Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

Synchronised firing patterns in a random network of adaptive exponential integrate-and-fire

Acknowledgements This study was possible by partial financial support from the following Brazilian government agencies: CNPq, CAPES, and FAPESP (2011/19296-1 and 2015/07311-7). We also wish thank Newton Fund and COFAP.

[N]pT ensemble and finite-size-scaling study of the critical isostructural transition in the generalized exponential model of index 4.

First-order transitions of system where both lattice site occupancy and lattice spacing fluctuate, such as cluster crystals, cannot be efficiently studied by traditional simulation methods, which necessarily fix one of these two degrees of freedom. The difficulty, however, can be surmounted by the generalized [N]pT ensemble [J. Chem. Phys. 136, 214106 (2012)]. Here we show that histogram reweighting and the [N]pT ensemble can be used to study an isostructural transition between cluster crystals of different occupancy in the generalized exponential model of index 4 (GEM-4). Extending this scheme to finite-size scaling studies also allows us to accurately determine the critical point parameters and to verify that it belongs to the Ising universality class.

Finite Sampling Exponential Bounds

Thesis (Ph.D.)--University of Washington, 2016-08

Censored Linear Regression Models For Irregularly Observed Longitudinal Data Using The Multivariate-t Distribution.

In acquired immunodeficiency syndrome (AIDS) studies it is quite common to observe viral load measurements collected irregularly over time. Moreover, these measurements can be subjected to some upper and/or lower detection limits depending on the quantification assays. A complication arises when these continuous repeated measures have a heavy-tailed behavior. For such data structures, we propose a robust structure for a censored linear model based on the multivariate Student's t-distribution. To compensate for the autocorrelation existing among irregularly observed measures, a damped exponential correlation structure is employed. An efficient expectation maximization type algorithm is developed for computing the maximum likelihood estimates, obtaining as a by-product the standard errors of the fixed effects and the log-likelihood function. The proposed algorithm uses closed-form expressions at the E-step that rely on formulas for the mean and variance of a truncated multivariate Student's t-distribution. The methodology is illustrated through an application to an Human Immunodeficiency Virus-AIDS (HIV-AIDS) study and several simulation studies.

Is size structure a good measure of future trends of plant populations? an empirical approach using five woody species from the Cerrado (Brazilian savanna)

Size distributions in woody plant populations have been used to assess their regeneration status, assuming that size structures with reverse-J shapes represent stable populations. We present an empirical approach of this issue using five woody species from the Cerrado. Considering count data for all plants of these five species over a 12-year period, we analyzed size distribution by: a) plotting frequency distributions and their adjustment to the negative exponential curve and b) calculating the Gini coefficient. To look for a relationship between size structure and future trends, we considered the size structures from the first census year. We analyzed changes in number over time and performed a simple population viability analysis, which gives the mean population growth rate, its variance and the probability of extinction in a given time period. Frequency distributions and the Gini coefficient were not able to predict future trends in population numbers. We recommend that managers should not use measures of size structure as a basis for management decisions without applying more appropriate demographic studies.

Um modelo estocástico combinado de previsão sazonal para a precipitação no Brasil

Este artigo discute um modelo de previsão combinada para a realização de prognósticos climáticos na escala sazonal. Nele, previsões pontuais de modelos estocásticos são agregadas para obter as melhores projeções no tempo. Utilizam-se modelos estocásticos autoregressivos integrados a médias móveis, de suavização exponencial e previsões por análise de correlações canônicas. O controle de qualidade das previsões é feito através da análise dos resíduos e da avaliação do percentual de redução da variância não-explicada da modelagem combinada em relação às previsões dos modelos individuais. Exemplos da aplicação desses conceitos em modelos desenvolvidos no Instituto Nacional de Meteorologia (INMET) mostram bons resultados e ilustram que as previsões do modelo combinado, superam na maior parte dos casos a de cada modelo componente, quando comparadas aos dados observados.

