An Eigenfunction Approach for Volatility Modeling.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the loading function is ad hoc (e.g., exponential or affine), we assume that it is a linear combination of the eigenfunctions of the conditional expectation (resp. infinitesimal generator) operator associated to the state variable in discrete (resp. continuous) time. Special examples are the popular log-normal and square-root models where the eigenfunctions are the Hermite and Laguerre polynomials respectively. The eigenfunction approach has at least six advantages: i) it is general since any square integrable function may be written as a linear combination of the eigenfunctions; ii) the orthogonality of the eigenfunctions leads to the traditional interpretations of the linear principal components analysis; iii) the implied dynamics of the variance and squared return processes are ARMA and, hence, simple for forecasting and inference purposes; (iv) more importantly, this generates fat tails for the variance and returns processes; v) in contrast to popular models, the variance of the variance is a flexible function of the variance; vi) these models are closed under temporal aggregation.

Strings of congruent primes in short intervals

Soit $p_1 = 2, p_2 = 3, p_3 = 5,\ldots$ la suite des nombres premiers, et soient $q \ge 3$ et $a$ des entiers premiers entre eux. R\'ecemment, Daniel Shiu a d\'emontr\'e une ancienne conjecture de Sarvadaman Chowla. Ce dernier a conjectur\'e qu'il existe une infinit\'e de couples $p_n,p_{n+1}$ de premiers cons\'ecutifs tels que $p_n \equiv p_{n+1} \equiv a \bmod q$. Fixons $\epsilon > 0$. Une r\'ecente perc\'ee majeure, de Daniel Goldston, J\`anos Pintz et Cem Y{\i}ld{\i}r{\i}m, a \'et\'e de d\'emontrer qu'il existe une suite de nombres r\'eels $x$ tendant vers l'infini, tels que l'intervalle $(x,x+\epsilon\log x]$ contienne au moins deux nombres premiers $\equiv a \bmod q$. \'Etant donn\'e un couple de nombres premiers $\equiv a \bmod q$ dans un tel intervalle, il pourrait exister un nombre premier compris entre les deux qui n'est pas $\equiv a \bmod q$. On peut d\'eduire que soit il existe une suite de r\'eels $x$ tendant vers l'infini, telle que $(x,x+\epsilon\log x]$ contienne un triplet $p_n,p_{n+1},p_{n+2}$ de nombres premiers cons\'ecutifs, soit il existe une suite de r\'eels $x$, tendant vers l'infini telle que l'intervalle $(x,x+\epsilon\log x]$ contienne un couple $p_n,p_{n+1}$ de nombres premiers tel que $p_n \equiv p_{n+1} \equiv a \bmod q$. On pense que les deux \'enonc\'es sont vrais, toutefois on peut seulement d\'eduire que l'un d'entre eux est vrai, sans savoir lequel. Dans la premi\`ere partie de cette th\`ese, nous d\'emontrons que le deuxi\`eme \'enonc\'e est vrai, ce qui fournit une nouvelle d\'emonstration de la conjecture de Chowla. La preuve combine des id\'ees de Shiu et de Goldston-Pintz-Y{\i}ld{\i}r{\i}m, donc on peut consid\'erer que ce r\'esultat est une application de leurs m\'thodes. Ensuite, nous fournirons des bornes inf\'erieures pour le nombre de couples $p_n,p_{n+1}$ tels que $p_n \equiv p_{n+1} \equiv a \bmod q$, $p_{n+1} - p_n < \epsilon\log p_n$, avec $p_{n+1} \le Y$. Sous l'hypoth\`ese que $\theta$, le \og niveau de distribution \fg{} des nombres premiers, est plus grand que $1/2$, Goldston-Pintz-Y{\i}ld{\i}r{\i}m ont r\'eussi \`a d\'emontrer que $p_{n+1} - p_n \ll_{\theta} 1$ pour une infinit\'e de couples $p_n,p_{n+1}$. Sous la meme hypoth\`ese, nous d\'emontrerons que $p_{n+1} - p_n \ll_{q,\theta} 1$ et $p_n \equiv p_{n+1} \equiv a \bmod q$ pour une infinit\'e de couples $p_n,p_{n+1}$, et nous prouverons \'egalement un r\'esultat quantitatif. Dans la deuxi\`eme partie, nous allons utiliser les techniques de Goldston-Pintz-Y{\i}ld{\i}r{\i}m pour d\'emontrer qu'il existe une infinit\'e de couples de nombres premiers $p,p'$ tels que $(p-1)(p'-1)$ est une carr\'e parfait. Ce resultat est une version approximative d'une ancienne conjecture qui stipule qu'il existe une infinit\'e de nombres premiers $p$ tels que $p-1$ est une carr\'e parfait. En effet, nous d\'emontrerons une borne inf\'erieure sur le nombre d'entiers naturels $n \le Y$ tels que $n = \ell_1\cdots \ell_r$, avec $\ell_1,\ldots,\ell_r$ des premiers distincts, et tels que $(\ell_1-1)\cdots (\ell_r-1)$ est une puissance $r$-i\`eme, avec $r \ge 2$ quelconque. \'Egalement, nous d\'emontrerons une borne inf\'erieure sur le nombre d'entiers naturels $n = \ell_1\cdots \ell_r \le Y$ tels que $(\ell_1+1)\cdots (\ell_r+1)$ est une puissance $r$-i\`eme. Finalement, \'etant donn\'e $A$ un ensemble fini d'entiers non-nuls, nous d\'emontrerons une borne inf\'erieure sur le nombre d'entiers naturels $n \le Y$ tels que $\prod_{p \mid n} (p+a)$ est une puissance $r$-i\`eme, simultan\'ement pour chaque $a \in A$.

