Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the dynamics of the vector error-correction representation (Vahid and Engle, 1993); something that has been already investigated in that VECM context by Johansen and Swensen (1999, 2011) but has not been discussed before with this new emphasis. We also provide the present value reduced rank constraints to be tested within the log-linear model. Our second contribution relates to forecasting time series that are subject to those long and short-run reduced rank restrictions. The reason why appropriate common cyclical feature restrictions might improve forecasting is because it finds natural exclusion restrictions preventing the estimation of useless parameters, which would otherwise contribute to the increase of forecast variance with no expected reduction in bias. We applied the techniques discussed in this paper to data known to be subject to present value restrictions, i.e. the online series maintained and up-dated by Shiller. We focus on three different data sets. The fi rst includes the levels of interest rates with long and short maturities, the second includes the level of real price and dividend for the S&P composite index, and the third includes the logarithmic transformation of prices and dividends. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to them. Moreover, imposing short-run restrictions produce forecast winners 70% of the time for target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Multivariate unit root tests

A new multivariate test for the detection ofunit roots is proposed. Use is made ofthe possible correlations between the disturbances of difIerent series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions, for the case oftwo series, are obtained and a table with criticai vaIues is generated. Some simulations indivate that the procedure performs better than the existing alternatives.

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value restrictions. Our focus is novel - we are interested in the short-run restrictions entailed by PVMs (Vahid and Engle, 1993, 1997) and their implications for forecasting. Using a well-known database, kept by Robert Shiller, we implement a forecasting competition that imposes different layers of PVM restrictions. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to the unrestricted VAR. Moreover, imposing short-run restrictions produces forecast winners 70% of the time for the target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Statistical modelling of extreme rainfall in Madeira Island

Extreme rainfall events have triggered a significant number of flash floods in Madeira Island along its past and recent history. Madeira is a volcanic island where the spatial rainfall distribution is strongly affected by its rugged topography. In this thesis, annual maximum of daily rainfall data from 25 rain gauge stations located in Madeira Island were modelled by the generalised extreme value distribution. Also, the hypothesis of a Gumbel distribution was tested by two methods and the existence of a linear trend in both distributions parameters was analysed. Estimates for the 50– and 100–year return levels were also obtained. Still in an univariate context, the assumption that a distribution function belongs to the domain of attraction of an extreme value distribution for monthly maximum rainfall data was tested for the rainy season. The available data was then analysed in order to find the most suitable domain of attraction for the sampled distribution. In a different approach, a search for thresholds was also performed for daily rainfall values through a graphical analysis. In a multivariate context, a study was made on the dependence between extreme rainfall values from the considered stations based on Kendall’s τ measure. This study suggests the influence of factors such as altitude, slope orientation, distance between stations and their proximity of the sea on the spatial distribution of extreme rainfall. Groups of three pairwise associated stations were also obtained and an adjustment was made to a family of extreme value copulas involving the Marshall–Olkin family, whose parameters can be written as a function of Kendall’s τ association measures of the obtained pairs.

Multivariate analysis for the classification and differentiation of Madeira wines according to main grape varieties

In order to differentiate and characterize Madeira wines according to main grape varieties, the volatile composition (higher alcohols, fatty acids, ethyl esters and carbonyl compounds) was determined for 36 monovarietal Madeira wine samples elaborated from Boal, Malvazia, Sercial and Verdelho white grape varieties. The study was carried out by headspace solid-phase microextraction technique (HS-SPME), in dynamic mode, coupled with gas chromatography–mass spectrometry (GC–MS). Corrected peak area data for 42 analytes from the above mentioned chemical groups was used for statistical purposes. Principal component analysis (PCA) was applied in order to determine the main sources of variability present in the data sets and to establish the relation between samples (objects) and volatile compounds (variables). The data obtained by GC–MS shows that the most important contributions to the differentiation of Boal wines are benzyl alcohol and (E)-hex-3-en-1-ol. Ethyl octadecanoate, (Z)-hex-3-en-1-ol and benzoic acid are the major contributions in Malvazia wines and 2-methylpropan-1-ol is associated to Sercial wines. Verdelho wines are most correlated with 5-(ethoxymethyl)-furfural, nonanone and cis-9-ethyldecenoate. A 96.4% of prediction ability was obtained by the application of stepwise linear discriminant analysis (SLDA) using the 19 variables that maximise the variance of the initial data set.

