Improved score tests in symmetric linear regression models

The class of symmetric linear regression models has the normal linear regression model as a special case and includes several models that assume that the errors follow a symmetric distribution with longer-than-normal tails. An important member of this class is the t linear regression model, which is commonly used as an alternative to the usual normal regression model when the data contain extreme or outlying observations. In this article, we develop second-order asymptotic theory for score tests in this class of models. We obtain Bartlett-corrected score statistics for testing hypotheses on the regression and the dispersion parameters. The corrected statistics have chi-squared distributions with errors of order O(n(-3/2)), n being the sample size. The corrections represent an improvement over the corresponding original Rao`s score statistics, which are chi-squared distributed up to errors of order O(n(-1)). Simulation results show that the corrected score tests perform much better than their uncorrected counterparts in samples of small or moderate size.

Heteroscedastic controlled calibration model applied to analytical chemistry

In chemical analyses performed by laboratories, one faces the problem of determining the concentration of a chemical element in a sample. In practice, one deals with the problem using the so-called linear calibration model, which considers that the errors associated with the independent variables are negligible compared with the former variable. In this work, a new linear calibration model is proposed assuming that the independent variables are subject to heteroscedastic measurement errors. A simulation study is carried out in order to verify some properties of the estimators derived for the new model and it is also considered the usual calibration model to compare it with the new approach. Three applications are considered to verify the performance of the new approach. Copyright (C) 2010 John Wiley & Sons, Ltd.

On the skew-normal calibration model

In this article, we present the EM-algorithm for performing maximum likelihood estimation of an asymmetric linear calibration model with the assumption of skew-normally distributed error. A simulation study is conducted for evaluating the performance of the calibration estimator with interpolation and extrapolation situations. As one application in a real data set, we fitted the model studied in a dimensional measurement method used for calculating the testicular volume through a caliper and its calibration by using ultrasonography as the standard method. By applying this methodology, we do not need to transform the variables to have symmetrical errors. Another interesting aspect of the approach is that the developed transformation to make the information matrix nonsingular, when the skewness parameter is near zero, leaves the parameter of interest unchanged. Model fitting is implemented and the best choice between the usual calibration model and the model proposed in this article was evaluated by developing the Akaike information criterion, Schwarz`s Bayesian information criterion and Hannan-Quinn criterion.

Local Influence Analysis for Skew-Normal Linear Mixed Models

In this article, we consider local influence analysis for the skew-normal linear mixed model (SN-LMM). As the observed data log-likelihood associated with the SN-LMM is intractable, Cook`s well-known approach cannot be applied to obtain measures of local influence. Instead, we develop local influence measures following the approach of Zhu and Lee (2001). This approach is based on the use of an EM-type algorithm and is measurement invariant under reparametrizations. Four specific perturbation schemes are discussed. Results obtained for a simulated data set and a real data set are reported, illustrating the usefulness of the proposed methodology.

Genetic heterogeneity of residual variance : estimation of variance components using double hierarchical generalized linear models

Background: The sensitivity to microenvironmental changes varies among animals and may be under genetic control. It is essential to take this element into account when aiming at breeding robust farm animals. Here, linear mixed models with genetic effects in the residual variance part of the model can be used. Such models have previously been fitted using EM and MCMC algorithms. Results: We propose the use of double hierarchical generalized linear models (DHGLM), where the squared residuals are assumed to be gamma distributed and the residual variance is fitted using a generalized linear model. The algorithm iterates between two sets of mixed model equations, one on the level of observations and one on the level of variances. The method was validated using simulations and also by re-analyzing a data set on pig litter size that was previously analyzed using a Bayesian approach. The pig litter size data contained 10,060 records from 4,149 sows. The DHGLM was implemented using the ASReml software and the algorithm converged within three minutes on a Linux server. The estimates were similar to those previously obtained using Bayesian methodology, especially the variance components in the residual variance part of the model. Conclusions: We have shown that variance components in the residual variance part of a linear mixed model can be estimated using a DHGLM approach. The method enables analyses of animal models with large numbers of observations. An important future development of the DHGLM methodology is to include the genetic correlation between the random effects in the mean and residual variance parts of the model as a parameter of the DHGLM.

Programação estocástica para fundos de pensão

Nesta dissertação discutiremos modelos e métodos de soluções de programação estocástica para resolver problemas de ALM em fundos de pensão. Apresentaremos o modelo de (Drijver et al.), baseado na programação estocástica multiestágios inteira-mista. Um estudo de caso para um problema de ALM será apresentado usando simulação de cenários.

Estimativas de correlações genéticas entre escores visuais e características de carcaça medidas por ultrassonografia em bovinos Nelore utilizando modelos bayesianos linear-limiar

O objetivo neste estudo foi estimar as correlações genéticas entre escores visuais e características de carcaça medidas por ultrassonografia em bovinos da raça Nelore utilizando a estatística bayesiana por meio da Amostragem de Gibbs, sob modelo animal linear-limiar. Foram estudadas as características categóricas morfológicas de musculosidade, estrutura física, conformação e sacro, avaliadas aos 15 e 22 meses de idade. Para as características de carcaça, foram avaliadas as características área de olho-de-lombo, espessura de gordura subcutânea, espessura de gordura subcutânea na garupa e altura na garupa. Os escores visuais devem ser empregados como critérios de seleção para aumentar o progresso genético para a característica área de olhode-lombo e, consequentemente, melhorar o rendimento de carcaça. As estimativas de correlação genética obtidas para musculosidade com espessura de gordura subcutânea e espessura de gordura subcutânea na garupa indicaram que a seleção para musculosidade pode levar a animais com melhor acabamento de carcaça. A seleção para a estrutura física e conformação aos 15 e 22 meses de idade pode promover resposta correlacionada para o aumento da altura na garupa.

