Efeitos não-gaussianos em astrofísica e cosmologia

The recent astronomical observations indicate that the universe has null spatial curvature, is accelerating and its matter-energy content is composed by circa 30% of matter (baryons + dark matter) and 70% of dark energy, a relativistic component with negative pressure. However, in order to built more realistic models it is necessary to consider the evolution of small density perturbations for explaining the richness of observed structures in the scale of galaxies and clusters of galaxies. The structure formation process was pioneering described by Press and Schechter (PS) in 1974, by means of the galaxy cluster mass function. The PS formalism establishes a Gaussian distribution for the primordial density perturbation field. Besides a serious normalization problem, such an approach does not explain the recent cluster X-ray data, and it is also in disagreement with the most up-to-date computational simulations. In this thesis, we discuss several applications of the nonextensive q-statistics (non-Gaussian), proposed in 1988 by C. Tsallis, with special emphasis in the cosmological process of the large structure formation. Initially, we investigate the statistics of the primordial fluctuation field of the density contrast, since the most recent data from the Wilkinson Microwave Anisotropy Probe (WMAP) indicates a deviation from gaussianity. We assume that such deviations may be described by the nonextensive statistics, because it reduces to the Gaussian distribution in the limit of the free parameter q = 1, thereby allowing a direct comparison with the standard theory. We study its application for a galaxy cluster catalog based on the ROSAT All-Sky Survey (hereafter HIFLUGCS). We conclude that the standard Gaussian model applied to HIFLUGCS does not agree with the most recent data independently obtained by WMAP. Using the nonextensive statistics, we obtain values much more aligned with WMAP results. We also demonstrate that the Burr distribution corrects the normalization problem. The cluster mass function formalism was also investigated in the presence of the dark energy. In this case, constraints over several cosmic parameters was also obtained. The nonextensive statistics was implemented yet in 2 distinct problems: (i) the plasma probe and (ii) in the Bremsstrahlung radiation description (the primary radiation from X-ray clusters); a problem of considerable interest in astrophysics. In another line of development, by using supernova data and the gas mass fraction from galaxy clusters, we discuss a redshift variation of the equation of state parameter, by considering two distinct expansions. An interesting aspect of this work is that the results do not need a prior in the mass parameter, as usually occurs in analyzes involving only supernovae data.Finally, we obtain a new estimate of the Hubble parameter, through a joint analysis involving the Sunyaev-Zeldovich effect (SZE), the X-ray data from galaxy clusters and the baryon acoustic oscillations. We show that the degeneracy of the observational data with respect to the mass parameter is broken when the signature of the baryon acoustic oscillations as given by the Sloan Digital Sky Survey (SDSS) catalog is considered. Our analysis, based on the SZE/X-ray data for a sample of 25 galaxy clusters with triaxial morphology, yields a Hubble parameter in good agreement with the independent studies, provided by the Hubble Space Telescope project and the recent estimates of the WMAP

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Collisional semiclassical approximations in phase-space representation

The Gaussian wave-packet phase-space representation is used to show that the expansion in powers of a of the quantum Liouville propagator leads, in the zeroth-order term, to results close to those obtained in the statistical quasiclassical method of Lee and Scully in the Weyl-Wigner picture. It is also verified that, propagating the Wigner distribution along the classical trajectories, the amount of error is less than that coming from propagating the Gaussian distribution along classical trajectories.

The gradually truncated Lévy flight: Stochastic process for complex systems

Power-law distributions, i.e. Levy flights have been observed in various economical, biological, and physical systems in high-frequency regime. These distributions can be successfully explained via gradually truncated Levy flight (GTLF). In general, these systems converge to a Gaussian distribution in the low-frequency regime. In the present work, we develop a model for the physical basis for the cut-off length in GTLF and its variation with respect to the time interval between successive observations. We observe that GTLF automatically approach a Gaussian distribution in the low-frequency regime. We applied the present method to analyze time series in some physical and financial systems. The agreement between the experimental results and theoretical curves is excellent. The present method can be applied to analyze time series in a variety of fields, which in turn provide a basis for the development of further microscopic models for the system. © 2000 Elsevier Science B.V. All rights reserved.

