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Information bounds for Gaussian copulas

Hoff, Peter D.; Niu, Xiaoyue; Wellner, Jon A.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em //2014 Português
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Often of primary interest in the analysis of multivariate data are the copula parameters describing the dependence among the variables, rather than the univariate marginal distributions. Since the ranks of a multivariate dataset are invariant to changes in the univariate marginal distributions, rank-based estimators are natural candidates for semiparametric copula estimation. Asymptotic information bounds for such estimators can be obtained from an asymptotic analysis of the rank likelihood, i.e. the probability of the multivariate ranks. In this article, we obtain limiting normal distributions of the rank likelihood for Gaussian copula models. Our results cover models with structured correlation matrices, such as exchangeable or circular correlation models, as well as unstructured correlation matrices. For all Gaussian copula models, the limiting distribution of the rank likelihood ratio is shown to be equal to that of a parametric likelihood ratio for an appropriately chosen multivariate normal model. This implies that the semiparametric information bounds for rank-based estimators are the same as the information bounds for estimators based on the full data, and that the multivariate normal distributions are least favorable.

Bayes multiple decision functions

Wu, Wensong; Peña, Edsel A.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em //2013 Português
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This paper deals with the problem of simultaneously making many (M) binary decisions based on one realization of a random data matrix X. M is typically large and X will usually have M rows associated with each of the M decisions to make, but for each row the data may be low dimensional. Such problems arise in many practical areas such as the biological and medical sciences, where the available dataset is from microarrays or other high-throughput technology and with the goal being to decide which among of many genes are relevant with respect to some phenotype of interest; in the engineering and reliability sciences; in astronomy; in education; and in business. A Bayesian decision-theoretic approach to this problem is implemented with the overall loss function being a cost-weighted linear combination of Type I and Type II loss functions. The class of loss functions considered allows for use of the false discovery rate (FDR), false nondiscovery rate (FNR), and missed discovery rate (MDR) in assessing the quality of decision. Through this Bayesian paradigm, the Bayes multiple decision function (BMDF) is derived and an efficient algorithm to obtain the optimal Bayes action is described. In contrast to many works in the literature where the rows of the matrix X are assumed to be stochastically independent...

Modeling Functional Data With Spatially Heterogeneous Shape Characteristics

Staicu, Ana-Maria; Crainiceanu, Ciprian M.; Reich, Daniel S.; Ruppert, David
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Português
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We propose a novel class of models for functional data exhibiting skewness or other shape characteristics that vary with spatial or temporal location. We use copulas so that the marginal distributions and the dependence structure can be modeled independently. Dependence is modeled with a Gaussian or t-copula, so that there is an underlying latent Gaussian process. We model the marginal distributions using the skew t family. The mean, variance, and shape parameters are modeled nonparametrically as functions of location. A computationally tractable inferential framework for estimating heterogeneous asymmetric or heavy-tailed marginal distributions is introduced. This framework provides a new set of tools for increasingly complex data collected in medical and public health studies. Our methods were motivated by and are illustrated with a state-of-the-art study of neuronal tracts in multiple sclerosis patients and healthy controls. Using the tools we have developed, we were able to find those locations along the tract most affected by the disease. However, our methods are general and highly relevant to many functional data sets. In addition to the application to one-dimensional tract profiles illustrated here, higher-dimensional extensions of the methodology could have direct applications to other biological data including functional and structural MRI.

