Modelos de previsão de volatilidade : uma aplicação do modelo GARCH a taxas de câmbio

Com o objetivo de mostrar uma aplicação dos modelos da família GARCH a taxas de câmbio, foram utilizadas técnicas estatísticas englobando análise multivariada de componentes principais e análise de séries temporais com modelagem de média e variância (volatilidade), primeiro e segundo momentos respectivamente. A utilização de análise de componentes principais auxilia na redução da dimensão dos dados levando a estimação de um menor número de modelos, sem contudo perder informação do conjunto original desses dados. Já o uso dos modelos GARCH justifica-se pela presença de heterocedasticidade na variância dos retornos das séries de taxas de câmbio. Com base nos modelos estimados foram simuladas novas séries diárias, via método de Monte Carlo (MC), as quais serviram de base para a estimativa de intervalos de confiança para cenários futuros de taxas de câmbio. Para a aplicação proposta foram selecionadas taxas de câmbio com maior market share de acordo com estudo do BIS, divulgado a cada três anos.

Censored Linear Regression Models For Irregularly Observed Longitudinal Data Using The Multivariate-t Distribution.

In acquired immunodeficiency syndrome (AIDS) studies it is quite common to observe viral load measurements collected irregularly over time. Moreover, these measurements can be subjected to some upper and/or lower detection limits depending on the quantification assays. A complication arises when these continuous repeated measures have a heavy-tailed behavior. For such data structures, we propose a robust structure for a censored linear model based on the multivariate Student's t-distribution. To compensate for the autocorrelation existing among irregularly observed measures, a damped exponential correlation structure is employed. An efficient expectation maximization type algorithm is developed for computing the maximum likelihood estimates, obtaining as a by-product the standard errors of the fixed effects and the log-likelihood function. The proposed algorithm uses closed-form expressions at the E-step that rely on formulas for the mean and variance of a truncated multivariate Student's t-distribution. The methodology is illustrated through an application to an Human Immunodeficiency Virus-AIDS (HIV-AIDS) study and several simulation studies.

Comparing Near-infrared Conventional Diffuse Reflectance Spectroscopy And Hyperspectral Imaging For Determination Of The Bulk Properties Of Solid Samples By Multivariate Regression: Determination Of Mooney Viscosity And Plasticity Indices Of Natural Rubber.

Conventional reflectance spectroscopy (NIRS) and hyperspectral imaging (HI) in the near-infrared region (1000-2500 nm) are evaluated and compared, using, as the case study, the determination of relevant properties related to the quality of natural rubber. Mooney viscosity (MV) and plasticity indices (PI) (PI0 - original plasticity, PI30 - plasticity after accelerated aging, and PRI - the plasticity retention index after accelerated aging) of rubber were determined using multivariate regression models. Two hundred and eighty six samples of rubber were measured using conventional and hyperspectral near-infrared imaging reflectance instruments in the range of 1000-2500 nm. The sample set was split into regression (n = 191) and external validation (n = 95) sub-sets. Three instruments were employed for data acquisition: a line scanning hyperspectral camera and two conventional FT-NIR spectrometers. Sample heterogeneity was evaluated using hyperspectral images obtained with a resolution of 150 × 150 μm and principal component analysis. The probed sample area (5 cm(2); 24,000 pixels) to achieve representativeness was found to be equivalent to the average of 6 spectra for a 1 cm diameter probing circular window of one FT-NIR instrument. The other spectrophotometer can probe the whole sample in only one measurement. The results show that the rubber properties can be determined with very similar accuracy and precision by Partial Least Square (PLS) regression models regardless of whether HI-NIR or conventional FT-NIR produce the spectral datasets. The best Root Mean Square Errors of Prediction (RMSEPs) of external validation for MV, PI0, PI30, and PRI were 4.3, 1.8, 3.4, and 5.3%, respectively. Though the quantitative results provided by the three instruments can be considered equivalent, the hyperspectral imaging instrument presents a number of advantages, being about 6 times faster than conventional bulk spectrometers, producing robust spectral data by ensuring sample representativeness, and minimizing the effect of the presence of contaminants.

