Evaluating interval forecasts of high-frequency financial data

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated.

Coordinated Cluster and ground-based instrument observations of transient changes in the magnetopause boundary layer during an interval of predominantly northward IMF: relation to reconnection pulses and FTE signatures

We study a series of transient entries into the low-latitude boundary layer (LLBL) of all four Cluster spacecraft during an outbound pass through the mid-afternoon magnetopause ([X(GSM), Y(GSM), Z(GSM)] approximate to [2, 7, 9] R(E)). The events take place during an interval of northward IMF, as seen in the data from the ACE satellite and lagged by a propagation delay of 75 min that is well-defined by two separate studies: (1) the magnetospheric variations prior to the northward turning (Lockwood et al., 2001, this issue) and (2) the field clock angle seen by Cluster after it had emerged into the magnetosheath (Opgenoorth et al., 2001, this issue). With an additional lag of 16.5 min, the transient LLBL events cor-relate well with swings of the IMF clock angle (in GSM) to near 90degrees. Most of this additional lag is explained by ground-based observations, which reveal signatures of transient reconnection in the pre-noon sector that then take 10-15 min to propagate eastward to 15 MLT, where they are observed by Cluster. The eastward phase speed of these signatures agrees very well with the motion deduced by the cross-correlation of the signatures seen on the four Cluster spacecraft. The evidence that these events are reconnection pulses includes: transient erosion of the noon 630 nm (cusp/cleft) aurora to lower latitudes; transient and travelling enhancements of the flow into the polar cap, imaged by the AMIE technique; and poleward-moving events moving into the polar cap, seen by the EISCAT Svalbard Radar (ESR). A pass of the DMSP-F15 satellite reveals that the open field lines near noon have been opened for some time: the more recently opened field lines were found closer to dusk where the flow transient and the poleward-moving event intersected the satellite pass. The events at Cluster have ion and electron characteristics predicted and observed by Lockwood and Hapgood (1998) for a Flux Transfer Event (FTE), with allowance for magnetospheric ion reflection at Alfvenic disturbances in the magnetopause reconnection layer. Like FTEs, the events are about 1 R(E) in their direction of motion and show a rise in the magnetic field strength, but unlike FTEs, in general, they show no pressure excess in their core and hence, no characteristic bipolar signature in the boundary-normal component. However, most of the events were observed when the magnetic field was southward, i.e. on the edge of the interior magnetic cusp, or when the field was parallel to the magnetic equatorial plane. Only when the satellite begins to emerge from the exterior boundary (when the field was northward), do the events start to show a pressure excess in their core and the consequent bipolar signature. We identify the events as the first observations of FTEs at middle altitudes.

Circadian phase and intertrial interval interfere with social recognition memory

A modified version of the social habituation/dis-habituation paradigm was employed to examine social recognition memory in Wistar rats during two opposing (active and inactive) circadian phases, using different intertrial intervals (30 and 60 min). Wheel-running activity was monitored continuously to identify circadian phase. To avoid possible masking effects of the light-dark cycle, the rats were synchronized to a skeleton photoperiod, which allowed testing during different circadian phases under identical lighting conditions. In each trial, an infantile intruder was introduced into an adult`s home-cage for a 5-minute interaction session, and social behaviors were registered. Rats were exposed to 5 trials per day for 4 consecutive days: oil days I and 2, each resident was exposed to the same intruder; on days 3 and 4, each resident was exposed to a different intruder in each trial. I he resident`s social investigatory behavior was more intense when different intruders were presented compared to repeated presentation of the same intruder, suggesting social recognition memory. This effect was stronger when the rats were tested during the inactive phase and when the intertrial interval was 60 min, These findings Suggest that social recognition memory, as evaluated in this modified habituation/dis-habituation paradigm, is influenced by the circadian rhythm phase during which testing is performed, and by intertrial interval. (C) 2008 Elsevier Inc. All rights reserved.

