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Lopes, Jocely Nascimento. "Misturas de distribuições T de student assimétricas." Universidade Federal do Amazonas, 2008. http://tede.ufam.edu.br/handle/tede/5226.
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In this work we consider the estimation of parameters of a nite mixture of skew Student-t distributions, via EM algorithm. The main goals of this dissertation is to show a detailed description of the EM algorithm applied to this model and to evaluate the consistency of the estimator. A data set concerning the Gross Domestic Product per capita (Human Development Report), previously studied in the related literature, is analyzed.
Este trabalho trata do problema de estimar parâmetros de uma mistura nita de densidades t-assimétricas. Como ferramenta para a estimação foi usado o algoritmo EM. Foi avaliada a consistência desses estimadores e realizado um experimento de aplicação da teoria desenvolvida para uma modelagem com dados reais utilizando um conjunto analisado anteriormente na literatura, relativo ao PIB per capita. Os objetivos centrais desse trabalho são apresentar uma descrição detalhada do método de estimação, via algoritmo EM, dos parâmetros do modelo nito de mistura de densidades t-assimétricas e avaliar através de um estudo de simulação se o estimador obtido é consistente.
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Englund, Jonas. "Another Student´s T-test : Proposal and evaluation of a modified T-test." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-37501.
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Rama, Vishal. "Estimating stochastic volatility models with student-t distributed errors." Master's thesis, Faculty of Science, 2020. http://hdl.handle.net/11427/32390.
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This dissertation aims to extend on the idea of Bollerslev (1987), estimating ARCH models with Student-t distributed errors, to estimating Stochastic Volatility (SV) models with Student-t distributed errors. It is unclear whether Gaussian distributed errors sufficiently account for the observed leptokurtosis in financial time series and hence the extension to examine Student-t distributed errors for these models. The quasi-maximum likelihood estimation approach introduced by Harvey (1989) and the conventional Kalman filter technique are described so that the SV model with Gaussian distributed errors and SV model with Student-t distributed errors can be estimated. Estimation of GARCH (1,1) models is also described using the method maximum likelihood. The empirical study estimated four models using data on four different share return series and one index return, namely: Anglo American, BHP, FirstRand, Standard Bank Group and JSE Top 40 index. The GARCH and SV model with Student-t distributed errors both perform best on the series examined in this dissertation. The metric used to determine the best performing model was the Akaike information criterion (AIC).
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Paczkowski, Remi. "Monte Carlo Examination of Static and Dynamic Student t Regression Models." Diss., Virginia Tech, 1997. http://hdl.handle.net/10919/38691.
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This dissertation examines a number of issues related to Static and Dynamic Student t Regression Models.
The Static Student t Regression Model is derived and transformed to an operational form. The operational form is then examined in a series of Monte Carlo experiments. The model is judged based on its usefulness for estimation and testing and its ability to model the heteroskedastic conditional variance. It is also compared with the traditional Normal Linear Regression Model.
Subsequently the analysis is broadened to a dynamic setup. The Student t Autoregressive Model is derived and a number of its operational forms are considered. Three forms are selected for a detailed examination in a series of Monte Carlo experiments. The models’ usefulness for estimation and testing is evaluated, as well as their ability to model the conditional variance. The models are also compared with the traditional Dynamic Linear Regression Model.Ph. D.
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Busato, Erick Andrade. "Função de acoplamento t-Student assimetrica : modelagem de dependencia assimetrica." [s.n.], 2008. http://repositorio.unicamp.br/jspui/handle/REPOSIP/305857.