Photo-fenton degradation of poly(Ethyleneglycol)

Polyethyleneglycol (PEG) was photooxidized in a photo-Fenton system and results compared with the dark reaction. The products were analysed using GPC and HPLC. In the absence of light, PEG samples needed 490 min to reduce their w by 50%, whereas under UV irradiation, only 10 min were necessary. The exponential decay of w with a concomitant increase in polydispersity and number of average chain scission, characterized a random chain scission mechanism. The degradation products of PEG in both systems showed the presence of lower molecular weight products, including smaller ethyleneglycols and formic acid. The mechanism involves consecutive processes, were the larger ethyleneglycols give rise, successively, to smaller ones. This suggests that the mechanism involves successive scissions of the polymer chain. Irradiated samples decomposed faster than those kept in the dark This study proves that the foto-Fenton method associated with UV-light is a good reactant for PEG photodegradation.

Time resolved emission spectroscopy of poly(2,5-dicyano-p-phenylene-vinylene) films

Films of poly (2,5-dicyano-p-phenylene vinylene), DCNPPV, were obtained by electrochemical synthesis over gold thin layer (20 nm) transparent electrode deposited on a glass plate. The DCNPPV films of 4 µm thickness were produced by electropolymerization process of α,α,α',α'-tetrabromo-2-5-dicyano-p-xilene at different applied potentials (-0.15, -0.25, -0.40, -0.60, -0.80, and -1.0 V) using 0.1 mol L-1 of tetraethylammonium bromide in acetonitrile as the supporting electrolyte. The emission decays have three exponential components: a fast component in the picosecond range (200-400 ps), and two other of about one and five nanoseconds at 293 K. The fluorescence quenching process seems to occur by exciton trapping in a low-energy site and quenching by residual bromine monomer attached at the end of the polymer chain. However, the electrochemical synthesis generates entrapped bromide or ion pairs during the growth step of the film which also contributes to the deactivation. The change of the electrolyte from bromide to perchlorate reduces significantly this additional quenching effect by allowing ion exchange of formed bromide with the nonquenching perchloride anion.

Estudo da decomposição térmica de propelente sólido compósito de baixa emissão de fumaça

The thermal decomposition of hydroxyl-terminated polybutadiene (HTPB)/ammonium nitrate (AN) based propellants, so called smokeless formulations, and raw materials were investigated by differential scanning calorimetry (DSC) and thermogravimetry (TG). The thermoanalytical profile of different components and of propellant were evaluated and the Arrhenius parameters for the thermal decomposition of the propellant sample were determined by the Ozawa method. The kinetic parameters of the thermal decomposition of propellant samples were determined by DSC measurements. The values obtained for activation energy (Ea) and pre-exponential factor were 163 kJ mol-1 and 1.94x10(6) min-1.

Índice h de docentes em Saúde Coletiva no Brasil

OBJETIVO: Estimar valores de referência e função de hierarquia de docentes em Saúde Coletiva do Brasil por meio de análise da distribuição do índice h. MÉTODOS: A partir do portal da Coordenação de Aperfeiçoamento de Pessoal de Nível Superior, 934 docentes foram identificados em 2008, dos quais 819 foram analisados. O índice h de cada docente foi obtido na Web of Science mediante algoritmos de busca com controle para homonímias e alternativas de grafia de nome. Para cada região e para o Brasil como um todo ajustou-se função densidade de probabilidade exponencial aos parâmetros média e taxa de decréscimo por região. Foram identificadas medidas de posição e, com o complemento da função probabilidade acumulada, função de hierarquia entre autores conforme o índice h por região. RESULTADOS: Dos docentes, 29,8% não tinham qualquer registro de citação (h = 0). A média de h para o País foi 3,1, com maior média na região Sul (4,7). A mediana de h para o País foi 2,1, também com maior mediana na Sul (3,2). Para uma padronização de população de autores em cem, os primeiros colocados para o País devem ter h = 16; na estratificação por região, a primeira posição demanda valores mais altos no Nordeste, Sudeste e Sul, sendo nesta última h = 24. CONCLUSÕES: Avaliados pelos índices h da Web of Science, a maioria dos autores em Saúde Coletiva não supera h = 5. Há diferenças entres as regiões, com melhor desempenho para a Sul e valores semelhantes entre Sudeste e Nordeste.