Testing hypotheses in the Birnbaum-Saunders distribution under type-II censored samples

The two-parameter Birnbaum-Saunders distribution has been used successfully to model fatigue failure times. Although censoring is typical in reliability and survival studies, little work has been published on the analysis of censored data for this distribution. In this paper, we address the issue of performing testing inference on the two parameters of the Birnbaum-Saunders distribution under type-II right censored samples. The likelihood ratio statistic and a recently proposed statistic, the gradient statistic, provide a convenient framework for statistical inference in such a case, since they do not require to obtain, estimate or invert an information matrix, which is an advantage in problems involving censored data. An extensive Monte Carlo simulation study is carried out in order to investigate and compare the finite sample performance of the likelihood ratio and the gradient tests. Our numerical results show evidence that the gradient test should be preferred. Further, we also consider the generalized Birnbaum-Saunders distribution under type-II right censored samples and present some Monte Carlo simulations for testing the parameters in this class of models using the likelihood ratio and gradient tests. Three empirical applications are presented. (C) 2011 Elsevier B.V. All rights reserved.

Using Spatiotemporal Methods to Fill Gaps In Energy Usage Interval Data

Researchers analyzing spatiotemporal or panel data, which varies both in location and over time, often find that their data has holes or gaps. This thesis explores alternative methods for filling those gaps and also suggests a set of techniques for evaluating those gap-filling methods to determine which works best.

Estimation models of variance components for farrowing interval in swine

Este trabalho teve como objetivo principal avaliar a importância da inclusão dos efeitos genético materno, comum de leitegada e de ambiente permanente no modelo de estimação de componentes de variância para a característica intervalo de parto em fêmeas suínas. Foram utilizados dados que consistiam de 1.013 observações de fêmeas Dalland (C-40), registradas em dois rebanhos. As estimativas dos componentes de variância foram realizadas pelo método da máxima verossimilhança restrita livre de derivadas. Foram testados oito modelos, que continham os efeitos fixos (grupos de contemporâneo e covariáveis) e os efeitos genético aditivo direto e residual, mas variavam quanto à inclusão dos efeitos aleatórios genético materno, ambiental comum de leitegada e ambiental permanente. O teste da razão de verossimilhança (LR) indicou a não necessidade da inclusão desses efeitos no modelo. No entanto observou-se que o efeito ambiental permanente causou mudança nas estimativas de herdabilidade, que variaram de 0,00 a 0,03. Conclui-se que os valores de herdabilidade obtidos indicam que esta característica não apresentaria ganho genético como resposta à seleção. O efeito ambiental comum de leitegada e o genético materno não apresentaram influência sobre esta característica. Já o ambiental permanente, mesmo sem ter sido significativo o seu efeito pelo LR, deve ser considerado nos modelos genéticos para essa característica, pois sua presença causou mudança nas estimativas da variância genética aditiva.

Environmental and genetic factors affecting the weaning-estrus interval in sows

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The Interval Constructor on classes of ML-algebras

Monoidal logic, ML for short, which formalized the fuzzy logics of continuous t-norms and their residua, has arisen great interest, since it has been applied to fuzzy mathematics, artificial intelligence, and other areas. It is clear that fuzzy logics basically try to represent imperfect or fuzzy information aiming to model the natural human reasoning. On the other hand, in order to deal with imprecision in the computational representation of real numbers, the use of intervals have been proposed, as it can guarantee that the results of numerical computation are in a bounded interval, controlling, in this way, the numerical errors produced by successive roundings. There are several ways to connect both areas; the most usual one is to consider interval membership degrees. The algebraic counterpart of ML is ML-algebra, an interesting structure due to the fact that by adding some properties it is possible to reach different classes of residuated lattices. We propose to apply an interval constructor to ML-algebras and some of their subclasses, to verify some properties within these algebras, in addition to the analysis of the algebraic aspects of them

Time interval from ovulation to extrusion in female bullfrog in different photoperiods

It was analyzed in this work the influence of photoperiod on time interval from ovulation induction period to extrusion of ovocits in female bullfrogs (Lithobates catesbeianus). It was used 54 females reared from metamorphosis to 9 months of age under three photoperiods: dark time (DL 0:24), 16 hours of daylight (DL 16:8) and 12 hours of daylight (DL 12:12). Ovulation was induced by intramuscular application of two doses of LHRHa with 12 hours of interval between the injections. After 10, 25, 28, 31, 34 and 37 hours from the first hormone injection, 10-gram samples (3,000 eggs) were extracted from each female at each time interval and fertilized. Egg hatching rate was checked in each sample 72 hours after fertilization. Analysis of variance showed a significant effect of extrusion delay and the interaction between photoperiod and this delay. Extrusion should be carried out 33, 24 and 26 hours after the first hormone dosage in females reared in environments without light, with 12 hours of daylight and with 16 hours of daylight, respectively, to obtain the maximum fertilization rate.