Undersampled Critical Branching Processes on Small-World and Random Networks Fail to Reproduce the Statistics of Spike Avalanches

The power-law size distributions obtained experimentally for neuronal avalanches are an important evidence of criticality in the brain. This evidence is supported by the fact that a critical branching process exhibits the same exponent t~3=2. Models at criticality have been employed to mimic avalanche propagation and explain the statistics observed experimentally. However, a crucial aspect of neuronal recordings has been almost completely neglected in the models: undersampling. While in a typical multielectrode array hundreds of neurons are recorded, in the same area of neuronal tissue tens of thousands of neurons can be found. Here we investigate the consequences of undersampling in models with three different topologies (two-dimensional, small-world and random network) and three different dynamical regimes (subcritical, critical and supercritical). We found that undersampling modifies avalanche size distributions, extinguishing the power laws observed in critical systems. Distributions from subcritical systems are also modified, but the shape of the undersampled distributions is more similar to that of a fully sampled system. Undersampled supercritical systems can recover the general characteristics of the fully sampled version, provided that enough neurons are measured. Undersampling in two-dimensional and small-world networks leads to similar effects, while the random network is insensitive to sampling density due to the lack of a well-defined neighborhood. We conjecture that neuronal avalanches recorded from local field potentials avoid undersampling effects due to the nature of this signal, but the same does not hold for spike avalanches. We conclude that undersampled branching-process-like models in these topologies fail to reproduce the statistics of spike avalanches.

Correlations among behavior, performance and environment in broiler breeders using multivariate analysis

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

Prevalência e fatores associados da síndrome de Osgood-Schlatter em uma amostra populacional de adolescentes brasileiros

Osgood-Schlatter (O-S) syndrome, a pathology of the musculoskeletal system, exhibits high incidence in adolescence, a phase of accelerated bone growth. Detection of physiopathological mechanisms that may cause disorders and dysfunctions in bone growth must be taken into account when planning physical activities, in order to promote normal physiological growth patterns. The aim of this epidemiological investigation was to identify and analyze the relationships between sociodemographic, anthropometric and clinical aspects and O-S. A cross-sectional design was used, with a representative sample of 956 subjects: 474 (49.6%) males and 482 (50.4%) females. Age range varied between 12 and 15 years (mean = 13.7±1.04). We used a battery of tests, previously applied in a pilot study, which met the aims of the investigation. Descriptive statistics (frequency, mean and standard deviation) were used and the odds ratio was calculated from bivariate and multivariate logistic regression (p<0.05). A prevalence of 9.8% was found (n = 94 cases): 11% males and 8.3% females. Hierarchized multivariate analysis showed a significant association between regular physical activities (OR= 1.94; CI 95%, 1.22-3.10) and shortening of the rectus femoris muscle (OR= 7.15; CI 95%, 2.86-17.86). The results may serve as a basis for therapeutic and prophylactic measures, in addition to increasing our knowledge of this syndrome in Brazilian adolescents. This investigation used a multidisciplinary approach, involving elements of anatomy, nutrition, physical education and physical therapy to elucidate the object under study related to Osgood-Schlatter syndrome

Multivariate analysis of fresh-cut carambola slices stored under different temperatures

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

Assessment of agroeconomic indices in polycultures of lettuce, rocket and carrot through uni- and multivariate approaches in semi-arid Brazil