Effect of health insurance coverage on labor allocation: evidence from US farm households

D’Antoni, Jeremy M; Mishra, Ashok K; Khanal, Aditya R
Fonte: Springer Berlin Heidelberg Publicador: Springer Berlin Heidelberg
Tipo: Artigo de Revista Científica
Publicado em 29/10/2014 Português
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In the past three decades, farm families have relied on government payments and off-farm income to reduce income risk and increase total household income. Many studies have analyzed the role of government payments; however, little is known about the impact of health insurance coverage on labor allocation. This study builds on previous literature by using copulas to test for dependence in the labor allocation, addressing the importance of fringe benefits to the farm household, and determining how these considerations affect our knowledge of the impact of fringe benefits on off-farm labor. The results indicate that the off-farm hours worked by the operator and spouse are jointly determined; health insurance coverage is an endogenous variable. Using the predicted probability of insurance coverage and joint estimation techniques, we find a positive and highly significant relationship with the hours worked off-farm. Further, we find that both coupled and decoupled payments are negatively correlated with the hours worked off-farm.

Linear Correlation and EVT: Properties and Caveats

Embrechts, Paul
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica Formato: text/html
Português
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Due to the current credit crisis, critical questions are being asked concerning some of the quantitative methods used in risk management under the Basel II proposals. In this paper I have given a critical look at Extreme Value Theory and Copulas. Both their potential applications and the possible caveats are discussed, and this mainly with the subprime crisis as a background.

Modelagem para Dados Longitudinais de Contagem

Trindade, Daniele de Brito; Martínez, Raydonal Ospina (Orientador); Amorim, Leila Denise Alves Ferreira (Co-orientador)
Fonte: Universidade Federal de Pernambuco Publicador: Universidade Federal de Pernambuco
Tipo: Dissertação
Português
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A modelagem para dados de contagem é bastante utilizada em diversas áreas do conhecimento, como nas ciências biológicas, educação e saúde pública. O modelo comumente utilizado para analisar dados de contagem é o modelo Poisson. Contudo, quando os dados apresentam superdispersão o modelo Poisson não é mais indicado. Existem extensões do modelo Poisson que podem ser usados nesta situação, como o modelo Poisson in acionado de zeros (ZIP, em inglês). Porém, neste trabalho, é considerado o modelo Binomial Negativo, que é adequado para esta situação, além de ser um modelo simples e bastante conhecido. Uma suposição do modelo de regressão tradicional é a independência entre as observações. Contudo, quando as unidades amostrais são medidas repetidamente ao longo do tempo, os estudos longitudinais permite a veri cação das taxas de mudança que ocorrem ao longo do tempo e os fatores que podem motivar tal variação. Estes estudos são de particular interesse quando o objetivo é avaliar variações globais ou individuais da resposta ao longo do tempo. Este tipo de estudo considera a correlação entre as respostas dentro das unidades amostrais e a ordenação cronológica das respostas. Duas abordagens de regressão comumente utilizadas para analisar dados longitudinais são os modelos condicionais e os marginais. O modelo condicional assume a existência de efeitos aleatórios que descrevem o comportamento de um indivíduo especí co...

Correlato hormonal do comportamento reprodutivo de machos de sagüi comum (Callithrix jacchus) em ambiente natural

Pontes, Mariana Chiste
Fonte: Universidade Federal do Rio Grande do Norte; BR; UFRN; Programa de Pós-Graduação em Psicobiologia; Estudos de Comportamento; Psicologia Fisiológica Publicador: Universidade Federal do Rio Grande do Norte; BR; UFRN; Programa de Pós-Graduação em Psicobiologia; Estudos de Comportamento; Psicologia Fisiológica
Tipo: Dissertação Formato: application/pdf
Português
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Contrary to what is recorded for Callithrix jacchus females, the social interactions and hormonal profiles of males are less studied, and mainly in wild groups. The goal of this study was to investigate the behavioral and endocrine profiles of reproductive (RMs) and non-reproductive (NRs) common marmoset adult free-ranging males living in two natural groups (GC1 and GR2). The groups inhabited the area of the Escola Agrícola de Jundiaí/UFRN, located in Macaíba, Brazil. Fecal collection for cortisol and androgen measurement and behavioral monitoring was carried out during the active phase from April to September, 2005. For behavioral data collection the focal instantaneous method was used every 5 min, for a total of 11.563 records. Statistical analysis was performed using non parametric tests and p < 0.05. Besides showing diurnal variation, the frequency of affiliative behaviors was significantly higher for RMs toward reproductive females than for NRs. Affiliative interactions of RMs with both reproductive females and NRs were similar, probably related to pair bond formation and helper recruitment, respectively. Parental care was also similar for both RMs and NRs. Both androgen and cortisol levels increased after the birth of the infants...