Crescimento alométrico dos componentes da carcaça de cordeiros Texel × Ile de France confinados do desmame aos 35kg de peso vivo

Foi avaliado o crescimento alométrico de ossos, músculos e gordura, e das regiões da carcaça de cordeiros Texel × Ile de France, terminados em confinamento. Vinte cordeiros, machos não-castrados, foram desmamados aos 42 dias de idade (15,9 ± 2,1kg de peso vivo) e confinados em baias individuais recebendo alimentação ad libitum. Destes, cinco foram abatidos 10 dias após o desmame e, os remanescentes, aos 25, 30 ou 35kg de peso vivo. Para determinação do crescimento alométrico dos cortes e tecidos foi utilizada a equação exponencial Y = aXb, transformada logaritmicamente em um modelo linear. Observou-se crescimento precoce (b = 0,89) da paleta, ao passo que a perna, a costela e o pescoço apresentaram crescimento isogônico (b = 1,00, 1,03 e 1,11, respectivamente), ou seja, equivalente ao da carcaça. O aumento do peso da carcaça implicou em redução da taxa de crescimento de ossos e músculos (b = 0,60 e 0,92, respectivamente) e aumento da taxa de crescimento da gordura (b = 1,78). O crescimento muscular foi diferenciado nas distintas regiões da carcaça, sendo isogônico na paleta (b = 0,98) e na perna (b = 0,99) e precoce na costela (b = 0,90) e no pescoço (b = 0,79). Recomenda-se que o abate de cordeiros Texel × Ile de France seja realizado com, no máximo, 30kg de peso vivo.

Ventilation behavior in trained and untrained men during incremental test: evidence of one metabolic transition point

This study aimed to describe and compare the ventilation behavior during an incremental test utilizing three mathematical models and to compare the feature of ventilation curve fitted by the best mathematical model between aerobically trained (TR) and untrained ( UT) men. Thirty five subjects underwent a treadmill test with 1 km.h(-1) increases every minute until exhaustion. Ventilation averages of 20 seconds were plotted against time and fitted by: bi-segmental regression model (2SRM); three-segmental regression model (3SRM); and growth exponential model (GEM). Residual sum of squares (RSS) and mean square error (MSE) were calculated for each model. The correlations between peak VO2 (VO2PEAK), peak speed (Speed(PEAK)), ventilatory threshold identified by the best model (VT2SRM) and the first derivative calculated for workloads below (moderate intensity) and above (heavy intensity) VT2SRM were calculated. The RSS and MSE for GEM were significantly higher (p < 0.01) than for 2SRM and 3SRM in pooled data and in UT, but no significant difference was observed among the mathematical models in TR. In the pooled data, the first derivative of moderate intensities showed significant negative correlations with VT2SRM (r = -0.58; p < 0.01) and Speed(PEAK) (r = -0.46; p < 0.05) while the first derivative of heavy intensities showed significant negative correlation with VT2SRM (r = -0.43; p < 0.05). In UT group the first derivative of moderate intensities showed significant negative correlations with VT2SRM (r = -0.65; p < 0.05) and Speed(PEAK) (r = -0.61; p < 0.05), while the first derivative of heavy intensities showed significant negative correlation with VT2SRM (r= -0.73; p < 0.01), Speed(PEAK) (r = -0.73; p < 0.01) and VO2PEAK (r = -0.61; p < 0.05) in TR group. The ventilation behavior during incremental treadmill test tends to show only one threshold. UT subjects showed a slower ventilation increase during moderate intensities while TR subjects showed a slower ventilation increase during heavy intensities.