Modelo de programação linear para seleção de pulverizadores agrícolas de barras

A seleção de pulverizadores agrícolas que se adaptem às necessidades da propriedade, é um processo trabalhoso, sendo uma das etapas mais importantes dentro do processo produtivo. O objetivo do presente trabalho foi o de desenvolver e utilizar um modelo de programação linear para auxiliar na seleção de pulverizadores agrícolas de barras, baseado no menor custo horário do equipamento. Foram utilizadas as informações técnicas referentes a 20 modelos de pulverizadores disponíveis no mercado, sendo quatro autopropelidos, oito de arrasto e oito do tipo montado. A análise de sensibilidade dos componentes dos custos operacionais mostrou que as taxas de reparo e depreciação foram os fatores que mais interferiram na variação do custo horário do conjunto trator-pulverizador. O modelo matemático desenvolvido facilitou a realização da análise de sensibilidade que foi processada em um tempo muito pequeno.

Specialised branch-and-bound algorithm for transmission network expansion planning

An algorithm is presented that finds the optimal plan long-term transmission for till cases studied, including relatively large and complex networks. The knowledge of optimal plans is becoming more important in the emerging competitive environment, to which the correct economic signals have to be sent to all participants. The paper presents a new specialised branch-and-bound algorithm for transmission network expansion planning. Optimality is obtained at a cost, however: that is the use of a transportation model for representing the transmission network, in this model only the Kirchhoff current law is taken into account (the second law being relaxed). The expansion problem then becomes an integer linear program (ILP) which is solved by the proposed branch-and-bound method without any further approximations. To control combinatorial explosion the branch- and bound algorithm is specialised using specific knowledge about the problem for both the selection of candidate problems and the selection of the next variable to be used for branching. Special constraints are also used to reduce the gap between the optimal integer solution (ILP program) and the solution obtained by relaxing the integrality constraints (LP program). Tests have been performed with small, medium and large networks available in the literature.

Droplet formation in cold asymmetric nuclear matter in the quark-meson-coupling model

The quark-meson-coupling model is used to study droplet formation from the liquid-gas phase transition in cold asymmetric nuclear matter. The critical density and proton fraction for the phase transition are determined in the mean field approximation. Droplet properties are calculated in the Thomas-Fermi approximation. The electromagnetic field is explicitly included and its effects on droplet properties are studied. The results are compared with the ones obtained with the NL1 parametrization of the non-linear Walecka model. © 2000 Elsevier Science B.V.

Design of microirrigation systems in sloping lands using linear programming

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

A mixed-integer LP model for the reconfiguration of radial electric distribution systems considering distributed generation

The problem of reconfiguration of distribution systems considering the presence of distributed generation is modeled as a mixed-integer linear programming (MILP) problem in this paper. The demands of the electric distribution system are modeled through linear approximations in terms of real and imaginary parts of the voltage, taking into account typical operating conditions of the electric distribution system. The use of an MILP formulation has the following benefits: (a) a robust mathematical model that is equivalent to the mixed-integer non-linear programming model; (b) an efficient computational behavior with exiting MILP solvers; and (c) guarantees convergence to optimality using classical optimization techniques. Results from one test system and two real systems show the excellent performance of the proposed methodology compared with conventional methods. © 2012 Published by Elsevier B.V. All rights reserved.

A mixed-integer LP model for the optimal allocation of voltage regulators and capacitors in radial distribution systems

This paper presents a mixed-integer linear programming model to solve the problem of allocating voltage regulators and fixed or switched capacitors (VRCs) in radial distribution systems. The use of a mixed-integer linear model guarantees convergence to optimality using existing optimization software. In the proposed model, the steady-state operation of the radial distribution system is modeled through linear expressions. The results of one test system and one real distribution system are presented in order to show the accuracy as well as the efficiency of the proposed solution technique. An heuristic to obtain the Pareto front for the multiobjective VRCs allocation problem is also presented. © 2012 Elsevier Ltd. All rights reserved.

Linear and Poisson models for genetic evaluation of tick resistance in cross-bred Hereford x Nellore cattle

Cattle resistance to ticks is measured by the number of ticks infesting the animal. The model used for the genetic analysis of cattle resistance to ticks frequently requires logarithmic transformation of the observations. The objective of this study was to evaluate the predictive ability and goodness of fit of different models for the analysis of this trait in cross-bred Hereford x Nellore cattle. Three models were tested: a linear model using logarithmic transformation of the observations (MLOG); a linear model without transformation of the observations (MLIN); and a generalized linear Poisson model with residual term (MPOI). All models included the classificatory effects of contemporary group and genetic group and the covariates age of animal at the time of recording and individual heterozygosis, as well as additive genetic effects as random effects. Heritability estimates were 0.08 ± 0.02, 0.10 ± 0.02 and 0.14 ± 0.04 for MLIN, MLOG and MPOI models, respectively. The model fit quality, verified by deviance information criterion (DIC) and residual mean square, indicated fit superiority of MPOI model. The predictive ability of the models was compared by validation test in independent sample. The MPOI model was slightly superior in terms of goodness of fit and predictive ability, whereas the correlations between observed and predicted tick counts were practically the same for all models. A higher rank correlation between breeding values was observed between models MLOG and MPOI. Poisson model can be used for the selection of tick-resistant animals. © 2013 Blackwell Verlag GmbH.

Parâmetros genéticos de escore de temperamento em bovinos da raça Nelore

Pós-graduação em Zootecnia - FCAV