Vasicek interest rate model

Tässä tutkielmassa estimoidaan korkomallin parametrit Maximum likelihood metodilla sekä näytetään kuinka mallintaa lyhyen koron evoluutiota ja korkokäyrän rakennetta.

A Method for Sky-Condition Classification from Ground-Based Solar Radiation Measurements

Identification of clouds from satellite images is now a routine task. Observation of clouds from the ground, however, is still needed to acquire a complete description of cloud conditions. Among the standard meteorologicalvariables, solar radiation is the most affected by cloud cover. In this note, a method for using global and diffuse solar radiation data to classify sky conditions into several classes is suggested. A classical maximum-likelihood method is applied for clustering data. The method is applied to a series of four years of solar radiation data and human cloud observations at a site in Catalonia, Spain. With these data, the accuracy of the solar radiation method as compared with human observations is 45% when nine classes of sky conditions are to be distinguished, and it grows significantly to almost 60% when samples are classified in only five different classes. Most errors are explained by limitations in the database; therefore, further work is under way with a more suitable database

Polarimetric 3D integral imaging in photon-starved conditions

We develop a method for obtaining 3D polarimetric integral images from elemental images recorded in low light illumination conditions. Since photon-counting images are very sparse, calculation of the Stokes parameters and the degree of polarization should be handled carefully. In our approach, polarimetric 3D integral images are generated using the Maximum Likelihood Estimation and subsequently reconstructed by means of a Total Variation Denoising filter. In this way, polarimetric results are comparable to those obtained in conventional illumination conditions. We also show that polarimetric information retrieved from photon starved images can be used in 3D object recognition problems. To the best of our knowledge, this is the first report on 3D polarimetric photon counting integral imaging.

Using aster multispectral imagery for mapping woody invasive species in pico da vara natural reserve (Azores Islands, Portugal)

This paper aims to assess the effectiveness of ASTER imagery to support the mapping of Pittosporum undulatum, an invasive woody species, in Pico da Vara Natural Reserve (S. Miguel Island, Archipelago of the Azores, Portugal). This assessment was done by applying K-Nearest Neighbor (KNN), Support Vector Machine (SVM) and Maximum Likelihood (MLC) pixel-based supervised classifications to 4 different geographic and remote sensing datasets constituted by the Visible, Near-Infrared (VNIR) and Short Wave Infrared (SWIR) of the ASTER sensor and by digital cartography associated to orography (altitude and "distance to water streams") of which the spatial distribution of Pittosporum undulatum directly depends. Overall, most performed classifications showed a strong agreement and high accuracy. At targeted species level, the two higher classification accuracies were obtained when applying MLC and KNN to the VNIR bands coupled with auxiliary geographic information use. Results improved significantly by including ecology and occurrence information of species (altitude and distance to water streams) in the classification scheme. These results show that the use of ASTER sensor VNIR spectral bands, when coupled to relevant ancillary GIS data, can constitute an effective and low cost approach for the evaluation and continuous assessment of Pittosporum undulatum woodland propagation and distribution within Protected Areas of the Azores Islands.

Comparison of maps of spatial variability of soil resistance to penetration constructed with and without covariables using a spatial linear model

A study about the spatial variability of data of soil resistance to penetration (RSP) was conducted at layers 0.0-0.1 m, 0.1-0.2 m and 0.2-0.3 m depth, using the statistical methods in univariate forms, i.e., using traditional geostatistics, forming thematic maps by ordinary kriging for each layer of the study. It was analyzed the RSP in layer 0.2-0.3 m depth through a spatial linear model (SLM), which considered the layers 0.0-0.1 m and 0.1-0.2 m in depth as covariable, obtaining an estimation model and a thematic map by universal kriging. The thematic maps of the RSP at layer 0.2-0.3 m depth, constructed by both methods, were compared using measures of accuracy obtained from the construction of the matrix of errors and confusion matrix. There are similarities between the thematic maps. All maps showed that the RSP is higher in the north region.

Probabilistic structure of an annual extreme rainfall series of a coastal area of the State of São Paulo, Brazil

This study aimed to describe the probabilistic structure of the annual series of extreme daily rainfall (Preabs), available from the weather station of Ubatuba, State of São Paulo, Brazil (1935-2009), by using the general distribution of extreme value (GEV). The autocorrelation function, the Mann-Kendall test, and the wavelet analysis were used in order to evaluate the presence of serial correlations, trends, and periodical components. Considering the results obtained using these three statistical methods, it was possible to assume the hypothesis that this temporal series is free from persistence, trends, and periodicals components. Based on quantitative and qualitative adhesion tests, it was found that the GEV may be used in order to quantify the probabilities of the Preabs data. The best results of GEV were obtained when the parameters of this function were estimated using the method of maximum likelihood. The method of L-moments has also shown satisfactory results.

