Forecasting exchange rate volatility using conditional variance models selected by information criteria

This paper uses appropriately modified information criteria to select models from the GARCH family, which are subsequently used for predicting US dollar exchange rate return volatility. The out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds, although less favourably on mean squared error grounds, with those generated by the commonly used GARCH(1, 1) model. An examination of the orders of models selected by the criteria reveals that (1, 1) models are typically selected less than 20% of the time.

Bond graph models of DC-DC converters operating in both CCM and DCM

In this paper, Bond Graphs are employed to develop a novel mathematical model of conventional switched-mode DC-DC converters valid for both continuous and discontinuous conduction modes. A unique causality bond graph model of hybrid models is suggested with the operation of the switch and the diode to be represented by a Modulated Transformer with a binary input and a resistor with fixed conductance causality. The operation of the diode is controlled using an if-then function within the model. The extracted hybrid model is implemented on a Boost and Buck converter with their operations to change from CCM to DCM and to return to CCM. The vector fields of the models show validity in a wide operation area and comparison with the simulation of the converters using PSPICE reveals high accuracy of the proposed model, with the Normalised Root Means Square Error and the Maximum Absolute Error remaining adequately low. The model is also experimentally tested on a Buck topology.

Improvement and sensitivity analysis of thermal thin-ice thickness retrievals

Considering the sea ice decline in the Arctic during the last decades, polynyas are of high research interest since these features are core areas of new ice formation. The determination of ice formation requires accurate retrieval of polynya area and thin-ice thickness (TIT) distribution within the polynya.We use an established energy balance model to derive TITs with MODIS ice surface temperatures (Ts) and NCEP/DOE Reanalysis II in the Laptev Sea for two winter seasons. Improvements of the algorithm mainly concern the implementation of an iterative approach to calculate the atmospheric flux components taking the atmospheric stratification into account. Furthermore, a sensitivity study is performed to analyze the errors of the ice thickness. The results are the following: 1) 2-m air temperatures (Ta) and Ts have the highest impact on the retrieved ice thickness; 2) an overestimation of Ta yields smaller ice thickness errors as an underestimation of Ta; 3) NCEP Ta shows often a warm bias; and 4) the mean absolute error for ice thicknesses up to 20 cm is ±4.7 cm. Based on these results, we conclude that, despite the shortcomings of the NCEP data (coarse spatial resolution and no polynyas), this data set is appropriate in combination with MODIS Ts for the retrieval of TITs up to 20 cm in the Laptev Sea region. The TIT algorithm can be applied to other polynya regions and to past and future time periods. Our TIT product is a valuable data set for verification of other model and remote sensing ice thickness data.

Analysis of response to enteral infusion of levodopa in patients with Parkinson's disease

Objective: We present a new evaluation of levodopa plasma concentrations and clinical effects during duodenal infusion of a levodopa/carbidopa gel (Duodopa ) in 12 patients with advanced Parkinson s disease (PD), from a study reported previously (Nyholm et al, Clin Neuropharmacol 2003; 26(3): 156-163). One objective was to investigate in what state of PD we can see the greatest benefits with infusion compared with corresponding oral treatment (Sinemet CR). Another objective was to identify fluctuating response to levodopa and correlate to variables related to disease progression. Methods: We have computed mean absolute error (MAE) and mean squared error (MSE) for the clinical rating from -3 (severe parkinsonism) to +3 (severe dyskinesia) as measures of the clinical state over the treatment periods of the study. Standard deviation (SD) of the rating was used as a measure of response fluctuations. Linear regression and visual inspection of graphs were used to estimate relationships between these measures and variables related to disease progression such as years on levodopa (YLD) or unified PD rating scale part II (UPDRS II).Results: We found that MAE for infusion had a strong linear correlation to YLD (r2=0.80) while the corresponding relation for oral treatment looked more sigmoid, particularly for the more advanced patients (YLD>18).

