Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Occurrence and significance of ovarian and follicular regression in cachara Pseudoplatystoma fasciatum (Linnaeus, 1766): a histology approach

Estudaram-se os processos de regressão ovariana e atresia folicular em cachara, Pseudoplatystoma fasciatum, mantida em cativeiro, na reprodução não induzida por hormônios. As características macro e microscópicas (diâmetro dos ovócitos e histologia) dos ovários foram descritas a cada 20 dias, em quatro estádios: na regressão inicial (Rg I - os primeiros 20 dias), na regressão intermediária (Rg II - do 21º ao 40º dia), na regressão final (Rg III - do 41º ao 80º dia) e na fase de recuperação ou de repouso II (R II - do 81º ao 150º dia). O experimento foi realizado do final de janeiro (verão-dias longos) a maio (outono-dias curtos). No início do experimento, as amostras apresentaram ovócitos com diâmetros que variaram de 437,5 a 1.187,5mm, sugerindo encontrarem-se nas fases perinucleolar, de maturação final e atrésicos. Aos 150 dias, os diâmetros atingiram os menores valores e pôde-se visualizar a zona radiata rompida e o vitelo reabsorvido. Concomitantemente, houve diminuição abrupta dos valores médios do índice gonadossomático, da temperatura da água, das horas de luz e de chuva. A involução gradual do longo processo foi dinâmica e complexa, afetando o êxito da desova (taxas de fertilização, de eclosão e de sobrevivência de larvas) e, conseqüentemente, o sistema produtivo.

Methods to verify parameter equality in nonlinear regression models

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Buffalos milk yield analysis using random regression models

Data comprising 1,719 milk yield records from 357 females (predominantly Murrah breed), daughters of 110 sires, with births from 1974 to 2004, obtained from the Programa de Melhoramento Genetic de Bubalinos (PROMEBUL) and from records of EMBRAPA Amazonia Oriental - EAO herd, located in Belem, Para, Brazil, were used to compare random regression models for estimating variance components and predicting breeding values of the sires. The data were analyzed by different models using the Legendre's polynomial functions from second to fourth orders. The random regression models included the effects of herd-year, month of parity date of the control; regression coefficients for age of females (in order to describe the fixed part of the lactation curve) and random regression coefficients related to the direct genetic and permanent environment effects. The comparisons among the models were based on the Akaike Infromation Criterion. The random effects regression model using third order Legendre's polynomials with four classes of the environmental effect were the one that best described the additive genetic variation in milk yield. The heritability estimates varied from 0.08 to 0.40. The genetic correlation between milk yields in younger ages was close to the unit, but in older ages it was low.

A Bayesian approach for assessing the stability of genotypes

Several statistical models can be used for assessing genotype X environment interaction (GEI) and studying genotypic stability. The objectives of this research were to show how (i) to use Bayesian methodology for computing Shukla's phenotypic stability variance and (ii) to incorporate prior information on the parameters for better estimation. Potato [Solanum tuberosum subsp. andigenum (Juz. & Bukasov) Hawkes], wheat (Triticum aestivum L.), and maize (Zea mays L.) multi environment trials (MET) were used for illustrating the application of the Bayes paradigm. The potato trial included 15 genotypes, but prior information for just three genotypes was used. The wheat trial used prior information on all 10 genotypes included in the trial, whereas for the maize trial, noninformative priors for the nine genotypes was used. Concerning the posterior distribution of the genotypic means, the maize MET with 20 sites gave less disperse posterior distributions of the genotypic means than did the posterior distribution of the genotypic means of the other METs, which included fewer environments. The Bayesian approach allows use of other statistical strategies such as the normal truncated distribution (used in this study). When analyzing grain yield, a lower bound of zero and an upper bound set by the researcher's experience can be used. The Bayesian paradigm offers plant breeders the possibility of computing the probability of a genotype being the best performer. The results of this study show that although some genotypes may have a very low probability of being the best in all sites, they have a relatively good chance of being among the five highest yielding genotypes.

