The exponentiated generalized inverse Gaussian distribution

The modeling and analysis of lifetime data is an important aspect of statistical work in a wide variety of scientific and technological fields. Good (1953) introduced a probability distribution which is commonly used in the analysis of lifetime data. For the first time, based on this distribution, we propose the so-called exponentiated generalized inverse Gaussian distribution, which extends the exponentiated standard gamma distribution (Nadarajah and Kotz, 2006). Various structural properties of the new distribution are derived, including expansions for its moments, moment generating function, moments of the order statistics, and so forth. We discuss maximum likelihood estimation of the model parameters. The usefulness of the new model is illustrated by means of a real data set. (c) 2010 Elsevier B.V. All rights reserved.

2D QSAR and similarity studies on cruzain inhibitors aimed at improving selectivity over cathepsin L

Hologram quantitative structure-activity relationships (HQSAR) were applied to a data set of 41 cruzain inhibitors. The best HQSAR model (Q(2) = 0.77; R-2 = 0.90) employing Surflex-Sim, as training and test sets generator, was obtained using atoms, bonds, and connections as fragment distinctions and 4-7 as fragment size. This model was then used to predict the potencies of 12 test set compounds, giving satisfactory predictive R-2 value of 0,88. The contribution maps obtained from the best HQSAR model are in agreement with the biological activities of the study compounds. The Trypanosoma cruzi cruzain shares high similarity with the mammalian homolog cathepsin L. The selectivity toward cruzam was checked by a database of 123 compounds, which corresponds to the 41 cruzain inhibitors used in the HQSAR model development plus 82 cathepsin L inhibitors. We screened these compounds by ROCS (Rapid Overlay of Chemical Structures), a Gaussian-shape volume overlap filter that can rapidly identify shapes that match the query molecule. Remarkably, ROCS was able to rank the first 37 hits as being only cruzain inhibitors. In addition, the area under the curve (AUC) obtained with ROCS was 0.96, indicating that the method was very efficient to distinguishing between cruzain and cathepsin L inhibitors. (c) 2007 Elsevier Ltd. All rights reserved.

Emerging markets yield curve dynamics

This work extendes Diebold, Li and Yueís (2006) about global yield curve and proposes to extend the study by including emerging countries. The perception of emerging market su§ers ináuence of external factors or global factors, is the main argument of this work. We expect to obtain stylized facts.that obey similar pattern found by those authors. The results indicate the existence of global level and global slope factors. These factors represent an important fraction in the bond yield determination and show a decreasing trend of the global level factor low ináuence of global slope factor in these countries when they are compared with developed countries. Keywords: Kalman Filter, Emerging Markets, Yield Curve, and Bond.

Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

A structuralist Philips curve

This paper presents a structuralist model of the Philips curve and applies it to the US and Brazilian economies. The theoretical model starts from a simple markup rule to build a Philips curve based on the assumptions that firms have a desired rate of profit and wokers have a target real wage. Inflation expectations are modeled in terms of current inflation and the governments’ target, and the model shows that relative prices can have both a short-run and long-run influence on inflation. When applied to the US, the structuralist Philips curve results in a nonlinear model in which there are two steady states for inflation, and where the wageshare of income becomes the main instrument to drive inflation to the governments’ target. When applied to Brazil, the structuralist Philips curve reveals a nonlinear relationship between long-run inflation and the real exchange rate, so that the same inflation target can be consistent with more than one value of the exchange rate. The main conclusion of the paper is that a structuralist specification of the Philips curve is a useful instrument to model many macroeconomic topics as well as alternative theoretical closures.

