Density profiles in the raise and peel model with and without a wall; physics and combinatorics

We consider the raise and peel model of a one-dimensional fluctuating interface in the presence of an attractive wall. The model can also describe a pair annihilation process in disordered unquenched media with a source at one end of the system. For the stationary states, several density profiles are studied using Monte Carlo simulations. We point out a deep connection between some profiles seen in the presence of the wall and in its absence. Our results are discussed in the context of conformal invariance ( c = 0 theory). We discover some unexpected values for the critical exponents, which are obtained using combinatorial methods. We have solved known ( Pascal`s hexagon) and new (split-hexagon) bilinear recurrence relations. The solutions of these equations are interesting in their own right since they give information on certain classes of alternating sign matrices.

Culture-area relation in Axelrod`s model for culture dissemination

Axelrod`s model for culture dissemination offers a nontrivial answer to the question of why there is cultural diversity given that people`s beliefs have a tendency to become more similar to each other`s as they interact repeatedly. The answer depends on the two control parameters of the model, namely, the number F of cultural features that characterize each agent, and the number q of traits that each feature can take on, as well as on the size A of the territory or, equivalently, on the number of interacting agents. Here, we investigate the dependence of the number C of distinct coexisting cultures on the area A in Axelrod`s model, the culture-area relationship, through extensive Monte Carlo simulations. We find a non-monotonous culture-area relation, for which the number of cultures decreases when the area grows beyond a certain size, provided that q is smaller than a threshold value q (c) = q (c) (F) and F a parts per thousand yen 3. In the limit of infinite area, this threshold value signals the onset of a discontinuous transition between a globalized regime marked by a uniform culture (C = 1), and a completely polarized regime where all C = q (F) possible cultures coexist. Otherwise, the culture-area relation exhibits the typical behavior of the species-area relation, i.e., a monotonically increasing curve the slope of which is steep at first and steadily levels off at some maximum diversity value.

The n-site approximation for the triplet-creation model

The nonequilibrium phase transition of the one-dimensional triplet-creation model is investigated using the n-site approximation scheme. We find that the phase diagram in the space of parameters (gamma, D), where gamma is the particle decay probability and D is the diffusion probability, exhibits a tricritical point for n >= 4. However, the fitting of the tricritical coordinates (gamma(t), D(t)) using data for 4 <= n <= 13 predicts that gamma(t) becomes negative for n >= 26, indicating thus that the phase transition is always continuous in the limit n -> infinity. However, the large discrepancies between the critical parameters obtained in this limit and those obtained by Monte Carlo simulations, as well as a puzzling non-monotonic dependence of these parameters on the order of the approximation n, argue for the inadequacy of the n-site approximation to study the triplet-creation model for computationally feasible values of n.

Random sums of exchangeable variables and actuarial applications

In this paper we study the accumulated claim in some fixed time period, skipping the classical assumption of mutual independence between the variables involved. Two basic models are considered: Model I assumes that any pair of claims are equally correlated which means that the corresponding square-integrable sequence is exchangeable one. Model 2 states that the correlations between the adjacent claims are the same. Recurrence and explicit expressions for the joint probability generating function are derived and the impact of the dependence parameter (correlation coefficient) in both models is examined. The Markov binomial distribution is obtained as a particular case under assumptions of Model 2. (C) 2007 Elsevier B.V. All rights reserved.

Improved maximum likelihood estimators in a heteroskedastic errors-in-variables model

This paper develops a bias correction scheme for a multivariate heteroskedastic errors-in-variables model. The applicability of this model is justified in areas such as astrophysics, epidemiology and analytical chemistry, where the variables are subject to measurement errors and the variances vary with the observations. We conduct Monte Carlo simulations to investigate the performance of the corrected estimators. The numerical results show that the bias correction scheme yields nearly unbiased estimates. We also give an application to a real data set.

Signed likelihood ratio tests in the Birnbaum-Saunders regression model

The Birnbaum-Saunders regression model is becoming increasingly popular in lifetime analyses and reliability studies. In this model, the signed likelihood ratio statistic provides the basis for testing inference and construction of confidence limits for a single parameter of interest. We focus on the small sample case, where the standard normal distribution gives a poor approximation to the true distribution of the statistic. We derive three adjusted signed likelihood ratio statistics that lead to very accurate inference even for very small samples. Two empirical applications are presented. (C) 2010 Elsevier B.V. All rights reserved.