Multivariate analysis of the effects of soil parameters and environmental factors on the flavonoid content of leaves of Passiflora incarnata L., Passifloraceae

The aim of the present study was to evaluate the effect of soil characteristics (pH, macro- and micro-nutrients), environmental factors (temperature, humidity, period of the year and time of day of collection) and meteorological conditions (rain, sun, cloud and cloud/rain) on the flavonoid content of leaves of Passiflora incarnata L., Passifloraceae. The total flavonoid contents of leaf samples harvested from plants cultivated or collected under different conditions were quantified by high-performance liquid chromatography with ultraviolet detection (HPLC-UV/PAD). Chemometric treatment of the data by principal component (PCA) and hierarchic cluster analyses (HCA) showed that the samples did not present a specific classification in relation to the environmental and soil variables studied, and that the environmental variables were not significant in describing the data set. However, the levels of the elements Fe, B and Cu present in the soil showed an inverse correlation with the total flavonoid contents of the leaves of P. incarnata.

Comparison of univariate and multivariate calibration for the determination of micronutrients in pellets of plant materials by laser induced breakdown spectrometry

The application of laser induced breakdown spectrometry (LIBS) aiming the direct analysis of plant materials is a great challenge that still needs efforts for its development and validation. In this way, a series of experimental approaches has been carried out in order to show that LIBS can be used as an alternative method to wet acid digestions based methods for analysis of agricultural and environmental samples. The large amount of information provided by LIBS spectra for these complex samples increases the difficulties for selecting the most appropriated wavelengths for each analyte. Some applications have suggested that improvements in both accuracy and precision can be achieved by the application of multivariate calibration in LIBS data when compared to the univariate regression developed with line emission intensities. In the present work, the performance of univariate and multivariate calibration, based on partial least squares regression (PLSR), was compared for analysis of pellets of plant materials made from an appropriate mixture of cryogenically ground samples with cellulose as the binding agent. The development of a specific PLSR model for each analyte and the selection of spectral regions containing only lines of the analyte of interest were the best conditions for the analysis. In this particular application, these models showed a similar performance. but PLSR seemed to be more robust due to a lower occurrence of outliers in comparison to the univariate method. Data suggests that efforts dealing with sample presentation and fitness of standards for LIBS analysis must be done in order to fulfill the boundary conditions for matrix independent development and validation. (C) 2009 Elsevier B.V. All rights reserved.

Multifractality in the random parameter model for multivariate time series

The Random Parameter model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore the scaling properties of the model, as observed in the multifractal structure of the simulated time series. We use the Wavelet Transform Modulus Maxima technique to obtain the multifractal spectrum dependence with the parameters of the model. The model shows a scaling structure compatible with the stylized facts for a reasonable choice of the parameter values. (C) 2009 Elsevier B.V. All rights reserved.

Estimation of hexenuronic acids and kappa number in kraft pulps of Eucalyptus globulus by Fourier transform near infrared spectroscopy and multivariate analysis

Fourier transform near infrared (FT-NIR) spectroscopy was evaluated as an analytical too[ for monitoring residual Lignin, kappa number and hexenuronic acids (HexA) content in kraft pulps of Eucalyptus globulus. Sets of pulp samples were prepared under different cooking conditions to obtain a wide range of compound concentrations that were characterised by conventional wet chemistry analytical methods. The sample group was also analysed using FT-NIR spectroscopy in order to establish prediction models for the pulp characteristics. Several models were applied to correlate chemical composition in samples with the NIR spectral data by means of PCR or PLS algorithms. Calibration curves were built by using all the spectral data or selected regions. Best calibration models for the quantification of lignin, kappa and HexA were proposed presenting R-2 values of 0.99. Calibration models were used to predict pulp titers of 20 external samples in a validation set. The lignin concentration and kappa number in the range of 1.4-18% and 8-62, respectively, were predicted fairly accurately (standard error of prediction, SEP 1.1% for lignin and 2.9 for kappa). The HexA concentration (range of 5-71 mmol kg(-1) pulp) was more difficult to predict and the SEP was 7.0 mmol kg(-1) pulp in a model of HexA quantified by an ultraviolet (UV) technique and 6.1 mmol kg(-1) pulp in a model of HexA quantified by anion-exchange chromatography (AEC). Even in wet chemical procedures used for HexA determination, there is no good agreement between methods as demonstrated by the UV and AEC methods described in the present work. NIR spectroscopy did provide a rapid estimate of HexA content in kraft pulps prepared in routine cooking experiments.