Spatial variability of air dry bulb temperature and black globe humidity index in a broiler house during the heating phase

The air dry-bulb temperature (t db),as well as the black globe humidity index (BGHI), exert great influence on the development of broiler chickens during their heating phase. Therefore, the aim of this study was to analyze the structure and the magnitude of the t db and BGHI spatial variability, using geostatistics tools such as semivariogram analysis and also producing kriging maps. The experiment was conducted in the west mesoregion of the states of Minas Gerais in 2010, in a commercial broiler house with heating system consisting of two furnaces that heat the air indirectly, in the firsts 14 days of the birds' life. The data were registered at intervals of five minutes in the period from 8 a.m. to 10 a.m. The variables were evaluated by variograms fitted by residual maximum likelihood (REML) testing the Spherical and Exponential models. Kriging maps were generated based on the best model used to fit the variogram. It was possible to characterize the variability of the t db and BGHI, which allowed observing the spatial dependence by using geostatistics techniques. In addition, the use of geostatistics and distribution maps made possible to identify problems in the heating system in regions inside the broiler house that may harm the development of chicks.

Mapping of use and occupation of the soil and irrigation water quality in the city of Salto do Lontra-Paraná, Brazil

The objective of this study consisted on mapping the use and soil occupation and evaluation of the quality of irrigation water used in Salto do Lontra, in the state of Paraná, Brazil. Images of the satellite SPOT-5 were used to perform the supervised classification of the Maximum Likelihood algorithm - MAXVER, and the water quality parameters analyzed were pH, EC, HCO3-, Cl-, PO4(3-), NO3-, turbidity, temperature and thermotolerant coliforms in two distinct rainfall periods. The water quality data were subjected to statistical analysis by the techniques of PCA and FA, to identify the most relevant variables in assessing the quality of irrigation water. The characterization of soil use and occupation by the classifier MAXVER allowed the identification of the following classes: crops, bare soil/stubble, forests and urban area. The PCA technique applied to irrigation water quality data explained 53.27% of the variation in water quality among the sampled points. Nitrate, thermotolerant coliforms, temperature, electrical conductivity and bicarbonate were the parameters that best explained the spatial variation of water quality.

Geostatistics and remote sensing methods in the classification of images of areas cultivated with citrus

This study compares the precision of three image classification methods, two of remote sensing and one of geostatistics applied to areas cultivated with citrus. The 5,296.52ha area of study is located in the city of Araraquara - central region of the state of São Paulo (SP), Brazil. The multispectral image from the CCD/CBERS-2B satellite was acquired in 2009 and processed through the Geographic Information System (GIS) SPRING. Three classification methods were used, one unsupervised (Cluster), and two supervised (Indicator Kriging/IK and Maximum Likelihood/Maxver), in addition to the screen classification taken as field checking.. Reliability of classifications was evaluated by Kappa index. In accordance with the Kappa index, the Indicator kriging method obtained the highest degree of reliability for bands 2 and 4. Moreover the Cluster method applied to band 2 (green) was the best quality classification between all the methods. Indicator Kriging was the classifier that presented the citrus total area closest to the field check estimated by -3.01%, whereas Maxver overestimated the total citrus area by 42.94%.

Climate trends in the municipality of Pelotas, state of Rio Grande do Sul, Brazil

ABSTRACTChanges in the frequency of occurrence of extreme weather events have been pointed out as a likely impact of global warming. In this context, this study aimed to detect climate change in series of extreme minimum and maximum air temperature of Pelotas, State of Rio Grande do Sul, (1896 - 2011) and its influence on the probability of occurrence of these variables. We used the general extreme value distribution (GEV) in its stationary and non-stationary forms. In the latter case, GEV parameters are variable over time. On the basis of goodness-of-fit tests and of the maximum likelihood method, the GEV model in which the location parameter increases over time presents the best fit of the daily minimum air temperature series. Such result describes a significant increase in the mean values of this variable, which indicates a potential reduction in the frequency of frosts. The daily maximum air temperature series is also described by a non-stationary model, whose location parameter decreases over time, and the scale parameter related to sample variance rises between the beginning and end of the series. This result indicates a drop in the mean of daily maximum air temperature values and increased dispersion of the sample data.