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Orientador: Luiz Koodi HottaDissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação Cientifica
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Resumo: A família de distribuições t-Student Assimétrica, construída a partir da mistura em média e variância da distribuição normal multivariada com a distribuição Inversa Gama possui propriedades desejáveis de flexibilidade para as mais diversas formas de assimetria. Essas propriedades são exploradas na construção de funções de acoplamento que possuem dependência assimétrica. Neste trabalho são estudadas as características e propriedades da distribuição t-Student Assimétrica e a construção da respectiva função de acoplamento, fazendo-se uma apresentação de diferentes estruturas de dependência que pode originar, incluindo assimetrias da dependência nas caudas. São apresentados métodos de estimação de parâmetros das funções de acoplamento, com aplicações até a terceira dimensão da cópula. Essa função de acoplamento é utilizada para compor um modelo ARMA-GARCHCópula com marginais de distribuição t-Student Assimétrica, que será ajustado para os logretornos de preços do Petróleo e da Gasolina, e log-retornos do Índice de Óleo AMEX, buscando o melhor ajuste, principalmente, para a dependência nas caudas das distribuições de preços. Esse modelo será comparado, através de medidas de Valor em Risco e AIC, além de outras medidas de bondade de ajuste, com o modelo de Função de Acoplamento t-Student Simétrico.
Abstract: The Skewed t-Student distribution family, constructed upon the multivariate normal mixture distribution, known as mean-variance mixture, composed with the Inverse-Gamma distribution, has many desirable flexibility properties for many distribution asymmetry structures. These properties are explored by constructing copula functions with asymmetric dependence. In this work the properties and characteristics of the Skewed t-Student distribution and the construction of a respective copula function are studied, presenting different dependence structures that the copula function generates, including tail dependence asymmetry. Parameter estimation methods are presented for the copula, with applications up to the 3rd dimension. This copula function is used to compose an ARMAGARCH- Copula model with Skewed t-Student marginal distribution that is adjusted to logreturns of Petroleum and Gasoline prices and log-returns of the AMEX Oil Index, emphasizing the return's tail distribution. The model will be compared, by the means of the VaR (Value at Risk) and Akaike's Information Criterion, along with other Goodness-of-fit measures, with models based on the Symmetric t-Student Copula.
Mestrado
Mestre em Estatística
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Rahman, Azizur. "Bayesian prediction distributions for some linear models under student-t errors." University of Southern Queensland, Faculty of Sciences, 2007. http://eprints.usq.edu.au/archive/00003581/.
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[Abstract]: This thesis investigates the prediction distributions of future response(s), conditional on a set of realized responses for some linear models havingstudent-t error distributions by the Bayesian approach under the uniform priors. The models considered in the thesis are the multiple regression modelwith multivariate-t errors and the multivariate simple as well as multiple re-gression models with matrix-T errors. For the multiple regression model, results reveal that the prediction distribution of a single future response anda set of future responses are a univariate and multivariate Student-t distributions respectively with appropriate location, scale and shape parameters.The shape parameter of these prediction distributions depend on the size of the realized responses vector and the dimension of the regression parameters' vector, but do not depend on the degrees of freedom of the error distribu-tion. In the multivariate case, the distribution of a future responses matrix from the future model, conditional on observed responses matrix from the realized model for both the multivariate simple and multiple regression mod-els is matrix-T distribution with appropriate location matrix, scale factors and shape parameter. The results for both of these models indicate that prediction distributions depend on the realized responses only through the sample regression matrix and the sample residual sum of squares and products matrix. The prediction distribution also depends on the design matricesof the realized as well as future models. The shape parameter of the prediction distribution of the future responses matrix depends on size of the realized sample and the number of regression parameters of the multivariatemodel. Furthermore, the prediction distributions are derived by the Bayesian method as multivariate-t and matrix-T are identical to those obtained under normal errors' distribution by the di®erent statistical methods such as the classical, structural distribution and structural relations of the model approaches. This indicates not only the inference robustness with respect todepartures from normal error to Student-t error distributions, but also indicates that the Bayesian approach with a uniform prior is competitive withother statistical methods in the derivation of prediction distribution.
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Assumpção, Rosangela Aparecida Botinha. "Influência local em modelos geoestatísticos T-Student com aplicações a dados agrícolas." Universidade Estadual do Oeste do Parana, 2010. http://tede.unioeste.br:8080/tede/handle/tede/374.