On the determination of epsilon during discriminative GMM training

Discriminative training of Gaussian Mixture Models (GMMs) for speech or speaker recognition purposes is usually based on the gradient descent method, in which the iteration step-size, ε, uses to be defined experimentally. In this letter, we derive an equation to adaptively determine ε, by showing that the second-order Newton-Raphson iterative method to find roots of equations is equivalent to the gradient descent algorithm. © 2010 IEEE.

Estudo de Lei de Potência em distribuições estatísticas de consumo de água

Pós-graduação em Física - IGCE

A distribuição estatística das notas do exame nacional do ensino médio (ENEM): um sistema complexo educacional

Pós-graduação em Física - IGCE

Law of large numbers for certain cylinder flows

We construct new examples of cylinder flows, given by skew product extensions of irrational rotations on the circle, that are ergodic and rationally ergodic along a subsequence of iterates. In particular, they exhibit a law of large numbers. This is accomplished by explicitly calculating, for a subsequence of iterates, the number of visits to zero, and it is shown that such number has a Gaussian distribution.

Comparação da composição bioquímica do líquido amniótico equino colhido em diferentes estágios gestacionais e no momento do parto

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

Zero sets of bivariate Hermite polynomials

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Likelihood-based inference for power distributions

This paper considers likelihood-based inference for the family of power distributions. Widely applicable results are presented which can be used to conduct inference for all three parameters of the general location-scale extension of the family. More specific results are given for the special case of the power normal model. The analysis of a large data set, formed from density measurements for a certain type of pollen, illustrates the application of the family and the results for likelihood-based inference. Throughout, comparisons are made with analogous results for the direct parametrisation of the skew-normal distribution.

Monte Carlo simulations of Potts glasses

A complete understanding of the glass transition isstill a challenging problem. Some researchers attributeit to the (hypothetical) occurrence of a static phasetransition, others emphasize the dynamical transitionof mode coupling-theory from an ergodic to a non ergodicstate. A class of disordered spin models has been foundwhich unifies both scenarios. One of these models isthe p-state infinite range Potts glass with p>4, whichexhibits in the thermodynamic limit both a dynamicalphase transition at a temperature T_D, and a static oneat T_0 < T_D. In this model every spins interacts withall the others, irrespective of distance. Interactionsare taken from a Gaussian distribution.In order to understand better its behavior forfinite number N of spins and the approach to thethermodynamic limit, we have performed extensive MonteCarlo simulations of the p=10 Potts glass up to N=2560.The time-dependent spin-autocorrelation function C(t)shows strong finite size effects and it does not showa plateau even for temperatures around the dynamicalcritical temperature T_D. We show that the N-andT-dependence of the relaxation time for T > T_D can beunderstood by means of a dynamical finite size scalingAnsatz.The behavior in the spin glass phase down to atemperature T=0.7 (about 60% of the transitiontemperature) is studied. Well equilibratedconfigurations are obtained with the paralleltempering method, which is also useful for properlyestablishing static properties, such as the orderparameter distribution function P(q). Evidence is givenfor the compatibility with a one step replica symmetrybreaking scenario. The study of the cumulants of theorder parameter does not permit a reliable estimation ofthe static transition temperature. The autocorrelationfunction at low T exhibits a two-step decay, and ascaling behavior typical of supercooled liquids, thetime-temperature superposition principle, is observed. Inthis region the dynamics is governed by Arrheniusrelaxations, with barriers growing like N^{1/2}.We analyzed the single spin dynamics down to temperaturesmuch lower than the dynamical transition temperature. We found strong dynamical heterogeneities, which explainthe non-exponential character of the spin autocorrelationfunction. The spins seem to relax according to dynamicalclusters. The model in three dimensions tends to acquireferromagnetic order for equal concentration of ferro-and antiferromagnetic bonds. The ordering has differentcharacteristics from the pure ferromagnet. The spinglass susceptibility behaves like chi_{SG} proportionalto 1/T in the region where a spin glass is predicted toexist in mean-field. Also the analysis of the cumulantsis consistent with the absence of spin glass orderingat finite temperature. The dynamics shows multi-scalerelaxations if a bimodal distribution of bonds isused. We propose to understand it with a model based onthe local spin configuration. This is consistent with theabsence of plateaus if Gaussian interactions are used.