Term structure dynamics and no-arbitrage under the Taylor rule

A determinação da taxa de juros estrutura a termo é um dos temas principais da gestão de ativos financeiros. Considerando a grande importância dos ativos financeiros para a condução das políticas econômicas, é fundamental para compreender a estrutura que é determinado. O principal objetivo deste estudo é estimar a estrutura a termo das taxas de juros brasileiras, juntamente com taxa de juros de curto prazo. A estrutura a termo será modelado com base em um modelo com uma estrutura afim. A estimativa foi feita considerando a inclusão de três fatores latentes e duas variáveis ​​macroeconômicas, através da técnica Bayesiana da Cadeia de Monte Carlo Markov (MCMC).

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a lack of parsimony, as well as the traditional ones. We suggest a new procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties. In order to compute the fit of each model, we propose an iterative procedure to compute the maximum likelihood estimates of parameters of a VAR model with short-run and long-run restrictions. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank, relative to the commonly used procedure of selecting the lag-length only and then testing for cointegration.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian inflation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in different measures of forecasting accuracy are substantial, especially for short horizons.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. Our Monte Carlo simulations measure the improvements in forecasting accuracy that can arise from the joint determination of lag-length and rank using our proposed procedure, relative to an unrestricted VAR or a cointegrated VAR estimated by the commonly used procedure of selecting the lag-length only and then testing for cointegration. Two empirical applications forecasting Brazilian in ation and U.S. macroeconomic aggregates growth rates respectively show the usefulness of the model-selection strategy proposed here. The gains in di¤erent measures of forecasting accuracy are substantial, especially for short horizons.

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. A Monte Carlo study explores the finite sample performance of this procedure and evaluates the forecasting accuracy of models selected by this procedure. Two empirical applications confirm the usefulness of the model selection procedure proposed here for forecasting.

A framework for monitoring and runtime recovery of web service-based applications

Service provisioning is a challenging research area for the design and implementation of autonomic service-oriented software systems. It includes automated QoS management for such systems and their applications. Monitoring, Diagnosis and Repair are three key features of QoS management. This work presents a self-healing Web service-based framework that manages QoS degradation at runtime. Our approach is based on proxies. Proxies act on meta-level communications and extend the HTTP envelope of the exchanged messages with QoS-related parameter values. QoS Data are filtered over time and analysed using statistical functions and the Hidden Markov Model. Detected QoS degradations are handled with proxies. We experienced our framework using an orchestrated electronic shop application (FoodShop).

Transporte eletrônico e propriedades termodinâmicas de nanobiomoléculas

We use a tight-binding formulation to investigate the transmissivity and the currentvoltage (I_V) characteristics of sequences of double-strand DNA molecules. In order to reveal the relevance of the underlying correlations in the nucleotides distribution, we compare theresults for the genomic DNA sequence with those of arti_cial sequences (the long-range correlated Fibonacci and RudinShapiro one) and a random sequence, which is a kind of prototype of a short-range correlated system. The random sequence is presented here with the same _rst neighbors pair correlations of the human DNA sequence. We found that the long-range character of the correlations is important to the transmissivity spectra, although the I_V curves seem to be mostly inuenced by the short-range correlations. We also analyze in this work the electronic and thermal properties along an _-helix sequence obtained from an _3 peptide which has the uni-dimensional sequence (Leu-Glu-Thr- Leu-Ala-Lys-Ala)3. An ab initio quantum chemical calculation procedure is used to obtain the highest occupied molecular orbital (HOMO) as well as their charge transfer integrals, when the _-helix sequence forms two di_erent variants with (the so-called 5Q variant) and without (the 7Q variant) _brous assemblies that can be observed by transmission electron microscopy. The di_erence between the two structures is that the 5Q (7Q) structure have Ala ! Gln substitution at the 5th (7th) position, respectively. We estimate theoretically the density of states as well as the electronic transmission spectra for the peptides using a tight-binding Hamiltonian model together with the Dyson's equation. Besides, we solve the time dependent Schrodinger equation to compute the spread of an initially localized wave-packet. We also compute the localization length in the _nite _-helix segment and the quantum especi_c heat. Keeping in mind that _brous protein can be associated with diseases, the important di_erences observed in the present vi electronic transport studies encourage us to suggest this method as a molecular diagnostic tool

A teoria da ruína aplicada em um modelo de empresa financeira com risco de crédito

In this work we study a new risk model for a firm which is sensitive to its credit quality, proposed by Yang(2003): Are obtained recursive equations for finite time ruin probability and distribution of ruin time and Volterra type integral equation systems for ultimate ruin probability, severity of ruin and distribution of surplus before and after ruin

The role of the TP53 gene during rat tongue carcinogenesis induced by 4-nitroquinoline 1-oxide

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