942 resultados para equilibrium asset pricing models with latent variables
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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Considering the importance of spatial issues in transport planning, the main objective of this study was to analyze the results obtained from different approaches of spatial regression models. In the case of spatial autocorrelation, spatial dependence patterns should be incorporated in the models, since that dependence may affect the predictive power of these models. The results obtained with the spatial regression models were also compared with the results of a multiple linear regression model that is typically used in trips generation estimations. The findings support the hypothesis that the inclusion of spatial effects in regression models is important, since the best results were obtained with alternative models (spatial regression models or the ones with spatial variables included). This was observed in a case study carried out in the city of Porto Alegre, in the state of Rio Grande do Sul, Brazil, in the stages of specification and calibration of the models, with two distinct datasets.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
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The main goal of this article is to consider influence assessment in models with error-prone observations and variances of the measurement errors changing across observations. The techniques enable to identify potential influential elements and also to quantify the effects of perturbations in these elements on some results of interest. The approach is illustrated with data from the WHO MONICA Project on cardiovascular disease.
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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.
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We study a probabilistic model of interacting spins indexed by elements of a finite subset of the d-dimensional integer lattice, da parts per thousand yen1. Conditions of time reversibility are examined. It is shown that the model equilibrium distribution converges to a limit distribution as the indexing set expands to the whole lattice. The occupied site percolation problem is solved for the limit distribution. Two models with similar dynamics are also discussed.
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Background: An important issue concerning the worldwide fight against stigma is the evaluation of psychiatrists’ beliefs and attitudes toward schizophrenia and mental illness in general. However, there is as yet no consensus on this matter in the literature, and results vary according to the stigma dimension assessed and to the cultural background of the sample. The aim of this investigation was to search for profiles of stigmatizing beliefs related to schizophrenia in a national sample of psychiatrists in Brazil. Methods: A sample of 1414 psychiatrists were recruited from among those attending the 2009 Brazilian Congress of Psychiatry. A questionnaire was applied in face-to-face interviews. The questionnaire addressed four stigma dimensions, all in reference to individuals with schizophrenia: stereotypes, restrictions, perceived prejudice and social distance. Stigma item scores were included in latent profile analyses; the resulting profiles were entered into multinomial logistic regression models with sociodemographics, in order to identify significant correlates. Results: Three profiles were identified. The “no stigma” subjects (n = 337) characterized individuals with schizophrenia in a positive light, disagreed with restrictions, and displayed a low level of social distance. The “unobtrusive stigma” subjects (n = 471) were significantly younger and displayed the lowest level of social distance, although most of them agreed with involuntary admission and demonstrated a high level of perceived prejudice. The “great stigma” subjects (n = 606) negatively stereotyped individuals with schizophrenia, agreed with restrictions and scored the highest on the perceived prejudice and social distance dimensions. In comparison with the first two profiles, this last profile comprised a significantly larger number of individuals who were in frequent contact with a family member suffering from a psychiatric disorder, as well as comprising more individuals who had no such family member. Conclusions: Our study not only provides additional data related to an under-researched area but also reveals that psychiatrists are a heterogeneous group regarding stigma toward schizophrenia. The presence of different stigma profiles should be evaluated in further studies; this could enable anti-stigma initiatives to be specifically designed to effectively target the stigmatizing group.
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This work addresses the treatment of lower density regions of structures undergoing large deformations during the design process by the topology optimization method (TOM) based on the finite element method. During the design process the nonlinear elastic behavior of the structure is based on exact kinematics. The material model applied in the TOM is based on the solid isotropic microstructure with penalization approach. No void elements are deleted and all internal forces of the nodes surrounding the void elements are considered during the nonlinear equilibrium solution. The distribution of design variables is solved through the method of moving asymptotes, in which the sensitivity of the objective function is obtained directly. In addition, a continuation function and a nonlinear projection function are invoked to obtain a checkerboard free and mesh independent design. 2D examples with both plane strain and plane stress conditions hypothesis are presented and compared. The problem of instability is overcome by adopting a polyconvex constitutive model in conjunction with a suggested relaxation function to stabilize the excessive distorted elements. The exact tangent stiffness matrix is used. The optimal topology results are compared to the results obtained by using the classical Saint Venant–Kirchhoff constitutive law, and strong differences are found.
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Neutron stars are some of the most fascinating objects in Nature. Essentially all aspects of physics seems to be represented inside them. Their cores are likely to contain deconfined quarks, hyperons and other exotic phases of matter in which the strong interaction is the dominant force. The inner region of their solid crust is penetrated by superfluid neutrons and their magnetic fields may reach well over 1012 Gauss. Moreover, their extreme mean densities, well above the densities of nuclei, and their rapid rotation rates makes them truly relativistic both in the special as well as in the general sense. This thesis deals with a small subset of these phenomena. In particular the exciting possibility of trapping of gravita-tional waves is examined from a theoretical point of view. It is shown that the standard condition R < 3M is not essential to the trapping mechanism. This point is illustrated using the elegant tool provided by the optical geometry. It is also shown that a realistic equation of state proposed in the literature allows stable neutron star models with closed circular null orbits, something which is closely related to trapped gravitational waves. Furthermore, the general relativistic theory of elasticity is reviewed and applied to stellar models. Both static equilibrium as well as radially oscillating configurations with elasticsources are examined. Finally, Killing tensors are considered and their applicability to modeling of stars is discussed
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In the first chapter, we consider the joint estimation of objective and risk-neutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MC-IS strategy combined with a Particle Filter algorithm. The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders. The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a Log-ACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity. The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the price-quantity decision.