A partial least squares and principal component regression study of quinone compounds with trypanocidal activity

A quantitative structure-activity relationship (QSAR) study of 19 quinone compounds with trypanocidal activity was performed by Partial Least Squares (PLS) and Principal Component Regression (PCR) methods with the use of leave-one-out crossvalidation procedure to build the regression models. The trypanocidal activity of the compounds is related to their first cathodic potential (Ep(c1)). The regression PLS and PCR models built in this study were also used to predict the Ep(c1) of six new quinone compounds. The PLS model was built with three principal components that described 96.50% of the total variance and present Q(2) = 0.83 and R-2 = 0.90. The results obtained with the PCR model were similar to those obtained with the PLS model. The PCR model was also built with three principal components that described 96.67% of the total variance with Q(2) = 0.83 and R-2 = 0.90. The most important descriptors for our PLS and PCR models were HOMO-1 (energy of the molecular orbital below HOMO), Q4 (atomic charge at position 4), MAXDN (maximal electrotopological negative difference), and HYF (hydrophilicity index).

A W-matrix methodology for solving sparse network equations on multiprocessor computers

This paper describes a methodology for solving efficiently the sparse network equations on multiprocessor computers. The methodology is based on the matrix inverse factors (W-matrix) approach to the direct solution phase of A(x) = b systems. A partitioning scheme of W-matrix , based on the leaf-nodes of the factorization path tree, is proposed. The methodology allows the performance of all the updating operations on vector b in parallel, within each partition, using a row-oriented processing. The approach takes advantage of the processing power of the individual processors. Performance results are presented and discussed.

Bayesian longitudinal data analysis with mixed models and thick-tailed distributions using MCMC

Linear mixed effects models are frequently used to analyse longitudinal data, due to their flexibility in modelling the covariance structure between and within observations. Further, it is easy to deal with unbalanced data, either with respect to the number of observations per subject or per time period, and with varying time intervals between observations. In most applications of mixed models to biological sciences, a normal distribution is assumed both for the random effects and for the residuals. This, however, makes inferences vulnerable to the presence of outliers. Here, linear mixed models employing thick-tailed distributions for robust inferences in longitudinal data analysis are described. Specific distributions discussed include the Student-t, the slash and the contaminated normal. A Bayesian framework is adopted, and the Gibbs sampler and the Metropolis-Hastings algorithms are used to carry out the posterior analyses. An example with data on orthodontic distance growth in children is discussed to illustrate the methodology. Analyses based on either the Student-t distribution or on the usual Gaussian assumption are contrasted. The thick-tailed distributions provide an appealing robust alternative to the Gaussian process for modelling distributions of the random effects and of residuals in linear mixed models, and the MCMC implementation allows the computations to be performed in a flexible manner.

A partial least squares regression study with antioxidant flavonoid compounds

The quantitative structure-activity relationship of a set of 19 flavonoid compounds presenting antioxidant activity was studied by means of PLS (Partial Least Squares) regression. The optimization of the structures and calculation of electronic properties were done by using the semiempirical method AMI. A reliable model (r(2) = 0.806 and q(2) = 0.730) was obtained and from this model it was possible to consider some aspects of the structure of the flavonoid compounds studied that are related with their free radical scavenging ability. The quality of the PLS model obtained in this work indicates that it can be used in order to design new flavonoid compounds that present ability to scavenge free radicals.

Bayesian approximations in randomized response model

Practical Bayesian inference depends upon detailed examination of posterior distribution. When the prior and likelihood are conjugate, this is easily carried out; however, in general, one must resort to numerical approximation. In this paper, our aim is to solve, using MAPLE, the Bayesian paradigm, for a very special data collecting procedure, known as the randomized-response technique. This allows researchers to obtain sensitive information while guaranteeing privacy to respondents. This approach intends to reduce false responses on sensitive questions. Exact methods and approximations will be compared from the accuracy point of view as well as for the computational effort.

Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

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