Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.

Covariance functions for body weight from birth to maturity in Nellore cows

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Breeding value accuracy estimates for growth traits using random regression and multi-trait models in Nelore cattle

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

Aplicação de sistemas multi-classificadores no diagnóstico de falhas em motores de indução trifásicos

Equipment maintenance is the major cost factor in industrial plants, it is very important the development of fault predict techniques. Three-phase induction motors are key electrical equipments used in industrial applications mainly because presents low cost and large robustness, however, it isn t protected from other fault types such as shorted winding and broken bars. Several acquisition ways, processing and signal analysis are applied to improve its diagnosis. More efficient techniques use current sensors and its signature analysis. In this dissertation, starting of these sensors, it is to make signal analysis through Park s vector that provides a good visualization capability. Faults data acquisition is an arduous task; in this way, it is developed a methodology for data base construction. Park s transformer is applied into stationary reference for machine modeling of the machine s differential equations solution. Faults detection needs a detailed analysis of variables and its influences that becomes the diagnosis more complex. The tasks of pattern recognition allow that systems are automatically generated, based in patterns and data concepts, in the majority cases undetectable for specialists, helping decision tasks. Classifiers algorithms with diverse learning paradigms: k-Neighborhood, Neural Networks, Decision Trees and Naïves Bayes are used to patterns recognition of machines faults. Multi-classifier systems are used to improve classification errors. It inspected the algorithms homogeneous: Bagging and Boosting and heterogeneous: Vote, Stacking and Stacking C. Results present the effectiveness of constructed model to faults modeling, such as the possibility of using multi-classifiers algorithm on faults classification

Detection and classification of voltage disturbances using a Fuzzy-ARTMAP-wavelet network

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

Multi Objective Evolutionary Algorithm Applied to the Optimal Power Flow Problem

This work presents the application of a multiobjective evolutionary algorithm (MOEA) for optimal power flow (OPF) solution. The OPF is modeled as a constrained nonlinear optimization problem, non-convex of large-scale, with continuous and discrete variables. The violated inequality constraints are treated as objective function of the problem. This strategy allows attending the physical and operational restrictions without compromise the quality of the found solutions. The developed MOEA is based on the theory of Pareto and employs a diversity-preserving mechanism to overcome the premature convergence of algorithm and local optimal solutions. Fuzzy set theory is employed to extract the best compromises of the Pareto set. Results for the IEEE-30, RTS-96 and IEEE-354 test systems are presents to validate the efficiency of proposed model and solution technique.

Utilizando Pesos estáticos e dinâmicos em sistemas multi-classificadores com diferentes níveis de diversidade

Although some individual techniques of supervised Machine Learning (ML), also known as classifiers, or algorithms of classification, to supply solutions that, most of the time, are considered efficient, have experimental results gotten with the use of large sets of pattern and/or that they have a expressive amount of irrelevant data or incomplete characteristic, that show a decrease in the efficiency of the precision of these techniques. In other words, such techniques can t do an recognition of patterns of an efficient form in complex problems. With the intention to get better performance and efficiency of these ML techniques, were thought about the idea to using some types of LM algorithms work jointly, thus origin to the term Multi-Classifier System (MCS). The MCS s presents, as component, different of LM algorithms, called of base classifiers, and realized a combination of results gotten for these algorithms to reach the final result. So that the MCS has a better performance that the base classifiers, the results gotten for each base classifier must present an certain diversity, in other words, a difference between the results gotten for each classifier that compose the system. It can be said that it does not make signification to have MCS s whose base classifiers have identical answers to the sames patterns. Although the MCS s present better results that the individually systems, has always the search to improve the results gotten for this type of system. Aim at this improvement and a better consistency in the results, as well as a larger diversity of the classifiers of a MCS, comes being recently searched methodologies that present as characteristic the use of weights, or confidence values. These weights can describe the importance that certain classifier supplied when associating with each pattern to a determined class. These weights still are used, in associate with the exits of the classifiers, during the process of recognition (use) of the MCS s. Exist different ways of calculating these weights and can be divided in two categories: the static weights and the dynamic weights. The first category of weights is characterizes for not having the modification of its values during the classification process, different it occurs with the second category, where the values suffers modifications during the classification process. In this work an analysis will be made to verify if the use of the weights, statics as much as dynamics, they can increase the perfomance of the MCS s in comparison with the individually systems. Moreover, will be made an analysis in the diversity gotten for the MCS s, for this mode verify if it has some relation between the use of the weights in the MCS s with different levels of diversity

Sistemas orbitais e aéreos aplicados à análise multi-escala da tectônica rúptil atuante na borda sudeste da Bacia do Parnaíba

