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.

Classic tests of General Relativity described by brane-based spherically symmetric solutions

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Avaliação do desempenho de gotejadores com uso de água residual na suinocultura

Pós-graduação em Agronomia (Irrigação e Drenagem) - FCA

Numerical analysis of different methods to calculate residual stresses in thin films based on instrumented indentation data

In this work, different methods to estimate the value of thin film residual stresses using instrumented indentation data were analyzed. This study considered procedures proposed in the literature, as well as a modification on one of these methods and a new approach based on the effect of residual stress on the value of hardness calculated via the Oliver and Pharr method. The analysis of these methods was centered on an axisymmetric two-dimensional finite element model, which was developed to simulate instrumented indentation testing of thin ceramic films deposited onto hard steel substrates. Simulations were conducted varying the level of film residual stress, film strain hardening exponent, film yield strength, and film Poisson's ratio. Different ratios of maximum penetration depth h(max) over film thickness t were also considered, including h/t = 0.04, for which the contribution of the substrate in the mechanical response of the system is not significant. Residual stresses were then calculated following the procedures mentioned above and compared with the values used as input in the numerical simulations. In general, results indicate the difference that each method provides with respect to the input values depends on the conditions studied. The method by Suresh and Giannakopoulos consistently overestimated the values when stresses were compressive. The method provided by Wang et al. has shown less dependence on h/t than the others.

Motion-based wave estimation: Small-scale tests with a crane-barge model

This paper provides additional validation to the problem of estimating wave spectra based on the first-order motions of a moored vessel. Prior investigations conducted by the authors have attested that even a large-volume ship, such as an FPSO unit, could be adopted for on-board estimation of the wave field. The obvious limitation of the methodology concerns filtering of high-frequency wave components, for which the vessel has no significant response. As a result, the estimation range is directly dependent on the characteristics of the vessel response. In order to extend this analysis, further small-scale tests were performed with a model of a pipe-laying crane-barge. When compared to the FPSO case, the results attest that a broader range of typical sea states can be accurately estimated, including crossed-sea states with low peak periods. (C) 2012 Elsevier Ltd. All rights reserved.

Performance of six diagnostic tests to screen for Chagas disease in blood banks and prevalence of Trypanosoma cruzi infection among donors with inconclusive serology screening based on the analysis of epidemiological variables

OBJECTIVE: The frequent occurrence of inconclusive serology in blood banks and the absence of a gold standard test for Chagas'disease led us to examine the efficacy of the blood culture test and five commercial tests (ELISA, IIF, HAI, c-ELISA, rec-ELISA) used in screening blood donors for Chagas disease, as well as to investigate the prevalence of Trypanosoma cruzi infection among donors with inconclusive serology screening in respect to some epidemiological variables. METHODS: To obtain estimates of interest we considered a Bayesian latent class model with inclusion of covariates from the logit link. RESULTS: A better performance was observed with some categories of epidemiological variables. In addition, all pairs of tests (excluding the blood culture test) presented as good alternatives for both screening (sensitivity > 99.96% in parallel testing) and for confirmation (specificity > 99.93% in serial testing) of Chagas disease. The prevalence of 13.30% observed in the stratum of donors with inconclusive serology, means that probably most of these are non-reactive serology. In addition, depending on the level of specific epidemiological variables, the absence of infection can be predicted with a probability of 100% in this group from the pairs of tests using parallel testing. CONCLUSION: The epidemiological variables can lead to improved test results and thus assist in the clarification of inconclusive serology screening results. Moreover, all combinations of pairs using the five commercial tests are good alternatives to confirm results.

A Functional-Based Distribution Diagnostic for a Linear Model with Correlated Outcomes: Technical Report

Despite the widespread popularity of linear models for correlated outcomes (e.g. linear mixed modesl and time series models), distribution diagnostic methodology remains relatively underdeveloped in this context. In this paper we present an easy-to-implement approach that lends itself to graphical displays of model fit. Our approach involves multiplying the estimated marginal residual vector by the Cholesky decomposition of the inverse of the estimated marginal variance matrix. Linear functions or the resulting "rotated" residuals are used to construct an empirical cumulative distribution function (ECDF), whose stochastic limit is characterized. We describe a resampling technique that serves as a computationally efficient parametric bootstrap for generating representatives of the stochastic limit of the ECDF. Through functionals, such representatives are used to construct global tests for the hypothesis of normal margional errors. In addition, we demonstrate that the ECDF of the predicted random effects, as described by Lange and Ryan (1989), can be formulated as a special case of our approach. Thus, our method supports both omnibus and directed tests. Our method works well in a variety of circumstances, including models having independent units of sampling (clustered data) and models for which all observations are correlated (e.g., a single time series).