Efeitos da espacialização de propriedades físicas nas respostas hidrológicas da bacia do rio Ibirapuitã, Rio Grande do Sul

O objetivo desta tese consistiu em avaliar a influência da espacialização de propriedades físicas de bacias hidrográficas, relacionadas à topografia, ao uso do solo, à litologia e à tectônica, e os efeitos na resposta hidrológica. Tais elementos foram desagregados em unidades de resposta hidrológica através de uma estrutura vetorial, com base em técnicas de sensoriamento remoto e sistemas de informação geográfica, que facilitou a modelagem, contemplando os processos hidrológicos verticais e laterais envolvidos. Diferentes níveis de agregação e desagregação espacial alicerçaram a aplicação do hidrograma de Clark para a transformação de chuva em vazão com base nos valores da precipitação efetiva, a partir da utilização do método curva número - CN. A bacia hidrográfica do Rio Ibirapuitã, localizada no Estado do Rio Grande do Sul, Brasil, com área de 5.976 km2, constituiu o estudo de caso, cuja espacialização envolveu um pixel de um km e a utilização do conceito de hidrotopos. As características geológicas evidenciaram a incidência de rochas vulcânicas basálticas (72%), arenitos (24%) e siltito-folhelho (4%), e lineamentos tectônicos, espacializados sob a forma de freqüência, com ocorrência de 47% para a classe forte, 35% para a classe média, 12% para a classe muito forte e o restante 6 % para a classe fraca. A topografia evidenciou um relevo em que as cotas topográficas indicaram valores entre 70 e 230 m. O uso do solo é caracterizado por seis classes, com destaque para campos e pastagens que cobrem cerca de 60% da área, seguindo-se a cultura de arroz irrigado (27%) e matas (11%). Às simulações hidrológicas iniciadas com a influência da litologia, seguiram-se com a incorporação sucessiva dos efeitos da tectônica, da desagregação em duas sub-bacias, da desagregação em cinco sub-bacias. Os resultados obtidos pelas simulações hidrológicas e avaliados pelo coeficiente de eficiência R2 de Nash e Sutcliffe pelo erro médio absoluto (Mean Absolute Error – MAE) e pelos seus incrementos indicaram: a) que os efeitos da variabilidade espacial da litologia constituiu a influência mais significativa (R2 = 0,489, MAE = 0,32); b) que a tectônica foi o segundo fator em importância (R2 = 0,569, MAE = 0,25).; que a desagregação em duas sub-bacias foi a menos importante.(R2 = 0,582, MAE = 0,24); que a desagregação em cinco sub-bacias foi o terceiro fator mais importante (R2 = 0,725, MAE = 0,24).

Expectativa do retorno da classe de renda variável no Brasil

Este trabalho busca descobrir qual modelo (CAPM e Grinold e Kroner) é o melhor para estimar o futuro retorno do índice Bovespa, ex-ante. Não foi utilizado o índice completo, mas uma versão simplificada do índice utilizando as 25 maiores posições do índice ao longo de todos os trimestres desde 2000 até 2013. Este grupo já representava mais de 60% do índice. No final foi observado que o modelo CAPM conseguiu apresentar o melhor poder de explicação tanto na relação retorno observado e esperado, quanto nas medidas de erro absoluto. O único modelo que o Grinold e Kroner apresentaram um melhor resultado foi no erro percentual absoluto médio.

Lógica Fuzzy para Controle de pH em um Processo Petrolífero

This work proposes the design, the performance evaluation and a methodology for tuning the initial MFs parameters of output of a function based Takagi-Sugeno-Kang Fuzzy-PI controller to neutralize the pH in a stirred-tank reactor. The controller is designed to perform pH neutralization of industrial plants, mainly in units found in oil refineries where it is strongly required to mitigate uncertainties and nonlinearities. In addition, it adjusts the changes in pH regulating process, avoiding or reducing the need for retuning to maintain the desired performance. Based on the Hammerstein model, the system emulates a real plant that fits the changes in pH neutralization process of avoiding or reducing the need to retune. The controller performance is evaluated by overshoots, stabilization times, indices Integral of the Absolute Error (IAE) and Integral of the Absolute Value of the Error-weighted Time (ITAE), and using a metric developed by that takes into account both the error information and the control signal. The Fuzzy-PI controller is compared with PI and gain schedule PI controllers previously used in the testing plant, whose results can be found in the literature.