Studies in non-Gaussian analysis

This thesis presents general methods in non-Gaussian analysis in infinite dimensional spaces. As main applications we study Poisson and compound Poisson spaces. Given a probability measure μ on a co-nuclear space, we develop an abstract theory based on the generalized Appell systems which are bi-orthogonal. We study its properties as well as the generated Gelfand triples. As an example we consider the important case of Poisson measures. The product and Wick calculus are developed on this context. We provide formulas for the change of the generalized Appell system under a transformation of the measure. The L² structure for the Poisson measure, compound Poisson and Gamma measures are elaborated. We exhibit the chaos decomposition using the Fock isomorphism. We obtain the representation of the creation, annihilation operators. We construct two types of differential geometry on the configuration space over a differentiable manifold. These two geometries are related through the Dirichlet forms for Poisson measures as well as for its perturbations. Finally, we construct the internal geometry on the compound configurations space. In particular, the intrinsic gradient, the divergence and the Laplace-Beltrami operator. As a result, we may define the Dirichlet forms which are associated to a diffusion process. Consequently, we obtain the representation of the Lie algebra of vector fields with compact support. All these results extends directly for the marked Poisson spaces.

Egg production curve fitting using nonlinear models for selected and nonselected lines of White Leghorn hens

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

Comparison of logistic and neural network models to fit to the egg production curve of White Leghorn hens

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Growth curve in Santa Ines sheep

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modeling of average growth curve in Santa Ines sheep using random regression models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Comparison of non-linear growth models to describe the growth curve in West African Dwarf sheep

The objectives of this study were to compare the goodness of fit of four non-linear growth models, i.e. Brody, Gompertz, Logistic and Von Bertalanffy, in West African Dwarf (WAD) sheep. A total of 5274 monthly weight records from birth up to 180 days of age from 889 lambs, collected during 2001 to 2004 in Betecoucou breeding farm in Benin were used. In the preliminary analysis, the General Linear Model Procedure of the Statistical Analysis Systems Institute was applied to the dataset to identify the significant effects of the sex of lamb (male and female), type of birth (single and twin), season of birth (rainy season and dry season), parity of dam (1, 2 and 3) and year of birth (2001, 2002, 2003 and 2004) on the observed birth weight and monthly weight up to 6 months of age. The models parameters (A, B and k), coefficient of determination (112), mean square error (MSE) were calculated using language of technical computing package Matlab(R), 2006. The mean values of A, B and k were substituted into each model to calculate the corresponding Akaike's Information Criterion (AIC). Among the four growth functions, the Brody model has been selected for its accuracy of fit according to the higher R(2), lower MSE and A/C Finally, the parameters A, B and k were adjusted in Matlab(R) 2006 for the sex of lamb, year of birth, season of birth, birth type and the parity of ewe, providing a specific slope of the Brody growth curve. The results of this study suggest that Brody model can be useful for WAD sheep breeding in Betecoucou farm conditions through growth monitoring.

Genetic parameters of total milk yield and factors describing the shape of lactation curve in dairy buffaloes

The objective of this study was to apply factor analysis to describe lactation curves in dairy buffaloes in order to estimate the phenotypic and genetic association between common latent factors and cumulative milk yield. A total of 31 257 monthly test-day milk yield records from buffaloes belonging to herds located in the state of São Paulo were used to estimate two common latent factors, which were then analysed in a multi-trait animal model for estimating genetic parameters. Estimates of (co)variance components for the two common latent factors and cumulated 270-d milk yield were obtained by Bayesian inference using a multiple trait animal model. Contemporary group, number of milkings per day (two levels) and age of buffalo cow at calving (linear and quadratic) as covariate were included in the model as fixed effects. The additive genetic, permanent environmental and residual effects were included as random effects. The first common latent factor (F1) was associated with persistency of lactation and the second common latent factor (F2) with the level of production in early lactation. Heritability estimates for Fl and F2 were 0.12 and 0.07, respectively. Genetic correlation estimates between El and F2 with cumulative milk yield were positive and moderate (0.63 and 0.52). Multivariate statistics employing factor analysis allowed the extraction of two variables (latent factors) that described the shape of the lactation curve. It is expected that the response to selection to increase lactation persistency is higher than the response obtained from selecting animals to increase lactation peak. Selection for higher total milk yield would result in a favourable correlated response to increase the level of production in early lactation and the lactation persistency.

Deriving the magnitude of niobium off-center displacement in ferroelectric niobates from infrared spectroscopy

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)