Functional Transfer Theorems for Maxima of Stationary Processes

2000 Mathematics Subject Classification: 60G70, 60F12, 60G10.

Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Modelos de dispersão para extremos de precipitação. Estudo de caso: o nordeste do Brasil

In this thesis used four different methods in order to diagnose the precipitation extremes on Northeastern Brazil (NEB): Generalized Linear Model s via logistic regression and Poisson, extreme value theory analysis via generalized extre me value (GEV) and generalized Pareto (GPD) distributions and Vectorial Generalized Linea r Models via GEV (MVLG GEV). The logistic regression and Poisson models were used to identify the interactions between the precipitation extremes and other variables based on the odds ratios and relative risks. It was found that the outgoing longwave radiation was the indicator variable for the occurrence of extreme precipitation on eastern, northern and semi arid NEB, and the relative humidity was verified on southern NEB. The GEV and GPD distribut ions (based on the 95th percentile) showed that the location and scale parameters were presented the maximum on the eastern and northern coast NEB, the GEV verified a maximum core on western of Pernambuco influenced by weather systems and topography. The GEV and GPD shape parameter, for most regions the data fitted by Weibull negative an d Beta distributions (ξ < 0) , respectively. The levels and return periods of GEV (GPD) on north ern Maranhão (centerrn of Bahia) may occur at least an extreme precipitation event excee ding over of 160.9 mm /day (192.3 mm / day) on next 30 years. The MVLG GEV model found tha t the zonal and meridional wind components, evaporation and Atlantic and Pacific se a surface temperature boost the precipitation extremes. The GEV parameters show the following results: a) location ( ), the highest value was 88.26 ± 6.42 mm on northern Maran hão; b) scale ( σ ), most regions showed positive values, except on southern of Maranhão; an d c) shape ( ξ ), most of the selected regions were adjusted by the Weibull negative distr ibution ( ξ < 0 ). The southern Maranhão and southern Bahia have greater accuracy. The level period, it was estimated that the centern of Bahia may occur at least an extreme precipitatio n event equal to or exceeding over 571.2 mm/day on next 30 years.

Petrologia do Plutão Bom Jardim de Goiás (PBJG): implicação na evolução neoproterozoica da Província Tocantins

The Bom Jardim de Goiás Pluton (PBJG) is a semi-circular body, located in the central portion of the Tocantins Province, intrusive into orthogneisses and metassupracrustals of the Arenópolis Magmatic Arc. These metasupracrustals present a low to moderate dipping banding or schistosity, have a low to moderate angle of banding / foliation, defined by mica, andalusite and sillimanite and cordierite, which characterize an amphibolite facies metamorphism. This structure is crosscut by the emplacement of the PBJG rocks. The abrupt nature of the contacts and the absence of ductile structures indicate that the intrusion took place in a relatively cold crust. Under petrographic grounds, the pluton consists mainly of monzodiorites, tonalite and granodiorite, following the low to medium-K calk-alkaline alkaline trend. Rocks of the PBJG have hornblende and biotite as the main mafic phases, besides subordinate clinopyroxene, titanite, epidote and opaque. Late dikes of leucogranite contain only mineral biotite as relevant accessory mineral. One U-Pb zircon dating of a monzodiorite yielded an age of 550 ± 12 Ma (MSWD = 1.06). Whole-rock and mineral chemistry suggest that the studied rocks are calc-alkaline, having evolved by fractional crystallization of Ca- and Fe-Mg minerals under high oxygen fugacity. Using the amphibole-plagioclase geothermometer and the Al-in amphibole geobarometer, we calculate temperatures and pressures of, respectively, 692-791 °C e 2.4-5.0 kbar for the intrusion of the PBJG, which is corroborated by previous metamorphic assemblages in the country rocks. The geological, geochemical and geochronological features of PBJG demonstrate their post-tectonic or post-collisional nature, with emplacement into an already uplifted and relatively cool crust at the end of brasiliano orogeny in this portion of the Tocantins Province.