Measurement of the pair production of b-jets in proton-proton collisions at root out s = 7 TeV with the ATLAS detector

In hadronischen Kollisionen entstehen bei einem Großteil der Ereignisse mit einem hohen Impulsübertrag Paare aus hochenergetischen Jets. Deren Produktion und Eigenschaften können mit hoher Genauigkeit durch die Störungstheorie in der Quantenchromodynamik (QCD) vorhergesagt werden. Die Produktion von \textit{bottom}-Quarks in solchen Kollisionen kann als Maßstab genutzt werden, um die Vorhersagen der QCD zu testen, da diese Quarks die Dynamik des Produktionsprozesses bei Skalen wieder spiegelt, in der eine Störungsrechnung ohne Einschränkungen möglich ist. Auf Grund der hohen Masse von Teilchen, die ein \textit{bottom}-Quark enthalten, erhält der gemessene, hadronische Zustand den größten Teil der Information von dem Produktionsprozess der Quarks. Weil sie eine große Produktionsrate besitzen, spielen sie und ihre Zerfallsprodukte eine wichtige Rolle als Untergrund in vielen Analysen, insbesondere in Suchen nach neuer Physik. In ihrer herausragenden Stellung in der dritten Quark-Generation könnten sich vermehrt Zeichen im Vergleich zu den leichteren Quarks für neue Phänomene zeigen. Daher ist die Untersuchung des Verhältnisses zwischen der Produktion von Jets, die solche \textit{bottom}-Quarks enthalten, auch bekannt als $b$-Jets, und aller nachgewiesener Jets ein wichtiger Indikator für neue massive Objekte. In dieser Arbeit werden die Produktionsrate und die Korrelationen von Paaren aus $b$-Jets bestimmt und nach ersten Hinweisen eines neuen massiven Teilchens, das bisher nicht im Standard-Modell enthalten ist, in dem invarianten Massenspektrum der $b$-Jets gesucht. Am Large Hadron Collider (LHC) kollidieren zwei Protonenstrahlen bei einer Schwerpunktsenergie von $\sqrt s = 7$ TeV, und es werden viele solcher Paare aus $b$-Jets produziert. Diese Analyse benutzt die aufgezeichneten Kollisionen des ATLAS-Detektors. Die integrierte Luminosität der verwendbaren Daten beläuft sich auf 34~pb$^{-1}$. $b$-Jets werden mit Hilfe ihrer langen Lebensdauer und den rekonstruierten, geladenen Zerfallsprodukten identifiziert. Für diese Analyse müssen insbesondere die Unterschiede im Verhalten von Jets, die aus leichten Objekten wie Gluonen und leichten Quarks hervorgehen, zu diesen $b$-Jets beachtet werden. Die Energieskala dieser $b$-Jets wird untersucht und die zusätzlichen Unsicherheit in der Energiemessung der Jets bestimmt. Effekte bei der Jet-Rekonstruktion im Detektor, die einzigartig für $b$-Jets sind, werden studiert, um letztlich diese Messung unabhängig vom Detektor und auf Niveau der Hadronen auswerten zu können. Hiernach wird die Messung zu Vorhersagen auf nächst-zu-führender Ordnung verglichen. Dabei stellt sich heraus, dass die Vorhersagen in Übereinstimmung zu den aufgenommenen Daten sind. Daraus lässt sich schließen, dass der zugrunde liegende Produktionsmechanismus auch in diesem neu erschlossenen Energiebereich am LHC gültig ist. Jedoch werden auch erste Hinweise auf Mängel in der Beschreibung der Eigenschaften dieser Ereignisse gefunden. Weiterhin können keine Anhaltspunkte für eine neue Resonanz, die in Paare aus $b$-Jets zerfällt, in dem invarianten Massenspektrum bis etwa 1.7~TeV gefunden werden. Für das Auftreten einer solchen Resonanz mit einer Gauß-förmigen Massenverteilung werden modell-unabhängige Grenzen berechnet.

Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Limiting theorems in statistical mechanics. The mean-field case.

The Curie-Weiss model is defined by ah Hamiltonian according to spins interact. For some particular values of the parameters, the sum of the spins normalized with square-root normalization converges or not toward Gaussian distribution. In the thesis we investigate some correlations between the behaviour of the sum and the central limit for interacting random variables.