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Previous issue date: 2010-12-16The presence of inconsistent observations make it improper to consider the gaussian process, as it is found in the literature. This process should be replaced by models of the symmetric distribution classes, such as the t-student distribution, which incorporates additional parameters to reduce the influence of inconsistent points. This work has developed the EM algorithm for estimating the structure of the spatial dependence of the parameters and of the spatial linear model, assuming that the process shows t-student n-varied distribution. This distribution has the degree of freedom v as the additional parameter, which has been considered to be fixed in this research. Techniques to diagnose influence are used after the estimation of parameters, in order to assess the quality of the adjustment of the model by the assumptions made and for the robustness of the results of the estimates when there are disturbances in the model or data. In the present work, diagnostic techniques for the assessment of local influence in linear spatial models have been developed, considering the process with t-student n-varied distribution. The usual diagnostic technique evaluates the withdrawing of the likelihood rate by the function of the likelihood logarithm. In this proposal, in addition to considering the usual technique, we use the withdrawing of the likelihood by Q-displacement of the complete likelihood. The application of the usual technique and of the one proposed here are illustrated through the analyses of both simulated and real data, provenient of agricultural experiments.
A presença de observações discrepantes torna imprópria a análise do processo gaussiano, sendo assim, como é encontrado na literatura, esse processo deve ser substituído por modelos da classe das distribuições simétricas, tal como a distribuição t-student, que incorpora parâmetros adicionais para reduzir a influência dos pontos discrepantes. Neste trabalho, assumiu-se que o processo apresenta distribuição t-student n-variada. Essa distribuição tem como parâmetro adicional o grau de liberdade v, que aqui considerou-se fixo. Dessa forma, desenvolveu-se o algoritmo EM e o algoritmo de NR para a estimação dos parâmetros da estrutura de dependência espacial e do modelo espacial linear. Após a estimação dos parâmetros, utilizou-se duas técnicas de diagnósticos de influência local, ambas com o intuito de avaliar a qualidade do ajuste do modelo pelas suposições feitas e pela robustez dos resultados das estimativas quando há perturbações no modelo ou nos dados. A primeira técnica, denominada "usual", já utilizada por diversos autores, avalia o afastamento da verossimilhança pela função do logaritmo da verossimilhança e a segunda técnica que aqui apresentamos propõe a análise de influência local pelo Q-afastamento da função de verossimilhança para dados completos. Essas técnicas permitiram verificar a influência no afastamento da verossimilhança, na matriz de covariância, no preditor linear e nos valores preditos por meio da análise gráfica. Para ilustrar a aplicação da técnica usual e da nossa proposta, realizou-se a análise de dados simulados e dados reais provenientes de experimentos agrícolas.
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Macerau, Walkiria Maria de Oliveira. "Comparação das distribuições α-estável, normal, t de student e Laplace assimétricas." Universidade Federal de São Carlos, 2012. https://repositorio.ufscar.br/handle/ufscar/4555.
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Previous issue date: 2012-01-27Financiadora de Estudos e Projetos
Abstract The asymmetric distributions has experienced great development in recent times. They are used in modeling financial data, medical, genetics and other applications. Among these distributions, the Skew normal (Azzalini, 1985) has received more attention from researchers (Genton et al., (2001), Gupta et al., (2004) and Arellano-Valle et al., (2005)). We present a comparative study of _-stable distributions, Skew normal, Skew t de Student and Skew Laplace. The _-stable distribution is studied by Nolan (2009) and proposed by Gonzalez et al., (2009) in the context of genetic data. For some real datasets, in areas such as financial, genetics and commodities, we test which distribution best fits the data. We compare these distributions using the model selection criteria AIC and BIC.