Influência da fadiga no comportamento neuromuscular do quadríceps femoral, após reconstrução do ligamento cruzado anterior

Muscle fatigue is a phenomenon that promotes physiological and biomechanical disorders and their changes in healthy subjects have been widely studied and have significant importance for care in preventing injuries, but we do not have many information about its effects in patients after ACL reconstruction. Thus, this study is to analyze the effects of fatigue on neuromuscular behavior of quadriceps after ACL reconstruction. To reach this objective, participants were forty men, twenty healthy (26,90 ± 6,29 years) and twenty after ACL reconstruction (29,75 ± 7,01 years) with a graft of semitendinosus and gracilis tendons, between four to six months after surgery. At first, there was an assessment of joint position sense (JPS) at the isokinetic dynamometer at a speed of 5°/s and target angle of 45° to analyze the absolute error of JPS. Next, we applied the a muscle fatigue protocol, running 100 repetitions of isokinetic knee flexion-extension at 90°/s. Concurrently with this protocol, there was the assessment of muscle performance, as the peak torque (PT) and fatigue index, and electromyographic activity (RMS and median frequency). Finally, we repeated the assessment of JPS. The statistical analysis showed that patients after ACL reconstruction have, even under normal conditions, the amended JPS compared with healthy subjects and that after fatigue, both have disturbances in the JPS, but this alteration is significantly exacerbated in patients after ACL reconstruction. About muscle performance, we could notice that these patients have a lower PT, although there are no differences between the dynamometric and EMG fatigue index. These findings show the necessity about the cares of pacients with ACL reconstruction in respect of the risks of articulate instability and overload in ligamentar graft

Non-newtonian flow and pressure drop of pineapple juice in a plate heat exchanger

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Proprioceptive and behavior impairments in individuals with anterior cruciate ligament reconstructed knees

Objective: To assess sensory deficits and their effects on proprioceptive and motor function in patients who had undergone unilateral anterior cruciate ligament (ACL) reconstruction.Design: Four evaluations were conducted: (1) joint position perception of the knee for predetermined angles (0degrees, 15degrees, 30degrees, 45degrees, 60degrees); (2) threshold for detection of passive knee motion at 0degrees, 15degrees, 30degrees, 45degrees, and 60degrees moving into flexion and at 15degrees, 30degrees, 45degrees, and 60degrees moving into extension; (3) latency onset of hamstring muscles; and (4) postural control during upright double- and single-leg stance.Setting: Movement laboratory in Brazil.Participants: Ten participants who had surgical reconstruction of the ACL (reconstructed group) and 10 participants without knee injury (control group).Interventions: Not applicable.Main Outcome Measures: Absolute error, angular displacement, hamstring muscles latency, and mean sway amplitude.Results: Individuals with a reconstructed knee showed decreased joint position perception, a higher threshold for detection of passive knee motion, longer latency of hamstring muscles, and decreased performance in postural control.Conclusions: After lesion and ACL reconstruction, sensory and motor behavior changes were still observed. This may be because of the lack of proprioceptive information resulting from the ACL lesion and/or substitution of ACL by the graft. (C) 2003 by the American Congress of Rehabilitation Medicine and the American Academy of Physical Medicine and Rehabilitation.

Development of sustainable precision farming systems for swine: Estimating realtime individual amino acid requirements in growing-finishing pigs

