The Double Pareto-Lognormal Distribution and its applications in actuarial science and finance

Le but de ce mémoire de maîtrise est de décrire les propriétés de la loi double Pareto-lognormale, de montrer comment on peut introduire des variables explicatives dans le modèle et de présenter son large potentiel d'applications dans le domaine de la science actuarielle et de la finance. Tout d'abord, nous donnons la définition de la loi double Pareto-lognormale et présentons certaines de ses propriétés basées sur les travaux de Reed et Jorgensen (2004). Les paramètres peuvent être estimés en utilisant la méthode des moments ou le maximum de vraisemblance. Ensuite, nous ajoutons une variable explicative à notre modèle. La procédure d'estimation des paramètres de ce mo-\\dèle est également discutée. Troisièmement, des applications numériques de notre modèle sont illustrées et quelques tests statistiques utiles sont effectués.

Bayesian Inference in Exponential and Pareto populations in the presence of Outliers

This thesis Entitled Bayesian inference in Exponential and pareto populations in the presence of outliers. The main theme of the present thesis is focussed on various estimation problems using the Bayesian appraoch, falling under the general category of accommodation procedures for analysing Pareto data containing outlier. In Chapter II. the problem of estimation of parameters in the classical Pareto distribution specified by the density function. In Chapter IV. we discuss the estimation of (1.19) when the sample contain a known number of outliers under three different data generating mechanisms, viz. the exchangeable model. Chapter V the prediction of a future observation based on a random sample that contains one contaminant. Chapter VI is devoted to the study of estimation problems concerning the exponential parameters under a k-outlier model.

Comparison of subcellular partitioning, distribution, and internal speciation of Cu between Cu-tolerant and naive populations of Dendrodrilus rubidus Savigny

When considering contaminated site ecology and ecological risk assessment a key question is whether organisms that appear unaffected by accumulation of contaminants are tolerant or resistant to those contaminants. A population of Dendrodrilus rubidus Savigny earthworms from the Coniston Copper Mines, an area of former Cu mining, exhibit increased tolerance and accumulation of Cu relative to a nearby non-Cu exposed population. Distribution of total Cu between different body parts (posterior, anterior, body wall) of the two populations was determined after a 14 day exposure to 250 mg Cu kg(-1) in Cu-amended soil. Cu concentrations were greater in Coniston earthworms but relative proportions of Cu in different body parts were the same between populations. Cu speciation was determined using extended X-ray absorption fine structure spectroscopy (EXAFS). Cu was coordinated to 0 atoms in the exposure soil but to S atoms in the earthworms. There was no difference in this speciation between the different earthworm populations. In another experiment earthworms were exposed to a range of Cu concentrations (200-700 mg Cu kg(-1)). Subcellular partitioning of accumulated Cu was determined. Coniston earthworms accumulated more Cu but relative proportions of Cu in the different fractions (cytosol > granular > tissue fragments, cell membranes, and intact cells) were the same between populations. Results suggest that Coniston D. rubidus are able to survive in the Cu-rich Coniston Copper Mines soil through enlargement of the same Cu storage reservoirs that exist in a nearby non-Cu exposed population.

A simple analysis of thermodynamic properties for classical plasmas: I. theory

By eliminating the short range negative divergence of the Debye–Hückel pair distribution function, but retaining the exponential charge screening known to operate at large interparticle separation, the thermodynamic properties of one-component plasmas of point ions or charged hard spheres can be well represented even in the strong coupling regime. Predicted electrostatic free energies agree within 5% of simulation data for typical Coulomb interactions up to a factor of 10 times the average kinetic energy. Here, this idea is extended to the general case of a uniform ionic mixture, comprising an arbitrary number of components, embedded in a rigid neutralizing background. The new theory is implemented in two ways: (i) by an unambiguous iterative algorithm that requires numerical methods and breaks the symmetry of cross correlation functions; and (ii) by invoking generalized matrix inverses that maintain symmetry and yield completely analytic solutions, but which are not uniquely determined. The extreme computational simplicity of the theory is attractive when considering applications to complex inhomogeneous fluids of charged particles.