Rapid diagnostic tests for the home-based management of malaria, in a high-transmission area

Rapid diagnostic tests (RDT) are sometimes recommended to improve the home-based management of malaria. The accuracy of an RDT for the detection of clinical malaria and the presence of malarial parasites has recently been evaluated in a high-transmission area of southern Mali. During the same study, the cost-effectiveness of a 'test-and-treat' strategy for the home-based management of malaria (based on an artemisinin-combination therapy) was compared with that of a 'treat-all' strategy. Overall, 301 patients, of all ages, each of whom had been considered a presumptive case of uncomplicated malaria by a village healthworker, were checked with a commercial RDT (Paracheck-Pf). The sensitivity, specificity, and positive and negative predictive values of this test, compared with the results of microscopy and two different definitions of clinical malaria, were then determined. The RDT was found to be 82.9% sensitive (with a 95% confidence interval of 78.0%-87.1%) and 78.9% (63.9%-89.7%) specific compared with the detection of parasites by microscopy. In the detection of clinical malaria, it was 95.2% (91.3%-97.6%) sensitive and 57.4% (48.2%-66.2%) specific compared with a general practitioner's diagnosis of the disease, and 100.0% (94.5%-100.0%) sensitive but only 30.2% (24.8%-36.2%) specific when compared against the fulfillment of the World Health Organization's (2003) research criteria for uncomplicated malaria. Among children aged 0-5 years, the cost of the 'test-and-treat' strategy, per episode, was about twice that of the 'treat-all' (U.S.$1.0. v. U.S.$0.5). In older subjects, however, the two strategies were equally costly (approximately U.S.$2/episode). In conclusion, for children aged 0-5 years in a high-transmission area of sub-Saharan Africa, use of the RDT was not cost-effective compared with the presumptive treatment of malaria with an ACT. In older patients, use of the RDT did not reduce costs. The question remains whether either of the strategies investigated can be made affordable for the affected population.

8p23 beta-defensin copy number determination by single-locus pseudogene-based paralog ratio tests risk bias due to low-frequency sequence variations.

BACKGROUND The copy number variation (CNV) in beta-defensin genes (DEFB) on human chromosome 8p23 has been proposed to contribute to the phenotypic differences in inflammatory diseases. However, determination of exact DEFB CN is a major challenge in association studies. Quantitative real-time PCR (qPCR), paralog ratio tests (PRT) and multiplex ligation-dependent probe amplification (MLPA) have been extensively used to determine DEFB CN in different laboratories, but inter-method inconsistencies were observed frequently. In this study we asked which one is superior among the three methods for DEFB CN determination. RESULTS We developed a clustering approach for MLPA and PRT to statistically correlate data from a single experiment. Then we compared qPCR, a newly designed PRT and MLPA for DEFB CN determination in 285 DNA samples. We found MLPA had the best convergence and clustering results of the raw data and the highest call rate. In addition, the concordance rates between MLPA or PRT and qPCR (32.12% and 37.99%, respectively) were unacceptably low with underestimated CN by qPCR. Concordance rate between MLPA and PRT (90.52%) was high but PRT systematically underestimated CN by one in a subset of samples. In these samples a sequence variant which caused complete PCR dropout of the respective DEFB cluster copies was found in one primer binding site of one of the targeted paralogous pseudogenes. CONCLUSION MLPA is superior to PRT and even more to qPCR for DEFB CN determination. Although the applied PRT provides in most cases reliable results, such a test is particularly sensitive to low-frequency sequence variations preferably accumulating in loci like pseudogenes which are most likely not under selective pressure. In the light of the superior performance of multiplex assays, the drawbacks of such single PRTs could be overcome by combining more test markers.

Análisis de envejecimiento en paneles sándwich de madera/ Ageing tests study on wood-based sandwich panels

Los paneles sándwich de madera son un producto de creciente aplicación en la edificación de nuestro país. Este ascendente uso del material debe estar acompañado de las garantías necesarias avaladas por un estudio previo de sus prestaciones. Como es preceptivo y entre otros, se evalúa su durabilidad frente a las condiciones climatológicas, clave en los productos derivados de la madera, acorde a la normativa actual definida con tal fin, la Guía ETAG 016. Sin embargo, debido a la clase de uso del material, se ha detectado que dicha normativa tal y como está concebida no es capaz de valorar su envejecimiento adecuadamente. En este trabajo se proponen ensayos alternativos al establecido tras exhaustivos aná- lisis que recrean las condiciones reales de uso y más acordes a los productos de madera. Se concluye que la incorporación de una lámina impermeable, pero permeable al vapor de agua hacia el exterior, como las utilizadas en el montaje, aportan el mejor procedimiento de ensayo. Composite lightweight wood panels are being increasingly used in construction in Spain. Their growing use should be accompanied by necessary guarantees based on studies of their properties. As it is prescriptive and in addition to others tests, in the present work is examinated the durability of these panels when exposed to the climatic conditions, a characteristic of great importance for wood products, according to Guide ETAG 016, the current standard defining the ageing tests to be used. However, due to the use class of this material, there are indications that the testing outlined in this Guide is inappropriate for assessing the ageing of wood-based sandwich panels. Alternative tests are here proposed that recreate rather better the real conditions under which these products are used. Covering the samples in a waterproof sheeting permeable to the outward movement of water vapour, which is in fact used in the installation, provided the best procedure for testing these panels.

Residual strain scanning of alumina-based ceramic composites by neutron diffraction

The objective of this work is to non-destructively determine the residual stress profile in the bulk of two characteristic types of alumina-based composites, with the aim of improving their durability and structural integrity.