As distribuições assimétricas tem experimentado grande desenvolvimento nos tempos recentes. Elas são utilizadas na modelagem de dados financeiros, médicos e genéticos entre outras aplicações. Dentre essas distribuições, a normal assimétrica (Azzalini, 1985) tem recebido mais atenção dos pesquisadores (Genton et al., (2001), Gupta et al., (2004) e Arellano-Valle et al., (2005)). Nesta dissertação, apresentamos um estudo comparativo das distribuições _-estável, normal , t de Student e Laplace assimétricas. A distribuição _-estável estudada por Nolan (2009) é proposta por Gonzalez et al., (2009) no contexto de dados genéticos. Neste trabalho, também apresentamos como verificar a assimetria de uma distribuição, descrevemos algumas características das distribuições assimétricas em estudo, e comparamos essas distribuições utilizando os critérios de seleção de modelos AIC e BIC..
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Cintra, Flávia Maria Ravagnani Neves. "Aplicação do modelo t-student para análise dos resultados de ensaios de proficiência." Universidade de São Paulo, 2004. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-03012018-171250/.
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Os Ensaios de Proficiência por comparação interlaboratorial têm sido um importante mecanismo para controlar a consistência dos laboratórios. Instituições do governo, como o INMETRO, têm utilizado tais mecanismos para monitorar a qualidade dos serviços prestados pelos laboratórios da Rede Brasileira de Laboratórios (RBL) e da Rede Brasileira de Calibração (RBC). Atualmente, os métodos estatísticos utilizados para analisar os resultados dos Ensaios de Proficiência estão escritos em normas técnicas, como o ISO/IEC Guide 43-1. Recentemente, Leão, Aoki e Silva (2002) propuseram um método de regressão para testar a competência dos laboratórios, utilizando a distribuição normal multivariada para modelar os dados e estabelecer testes estatísticos. Como em medições a presença de valores extremos é constante, vamos modelar os dados utilizando a distribuição t-student, para acomodar tais valores extremos. Neste modelo, estamos interessados em estimar o grau de liberdade e o parâmetro de tendência da medição do laboratório com respeito ao valor de referência, já que os laboratórios vão utilizar sistemas de medições similares para medir o mesmo item, com incertezas determinadas por um processo de calibração. Encontraremos os estimadores de máxima verossimilhança e de momentos para estes dois parâmetros e vamos desenvolver um teste para avaliarmos a consistência das medições dos laboratórios. No final, a título de aplicação, vamos analisar os dados obtidos pela REMESP (Rede de Metrologia de São Paulo) na área de eletricidade, onde vamos medir a tensão DC de um multímetro digital.The proficiency essays by interlaboratorial comparison have been an important mechanism to control the consistency of the measurements of the laboratories. Government institutions, such as INMETRO, have used such mechanisms to monitor the quality of the laboratories services supplied by the Laboratories Brazilian Network (RBL) and by the Calibration Brazilian Network (RBC). Currently. the statistical methods used to analyze the results of the Proficiency Essays are described in technical norms, like the ISO/IEC Guide 43-1. Recently, Leão, Aoki and Silva (2002) proposed a regression method to test the laboratories ability, using the multivariate normal distribution to fit the data and to establish statistical tests. Like in measurements the presence of extreme values is constant, we are modelling the data using the multivariate t-student distribution, to accommodate such extreme values. In this model, we are interested in estimating the degrees of freedom and the tendency parameter of the laboratory measurement relating to the reference value, since the laboratories are using similar measurements systems to measure the same item, with standard deviation determined by a calibration process. We are finding the maximum likelihood and moments estimators for these two parameters and are developing a test to evaluate the laboratories measurements consistency. At the end, we are analyzing the obtained data for the REMESP (São Paulo Metrology Network) in the electrical area, where we are measuring the digital multimeter DC tension.
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Souza, Aline Campos Reis de. "Modelos de regressão linear heteroscedásticos com erros t-Student : uma abordagem bayesiana objetiva." Universidade Federal de São Carlos, 2016. https://repositorio.ufscar.br/handle/ufscar/7540.