Holstein white coat color and performance: phenotypic, genetic and environmental correlations

Correlations of measures of percentages of white coat color, five measures of production and two measures of reproduction were obtained from 4293 first lactation Holsteins from eight Florida dairy farms. Percentages of white coat color were analyzed as recorded and transformed by an extension of Box-Cox procedures. Statistical analyses were by derivative-free restricted maximum likelihood (DFREML) with an animal model. Phenotypic and genetic correlations of white percentage (not transformed) were with milk yield, 0.047 and 0.097; fat yield, 0.002 and 0.004; fat percentage, -0.047 and -0.090; protein yield, 0.024 and 0.048; protein percentage, -0.070 and -0.116; days open, -0.012 and -0.065; and calving interval, -0.007 and -0.029. Changes in magnitude of correlations were very small for all variables except days open. Genetic and phenotypic correlations of transformed values with days open were -0.027 and -0.140. Modest positive correlated responses would be expected for white coat color percentage following direct selection for milk, fat, and protein yields, but selection for fat and protein percentages, days open, or calving interval would lead to small decreases.

A simple model for the estimation of congenital malformation frequency in racially mixed populations

A simple model is proposed, using the method of maximum likelihood to estimate malformation frequencies in racial groups based on data obtained from hospital services. This model uses the proportions of racial admixture, and the observed malformation frequency. It was applied to two defects: postaxial polydactyly and cleft lip, the frequencies of which are recognizedly heterogeneous among racial groups. The frequencies estimated in each racial group were those expected for these malformations, which proves the applicability of the method.

Simulating the dynamics of silver market using computational market dynamics

Traditional econometric approaches in modeling the dynamics of equity and commodity markets, have, made great progress in the past decades. However, they assume rationality among the economic agents and and do not capture the dynamics that produce extreme events (black swans), due to deviation from the rationality assumption. The purpose of this study is to simulate the dynamics of silver markets by using the novel computational market dynamics approach. To this end, the daily data from the period of 1st March 2000 to 1st March 2013 of closing prices of spot silver prices has been simulated with the Jabłonska-Capasso-Morale(JCM) model. The Maximum Likelihood approach has been employed to calibrate the acquired data with JCM. Statistical analysis of the simulated series with respect to the actual one has been conducted to evaluate model performance. The model captures the animal spirits dynamics present in the data under evaluation well.

Kalman filter for computational market dynamics

Kalman filter is a recursive mathematical power tool that plays an increasingly vital role in innumerable fields of study. The filter has been put to service in a multitude of studies involving both time series modelling and financial time series modelling. Modelling time series data in Computational Market Dynamics (CMD) can be accomplished using the Jablonska-Capasso-Morale (JCM) model. Maximum likelihood approach has always been utilised to estimate the parameters of the JCM model. The purpose of this study is to discover if the Kalman filter can be effectively utilized in CMD. Ensemble Kalman filter (EnKF), with 50 ensemble members, applied to US sugar prices spanning the period of January, 1960 to February, 2012 was employed for this work. The real data and Kalman filter trajectories showed no significant discrepancies, hence indicating satisfactory performance of the technique. Since only US sugar prices were utilized, it would be interesting to discover the nature of results if other data sets are employed.

A clinical gamma camera-based pinhole collimated system for high resolution small animal SPECT imaging

The main objective of the present study was to upgrade a clinical gamma camera to obtain high resolution tomographic images of small animal organs. The system is based on a clinical gamma camera to which we have adapted a special-purpose pinhole collimator and a device for positioning and rotating the target based on a computer-controlled step motor. We developed a software tool to reconstruct the target’s three-dimensional distribution of emission from a set of planar projections, based on the maximum likelihood algorithm. We present details on the hardware and software implementation. We imaged phantoms and heart and kidneys of rats. When using pinhole collimators, the spatial resolution and sensitivity of the imaging system depend on parameters such as the detector-to-collimator and detector-to-target distances and pinhole diameter. In this study, we reached an object voxel size of 0.6 mm and spatial resolution better than 2.4 and 1.7 mm full width at half maximum when 1.5- and 1.0-mm diameter pinholes were used, respectively. Appropriate sensitivity to study the target of interest was attained in both cases. Additionally, we show that as few as 12 projections are sufficient to attain good quality reconstructions, a result that implies a significant reduction of acquisition time and opens the possibility for radiotracer dynamic studies. In conclusion, a high resolution single photon emission computed tomography (SPECT) system was developed using a commercial clinical gamma camera, allowing the acquisition of detailed volumetric images of small animal organs. This type of system has important implications for research areas such as Cardiology, Neurology or Oncology.