Kinetics of Bacterial Colony Growth by Laser Induced Fluorescence

The growth kinetics of an aerial bacterial colony on solid agar media was studied using laser induced fluorescence technique. Fluorescence quenching of Rhodamin B by the bacterial colony was utilized for the study. The lag phase, log phase, and stationary phase of growth curve of bacterial colony was identified by measuring peak fluorescence intensity of dye doped bacterial colony.

Multivariate ARIMA Compositional Time Series Analysis

A compositional time series is obtained when a compositional data vector is observed at different points in time. Inherently, then, a compositional time series is a multivariate time series with important constraints on the variables observed at any instance in time. Although this type of data frequently occurs in situations of real practical interest, a trawl through the statistical literature reveals that research in the field is very much in its infancy and that many theoretical and empirical issues still remain to be addressed. Any appropriate statistical methodology for the analysis of compositional time series must take into account the constraints which are not allowed for by the usual statistical techniques available for analysing multivariate time series. One general approach to analyzing compositional time series consists in the application of an initial transform to break the positive and unit sum constraints, followed by the analysis of the transformed time series using multivariate ARIMA models. In this paper we discuss the use of the additive log-ratio, centred log-ratio and isometric log-ratio transforms. We also present results from an empirical study designed to explore how the selection of the initial transform affects subsequent multivariate ARIMA modelling as well as the quality of the forecasts

Probabilistic sonar scan matching for an AUV

This paper proposes MSISpIC, a probabilistic sonar scan matching algorithm for the localization of an autonomous underwater vehicle (AUV). The technique uses range scans gathered with a Mechanical Scanning Imaging Sonar (MSIS), the robot displacement estimated through dead-reckoning using a Doppler velocity log (DVL) and a motion reference unit (MRU). The proposed method is an extension of the pIC algorithm. An extended Kalman filter (EKF) is used to estimate the robot-path during the scan in order to reference all the range and bearing measurements as well as their uncertainty to a scan fixed frame before registering. The major contribution consists of experimentally proving that probabilistic sonar scan matching techniques have the potential to improve the DVL-based navigation. The algorithm has been tested on an AUV guided along a 600 m path within an abandoned marina underwater environment with satisfactory results

Pose-based SLAM with probabilistic scan matching algorithm using a mechanical scanned imaging sonar

This paper proposes a pose-based algorithm to solve the full SLAM problem for an autonomous underwater vehicle (AUV), navigating in an unknown and possibly unstructured environment. The technique incorporate probabilistic scan matching with range scans gathered from a mechanical scanning imaging sonar (MSIS) and the robot dead-reckoning displacements estimated from a Doppler velocity log (DVL) and a motion reference unit (MRU). The proposed method utilizes two extended Kalman filters (EKF). The first, estimates the local path travelled by the robot while grabbing the scan as well as its uncertainty and provides position estimates for correcting the distortions that the vehicle motion produces in the acoustic images. The second is an augment state EKF that estimates and keeps the registered scans poses. The raw data from the sensors are processed and fused in-line. No priory structural information or initial pose are considered. The algorithm has been tested on an AUV guided along a 600 m path within a marina environment, showing the viability of the proposed approach