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In this work , we present an extension of the objective bayesian analysis made in Fonseca et al. (2008), based on Je reys priors for linear regression models with Student t errors, for which we consider the heteroscedasticity assumption. We show that the posterior distribution generated by the proposed Je reys prior, is proper. Through simulation study , we analyzed the frequentist properties of the bayesian estimators obtained. Then we tested the robustness of the model through disturbances in the response variable by comparing its performance with those obtained under another prior distributions proposed in the literature. Finally, a real data set is used to analyze the performance of the proposed model . We detected possible in uential points through the Kullback -Leibler divergence measure, and used the selection model criterias EAIC, EBIC, DIC and LPML in order to compare the models.
Neste trabalho, apresentamos uma extensão da análise bayesiana objetiva feita em Fonseca et al. (2008), baseada nas distribuicões a priori de Je reys para o modelo de regressão linear com erros t-Student, para os quais consideramos a suposicão de heteoscedasticidade. Mostramos que a distribuiçãoo a posteriori dos parâmetros do modelo regressão gerada pela distribuição a priori e própria. Através de um estudo de simulação, avaliamos as propriedades frequentistas dos estimadores bayesianos e comparamos os resultados com outras distribuições a priori encontradas na literatura. Além disso, uma análise de diagnóstico baseada na medida de divergência Kullback-Leiber e desenvolvida com analidade de estudar a robustez das estimativas na presença de observações atípicas. Finalmente, um conjunto de dados reais e utilizado para o ajuste do modelo proposto.
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Mazviona, Batsirai Winmore. "Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution." Master's thesis, University of Cape Town, 2012. http://hdl.handle.net/11427/12344.
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Includes bibliographical references.This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution. The model was applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Bayesian approach which uses Markov Chain Monte Carlo was used to estimate the unknown parameters in the model. The double Markov switching GARCH model was compared to a GARCH(1,1) model. Value at risk thresholds and violations ratios were computed leading to the ranking of the GARCH and double Markov switching GARCH models. The results showed that double Markov switching GARCH model performs similarly to the GARCH model based on the ranking technique employed in this thesis.
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Kima, Richard. "Portfolio Market and Credit Risks Aggregaton using Economic Scenarios Generators and student t-copulae." Thesis, Umeå universitet, Nationalekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-91806.
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Berglof, Hollie K. "Student Teachers' Explicit and Implicit Perceptions of Attention-Defici t/H yperacti vi ty Disorder." DigitalCommons@USU, 2007. https://digitalcommons.usu.edu/etd/6240.
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This study examined student teachers' explicit and implicit perceptions of ADHD and the relationship between perceptions of ADHD and social desirability. In addition, the relationship between a current measure of implicit perceptions of ADHD and one that was adapted for this study was also investigated. Findings indicate that student teachers view a student portrayed as exhibiting symptoms consistent with ADHD more negatively than a "normal" child in terms of their self-reported first impressions of the child as well as their predictions for the child's future success. Participants' perceptions, as measured by two implicit measures, however, were mixed, with results from one measure indicative of neutral attitudes toward ADHD, while results from another measure were suggestive of an implicit attitude bias against ADHD behaviors. Overall, social desirability did not appear to be meaningfully associated with student teachers' implicit or explicit perceptions of ADHD. The key findings seem to indicate that student teachers generally exhibit more negative perceptions of stereotypical ADHD behaviors than "normal" behaviors. Two measures of student teachers' implicit perceptions of ADHD were not significantly related.
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Martins, Márcia Brandão de Oliveira. "Estimação Bayesiana em modelos de regressão T de student com erros nas variáveis, respostas multivariadas e censuras." Universidade Federal do Amazonas, 2016. http://tede.ufam.edu.br/handle/tede/5615.
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We propose an extension of the usual normal regression model where both the vector of responses and the covariate are possibly censored. We assume that the jointly distribution of covariate and errors is Student-t, which is an alternative to the normal distribution, but with heavy tails. A Gibbs-type algorithm is proposed to carry out Bayesian estimation of the parameters in the model. Three simulation studies are conducted, showing that the proposed model is more flexible than the normal one when fitting data with censoring pattern and heavy tails, in addition to an application with real data.