Petrologia do Plutão Bom Jardim de Goiás (PBJG): implicação na evolução neoproterozoica da Província Tocantins

The Bom Jardim de Goiás Pluton (PBJG) is a semi-circular body, located in the central portion of the Tocantins Province, intrusive into orthogneisses and metassupracrustals of the Arenópolis Magmatic Arc. These metasupracrustals present a low to moderate dipping banding or schistosity, have a low to moderate angle of banding / foliation, defined by mica, andalusite and sillimanite and cordierite, which characterize an amphibolite facies metamorphism. This structure is crosscut by the emplacement of the PBJG rocks. The abrupt nature of the contacts and the absence of ductile structures indicate that the intrusion took place in a relatively cold crust. Under petrographic grounds, the pluton consists mainly of monzodiorites, tonalite and granodiorite, following the low to medium-K calk-alkaline alkaline trend. Rocks of the PBJG have hornblende and biotite as the main mafic phases, besides subordinate clinopyroxene, titanite, epidote and opaque. Late dikes of leucogranite contain only mineral biotite as relevant accessory mineral. One U-Pb zircon dating of a monzodiorite yielded an age of 550 ± 12 Ma (MSWD = 1.06). Whole-rock and mineral chemistry suggest that the studied rocks are calc-alkaline, having evolved by fractional crystallization of Ca- and Fe-Mg minerals under high oxygen fugacity. Using the amphibole-plagioclase geothermometer and the Al-in amphibole geobarometer, we calculate temperatures and pressures of, respectively, 692-791 °C e 2.4-5.0 kbar for the intrusion of the PBJG, which is corroborated by previous metamorphic assemblages in the country rocks. The geological, geochemical and geochronological features of PBJG demonstrate their post-tectonic or post-collisional nature, with emplacement into an already uplifted and relatively cool crust at the end of brasiliano orogeny in this portion of the Tocantins Province.

Avaliação e correções de testes de hipóteses em modelos de sobrevivência com fração de cura

Survival models deals with the modelling of time to event data. In certain situations, a share of the population can no longer be subjected to the event occurrence. In this context, the cure fraction models emerged. Among the models that incorporate a fraction of cured one of the most known is the promotion time model. In the present study we discuss hypothesis testing in the promotion time model with Weibull distribution for the failure times of susceptible individuals. Hypothesis testing in this model may be performed based on likelihood ratio, gradient, score or Wald statistics. The critical values are obtained from asymptotic approximations, which may result in size distortions in nite sample sizes. This study proposes bootstrap corrections to the aforementioned tests and Bartlett bootstrap to the likelihood ratio statistic in Weibull promotion time model. Using Monte Carlo simulations we compared the nite sample performances of the proposed corrections in contrast with the usual tests. The numerical evidence favors the proposed corrected tests. At the end of the work an empirical application is presented.

Modelos flexíveis de sobrevivência com fração de cura: implementação computacional

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The reliability mathematical model of load-sharing parallel systems based on fatigue cumulative damage

Conventional reliability models for parallel systems are not applicable for the analysis of parallel systems with load transfer and sharing. In this short communication, firstly, the dependent failures of parallel systems are analyzed, and the reliability model of load-sharing parallel system is presented based on Miner cumulative damage theory and the full probability formula. Secondly, the parallel system reliability is calculated by Monte Carlo simulation when the component life follows the Weibull distribution. The research result shows that the proposed reliability mathematical model could analyze and evaluate the reliability of parallel systems in the presence of load transfer.

He isotope, U/Th isotope, Calcium carbonate, biogenic opal, rare earth element concentrations, and grain size distribution measured on core-top sediments during SONNE cruise SO202 (INOPEX)

Eolian dust is a significant source of iron and other nutrients that are essential for the health of marine ecosystems and potentially a controlling factor of the high nutrient-low chlorophyll status of the Subarctic North Pacific. We map the spatial distribution of dust input using three different geochemical tracers of eolian dust, 4He, 232Th and rare earth elements, in combination with grain size distribution data, from a set of core-top sediments covering the entire Subarctic North Pacific. Using the suite of geochemical proxies to fingerprint different lithogenic components, we deconvolve eolian dust input from other lithogenic inputs such as volcanic ash, ice-rafted debris, riverine and hemipelagic input. While the open ocean sites far away from the volcanic arcs are dominantly composed of pure eolian dust, lithogenic components other than eolian dust play a more crucial role along the arcs. In sites dominated by dust, eolian dust input appears to be characterized by a nearly uniform grain size mode at ~4 µm. Applying the 230Th-normalization technique, our proxies yield a consistent pattern of uniform dust fluxes of 1-2 g/m**2/yr across the Subarctic North Pacific. Elevated eolian dust fluxes of 2-4 g/m**2/yr characterize the westernmost region off Japan and the southern Kurile Islands south of 45° N and west of 165° E along the main pathway of the westerly winds. The core-top based dust flux reconstruction is consistent with recent estimates based on dissolved thorium isotope concentrations in seawater from the Subarctic North Pacific. The dust flux pattern compares well with state-of-the-art dust model predictions in the western and central Subarctic North Pacific, but we find that dust fluxes are higher than modeled fluxes by 0.5-1 g/m**2/yr in the northwest, northeast and eastern Subarctic North Pacific. Our results provide an important benchmark for biogeochemical models and a robust approach for downcore studies testing dust-induced iron fertilization of past changes in biological productivity in the Subarctic North Pacific.