Sistema de acasalamento e evolução do cuidado paternal em duas espécies de opiliões da subfamília Heteropachylinae (Opiliones : Gonyleptidae)

Gonçalves, Taís Maria de Nazareth
Fonte: Universidade Federal de Uberlândia Publicador: Universidade Federal de Uberlândia
Tipo: Dissertação
Português
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Fêmeas dos opiliões Chavesincola inexpectabilis e Pseudopucrolia sp. utilizam cavidades naturais em barrancos como sítios de oviposição. Essas cavidades são monopolizadas por alguns machos através de brigas com outros machos, permitindo o acesso apenas de fêmeas ovígeras. O sucesso reprodutivo dos machos está diretamente associado à posse de um ninho e o sistema de acasalamento das espécies se encaixa na definição de poliginia por defesa de recursos. Observações de laboratório com Pseudopucrolia indicam que o tamanho dos machos não é uma característica selecionada pelas fêmeas. Características comportamentais, entretanto, parecem estar relacionadas à probabilidade de obtenção de cópulas pelos machos: quanto maior a fidelidade e a permanência de um macho dentro de um dado ninho, maior a chance desse macho obter uma cópula. Adicionalmente, resultados obtidos para Pseudopucrolia fornecem apoio para algumas das principais predições da teoria de evolução do cuidado paternal em artrópodes via seleção sexual: (1) as fêmeas são iteropáricas; (2) há muitas oportunidades de cópula para os machos; (3) o cuidado paternal libera a fêmea para forragear; (4) os ovos aumentam a atratividade dos machos; e (5) os machos estão dispostos a guardar ovos geneticamente não relacionados a eles. O mapeamento das formas de investimento parental na filogenia de Gonyleptidae permite inferir que o cuidado paternal evoluiu pelo menos três vezes dentro da família: uma vez em Heteropachylinae...

Evolution of conditional dependence of residual lifetimes

FOSCHI, RACHELE
Fonte: La Sapienza Universidade de Roma Publicador: La Sapienza Universidade de Roma
Tipo: Tese de Doutorado
Português
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Using distortions of copulas to price synthetic CDOs

Crane, G.; Van Der Hoek, J.
Fonte: Elsevier Science BV Publicador: Elsevier Science BV
Tipo: Artigo de Revista Científica
Publicado em //2008 Português
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http://www.elsevier.com/wps/find/journaldescription.cws_home/505554/description#description; Glenis Crane and John van der Hoek; Copyright © 2007 Elsevier B.V. All rights reserved.

Trivariate copulas for characterisation of droughts

Wong, G.; Lambert, M.; Metcalfe, A.
Fonte: Australian Mathematics Publ Assoc Inc Publicador: Australian Mathematics Publ Assoc Inc
Tipo: Artigo de Revista Científica
Publicado em //2008 Português
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G. Wong, M. F. Lambert and A. V. Metcalfe; Copyright © 2008 Australian Mathematical Society

VaR and expected shortfall: A non-normal regime switching framework

Elliott, R.; Miao, H.
Fonte: IOP Publishing Ltd. Publicador: IOP Publishing Ltd.
Tipo: Artigo de Revista Científica
Publicado em //2009 Português
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We have developed a regime switching framework to compute the Value at Risk and Expected Shortfall measures. Although Value at Risk as a risk measure has been criticized by some researchers for lack of subadditivity, it is still a central tool in banking regulations and internal risk management in the finance industry. In contrast, Expected Shortfall is coherent and convex, so it is a better measure of risk than Value at Risk. Expected Shortfall is widely used in the insurance industry and has the potential to replace Value at Risk as a standard risk measure in the near future. We have proposed regime switching models to measure value at risk and expected shortfall for a single financial asset as well as financial portfolios. Our models capture the volatility clustering phenomenon and variance-independent variation in the higher moments by assuming the returns follow Student-t distributions.; Robert J. Elliott and Hong Miao