Apresentamos uma proposta de extensão para o modelo de regressão com erro nas variáveis usual em que tanto o vetor de respostas quanto a covariável estão sujeitos à censura. Assumimos que a distribuição conjunta da covariável e dos erros de observação é t de Student, que é uma alternativa ao modelo normal, porém com caudas pesadas. Um algoritmo do tipo Gibbs sampler é proposto para proceder a estimação Bayesiana dos parâmetros no modelo. Três estudos de simulação são realizados, mostrando a maior flexibilidade do modelo, em relação ao modelo sob normalidade, em ajustar dados com padrão de censura e caudas pesadas, além de uma aplicação em dados reais.
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Canton, Letícia Ellen Dal. "Tamanho amostral efetivo no estudo da variabilidade espacial de variáveis georreferenciadas usando as distribuições normal e t-student." Universidade Estadual do Oeste do Paraná, 2018. http://tede.unioeste.br/handle/tede/3913.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES
Trading competition has demanded to the Brazilian agribusiness greater production at lower costs. Thus, the Precision Agriculture (AP) comes to light as an alternative, which can identify the spatial variability of physical and chemical soil properties, in order to better know the agricultural area and, consequently, raise crop yield standard. Regardless of the PA’s use, knowing the spatial variability of a variable in the agricultural area requires adequate sampling planning that allows collecting as few sample points as possible, avoiding too many costs and maintaining quality in sampling. Regardless of the PA’s management, it is required to know the spatial variability of a variable in an agricultural area and this also asks for an adequate sample planning that makes possible the collection of the least number of sampling points, in order to avoid too much cost and to keep quality in sampling. So, this trial aimed at reducing the number of sample points collected by calculating the effective sample size (ESS). The univariate and multivariate ESS value was estimated for georeferenced variables with normal probability distribution using two methodologies: Griffith and Vallejos and Osorio. This study was carried out with simulated data, varying the values of the nugget effect as well as the range attributed to the variables, and with physical-chemical attributes of a soil. Therefore, variables do not always have normal probability distribution, mainly due to the presence of discrepant points. Thus, the value of univariate effective sample size for stationary and isotropic stochastic processes was estimated, considering that the covariance structure had a t-Student probability distribution. According to the multivariate results from variables with normal probability distribution, there was a decrease in the number of sample points from 48% to 93%. In both univariate and multivariate cases, the estimated ESS was lower by the Griffith method, indicating that this suggestion can make feasible a larger decrease in sample size. Univariate results derived from attributes with Student’s t-distribution showed a decrease from 40% to 95% in the number of sample points. Such variation in the sample size is justified by the different values of the spatial dependence parameters presented by the variables. It was also recorded that the radius of spatial dependence was the parameter with the greatest influence on the estimated value of uni and multivariate ESS, and the higher its value, because the smaller the effective sample size, the larger is the decrease in the sample size.
A concorrência de mercado impõe ao agronegócio brasileiro que se produza mais a custos cada vez menores. Para tal, uma das alternativas é a utilização da Agricultura de Precisão (AP), que possibilita identificar a variabilidade espacial das propriedades físico-químicas do solo, de modo a conhecer melhor a área agrícola e, consequentemente, elevar o nível de produtividade das culturas. Independente do emprego da AP, é necessário conhecer a variabilidade espacial de uma variável na área agrícola e tal demanda exige planejamento amostral adequado que viabilize coletar o mínimo possível de pontos amostrais para evitar custos demasiados e manter a qualidade na amostragem. Um dos objetivos desse trabalho é reduzir o número de pontos amostrais coletados a partir do cálculo do tamanho amostral efetivo (ESS). Foi estimado o valor do ESS univariado e multivariado para variáveis georreferenciadas com distribuição normal de probabilidade utilizando-se duas metodologias: a de Griffith e a de Vallejos e Osorio. O estudo foi realizado com dados simulados, variando os valores do efeito pepita e alcance atribuídos às variáveis, e com atributos físico-químicos do solo. Nem sempre as variáveis têm distribuição normal de probabilidade, devido principalmente à presença de pontos discrepantes. Desta forma, estimou-se o valor do tamanho amostral efetivo univariado para processos estocásticos estacionários e isotrópicos, considerando-se que a estrutura de covariância apresentava distribuição de probabilidade t-Student. Diante dos resultados multivariados provenientes de variáveis com distribuição de probabilidade normal, constatou-se uma redução no número de pontos amostrais que variou entre 48% e 93%. Tanto no caso uni quanto multivariado, o valor estimado do ESS foi menor pelo método de Griffith, indicando que essa proposta viabiliza maior redução no tamanho amostral. Os resultados univariados derivados dos atributos com distribuição t-Student mostraram redução entre 40% e 95% no número de pontos amostrais. Tal variação na redução do tamanho amostral é justificada pelos diferentes valores dos parâmetros de dependência espacial apresentados pelas variáveis. Verificou-se ainda que o raio de dependência espacial foi o parâmetro que exerceu maior influência no valor estimado do ESS uni e multivariado, sendo que quanto maior seu valor, menor o tamanho amostral efetivo e, consequentemente, maior a redução no tamanho amostral.