From ensemble forecasts to predictive distribution functions

The translation of an ensemble of model runs into a probability distribution is a common task in model-based prediction. Common methods for such ensemble interpretations proceed as if verification and ensemble were draws from the same underlying distribution, an assumption not viable for most, if any, real world ensembles. An alternative is to consider an ensemble as merely a source of information rather than the possible scenarios of reality. This approach, which looks for maps between ensembles and probabilistic distributions, is investigated and extended. Common methods are revisited, and an improvement to standard kernel dressing, called ‘affine kernel dressing’ (AKD), is introduced. AKD assumes an affine mapping between ensemble and verification, typically not acting on individual ensemble members but on the entire ensemble as a whole, the parameters of this mapping are determined in parallel with the other dressing parameters, including a weight assigned to the unconditioned (climatological) distribution. These amendments to standard kernel dressing, albeit simple, can improve performance significantly and are shown to be appropriate for both overdispersive and underdispersive ensembles, unlike standard kernel dressing which exacerbates over dispersion. Studies are presented using operational numerical weather predictions for two locations and data from the Lorenz63 system, demonstrating both effectiveness given operational constraints and statistical significance given a large sample.

Non-uniform data distribution for communication-efficient parallel clustering

Global communicationrequirements andloadimbalanceof someparalleldataminingalgorithms arethe major obstacles to exploitthe computational power of large-scale systems. This work investigates how non-uniform data distributions can be exploited to remove the global communication requirement and to reduce the communication costin parallel data mining algorithms and, in particular, in the k-means algorithm for cluster analysis. In the straightforward parallel formulation of the k-means algorithm, data and computation loads are uniformly distributed over the processing nodes. This approach has excellent load balancing characteristics that may suggest it could scale up to large and extreme-scale parallel computing systems. However, at each iteration step the algorithm requires a global reduction operationwhichhinders thescalabilityoftheapproach.Thisworkstudiesadifferentparallelformulation of the algorithm where the requirement of global communication is removed, while maintaining the same deterministic nature ofthe centralised algorithm. The proposed approach exploits a non-uniform data distribution which can be either found in real-world distributed applications or can be induced by means ofmulti-dimensional binary searchtrees. The approachcanalso be extended to accommodate an approximation error which allows a further reduction ofthe communication costs. The effectiveness of the exact and approximate methods has been tested in a parallel computing system with 64 processors and in simulations with 1024 processing element

Species distribution models for crop pollination: a modelling framework applied to Great Britain

Insect pollination benefits over three quarters of the world's major crops. There is growing concern that observed declines in pollinators may impact on production and revenues from animal pollinated crops. Knowing the distribution of pollinators is therefore crucial for estimating their availability to pollinate crops; however, in general, we have an incomplete knowledge of where these pollinators occur. We propose a method to predict geographical patterns of pollination service to crops, novel in two elements: the use of pollinator records rather than expert knowledge to predict pollinator occurrence, and the inclusion of the managed pollinator supply. We integrated a maximum entropy species distribution model (SDM) with an existing pollination service model (PSM) to derive the availability of pollinators for crop pollination. We used nation-wide records of wild and managed pollinators (honey bees) as well as agricultural data from Great Britain. We first calibrated the SDM on a representative sample of bee and hoverfly crop pollinator species, evaluating the effects of different settings on model performance and on its capacity to identify the most important predictors. The importance of the different predictors was better resolved by SDM derived from simpler functions, with consistent results for bees and hoverflies. We then used the species distributions from the calibrated model to predict pollination service of wild and managed pollinators, using field beans as a test case. The PSM allowed us to spatially characterize the contribution of wild and managed pollinators and also identify areas potentially vulnerable to low pollination service provision, which can help direct local scale interventions. This approach can be extended to investigate geographical mismatches between crop pollination demand and the availability of pollinators, resulting from environmental change or policy scenarios.

Nuclear and extended spectra of NGC 1068-II. Near-infrared stellar population synthesis

We performed stellar population synthesis on the nuclear and extended regions of NGC 1068 by means of near-infrared spectroscopy to disentangle their spectral energy distribution components. This is the first time that such a technique is applied to the whole 0.8-2.4 mu m wavelength interval in this galaxy. NGC 1068 is one of the nearest and probably the most studied Seyfert 2 galaxy, becoming an excellent laboratory to study the interaction between black holes, the jets that they can produce and the medium in which they propagate. Our main result is that traces of young stellar population are found at similar to 100 pc south of the nucleus. The contribution of a power-law continuum in the centre is about 25 per cent, which is expected if the light is scattered from a Seyfert 1 nucleus. We find peaks in the contribution of the featureless continuum about 100-150 pc from the nucleus on both sides. They might be associated with regions where the jet encounters dense clouds. Further support to this scenario is given by the peaks of hot dust distribution found around these same regions and the H(2) emission-line profile, leading us to propose that the peaks might be associated to regions where stars are being formed. Hot dust also has an important contribution to the nuclear region, reinforcing the idea of the presence of a dense, circumnuclear torus in this galaxy. Cold dust appears mostly in the south direction, which supports the view that the south-west emission is behind the plane of the galaxy and is extinguished very likely by dust in the plane. Intermediate-age stellar population contributes significantly to the continuum, especially in the inner 200 pc.