The polyculture among vegetables is an activity that to have good results, needs a proper planning. Although it often requires more labor, has several advantages over monoculture, among them is that polycultures are generally are more productive, provide with productivity of various plant constituents and a more balanced human diet, contribute to economic return, economic and yield stability, social benefits and farmer's direct participation in decision-making. The objective of this study was to evaluate agroeconomic indices of polycultures derived from the combination of two cultivars of lettuce with two cultivars of rocket in two cultures strip-intercropped with carrot cultivar 'Brasilia' through uni-multivariate approaches in semi-arid Brazil. The experimental design used was of randomized complete blocks with five replications and the treatments arranged in a factorial scheme of 2 x 2. The treatments consisted of the combination of two lettuce cultivars (Baba de Verao and Taina) with two rocket cultivars (Cultivada and Folha Larga) in two cultures associated with carrot cv. Brasilia. hi each block were grown plots with two lettuce cultivars and two rocket cultivars, and carrot in sole crop. In each system was determined the lettuce leaf yield, rocket green mass yield and carrot commercial yield. Agrieconomic indices such as operational cost, gross and net income, monetary advantage, rate of return, profit margin, land equivalent ratio and yield efficiency for DEA were used to measure the efficiency of intercropping systems. In the bicropping of lettuce and rocket associated with carrot cv. 'Brasilia', suggests the use of lettuce cultivar 'Taina' combined with rocket cultivars 'Cultivada' or 'Folha Larga'. It was observed significant effect of lettuce cultivars in the evaluation of polycultures of lettuce, carrot and rocket, with strong expression for the lettuce cultivar 'Taina'. Both uni- and multivariate approaches were effective in the discrimination of the best polycultures. (C) 2011 Elsevier Ltd. All rights reserved.

Egressos na avaliação da qualidade de um curso: o caso da Engenharia de Produção da UFRN

This thesis aims at analyzing the perspective of graduates perceived quality of an undergraduate course in order to contribute to continuous improvement. In order to achieve the proposed objectives, we performed a literature search, seeking together the work surrounding this issue, with the intent to update the concepts discussed today on the subject studied, they are: quality management, quality in higher education institutions and the system national assessment of higher education - Sinaes. The methodology is characterized as a case study, quantitative, and the object of study is composed of students who graduated from Production Engineering, Federal University of Rio Grande do Norte, which includes students who graduated from 2002 to 2010; data collection was done through the survey instrument, questionnaire, available online through SurveyMonkey interface, data analysis was done by means of descriptive statistics and multivariate analysis, including factor analysis. The proposed survey instrument consists of questions nineteen and twenty statements that address the central theme of this dissertation. The results show the identification of four latent factors (obtained by exploratory factor analysis), through two perspectives, the analysis of perception and importance, the results were similar in terms of the variable factors. The first factor was related to the support given to students, a factor known to support two extra class, the third factor related aspects of the library, and finalizing the evaluation and approached a factor of 4 facilities. Through research it was concluded that this study presents several points to be improved by the management team, and recommended to continue to evaluate the perceptions of graduates, seeking continuous improvement in service delivery by the university

Multivariate optimization and validation of an analytical methodology by RP-HPLC for the determination of losartan potassium in capsules

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Síndrome da fragilidade e fatores associados em idosos comunitários do município de Santa Cruz RN

The frailty in the elderly is characterized by decreased physiological reserves, and is associated with increased risk of disability and high vulnerability to morbidity and mortality. This study is part of a multicentric project on Frailty in Elderly Brazilians (REDE FIBRA). Aims: to investigate characteristics, prevalence and associated factors related to frailty. Metodology: We interviewed 391 elderly patients aged 65 years, selected randomly. Data collection was performed using a multidimensional questionnaire containing information about socio-demographic and clinical variables. To characterize the frail elderly, was considered the phenotype proposed by Fried. Data were analyzed using descriptive statistics, bivariate analysis (χ ²) and binary logistic regression. Results: The prevalence of frailty was 17.1%. In the final model of multivariate analysis, was obtained as factors associated with frailty: advanced chronological age (p <0.001), have comorbidity (p <0.035), show dependence on performing basic activities of daily living (p <0.010) and instrumental (p <0.003) and have poor perception of health status (p <0030). Conclusions: The factors associated with frailty suggest a predictive model helping to understand the syndrome, guiding actions that minimize adverse effects on the aging process

A new chart based on sample variances for monitoring the covariance matrix of multivariate processes

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)