Drought analysis using trivariate copulas conditional on climatic states

Wong, G.; Lambert, M.; Leonard, M.; Metcalfe, A.
Fonte: American Society of Civil Engineers Publicador: American Society of Civil Engineers
Tipo: Artigo de Revista Científica
Publicado em //2010 Português
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G. Wong, M. F. Lambert; M. Leonard and A. V. Metcalfe

A Copula based observation network design approach

Li, J.; Bardossy, A.; Guenni, L.; Liu, M.
Fonte: Elsevier Sci Ltd Publicador: Elsevier Sci Ltd
Tipo: Artigo de Revista Científica
Publicado em //2011 Português
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Jing Li, András Bárdossy, Lelys Guenni, Min Liu

Correlation Breakdown and Extreme Dependence in Emerging Equity Markets

BEKIROS, Stelios D.; GEORGOUTSOS, Dimitris A.
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
Português
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This study investigates the dependence structure of extreme realization of returns between the mature markets of Japan and the U.S. and the emerging markets of Cyprus, Greece and that of six Asia- Pacific counties, with the application of multivariate Extreme Value Theory that best suits to the problem under investigation. The evidence we obtain indicates that the left tail extreme correlations (downside risk) are not substantially different from the unconditional ones or from those obtained from a multivariate Dynamic Conditional Correlation GARCH model (DCC) with asymmetric GJRGARCH univariates. Moreover, a clustering analysis shows that the examined countries do not belong to a distinct block on the basis of the extreme correlations we have estimated. The policy implications are that the benefits from portfolio diversification between the Cyprus stock market and the markets of Asia-Pacific countries, Greece, Japan and the U.S. are not eroded during crisis periods, in that no “correlation breakdown” has been witnessed.

Estacionalidad de la muda terminal y la migración reproductiva en la centolla, "Maja brachydactyla" : evidencias de estrategias de apareamiento alternativas

Corgos López-Prado, Antonio; Verísimo Amor, Patricia; Freire, Juan (1966-)
Fonte: Universidade da Corunha Publicador: Universidade da Corunha
Tipo: Trabalho em Andamento
Português
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Se analiza la temporalidad y sincronización de los procesos de muda terminal, maduración gonadal, acumulación de reservas energéticas y migración en la centolla, Maja brachydactyla, tanto a nivel individual como poblacional, y su variabilidad intra- e intersexual. Para explicar esta variabilidad en la temporalidad se plantean dos hipótesis: 1) hipótesis fisiológica: machos y hembras inician la migración cuando alcanzan un estado fisiológico adecuado (un nivel de reservas energéticas óptimo), y 2) hipótesis de oportunidades de apareamiento: la temporalidad de la migración trataría de maximizar las oportunidades de apareamiento y la calidad de las parejas. Nuestros resultados muestran que los machos llevan a cabo la muda terminal (con un pico en Julio) antes que las hembras (Agosto). En las hembras, el inicio de la madurez gonadal se produce entre dos y tres meses después de alcanzar la madurez morfométrica (a partir de Octubre), coincidiendo con el período previo y durante la migración de apareamiento a aguas profundas. El análisis de las espermatecas de las hembras primíparas reveló que en la zona somera no se producen prácticamente apareamientos, en el corredor migratorio se producen las primeras cópulas, y es en los deep mating grounds donde se producen probablemente la mayor parte de los apareamientos. En los machos la madurez gonadal se produce antes de la madurez morfométrica. El día promedio de inicio de migración obtenido para los machos fue el 8 de Octubre...