Biomimetic oxidative treatment of spruce wood studied by pyrolysis-molecular beam mass spectrometry coupled with multivariate analysis and (13)C-labeled tetramethylammonium hydroxide thermochemolysis: implications for fungal degradation of wood

In this work, pyrolysis-molecular beam mass spectrometry analysis coupled with principal components analysis and (13)C-labeled tetramethylammonium hydroxide thermochemolysis were used to study lignin oxidation, depolymerization, and demethylation of spruce wood treated by biomimetic oxidative systems. Neat Fenton and chelator-mediated Fenton reaction (CMFR) systems as well as cellulosic enzyme treatments were used to mimic the nonenzymatic process involved in wood brown-rot biodegradation. The results suggest that compared with enzymatic processes, Fenton-based treatment more readily opens the structure of the lignocellulosic matrix, freeing cellulose fibrils from the matrix. The results demonstrate that, under the current treatment conditions, Fenton and CMFR treatment cause limited demethoxylation of lignin in the insoluble wood residue. However, analysis of a water-extractable fraction revealed considerable soluble lignin residue structures that had undergone side chain oxidation as well as demethoxylation upon CMFR treatment. This research has implications for our understanding of nonenzymatic degradation of wood and the diffusion of CMFR agents in the wood cell wall during fungal degradation processes.

MULTIVARIATE STATISTICAL METHOD IN OPTIMIZATION OF PROTEIN EXTRACTION FROM SOYBEAN FLOUR WITH DAIRY WHEY

The aim objective of this project was to evaluate the protein extraction of soybean flour in dairy whey, by the multivariate statistical method with 2(3) experiments. Influence of three variables were considered: temperature, pH and percentage of sodium chloride against the process specific variable ( percentage of protein extraction). It was observed that, during the protein extraction against time and temperature, the treatments at 80 degrees C for 2h presented great values of total protein (5.99%). The increasing for the percentage of protein extraction was major according to the heating time. Therefore, the maximum point from the function that represents the protein extraction was analysed by factorial experiment 2(3). By the results, it was noted that all the variables were important to extraction. After the statistical analyses, was observed that the parameters as pH, temperature, and percentage of sodium chloride, did not sufficient for the extraction process, since did not possible to obtain the inflection point from mathematical function, however, by the other hand, the mathematical model was significant, as well as, predictive.

Multivariate analysis of sensory characteristics of coffee grains (Coffea arabica L.) in the region of upper Paranaiba