Studio di termoresistenza di lieviti fermentativi

In anni recenti il potenziale degradativo dei lieviti nelle bevande ha assunto un’importanza crescente a causa degli importanti danni economici ad essi associati e i produttori sono sempre più attenti a queste problematiche, anche in relazione alla tendenza di ridurre i trattamenti termici, in una strategia di risparmio energetico e di riduzione del danno termico organolettico. L’obiettivo dell’elaborato è stato quello di testare la termoresistenza di diversi ceppi di lieviti che possono costituire un rischio per bevande di fantasia: sette appartenenti alla specie Saccharomyces cerevisiae, tre Zygosaccharomyces, un ceppo di Saccharomycodes ludwigii, uno di Schizosaccharomyces pombe e uno di Kluyveromyces marxianus. Le prove di termoresistenza sono state condotte in vitro utilizzando terreno di coltura impiegando temperature di 55°C, 60°C e 65°C e i dati sono stati modellati con l’equazione di Weibull per ottenere le curve di morte termica dei diversi ceppi. Questo modello permette di tenere conto dell’approccio vitalistico dell’interazione tra temperatura e cellula e descrive l’inattivazione microbica come risultato del fallimento delle cellule nel contrastare le condizioni ostili dovute all’alta temperatura. I risultati hanno dimostrato che i ceppi erano caratterizzati da termoresistenza molto variabile. In generale, tra le specie non Saccharomyces, i più resistenti erano K. marxianus e Sch. Pombe mentre tra i Saccharomyces il più resistente era il ceppo SPA, isolato in uno stabilimento di bevande e responsabile di un incidente industriale che ha portato all’alterazione di oltre 500000 bottiglie di bibite gassate. Questo screening preliminare per la valutazione della termoresistenza ad un potenziale trattamento industriale ha permesso di individuare i lieviti più resistenti che saranno poi oggetto di un successivo studio in cui verranno tenuti presenti altri fattori tecnologici e di prodotto per poi potersi muovere in un ambiente industriale.

Methods for Hypothesis Testing in Animal Carcinogenicity Experiments

Thesis (Ph.D.)--University of Washington, 2016-08

Applicazione di tecniche di Reliability, Availability e Maintainability analysis in un’azienda produttrice di macchine automatiche. Il caso Ima S.p.A.

Il seguente lavoro di tesi è nato durante un’attività di stage della durata di 7 mesi svolto all’interno della divisione Tea&Coffe di IMA S.p.A., azienda leader mondiale nella produzione di macchine automatiche per il confezionamento di prodotti farmaceutici, cosmetici, alimentari, tè e caffè. Le attività svolte si collocano all’interno di un progetto avviato da IMA per promuovere il passaggio ad un modello di industria necessariamente più evoluta, facendo leva sull’attitudine ad integrare e sviluppare nuove conoscenze e nuove tecnologie interdisciplinari e, allo stesso tempo, di massimizzare la sinergia tra le dimensioni tecnica ed economica, comportando una reale riduzione di sprechi nella filiera produttiva, commerciale ed ambientale. I moderni impianti di produzione devono infatti affrontare una sfida che li vede alla continua ricerca della produttività, ovvero di una produzione che remuneri velocemente e con ampi margini gli investimenti effettuati, della qualità dei prodotti e dei processi di produzione, ovvero della garanzia di soddisfacimento delle aspettative espresse ed inespresse del cliente, e della sicurezza per la salvaguardia della collettività e dell’ambiente. L’obiettivo di questo elaborato è stato quello di effettuare lo studio affidabilistico di una macchina automatica per la produzione di bustine di tè al fine di poterne studiare il suo comportamento al guasto e di elaborare in un secondo momento le politiche manutentive ottimizzate che ne permettano una gestione più efficiente. In questo ambito la macchina è stata scomposta in gruppi e sono stati esaminati tutti i pezzi di ricambio che sono stati richiesti in un arco temporale di durata pari a dieci anni, il fine è quello di poter individuare ed effettuare un’analisi affidabilistica dei componenti critici per poi procedere, attraverso l’uso di piattaforme software quali Weibull++ e Blocksim, col modellarne le distribuzioni statistiche e simulare il funzionamento del sistema nel suo complesso.

