Bayesian analysis of extreme events with threshold estimation

The aim of this paper is to analyze extremal events using Generalized Pareto Distributions (GPD), considering explicitly the uncertainty about the threshold. Current practice empirically determines this quantity and proceeds by estimating the GPD parameters based on data beyond it, discarding all the information available be10w the threshold. We introduce a mixture model that combines a parametric form for the center and a GPD for the tail of the distributions and uses all observations for inference about the unknown parameters from both distributions, the threshold inc1uded. Prior distribution for the parameters are indirectly obtained through experts quantiles elicitation. Posterior inference is available through Markov Chain Monte Carlo (MCMC) methods. Simulations are carried out in order to analyze the performance of our proposed mode1 under a wide range of scenarios. Those scenarios approximate realistic situations found in the literature. We also apply the proposed model to a real dataset, Nasdaq 100, an index of the financiai market that presents many extreme events. Important issues such as predictive analysis and model selection are considered along with possible modeling extensions.

The long-run economic impact of AIDS

This paper studies the long-run impact of HIV / AIDS on per capita income and education. We introduce a channel from HIV / AIDS to long-run income that has been overlooked by the literature, the reduction of the incentives to study due to shorter expected longevity. We work with a continuous time overlapping generations mo deI in which life cycle features of savings and education decision play key roles. The simulations predict that the most affected countries in Sub-Saharan Africa will be in the future, on average, a quarter poorer than they would be without AIDS, due only to the direct (human capital reduction) and indirect (decline in savings and investment) effects of life-expectancy reductions. Schooling will decline on average by half. These findings are well above previous results in the literature and indicate that, as pessimistic as they may be, at least in economic terms the worst could be yet to come.

Microfounded forecasting

Our focus is on information in expectation surveys that can now be built on thousands (or millions) of respondents on an almost continuous-time basis (big data) and in continuous macroeconomic surveys with a limited number of respondents. We show that, under standard microeconomic and econometric techniques, survey forecasts are an affine function of the conditional expectation of the target variable. This is true whether or not the survey respondent knows the data-generating process (DGP) of the target variable or the econometrician knows the respondents individual loss function. If the econometrician has a mean-squared-error risk function, we show that asymptotically efficient forecasts of the target variable can be built using Hansens (Econometrica, 1982) generalized method of moments in a panel-data context, when N and T diverge or when T diverges with N xed. Sequential asymptotic results are obtained using Phillips and Moon s (Econometrica, 1999) framework. Possible extensions are also discussed.

We're Chained: an analysis of systemic risk in finance

This dissertation presents two papers on how to deal with simple systemic risk measures to assess portfolio risk characteristics. The first paper deals with the Granger-causation of systemic risk indicators based in correlation matrices in stock returns. Special focus is devoted to the Eigenvalue Entropy as some previous literature indicated strong re- sults, but not considering different macroeconomic scenarios; the Index Cohesion Force and the Absorption Ratio are also considered. Considering the S&P500, there is not ev- idence of Granger-causation from Eigenvalue Entropies and the Index Cohesion Force. The Absorption Ratio Granger-caused both the S&P500 and the VIX index, being the only simple measure that passed this test. The second paper develops this measure to capture the regimes underlying the American stock market. New indicators are built using filtering and random matrix theory. The returns of the S&P500 is modelled as a mixture of normal distributions. The activation of each normal distribution is governed by a Markov chain with the transition probabilities being a function of the indicators. The model shows that using a Herfindahl-Hirschman Index of the normalized eigenval- ues exhibits best fit to the returns from 1998-2013.

Evaluation of an average numerator relationship matrix model and a Bayesian hierarchical model for growth traits in Nellore cattle with uncertain paternity

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

Controle on-line por atributos para o número de não-conformidades no item inspecionado com base em uma sequência de inspeção

This paper proposes a procedure to control on-line processes for attributes, using an Shewhart control chart with two control limits (warning limit and control limit) and will be based on a sequence of inspection (h). The inspection procedure is based on Taguchi et al. (1989), in which to inspect the item, if the number of non-conformities is higher than an upper control limit, the process needs to be stopped and some adjustment is required; and, if the last inspection h, from all items inspected present a number of non-conformities between the control limit and warning limit. The items inspected will suffer destructive inspection, being discarded after inspection. Properties of an ergodic Markov chain are used to get the expression of average cost per item and the aim was the determination of four optimized parameters: the sampling interval of the inspections (m); the constant W to draw the warning limit (W); the constant C to draw the control limit (C), where W £ C, and the length of sequence of inspections (h). Numerical examples illustrate the proposed procedure