Using meteorological wind data to estimate turbine generation output: a sensitivity analysis

Various studies investigating the future impacts of integrating high levels of renewable energy make use of historical meteorological (met) station data to produce estimates of future generation. Hourly means of 10m horizontal wind are extrapolated to a standard turbine hub height using the wind profile power or log law and used to simulate the hypothetical power output of a turbine at that location; repeating this procedure using many viable locations can produce a picture of future electricity generation. However, the estimate of hub height wind speed is dependent on the choice of the wind shear exponent a or the roughness length z0, and requires a number of simplifying assumptions. This paper investigates the sensitivity of this estimation on generation output using a case study of a met station in West Freugh, Scotland. The results show that the choice of wind shear exponent is a particularly sensitive parameter which can lead to significant variation of estimated hub height wind speed and hence estimated future generation potential of a region.

Neurogenic responses mediated by vanilloid receptor-1 (TRPV1) are blocked by the high affinity antagonist, iodo-resiniferatoxin

(1) Stimulation of the vanilloid receptor-1 (TRPV1) results in the activation of nociceptive and neurogenic inflammatory responses. Poor specificity and potency of TRPV1 antagonists has, however, limited the clarification of the physiological role of TRPV1. (2) Recently, iodo-resiniferatoxin (I-RTX) has been reported to bind as a high affinity antagonist at the native and heterologously expressed rat TRPV1. Here we have studied the ability of I-RTX to block a series of TRPV1 mediated nociceptive and neurogenic inflammatory responses in different species (including transfected human TRPV1). (3) We have demonstrated that I-RTX inhibited capsaicin-induced mobilization of intracellular Ca(2+) in rat trigeminal neurons (IC(50) 0.87 nM) and in HEK293 cells transfected with the human TRPV1 (IC(50) 0.071 nM). (4) Furthermore, I-RTX significantly inhibited both capsaicin-induced CGRP release from slices of rat dorsal spinal cord (IC(50) 0.27 nM) and contraction of isolated guinea-pig and rat urinary bladder (pK(B) of 10.68 and 9.63, respectively), whilst I-RTX failed to alter the response to high KCl or SP. (5) Finally, in vivo I-RTX significantly inhibited acetic acid-induced writhing in mice (ED(50) 0.42 micro mol kg(-1)) and plasma extravasation in mouse urinary bladder (ED(50) 0.41 micro mol kg(-1)). (6) In in vitro and in vivo TRPV1 activated responses I-RTX was approximately 3 log units and approximately 20 times more potent than capsazepine, respectively. This high affinity antagonist, I-RTX, may be an important tool for future studies in pain and neurogenic inflammatory models.

Comparison for three Classification Techniques

In this paper we show the results of a comparison simulation study for three classification techniques: Multinomial Logistic Regression (MLR), No Metric Discriminant Analysis (NDA) and Linear Discriminant Analysis (LDA). The measure used to compare the performance of the three techniques was the Error Classification Rate (ECR). We found that MLR and LDA techniques have similar performance and that they are better than DNA when the population multivariate distribution is Normal or Logit-Normal. For the case of log-normal and Sinh(-1)-normal multivariate distributions we found that MLR had the better performance.

Mjukvaruverktyg för loggning och analys avindustriella processer

This report discusses developing a software log tool for analysis of industrial processes. The target was to develop software that can help electro Engineers for monitor and fault finding in industrial processes. The tool is called PLS (Process log server), and is developed in Visual Studio.NET Framework 2005. PLS works as a client with Beijer Electronics OPC Server. The program is able to read data from PLC (Programmable Logic Controller), trough the OPC Server. PLS connects to all kind of controllers that is supported by the Beijer Electronics OPC Server. Signal data is stored in a database for later analysis. Chosen signals data can easily be exported into a text file. The text file is adopted for import to MS Office Excel. User manual [UM-07] is written as a separate document. The software acted stable through the function test. The final product becomes a first-rate tool that is simple to use. As an advantage, the software can be developed with more functions in the future.