La metodología «Análisis Envolvente de Datos» (DEA): una aplicación a la producción de arroz en Uruguay

El objetivo de este trabajo es comprender cuáles son las prácticas que llevan a una chacra a estar en la frontera de producción de arroz e identificar las fuentes de ineficiencia productiva.La frontera se determinó utilizando la metodología «Análisis Envolvente de Datos» (DEA, por su sigla en inglés).Se determinaron cuatro tipos de eficiencia: técnica, de escala, de asignación y económica. En un segundo paso se estimó el efecto de las variables de manejo y ambientales sobre los resultados de eficiencia. La estimación se realizó mediante una regresión truncada debido a la naturaleza del proceso generador de datos. Los datos corresponden a 573 chacras de arroz de 26 productores diferentes y corresponden a las zafras entre 2004/05 y 2008/09. Son 10 las que chacras definen la frontera de producción considerando rendimientos constantes a escala (eficientes) y que el promedio de eficiencia técnica es de 0,6. Con rendimientos variables a escala el número de chacras eficientes aumenta a 25 y el promedio de eficiencia técnica aumenta a 0,74. Al considerar los precios de insumos y productos el número de chacras económicamente eficientes es tres y el promedio de eficiencia es 0,53. Los resultados de la regresión truncada sobre los distintos indicadores de eficiencia indican que los determinantes más importantes son la elección de variedades y el tipo de suelo. Tipo de siembra, tipo de laboreo y época de laboreo también tienen efectos significativos sobre algunos tipos de eficiencia.

Ultra high pressure homogenization (UHPH) inactivation of Bacillus amyloliquefaciens spores in phosphate buffered saline (PBS) and milk

Ultra high pressure homogenization (UHPH) opens up new areas for dynamic high pressure assisted thermal sterilization of liquids. Bacillus amyloliquefaciens spores are resistant to high isostatic pressure and temperature and were suggested as potential surrogate for high pressure thermal sterilization validation. B. amyloliquefaciens spores suspended in PBS buffer (0.01 M, pH 7.0), low fat milk (1.5%, pH 6.7), and whole milk (3.5%, pH 6.7) at initial concentration of similar to 10(6) CFU/mL were subjected to UHPH treatments at 200, 300, and 350 MPa with an inlet temperature at similar to 80 degrees C. Thermal inactivation kinetics of B. amyloliquefaciens spores in PBS and milk were assessed with thin wall glass capillaries and modeled using first-order and Weibull models. The residence time during UHPH treatments was estimated to determine the contribution of temperature to spore inactivation by UHPH. No sublethal injury was detected after UHPH treatments using sodium chloride as selective component in the nutrient agar medium. The inactivation profiles of spores in PBS buffer and milk were compared and fat provided no clear protective effect for spores against treatments. Treatment at 200 MPa with valve temperatures lower than 125 degrees C caused no reduction of spores. A reduction of 3.5 log(10)CFU/mL of B. amyloliquefaciens spores was achieved by treatment at 350 MPa with a valve temperature higher than 150 degrees C. The modeled thermal inactivation and observed inactivation during UHPH treatments suggest that temperature could be the main lethal effect driving inactivation.

Extrapolating Satellite Winds to Turbine Operating Heights

Ocean wind retrievals from satellite sensors are typically performed for the standard level of 10 m. This restricts their full exploitation for wind energy planning, which requires wind information at much higher levels where wind turbines operate. A new method is presented for the vertical extrapolation of satellite-based wind maps. Winds near the sea surface are obtained from satellite data and used together with an adaptation of the Monin–Obukhov similarity theory to estimate the wind speed at higher levels. The thermal stratification of the atmosphere is taken into account through a long-term stability correction that is based on numerical weather prediction (NWP) model outputs. The effect of the long-term stability correction on the wind profile is significant. The method is applied to Envisat Advanced Synthetic Aperture Radar scenes acquired over the south Baltic Sea. This leads to maps of the long-term stability correction and wind speed at a height of 100 m with a spatial resolution of 0.02°. Calculations of the corresponding wind power density and Weibull parameters are shown. Comparisons with mast observations reveal that NWP model outputs can correct successfully for long-term stability effects and also, to some extent, for the limited number of satellite samples. The satellite-based and NWP-simulated wind profiles are almost equally accurate with respect to those from the mast. However, the satellite-based maps have a higher spatial resolution, which is particularly important in nearshore areas where most offshore wind farms are built.