Prolonged interval between parturition of normal live pups in a bitch

On day 64 after artificial insemination, a six-year-old primiparous briard bitch whelped three live pups between 05.00 and 08.00. It was presented at 11.00 on the same day with failure to complete parturition. on ultrasound examination, a normal live fetus was observed and the bitch was treated with oxytocin three times during the day (1(.)0, 2(.)0 and 2(.)0 iu intramuscularly), with no effect. The following day, a higher dose of oxytocin (5(.)0 iu) was administered intramuscularly at 11.00, after a uterine ultrasound examination confirmed viability of the fetus. At 18.00 of the same day, the bitch whelped the fourth normal live pup, 37 hours after initiation of parturition and 34 hours after expulsion of the last fetus. Effectiveness of oxytocin and normal versus prolonged parturition due to uterine inertia are discussed.

The influence of time interval between bleaching and enamel bonding

Objectives: the purpose of this study was to investigate the penetration of a conventional adhesive material into enamel bleached with 16% carbamide peroxide and 38% hydrogen peroxide using optical light microscopy.Methods: Extracted human teeth were randomly divided into eight experimental groups with six specimens each, according to the bleaching material and time interval after bleaching and before the bonding procedure. Groups were designated as follows: control group, restorations in unbleached teeth; restorations performed immediately after bleaching; restorations performed 7 days after bleaching; restorations performed 14 days after bleaching; and restorations performed 30 days after bleaching. The length of resin tags was measured with an Axiophot photomicroscope at 400x magnification for the calculation of the proportion of tags of study groups compared to the respective control groups. Analysis of variance was applied for comparison between groups; data were transformed into arcsine (p < 0.05).Results: the specimens of experimental groups, in which restorations were performed 7, 14, and 30 days after bleaching, showed better penetration of adhesive material into enamel than specimens restored immediately after bleaching. There was no statistically significant difference between the bleaching materials employed or in the interaction between bleaching agent and time interval.Conclusions: This suggests that a time interval of at least 7 days should be allowed between enamel bleaching and placement of adhesive bonding agents for accomplishment of composite resin restorations.

Estrous behavior and the estrus-to-ovulation interval in Nelore cattle (Bos indicus) with natural estrus or estrus induced with prostaglandin F2 alpha or norgestomet and estradiol valerate

Estrous behavior and the estrus-to-ovulation interval are essential for estimating the best time to artificially inseminate cattle. Because these parameters are not well characterized in the Nelore breed (Bos indicus), the main purpose of the this study was to determine the estrus-to-ovulation interval in Nelore heifers and cows with natural estrus or with estrus induced by treatments with PGF2 alpha or norgestomet and estradiol valerate (NEV). The cows and heifers were observed continuously (24 h a day) to determine the onset of estrus and to study estrous behavior in the cows. Ten hours after the start of estrus the ovaries were scanned every 2 h by ultrasonography to monitor the dominant follicle until ovulation. Blood samples were collected periodically to determine progesterone levels by RIA. Administration of PGF2 alpha (2 injections, 11 days apart) did not induce estrus in most Nelore females in spite of the presence of functional CL, indicated by progesterone concentrations above 6.0 ng/ml in 25 of 28 animals. Treatment with NEV induced high sexual receptivity in cows (10/11), but only 66% ovulated. Cows with natural or induced estrus exhibited behavioral estrus of 10.9 +/- 1.4 h, and ovulation occurred 26.6 +/- 0.44 h (n = 26) after the onset of estrus. In most of the cows (53.8%) estrus began at night (between 1801 and 600 h), and 34.6% it started and finished during the night. It is concluded that in Nelore females ovulation occurs approximately 26 h after the onset of estrus. Additionally, estrous behavior is shorter than in European breeds, and there is a high incidence of estrus at night, which makes it difficult to detect and, consequently, impairs Al in Nelore cattle. The observation that a high percentage of Nelore females with an active CL did not respond to usual dosages of PGF2 alpha warrants further investigation. (C) 1998 by Elsevier B.V.