Fatores prognósticos na ressecção de metástases hepáticas de câncer colorretal

OBJETIVO: Determinar o impacto de fatores prognósticos na sobrevida de pacientes com metástases hepáticas ressecadas e originadas de câncer colorretal. CASUISTICA E MÉTODOS: Foram analisados os prontuários de 28 pacientes submetidos a ressecção hepática de metástases de câncer colorretal de Abril /1992 a Setembro /2001. Foram realizadas 38 ressecções (8 pacientes com mais de uma ressecção no mesmo tempo cirúrgico e 2 pacientes submetidos a re-ressecções). Todos haviam sido submetidos previamente à ressecção do tumor primário. Utilizou-se um protocolo de rastreamento de metástases hepáticas que incluiu revisões clinicas trimestrais, ecografia abdominal e dosagem de CEA até completarem-se 5 anos de seguimento e, após, semestralmente. Os fatores prognósticos estudados foram: estágio do tumor primário, tamanho das metástases > 5cm, intervalo entre ressecção do tumor primário e surgimento da metástase <1 ano, CEA>100ng/ml, margens cirúrgicas <1cm e doença metastática extra-hepática. O estudo foi retrospectivo e a análise estatística foi feita através da curva de Kaplan-Meier, do log rank e da regressão de Cox. RESULTADOS: A morbidade foi 39,3% e a mortalidade operatória foi 3,6%.A sobrevida em 5 anos foi de 35%. Os fatores prognósticos independentes adversos foram: intervalo <1 ano entre ressecção do tumor primário e surgimento da metástase (p=0,047 e RR 11,56) e doença metastática extra-hepática (p=0,004 e RR=57,28). CONCLUSÕES: A ressecção hepática de metástases de câncer colorretal é um procedimento seguro com sobrevida em 5 anos acima dos 30%. Foram fatores prognósticos independentes adversos: doença metastática extra-hepática e intervalo<1ano entre ressecção do tumor primário e surgimento da metástase.

Avaliação genética da eficiência reprodutiva em vacas pardo-suíças por meio da análise de sobrevivência

Among the traits of economic importance to dairy cattle livestock those related to sexual precocity and longevity of the herd are essential to the success of the activity, because the stayability time of a cow in a herd is determined by their productive and reproductive lives. In Brazil, there are few studies about the reproductive efficiency of Swiss-Brown cows and no study was found using the methodology of survival analysis applied to this breed. Thus, in the first chapter of this study, the age at first calving from Swiss-Brown heifers was analyzed as the time until the event by the nonparametric method of Kaplan-Meier and the gamma shared frailty model, under the survival analysis methodology. Survival and hazard rate curves associated with this event were estimated and identified the influence of covariates on such time. The mean and median times at the first calving were 987.77 and 1,003 days, respectively, and significant covariates by the Log-Rank test, through Kaplan-Meier analysis, were birth season, calving year, sire (cow s father) and calving season. In the analysis by frailty model, the breeding values and the frailties of the sires (fathers) for the calving were predicted modeling the risk function of each cow as a function of the birth season as fixed covariate and sire as random covariate. The frailty followed the gamma distribution. Sires with high and positive breeding values possess high frailties, what means shorter survival time of their daughters to the event, i.e., reduction in the age at first calving of them. The second chapter aimed to evaluate the longevity of dairy cows using the nonparametric Kaplan-Meier and the Cox and Weibull proportional hazards models. It were simulated 10,000 records of the longevity trait from Brown-Swiss cows involving their respective times until the occurrence of five consecutive calvings (event), considered here as typical of a long-lived cow. The covariates considered in the database were age at first calving, herd and sire (cow s father). All covariates had influence on the longevity of cows by Log-Rank and Wilcoxon tests. The mean and median times to the occurrence of the event were 2,436.285 and 2,437 days, respectively. Sires that have higher breeding values also have a greater risk of that their daughters reach the five consecutive calvings until 84 months

