Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns

Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for risk exposure. Therefore, this study suggests a method for computing the parametric VaR based on goodness-of-fit tests using the empirical distribution function (EDF) for extreme returns, and compares the feasibility of this method for the banking sector in an emerging market and in a developed one. The paper also discusses possible theoretical contributions in related fields like enterprise risk management (ERM). © 2013 Elsevier Ltd.

Selfing rate estimation in sugarcane under unfavorable natural conditions of crossing by using microsatellite markers

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

Fast fault section estimation in distribution control centers using adaptive genetic algorithm

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

Novel estimation of the humification degree of soil organic matter by laser-induced breakdown spectroscopy

Soil organic matter (SOM) constitutes an important reservoir of terrestrial carbon and can be considered an alternative for atmospheric carbon storage, contributing to global warming mitigation. Soil management can favor atmospheric carbon incorporation into SUM or its release from SOM to atmosphere. Thus, the evaluation of the humification degree (HD), which is an indication of the recalcitrance of SOM, can provide an estimation of the capacity of carbon sequestration by soils under various managements. The HD of SOM can be estimated by using various analytical techniques including fluorescence spectroscopy. In the present work, the potential of laser-induced breakdown spectroscopy (LIBS) to estimate the HD of SUM was evaluated for the first time. Intensities of emission lines of Al, Mg and Ca from LIBS spectra showing correlation with fluorescence emissions determined by laser-induced fluorescence spectroscopy (LIFS) reference technique were used to obtain a multivaried calibration model based on the k-nearest neighbor (k-NN) method. The values predicted by the proposed model (A-LIBS) showed strong correlation with LIFS results with a Pearson's coefficient of 0.87. The HD of SUM obtained after normalizing A-LIBS by total carbon in the sample showed a strong correlation to that determined by LIFS (0.94), thus suggesting the great potential of LIBS for this novel application. (C) 2014 Elsevier B.V. All rights reserved.

Inverse Modeling of GPS Multipath for Snow Depth Estimation-Part I: Formulation and Simulations

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Non-destructive linear model for leaf area estimation in Vernonia ferruginea Less

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

Estimation of croplands using indicator kriging and fuzzy classification

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Visual estimation of apertures for wheelchair locomotion in novices: perceptual judgment and motor practice

The aim of the present study was to determine the effects of motor practice on visual judgments of apertures for wheelchair locomotion and the visual control of wheelchair locomotion in wheelchair users who had no prior experience. Sixteen young adults, divided into motor practice and control groups, visually judged varying apertures as passable or impassable under walking, pre-practice, and post-practice conditions. The motor practice group underwent additional motor practice in 10 blocks of five trials each, moving the wheelchair through different apertures. The relative perceptual boundary was determined based on judgment data and kinematic variables that were calculated from videos of the motor practice trials. The participants overestimated the space needed under the walking condition and underestimated it under the wheelchair conditions, independent of group. The accuracy of judgments improved from the pre-practice to post-practice condition in both groups. During motor practice, the participants adaptively modulated wheelchair locomotion, adjusting it to the apertures available. The present findings from a priori visual judgments of space and the continuous judgments that are necessary for wheelchair approach and passage through apertures appear to support the dissociation between processes of perception and action.

Chaos control and sensitivity analysis of a double pendulum arm excited by an RLC circuit based nonlinear shaker

In this paper the dynamical interactions of a double pendulum arm and an electromechanical shaker is investigated. The double pendulum is a three degree of freedom system coupled to an RLC circuit based nonlinear shaker through a magnetic field, and the capacitor voltage is a nonlinear function of the instantaneous electric charge. Numerical simulations show the existence of chaotic behavior for some regions in the parameter space and this behaviour is characterized by power spectral density and Lyapunov exponents. The bifurcation diagram is constructed to explore the qualitative behaviour of the system. This kind of electromechanical system is frequently found in robotic systems, and in order to suppress the chaotic motion, the State-Dependent Riccati Equation (SDRE) control and the Nonlinear Saturation control (NSC) techniques are analyzed. The robustness of these two controllers is tested by a sensitivity analysis to parametric uncertainties.

Spatial methods for plot-based sampling of wildlife populations

Classical sampling methods can be used to estimate the mean of a finite or infinite population. Block kriging also estimates the mean, but of an infinite population in a continuous spatial domain. In this paper, I consider a finite population version of block kriging (FPBK) for plot-based sampling. The data are assumed to come from a spatial stochastic process. Minimizing mean-squared-prediction errors yields best linear unbiased predictions that are a finite population version of block kriging. FPBK has versions comparable to simple random sampling and stratified sampling, and includes the general linear model. This method has been tested for several years for moose surveys in Alaska, and an example is given where results are compared to stratified random sampling. In general, assuming a spatial model gives three main advantages over classical sampling: (1) FPBK is usually more precise than simple or stratified random sampling, (2) FPBK allows small area estimation, and (3) FPBK allows nonrandom sampling designs.