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Findik, Nur. "Design Of Experience Sampling Tools For Reporting Student Experience In Design Education." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614957/index.pdf.
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Considering the continuous design activities that are performed throughout the design projects, design students go through several stages of decision makings, and sometimes they experience problematic situations in between consecutive supervisory meetings. Revealing all experiences during the discussions with supervisors, thus communicating the ideas could be sometimes difficult. In order to provide a better guidance, it is also important for supervisors to understand students&rsquoprocess in between these meetings. There are available tools used in the fields like education or health in order to monitor an individual&rsquo
s daily life in relation to the context (e.g. time, place, activity) and personal circumstances (e.g. emotions, feelings, ideas). These tools are developed based on experience sampling method (ESM), a research method focus on collecting self-reported data from participants in order to measure their daily life experiences, especially during a long period of time. Since the target group and experience has different characteristics for each context, design of experience sampling tools are also gaining importance to address these specific experience according to individuals&rsquo
needs and expectations. Aiming at assisting design students to do regular self-reporting on their experiences, this study presents a background research for designing experience sampling tools that would be used by students and supervisors to keep track of students&rsquo
experiences throughout design projects. In this sense, this study intends assisting students self-reporting activities, translate the main design requirements of experience sampling tools into the context of design projects, as well as revealing guidelines for the future implications of ESM tools in design education
17
Tucci, Henrricco Nieves Pujol. "Aplicação do seis sigma no processo de abastecimento de combustível de aeronaves – um estudo de múltiplos casos." Universidade Nove de Julho, 2016. http://bibliotecatede.uninove.br/handle/tede/1569.
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The aircraft supply is a major cause of flight delays since this process is slow and, if it does not start as soon as the aircraft is available for the maintenance team, the risk of being terminated after the last passenger has already boarded increases. The procedure usually only starts after the information of how much must be supplied get through the flight dispatcher and this information typically take some time to get to the maintenance team. However, it is intended to test a new scenario: start to supply with the minimum quantity of fuel and, if necessary, complete with the amount belatedly informed by dispatcher. Therefore, this paper aims to analyze the application of Six Sigma in this process through the Student's t-test and the Statistical Process Control (SPC). Sigma in this process through the Student t test and Statistical Process Control (SPC). The method adopted was multi cases study by interviews and organizational practices observations. The results showed that the new process is favorable in relation to the former, the Case 1 average time of flight delays has been reduced from 14 to 6 minutes (57%), Case 2 average time has been reduced from 10 to 6 minutes (53%), about flight delays quantity upper than 15 minutes, has reduced to 43% and 39% respectively. It concludes that the application of Six Sigma in aircraft refueling process is innovative to the scientific literature and was favorable for both companies, also helped to mitigate the risk of fines and penalties and, consequently, improved the level of quality of service offered by the airline company.