The objective of this study was to develop and evaluate a mathematical model used to estimate the daily amino acid requirements of individual growing-finishing pigs. The model includes empirical and mechanistic model components. The empirical component estimates daily feed intake (DFI), BW, and daily gain (DG) based on individual pig information collected in real time. Based on DFI, BW, and DG estimates, the mechanistic component uses classic factorial equations to estimate the optimal concentration of amino acids that must be offered to each pig to meet its requirements. The model was evaluated with data from a study that investigated the effect of feeding pigs with a 3-phase or daily multiphase system. The DFI and BW values measured in this study were compared with those estimated by the empirical component of the model. The coherence of the values estimated by the mechanistic component was evaluated by analyzing if it followed a normal pattern of requirements. Lastly, the proposed model was evaluated by comparing its estimates with those generated by the existing growth model (InraPorc). The precision of the proposed model and InraPorc in estimating DFI and BW was evaluated through the mean absolute error. The empirical component results indicated that the DFI and BW trajectories of individual pigs fed ad libitum could be predicted 1 d (DFI) or 7 d (BW) ahead with the average mean absolute error of 12.45 and 1.85%, respectively. The average mean absolute error obtained with the InraPorc for the average individual of the population was 14.72% for DFI and 5.38% for BW. Major differences were observed when estimates from InraPorc were compared with individual observations. The proposed model, however, was effective in tracking the change in DFI and BW for each individual pig. The mechanistic model component estimated the optimal standardized ileal digestible Lys to NE ratio with reasonable between animal (average CV = 7%) and overtime (average CV = 14%) variation. Thus, the amino acid requirements estimated by model are animal- and time-dependent and follow, in real time, the individual DFI and BW growth patterns. The proposed model can follow the average feed intake and feed weight trajectory of each individual pig in real time with good accuracy. Based on these trajectories and using classical factorial equations, the model makes it possible to estimate dynamically the AA requirements of each animal, taking into account the intake and growth changes of the animal. © 2012 American Society of Animal Science. All rights reserved.

Performance of Down syndrome subjects during a coincident timing task

Background: The time synchronization is a very important ability for the acquisition and performance of motor skills that generate the need to adapt the actions of body segments to external events of the environment that are changing their position in space. Down Syndrome (DS) individuals may present some deficits to perform tasks with synchronization demand. We aimed to investigate the performance of individuals with DS in a simple Coincident Timing task. Method. 32 individuals were divided into 2 groups: the Down syndrome group (DSG) comprised of 16 individuals with average age of 20 (+/- 5 years old), and a control group (CG) comprised of 16 individuals of the same age. All individuals performed the Simple Timing (ST) task and their performance was measured in milliseconds. The study was conducted in a single phase with the execution of 20 consecutive trials for each participant. Results: There was a significant difference in the intergroup analysis for the accuracy adjustment - Absolute Error (Z = 3.656, p = 0.001); and for the performance consistence - Variable Error (Z = 2.939, p = 0.003). Conclusion: DS individuals have more difficulty in integrating the motor action to an external stimulus and they also present more inconsistence in performance. Both groups presented the same tendency to delay their motor responses. © 2013 Torriani-Pasin et al.; licensee BioMed Central Ltd.

Estimativas da radiação global incidente em superfícies inclinadas com base na razáo de insolação

Estimating equations of global radiation based on the sunshine duration were proposed for horizontal surface and with inclination of 12.85, 22.85 and 32.85° facing the North in Botucatu, SP, Brazil, in monthly, seasonal and annual groupings of data. Simple linear correlations were applied (for definition of the linear and angular coefficients of Angstrom-Prescott model), in a database measured in all three inclinations in different periods (22.85°: 04/1998 to 07/2001; 12.85°: 08/2011 to 02/2003; and 32.85°: 03/2003 to 12/2007) concomitant with horizontal measures and sunshine duration. The statistical performance of the model was analysed by the means absolute error (MBE), the square root of the mean square error (RMSE) and the index adjustment (d). The minimum global radiation transmissivity varied from 14.35% in August (12.85°) to 27.86% in December (32.85°) and the maximum transmissivity ranged between 62.10% and 78.90%, for June (32.85°) and December (12.85°). Increasing the angle of inclination surface increased the scattering and decreased the index of adjustment and performance. The worst results were found for application of the seasonal and annual models in the months of autumn and winter for 32.85° (RMSE below 42.93% and adjustment superior to 0.4693).

Comparação entre os estimadores de mínimos quadrados ordinários e mínimos desvios absolutos em modelos de regressão linear simples -: uma aplicação na energia na agricultura

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Projeto otimizado de redes neurais artificiais para predição da rugosidade em processos de usinagem com a utilização da metodologia de projeto de experimentos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)