A Model-Based Approach for Making Ecological Inference from Distance Sampling Data

We consider a fully model-based approach for the analysis of distance sampling data. Distance sampling has been widely used to estimate abundance (or density) of animals or plants in a spatially explicit study area. There is, however, no readily available method of making statistical inference on the relationships between abundance and environmental covariates. Spatial Poisson process likelihoods can be used to simultaneously estimate detection and intensity parameters by modeling distance sampling data as a thinned spatial point process. A model-based spatial approach to distance sampling data has three main benefits: it allows complex and opportunistic transect designs to be employed, it allows estimation of abundance in small subregions, and it provides a framework to assess the effects of habitat or experimental manipulation on density. We demonstrate the model-based methodology with a small simulation study and analysis of the Dubbo weed data set. In addition, a simple ad hoc method for handling overdispersion is also proposed. The simulation study showed that the model-based approach compared favorably to conventional distance sampling methods for abundance estimation. In addition, the overdispersion correction performed adequately when the number of transects was high. Analysis of the Dubbo data set indicated a transect effect on abundance via Akaike’s information criterion model selection. Further goodness-of-fit analysis, however, indicated some potential confounding of intensity with the detection function.

The complexity of motion in the Aristotelian Physics

The intention of this paper is to present some Aristotelian arguments regarding the motion on local terrestrial region. Because it is a highly sophisticated and complex explanation dealt with, briefly, the principles and causes that based theoretic sciences in general and in particular physics. Subdivided into eight topics this article in order to facilitate the understanding of these concepts for the reader not familiar with the Aristotelian texts. With intent to avoid an innocent view, anachronistic and linear the citations are of primary sources or commentators of Aristotle's works.

Further results in J and CTOD estimation procedures for SE(T) fracture specimens - Part I: Homogeneous materials

This study provides further developments of the evaluation procedure for J and CTOD in SE(T) fracture specimens based on plastic eta-factors and load separation analysis. Non-linear finite element analyses for plane-strain and 3-D models provide the relationship between plastic work and crack driving forces which define the eta-values. Further analyses based on the load separation method define alternative eta-values for the analyzed specimen configurations. Overall, the present results provide improved estimation equations for J and CTOD as a function of loading condition (pin load vs. clamp ends), crack geometry and strain hardening properties. (C) 2011 Elsevier Ltd. All rights reserved.

Sudden Cardiac Death in Brazil: Study Based on Physicians' Perceptions of the Public Health Care System

Background: There are no available statistical data about sudden cardiac death in Brazil. Therefore, this study has been conducted to evaluate the incidence of sudden cardiac death in our population and its implications. Methods: The research methodology was based on Thurstone's Law of Comparative Judgment, whose premise is that the more an A stimulus differs from a B stimulus, the greater will be the number of people who will perceive this difference. This technique allows an estimation of actual occurrences from subjective perceptions, when compared to official statistics. Data were collected through telephone interviews conducted with Primary and Secondary Care physicians of the Public Health Service in the Metropolitan Area of Sao Paulo (MASP). Results: In the period from October 19, 2009, to October 28, 2009, 196 interviews were conducted. The incidence of 21,270 cases of sudden cardiac death per year was estimated by linear regression analysis of the physicians responses and data from the Mortality Information System of the Brazilian Ministry of Health, with the following correlation and determination coefficients: r = 0.98 and r2= 0.95 (95% confidence interval 0.81.0, P < 0.05). The lack of waiting list for specialized care and socioadministrative problems were considered the main barriers to tertiary care access. Conclusions: The incidence of sudden cardiac death in the MASP is high, and it was estimated as being higher than all other causes of deaths; the extrapolation technique based on the physicians perceptions was validated; and the most important bureaucratic barriers to patient referral to tertiary care have been identified. (PACE 2012; 35:13261331)

Can neuroimaging be used as a support to diagnosis of borderline personality disorder? An approach based on computational neuroanatomy and machine learning

Several recent studies in literature have identified brain morphological alterations associated to Borderline Personality Disorder (BPD) patients. These findings are reported by studies based on voxel-based-morphometry analysis of structural MRI data, comparing mean gray-matter concentration between groups of BPD patients and healthy controls. On the other hand, mean differences between groups are not informative about the discriminative value of neuroimaging data to predict the group of individual subjects. In this paper, we go beyond mean differences analyses, and explore to what extent individual BPD patients can be differentiated from controls (25 subjects in each group), using a combination of automated-morphometric tools for regional cortical thickness/volumetric estimation and Support Vector Machine classifier. The approach included a feature selection step in order to identify the regions containing most discriminative information. The accuracy of this classifier was evaluated using the leave-one-subject-out procedure. The brain regions indicated as containing relevant information to discriminate groups were the orbitofrontal, rostral anterior cingulate, posterior cingulate, middle temporal cortices, among others. These areas, which are distinctively involved in emotional and affect regulation of BPD patients, were the most informative regions to achieve both sensitivity and specificity values of 80% in SVM classification. The findings suggest that this new methodology can add clinical and potential diagnostic value to neuroimaging of psychiatric disorders. (C) 2012 Elsevier Ltd. All rights reserved.