The tectonics activity on the southern border of Parnaíba Basin resulted in a wide range of brittle structures that affect siliciclastic sedimentary rocks. This tectonic activity and related faults, joints, and folds are poorly known. The main aims of this study were (1) to identify lineaments using several remotesensing systems, (2) to check how the interpretation based on these systems at several scales influence the identification of lineaments, and (3) to contribute to the knowledge of brittle tectonics in the southern border of the Parnaíba Basin. The integration of orbital and aerial systems allowed a multi-scale identification, classification, and quantification of lineaments. Maps of lineaments were elaborated in the following scales: 1:200,000 (SRTM Shuttle Radar Topographic Mission), 1:50,000 (Landsat 7 ETM+ satellite), 1:10,000 (aerial photographs) and 1:5,000 (Quickbird satellite). The classification of the features with structural significance allowed the determination of four structural sets: NW, NS, NE, and EW. They were usually identified in all remote-sensing systems. The NE-trending set was not easily identified in aerial photographs but was better visualized on images of medium-resolution systems (SRTM and Landsat 7 ETM+). The same behavior characterizes the NW-trending. The NS-and EW-trending sets were better identified on images from high-resolution systems (aerial photographs and Quickbird). The structural meaning of the lineaments was established after field work. The NEtrending set is associated with normal and strike-slip faults, including deformation bands. These are the oldest structures identified in the region and are related to the reactivation of Precambrian basement structures from the Transbrazilian Lineament. The NW-trending set represents strike-slip and subordinated normal faults. The high dispersion of this set suggests a more recent origin than the previous structures. The NW-trending set may be related to the Picos-Santa Inês Lineament. The NS-and EW-trending sets correspond to large joints (100 m 5 km long). The truncation relationships between these joint sets indicate that the EW-is older than the NS-trending set. The methodology developed by the present work is an excellent tool for the understanding of the regional and local tectonic structures in the Parnaíba basin. It helps the choice of the best remote-sensing system to identify brittle features in a poorly known sedimentary basin

ON DISCRETE SYSMMETRIES OF THE MULTI-BOSON KP HIERARCHIES

We show that the multi-boson KP hierarchies possess a class of discrete symmetries linking them to discrete Toda systems. These discrete symmetries are generated by the similarity transformation of the corresponding Lax operator. This establishes a canonical nature of the discrete transformations. The spectral equation, which defines both the lattice system and the corresponding Lax operator, plays a key role in determining pertinent symmetry structure. We also introduce the concept of the square root lattice leading to a family of new pseudo-differential operators with covariance under additional Backlund transformations.

On discrete symmetries of the multi-boson KP hierarchies

We show that the multi-boson KP hierarchies possess a class of discrete symmetries linking them to discrete Toda systems. These discrete symmetries are generated by the similarity transformation of the corresponding Lax operator. This establishes a canonical nature of the discrete transformations. The spectral equation, which defines both the lattice system and the corresponding Lax operator, plays a key role in determining pertinent symmetry structure. We also introduce the concept of the square root lattice leading to a family of new pseudo-differential operators with covariance under additional Bäcklund transformations.

Affine Lie algebraic origin of constrained KP hierarchies

An affine sl(n + 1) algebraic construction of the basic constrained KP hierarchy is presented. This hierarchy is analyzed using two approaches, namely linear matrix eigenvalue problem on hermitian symmetric space and constrained KP Lax formulation and it is shown that these approaches are equivalent. The model is recognized to be the generalized non-linear Schrödinger (GNLS) hierarchy and it is used as a building block for a new class of constrained KP hierarchies. These constrained KP hierarchies are connected via similarity-Bäcklund transformations and interpolate between GNLS and multi-boson KP-Toda hierarchies. Our construction uncovers the origin of the Toda lattice structure behind the latter hierarchy. © 1995 American Institute of Physics.

Estimativas de parâmetros genéticos para produção de leite em búfalas por modelos de repetibilidade, multi-característica e de regressão aleatória

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Multi-scale lacunarity as an alternative to quantify and diagnose the behavior of prostate cancer

Prostate cancer is a serious public health problem accounting for up to 30% of clinical tumors in men. The diagnosis of this disease is made with clinical, laboratorial and radiological exams, which may indicate the need for transrectal biopsy. Prostate biopsies are discerningly evaluated by pathologists in an attempt to determine the most appropriate conduct. This paper presents a set of techniques for identifying and quantifying regions of interest in prostatic images. Analyses were performed using multi-scale lacunarity and distinct classification methods: decision tree, support vector machine and polynomial classifier. The performance evaluation measures were based on area under the receiver operating characteristic curve (AUC). The most appropriate region for distinguishing the different tissues (normal, hyperplastic and neoplasic) was defined: the corresponding lacunarity values and a rule's model were obtained considering combinations commonly explored by specialists in clinical practice. The best discriminative values (AUC) were 0.906, 0.891 and 0.859 between neoplasic versus normal, neoplasic versus hyperplastic and hyperplastic versus normal groups, respectively. The proposed protocol offers the advantage of making the findings comprehensible to pathologists. (C) 2014 Elsevier Ltd. All rights reserved.

Reactive power planning under conditional-value-at-risk assessment using chance-constrained optimisation

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

Multi-element determination in Brazilian honey samples by inductively coupled plasma mass spectrometry and estimation of geographic origin with data mining techniques

Multi-element analysis of honey samples was carried out with the aim of developing a reliable method of tracing the origin of honey. Forty-two chemical elements were determined (Al, Cu, Pb, Zn, Mn, Cd, Tl, Co, Ni, Rb, Ba, Be, Bi, U, V, Fe, Pt, Pd, Te, Hf, Mo, Sn, Sb, P, La, Mg, I, Sm, Tb, Dy, Sd, Th, Pr, Nd, Tm, Yb, Lu, Gd, Ho, Er, Ce, Cr) by inductively coupled plasma mass spectrometry (ICP-MS). Then, three machine learning tools for classification and two for attribute selection were applied in order to prove that it is possible to use data mining tools to find the region where honey originated. Our results clearly demonstrate the potential of Support Vector Machine (SVM), Multilayer Perceptron (MLP) and Random Forest (RF) chemometric tools for honey origin identification. Moreover, the selection tools allowed a reduction from 42 trace element concentrations to only 5. (C) 2012 Elsevier Ltd. All rights reserved.