Análise operacional e econômica do processamento de madeira de Eucalitpo com Hypro em região montanhosa

O processo constante de avaliação técnica e econômica dos sistemas de colheita de madeira é intrínseco às empresas florestais, devido ao fato de corresponder a uma fase de suma importância que despende elevado investimento financeiro. No experimento deste trabalho, estudaram-se o rendimento operacional e custos operacionais e de produção do processador florestal Hypro. A análise técnica englobou estudos de tempos e movimentos pelo método de tempo contínuo. O rendimento operacional foi determinado através do volume, em metros cúbicos de madeira processada. A análise econômica incorporou os parâmetros do custo operacional, custo de processamento da madeira e rendimento energético. A análise dos dados evidenciou que o rendimento operacional por hora efetiva de trabalho foi de 38 árvores e, em metros cúbicos sem casca por hora efetiva de trabalho, de 11,68 m³ h-1, com custo de processamento de madeira sem casca de US$ 6.85 por metro cúbico.

Influência do relevo na produtividade e custos do harvester

Among the several variables that influence timber harvesting is the slope, which influences the productivity of forest machines. In this experiment the harvester was evaluated technically and economically while cutting and processing eucalyptus activity on different slope classes. The technical analysis included a study of time and movements by the method of continuous time; productivity was determined by the volume in cubic meters of wood processing. The economic analysis included the parameters of operational cost, production cost and energy consumption. The analysis of the data showed that productivity decreased according to the increase of the percent slope inclination, resulting in an effective work hour productivity increase from 18.72 to 39.71 m(3)sc, with a mean of operating cost of US$ 78.78 per work hour.

Mechanism and control of Genipa americana seed germination

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Avaliação técnica e econômica do corte de eucalipto com feller-buncher em diferentes condições operacionais

This study aimed to technically and economically evaluate the Feller-buncher in different conditions of harvest in eucalypt forests of second cut. The technical analysis included a study of time and movements by the method of continuous time, and operational performance was determined by volume in cubic meters of harvested wood. The economic analysis included the parameters of operational cost, harvest cost and energy consumption. The analysis of the data showed that the composition of main line harvesting and the arrangement of bundles of trees influenced operational performance. The average operational cost was US$ 86.26 per hour of actual work, which resulted in an average cost of forest harvesting of US$ 1.09 m(-3).

Use of Poisson spatiotemporal regression models for the Brazilian Amazon Forest: malaria count data

INTRODUÇÃO: A malaria é uma doença endêmica na região da Amazônia Brasileira, e a detecção de possíveis fatores de risco pode ser de grande interesse às autoridades em saúde pública. O objetivo deste artigo é investigar a associação entre variáveis ambientais e os registros anuais de malária na região amazônica usando métodos bayesianos espaço-temporais. MÉTODOS: Utilizaram-se modelos de regressão espaço-temporais de Poisson para analisar os dados anuais de contagem de casos de malária entre os anos de 1999 a 2008, considerando a presença de alguns fatores como a taxa de desflorestamento. em uma abordagem bayesiana, as inferências foram obtidas por métodos Monte Carlo em cadeias de Markov (MCMC) que simularam amostras para a distribuição conjunta a posteriori de interesse. A discriminação de diferentes modelos também foi discutida. RESULTADOS: O modelo aqui proposto sugeriu que a taxa de desflorestamento, o número de habitants por km² e o índice de desenvolvimento humano (IDH) são importantes para a predição de casos de malária. CONCLUSÕES: É possível concluir que o desenvolvimento humano, o crescimento populacional, o desflorestamento e as alterações ecológicas associadas a estes fatores estão associados ao aumento do risco de malária. Pode-se ainda concluir que o uso de modelos de regressão de Poisson que capturam o efeito temporal e espacial em um enfoque bayesiano é uma boa estratégia para modelar dados de contagem de malária.

Endurance training stimulates growth and survival pathways and the redox balance in rat pancreatic islets

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

Algoritmos genéticos canônico e elitista: uma abordagem comparativa

Universidade Federal do Rio Grande do Norte

Molecular assay optimized by Taguchi experimental design method for venous thromboembolism investigation

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Economic-statistical design of the (X)over-bar chart used to control a wandering process mean using genetic algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)