and losses in copy number. Localized amplifications (associated with oncogene mutations) and deletions (associated with mutations of tumor suppressors) are identified using posterior probabilities. Global trends such as extended regions of altered copy number are detected. Since the posterior distribution is analytically intractable, we implement a Metropolis-within-Gibbs algorithm for efficient simulation-based inference. Publicly available data on pancreatic adenocarcinoma, glioblastoma multiforme and breast cancer are analyzed, and comparisons are made with some widely-used algorithms to illustrate the reliability and success of the technique.