The impact of heavy tails and comovements in downside-risk diversification

Gonzalo, Jesús; Olmo, José
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em 08/02/2007 Português
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This paper uncovers the factors influencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio. We measure these factors by using the Clayton copula to model comovements and extreme value theory to estimate shortfall probabilities. These techniques allow us to identify useless diversification strategies based on assets with different tail behaviour, and show that in case of financial distress the asset with heavier tail drives the return on the overall portfolio down. An application to financial indexes of UK and US shows that mean-variance and downside-risk averse investors construct different efficient portfolios.

Nonparametric estimation and inference for Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em 29/03/2012 Português
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We propose a nonparametric estimator and a nonparametric test for Granger causality measures that quantify linear and nonlinear Granger causality in distribution between random variables. We first show how to write the Granger causality measures in terms of copula densities. We suggest a consistent estimator for these causality measures based on nonparametric estimators of copula densities. Further, we prove that the nonparametric estimators are asymptotically normally distributed and we discuss the validity of a local smoothed bootstrap that we use in finite sample settings to compute a bootstrap bias-corrected estimator and test for our causality measures. A simulation study reveals that the bias-corrected bootstrap estimator of causality measures behaves well and the corresponding test has quite good finite sample size and power properties for a variety of typical data generating processes and different sample sizes. Finally, we illustrate the practical relevance of nonparametric causality measures by quantifying the Granger causality between S&P500 Index returns and many exchange rates (US/Canada, US/UK and US/Japen exchange rates).

Three essays on credit derivatives and liquidity

Arakelyan, Armen
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Tese de Doutorado Formato: application/pdf
Português
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This thesis consists of three empirical essays on pricing credit derivatives and the impact of liquidity on the prices of credit derivatives. In essay one, I investigate empirically the pricing of Collateralized Debt Obligations (CDO) within the framework of copula models. In essay two I analyze the impact of illiquidity on Credit Default Swap (CDS) spreads on an individual level. In essay three I analyze the effect of market wide illiquidity on portfolio CDS spreads on an aggregate level. Overall, I contribute to the existing literature by proving evidence on the importance of liquidity on CDS spreads on both individual and aggregate level.---------------------------Esta tesis consiste de tres ensayos empíricos sobre la valoración de derivados de crédito y sobre el efecto de la iliquidez sobre los precios de estos derivados. En el primer ensayo, se analiza empiricamente la valoración de obligaciones de deuda colateralizada (CDO) utilizando funciones de cópulas. En el segundo ensayo se analiza el impacto de la falta de liquidez sobre los Credit Default Swap (CDS) a nivel individual. En el tercer ensayo, se analiza el impacto de iliquidez agregada sobre los spreads de carteras de CDS agregadas. En general, esta tesis contribuye a la literatura existente...

A Directional Multivariate Value at Risk

Torres, Raúl; Lillo, Rosa E.; Laniado, Henry
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper
Publicado em 01/01/2015 Português
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In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability alfa, the 100alfa% VaR is defined as a threshold loss value, such that the probability that the loss on the portfolio over the given time horizon exceeds this value is alfa. That is to say, it is a quantile of the distribution of the losses, which has both good analytic properties and easy interpretation as a risk measure. However, its extension to the multivariate framework is not unique because a unique definition of multivariate quantile does not exist. In the current literature, the multivariate quantiles are related to a specific partial order considered in Rn, or to a property of the univariate quantile that is desirable to be extended to Rn. In this work, we introduce a multivariate value at risk as a vector-valued directional risk measure, based on a directional multivariate quantile, which has recently been introduced in the literature. The directional approach allows the manager to consider external information or risk preferences in her/his analysis. We have derived some properties of the risk measure and we have compared the univariate VaR over the marginals with the components of the directional multivariate VaR. We have also analyzed the relationship between some families of copulas...