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OBJECTIVES:: Metacarpal juxta-articular bone is altered in Rheumatoid Arthritis (RA). However, a detailed analysis of disease related geometrical adaptations of the metacarpal shaft is missing. The aim of the present study was to assess the role of RA disease, forearm muscle cross-sectional area (CSA), age and sex on bone geometry at the metacarpal shaft. METHODS:: In 64 RA patients and 128 control subjects geometric properties of the third metacarpal bone mid-shaft and forearm muscle CSA were measured by peripheral quantitative computed tomography (pQCT). Linear models were performed for cortical CSA, total bone CSA, polar stress-strain Index (polar SSI, a surrogate for bone's resistance to bending and torsion), cortical thickness and Metacarpal Index (MI=cortical CSA/total CSA) with explanatory variables muscle CSA, age, RA status and sex. RESULTS:: Forearm muscle CSA was associated with cortical and total metacarpal CSA, and polar SSI. RA group status was associated with all bone parameters except cortical CSA. There was a significant interaction between RA status and age, indicating that the RA group had a greater age-related decrease in cortical CSA, cortical thickness and MI. CONCLUSIONS:: Bone geometry of the metacarpal shaft is altered in RA patients compared to healthy controls. While bone mass of the metacarpal shaft is adapted to forearm muscle mass, cortical thickness and MI are reduced but outer bone shaft circumference and polar SSI increased in RA patients. These adaptations correspond to an enhanced aging pattern in RA patients.
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Background Interferon-gamma release assays (IGRA) are more specific than the tuberculin skin test (TST) for the diagnosis of Mycobacterium tuberculosis infection. Data on sensitivity are controversial in HIV infection. Methods IGRA (T-SPOT.TB) was performed using lymphocytes stored within 6 months before culture-confirmed tuberculosis was diagnosed in HIV-infected individuals in the Swiss HIV Cohort Study. Results 64 individuals (69% males, 45% of non-white ethnicity, median age 35 years (interquartile range [IQR] 31-42), 28% with prior AIDS) were analysed. Median CD4 cell count was 223 cells/μl (IQR 103-339), HIV-RNA was 4.7 log10 copies/mL (IQR 4.3-5.2). T-SPOT.TB resulted positive in 25 patients (39%), negative in 18 (28%) and indeterminate in 21 (33%), corresponding to a sensitivity of 39% (95% CI 27-51%) if all test results were considered, and 58% (95% CI 43-74%) if indeterminate results were excluded. Sensitivity of IGRA was independent of CD4 cell count (p = 0.698). Among 44 individuals with available TST, 22 (50%) had a positive TST. Agreement between TST and IGRA was 57% (kappa = 0.14, p = 0.177), and in 34% (10/29) both tests were positive. Combining TST and IGRA (at least one test positive) resulted in an improved sensitivity of 67% (95% CI 52-81%). In multivariate analysis, older age was associated with negative results of TST and T-SPOT.TB (OR 3.07, 95% CI 1,22-7.74, p = 0.017, per 10 years older). Conclusions T-SPOT.TB and TST have similar sensitivity to detect latent TB in HIV-infected individuals. Combining TST and IGRA may help clinicians to better select HIV-infected individuals with latent tuberculosis who qualify for preventive treatment.
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Vascular surgical training currently has to cope with various challenges, including restrictions on work hours, significant reduction of open surgical training cases in many countries, an increasing diversity of open and endovascular procedures, and distinct expectations by trainees. Even more important, patients and the public no longer accept a "learning by doing" training philosophy that leaves the learning curve on the patient's side. The Vascular International (VI) Foundation and School aims to overcome these obstacles by training conventional vascular and endovascular techniques before they are applied on patients. To achieve largely realistic training conditions, lifelike pulsatile models with exchangeable synthetic arterial inlays were created to practice carotid endarterectomy and patch plasty, open abdominal aortic aneurysm surgery, and peripheral bypass surgery, as well as for endovascular procedures, including endovascular aneurysm repair, thoracic endovascular aortic repair, peripheral balloon dilatation, and stenting. All models are equipped with a small pressure pump inside to create pulsatile flow conditions with variable peak pressures of ~90 mm Hg. The VI course schedule consists of a series of 2-hour modules teaching different open or endovascular procedures step-by-step in a standardized fashion. Trainees practice in pairs with continuous supervision and intensive advice provided by highly experienced vascular surgical trainers (trainer-to-trainee ratio is 1:4). Several evaluations of these courses show that tutor-assisted training on lifelike models in an educational-centered and motivated environment is associated with a significant increase of general and specific vascular surgical technical competence within a short period of time. Future studies should evaluate whether these benefits positively influence the future learning curve of vascular surgical trainees and clarify to what extent sophisticated models are useful to assess the level of technical skills of vascular surgical residents at national or international board examinations. This article gives an overview of our experiences of >20 years of practical training of beginners and advanced vascular surgeons using lifelike pulsatile vascular surgical training models.