Parâmetros físico-químicos de estrelas com planetas na missão CoRoT

In the present study we compute the atmospheric parameters (Teff , log g and vmic, [Fe/H]) and chemical abundance of 16 ions (Fe I, Fe II, O I, Si I, Na I, Mg I, Al I, Ca I, Ti I, Co I, Ni I, Rb I, Zr I, Ba II, La II and Cr I) for 16 solar-like stars with masses between 0:8 and 1:2 Mfi aproximatedly, including 10 planet-host stars detected by the CoRoT Space Mission. For this study, we use data from the ESO public archive: (i) high resolution spectra (R 47000) from the UVES spectrograph on the VLT/UT2-ESO (for 7 stars, covering the wavelength range 3450-4515 Å and 5500-9400 Å) and (ii) high resolution spectra from HARPS spectrograph on the La Silla-ESO 3.60 m telescope (for 9 stars, covering the wavelength range 4200-6865 Å). Our spectral analysis is based on MARCS models of atmosphere and Turbospectrum spectroscopic tools. On the base of the computed parameters, the referred abundances appears to follow the same behavior of the solar curve abundances. Further, one observes a signifficant correlation between the abundance ratio [m/Fe] and condensation temperature (Tc) of refractory elements (Tc > 900 K). The behavior of the projected rotational velocity (v sin i) versus the computed abundances [m/Fe] is also analyzed, presenting no clear trends. This study oers additional constraints to trace the evolutive history of solar-like stars with planets, including the search for chemical dierences between stars with and without transit planets and anomalies in the studied abundances

Attraction of ambrosia beetles (Coleoptera : Scolytidae) to different tropical pine species in Brazil

Ambrosia beetles are the predominant Scolytidae in Brazil. Little is known about the attractiveness of exotic conifer tree volatiles to native scolytids. Objectives were to compare the attractiveness of logs with and without bark of Pinus oocarpa Schiede, P. caribaea variety bahamensis Barrett & Golfari, P, car. variety caribaea Barrett & Golfari and P. car. variety hondurensis Barrett & Golfari over time to native scolytids in different pine stands, to compare the relative attractiveness of logs relative to ethanol traps, to determine how long it takes for logs to become attractive to ambrosia beetles and when attraction peaks occur, and to determine if volatiles released by live standing trees would mask volatiles released by logs of the same species. In young stands, Hypothenemus was the predominant insect genus, whereas in older stands Xyleborus predominated. Debarked logs trapped more beetles than logs with bark. Pine log species attractiveness was not influenced by volatiles present in the stand. Beetles were divided into the following 3 groups, based on response to log volatiles and ethanol: (1) species attracted to ethanol and not responding to pine terpenes Ambrosiodmus hagedorni (Iglesia), A. retusus (Eichhoff), X. spinulosus Blandford, Corthylus schaufussi Schiede, Cryptocarenus heveae (Hagedorn), H. obscurus (F.), (2) species attracted to ethanol but responding to pine terpenes Xyleborinus gracilis (Eichhoff), X. affinis Eichhoff, H. eruditus Westwood, Premnobius cavipennis Eichhoff, and (3) species more attracted to pine terpenes and less responsive to ethanol, A. obliquus (Le Conte), X. ferrugineus F,, X. catulus Blandford. Pinus car. ;variety bahamensis was the least attractive pine, P. oocarpa the most attractive. The attraction peak varied according to the season; logs were not attractive to beetles 10 wk after cutting.

Efeito materno sobre a curva de crescimento de ovinos Santa Inês por meio de modelos de regressão aleatória

Data set of 17.767 weight records of 4.210 Santa Inês lambs were used aiming to evaluate the importance of the inclusion of the maternal effect in the model to estimate components of (Co) variance and resulting genetic parameters for the growth curve through random regression models. The fixed and random regressions were fitted using Legendre Polynomials of order three, being fit four models that differed in relation to the inclusion of the additive genetic and permanent environmental maternal effects. Considerable increase was observed in Log L and decrease in the criteria AIC and BIC when the maternal effect was included (genetic or permanent environmental), evidencing its importance. The maternal genetic effect explained larger proportion of the phenotypic variance than the maternal permanent environmental along the growth curve. The direct additive genetic variance was inflated by maternal effect, when this last one was not considered in the analysis model, reflecting the same behavior in the heritabilities. The maternal permanent environmental effect contributed to maternal variance, as well as, it inflated maternal genetic variance, when it was not considered in the model. Similar behavior was verified with maternal heritability. The correlation estimated for the four models hardly differed in function of maternal effect. The maternal effect should be considered in the genetic studies of the growth curve of Santa Inês sheep.