This study aimed to examine the sensory characteristics of the grains of 21 cultivars of Coffea arabica L. and Coffea canephora Pierre from the essays of genetic improvement of EPAMIG, located in Patrocinio Municipality, Minas Gerais State, where they were collected through cloths stripping method and washed. Subsequently to dry (11 to 12% moisture b.u.), we obtained the coffee designated as natural. The evaluated varieties were: Acaia Cerrado MG 1474; Bourbon Vermelho DATERRA; Catigua MG 1; Catigua MG 2; Catual Amarelo IAC 62; Catuai Vermelho IAC 15; H 419-3-1-4-2; H 419-6-2 -5-2; H 419-6-2-5-3; H 419-6-2-7-3 Vermelho; H 493-1-2-10; H 514-7-10-1 Vermelho; H 514-7-10-6; H 515-4-2-2; H 518-3-6-1; Icatu Amarelo IAC 3282; Mundo Novo 379-19; Mundo Novo TAO 376-4; Rubi MG 1192; Sacramento MG 1 and Topazio MG 1190, from 2005/2006 and 2006/2007 seasons. The cultivars according to the first principal component with notes above 80 points, regarded as superior drink according to attributes with the highest scores (flavor, sweetness, balance, acidity, clean drink, and aspect) were: Catigua MG2, Rubi MG 1192, 514-7-10-6 H, H 419-3-1-4-2, H 419-6-2-5-2, 493-1-2-10 H, H 514-7-10-1 Vermelho, Catigua MG1, Sacramento MG1, 419-6-2-5-3 H, H 515-9-2-2 and Catuai Amarelo IAC 62.

Evaluation of natural and synthetic compounds according to their antioxidant activity using a multivariate approach

The antioxidant activity of natural and synthetic compounds was evaluated using five in vitro methods: ferric reducing/antioxidant power (FRAP), 2,2-diphenyl-1-picrylhydradzyl (DPPH), oxygen radical absorption capacity (ORAL), oxidation of an aqueous dispersion of linoleic acid accelerated by azo-initiators (LAOX), and oxidation of a meat homogenate submitted to a thermal treatment (TBARS). All results were expressed as Trolox equivalents. The application of multivariate statistical techniques suggested that the phenolic compounds (caffeic acid, carnosic acid, genistein and resveratrol), beyond their high antioxidant activity measured by the DPPH, FRAP and TBARS methods, showed the highest ability to react with the radicals in the ORAC methodology, compared to the other compounds evaluated in this study (ascorbic acid, erythorbate, tocopherol, BHT, Trolox, tryptophan, citric acid, EDTA, glutathione, lecithin, methionine and tyrosine). This property was significantly correlated with the number of phenolic rings and catecholic structure present in the molecule. Based on a multivariate analysis, it is possible to select compounds from different clusters and explore their antioxidant activity interactions in food products.

Class attainment among British men - A multivariate extension of the CASMIN model of intergenerational class mobility

The CASMIN Project is arguably the most influential contemporary study of class mobility in the world. However, CASMIN results with respect to weak vertical status effects on class mobility have been extensively criticized. Drawing on arguments about how to model vertical mobility, Hout and Hauser (1992) show that class mobility is strongly determined by vertical socioeconomic differences. This paper extends these arguments by estimating the CASMIN model while explicitly controlling for individual determinants of socioeconomic attainment. Using the 1972 Oxford Mobility Data and the 1979 and 1983 British Election Studies, the paper employs mixed legit models to show how individual socioeconomic factors and categorical differences between classes shape intergenerational mobility. The findings highlight the multidimensionality of class mobility and its irreducibility to vertical movement up and down a stratification hierarchy.

Maximum Likelihood Estimation of Mixture Densities for Binned and Truncated Multivariate Data

Binning and truncation of data are common in data analysis and machine learning. This paper addresses the problem of fitting mixture densities to multivariate binned and truncated data. The EM approach proposed by McLachlan and Jones (Biometrics, 44: 2, 571-578, 1988) for the univariate case is generalized to multivariate measurements. The multivariate solution requires the evaluation of multidimensional integrals over each bin at each iteration of the EM procedure. Naive implementation of the procedure can lead to computationally inefficient results. To reduce the computational cost a number of straightforward numerical techniques are proposed. Results on simulated data indicate that the proposed methods can achieve significant computational gains with no loss in the accuracy of the final parameter estimates. Furthermore, experimental results suggest that with a sufficient number of bins and data points it is possible to estimate the true underlying density almost as well as if the data were not binned. The paper concludes with a brief description of an application of this approach to diagnosis of iron deficiency anemia, in the context of binned and truncated bivariate measurements of volume and hemoglobin concentration from an individual's red blood cells.