Tissue distribution of quiescin Q6/sulfhydryl oxidase (QSOX) in developing mouse

Quiescin Q6/sulfhydryl oxidases (QSOX) are revisited thiol oxidases considered to be involved in the oxidative protein folding, cell cycle control and extracellular matrix remodeling. They contain thioredoxin domains and introduce disulfide bonds into proteins and peptides, with the concomitant hydrogen peroxide formation, likely altering the redox environment. Since it is known that several developmental processes are regulated by the redox state, here we assessed if QSOX could have a role during mouse fetal development. For this purpose, an anti-recombinant mouse QSOX antibody was produced and characterized. In E-13.5, E-16.5 fetal tissues, QSOX immunostaining was confined to mesoderm- and ectoderm-derived tissues, while in P1 neonatal tissues it was slightly extended to some endoderm-derived tissues. QSOX expression, particularly by epithelial tissues, seemed to be developmentally-regulated, increasing with tissue maturation. QSOX was observed in loose connective tissues in all stages analyzed, intra and possibly extracellularly, in agreement with its putative role in oxidative folding and extracellular matrix remodeling. In conclusion, QSOX is expressed in several tissues during mouse development, but preferentially in those derived from mesoderm and ectoderm, suggesting it could be of relevance during developmental processes.

The complementary exponential power lifetime model

In this paper we propose a new lifetime distribution which can handle bathtub-shaped unimodal increasing and decreasing hazard rate functions The model has three parameters and generalizes the exponential power distribution proposed by Smith and Bain (1975) with the inclusion of an additional shape parameter The maximum likelihood estimation procedure is discussed A small-scale simulation study examines the performance of the likelihood ratio statistics under small and moderate sized samples Three real datasets Illustrate the methodology (C) 2010 Elsevier B V All rights reserved

Bimodal extension based on the skew-normal distribution with application to pollen data

This paper considers an extension to the skew-normal model through the inclusion of an additional parameter which can lead to both uni- and bi-modal distributions. The paper presents various basic properties of this family of distributions and provides a stochastic representation which is useful for obtaining theoretical properties and to simulate from the distribution. Moreover, the singularity of the Fisher information matrix is investigated and maximum likelihood estimation for a random sample with no covariates is considered. The main motivation is thus to avoid using mixtures in fitting bimodal data as these are well known to be complicated to deal with, particularly because of identifiability problems. Data-based illustrations show that such model can be useful. Copyright (C) 2009 John Wiley & Sons, Ltd.

Bayesian Analysis for the Generalized Lognormal Distribution Applied to Failure Time Analysis

There are several versions of the lognormal distribution in the statistical literature, one is based in the exponential transformation of generalized normal distribution (GN). This paper presents the Bayesian analysis for the generalized lognormal distribution (logGN) considering independent non-informative Jeffreys distributions for the parameters as well as the procedure for implementing the Gibbs sampler to obtain the posterior distributions of parameters. The results are used to analyze failure time models with right-censored and uncensored data. The proposed method is illustrated using actual failure time data of computers.

Local power of some tests in exponential family nonlinear models

In this paper we obtain asymptotic expansions up to order n(-1/2) for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in exponential family nonlinear models (Cordeiro and Paula, 1989), under a sequence of Pitman alternatives. The asymptotic distributions of all four statistics are obtained for testing a subset of regression parameters and for testing the dispersion parameter, thus generalising the results given in Cordeiro et al. (1994) and Ferrari et al. (1997). We also present Monte Carlo simulations in order to compare the finite-sample performance of these tests. (C) 2010 Elsevier B.V. All rights reserved.

Benthic foraminiferal distribution on the southeastern Brazilian shelf and upper slope

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

Grapevine root distribution in drip and microsprinkler irrigation

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)