O abastecimento de aeronaves é uma das principais causas de atrasos de voo uma vez que este processo é lento e, caso este não seja iniciado assim que a aeronave esteja disponível para a equipe de manutenção, o risco de ser finalizado depois do último passageiro já ter embarcado aumenta. O processo de abastecimento usualmente só é iniciado após a informação de quanto se deve abastecer, esta informação costuma demorar a chegar para a equipe de manutenção. A melhoria no processo considera iniciar o abastecimento com a quantidade mínima de combustível e, se necessário, completar com a quantidade tardiamente informada. O objetivo desse trabalho é analisar a aplicação do Seis Sigma utilizando o teste t de Student e o Controle Estatístico do Processo (CEP) nas duas maiores companhias aéreas brasileiras. O método adotado foi estudo de múltiplos casos por meio de entrevista e observação na prática organizacional. O resultado demonstra que o tempo médio de atrasos de voo para o Caso 1 foi reduzido após a aplicação do Seis Sigma, de 14 para 6 minutos (57%). Além disso, a quantidade de atrasos acima de quinze minutos foi reduzida em 53%. Já no Caso 2, o tempo médio foi reduzido de 10 para 6 minutos, uma melhora de 43%, quanto a quantidade de atrasos acima de quinze minutos, houve uma redução de 39%. Conclui-se que a aplicação do Seis Sigma no processo de abastecimento de aeronaves é inovadora para a literatura científica e foi favorável para as duas empresas, também colaborou para mitigar os riscos de multas e penalidades e, consequentemente, melhorou o nível de qualidade do serviço oferecido pelas companhias aéreas.
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Thomas, Elizabeth A. "The effects of the use of a visual simulator in training T-2C student naval aviators for carrier qualification." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 1995. http://handle.dtic.mil/100.2/ADA304259.
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Matos, Larissa Avila 1987. "Modelos lineares e não lineares de efeitos mistos para respostas censuradas usando as distribuições normal e t-Student multivariadas." [s.n.], 2012. http://repositorio.unicamp.br/jspui/handle/REPOSIP/306684.
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Orientador: Víctor Hugo Lachos DávilaDissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática, Estatística e Computação Científica
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Resumo: Modelos mistos são geralmente usados para representar dados longitudinais ou de medidas repetidas. Uma complicação adicional surge quando a resposta é censurada, por exemplo, devido aos limites de quantificação do ensaio utilizado. Distribuições normais para os efeitos aleatórios e os erros residuais são geralmente assumidas, mas tais pressupostos fazem as inferências vulneráveis, 'a presença de outliers. Motivados por uma preocupação da sensibilidade para potenciais outliers ou dados com caudas mais pesadas do que a normal, pretendemos desenvolver nessa dissertação, inferência para modelos lineares e não lineares de efeito misto censurados (NLMEC / LMEC) com base na distribui ção t- Student multivariada, sendo uma alternativa flexível ao uso da distribuição normal correspondente. Propomos um algoritmo ECM para computar as estimativas de máxima verossimilhança para os NLMEC / LMEC. Este algoritmo utiliza expressões fechadas no passo-E, que se baseia em fórmulas para a média e a variância de uma distribui ção t-multivariada truncada. O algoritmo proposto é implementado, pacote tlmec do R. Também propomos aqui um algoritmo ECM exato para os modelos lineares e não lineares de efeito misto censurados, com base na distribuição normal multivariada, que nos permite desenvolver análise de influência local para modelos de efeito misto com base na esperança condicional da função log-verossilhança dos dados completos. Os procedimentos desenvolvidos são ilustrados com a análise longitudinal da carga viral do HIV, apresentada em dois estudos recentes sobre a AIDS
Abstract: Mixed models are commonly used to represent longitudinal or repeated measures data. An additional complication arises when the response is censored, for example, due to limits of quantification of the assay used. Normal distributions for random effects and residual errors are usually assumed, but such assumptions make inferences vulnerable to the presence of outliers. Motivated by a concern of sensitivity to potential outliers or data with tails longer-than-normal, we aim to develop in this dissertation inference for linear and nonlinear mixed effects models with censored response (NLMEC/LMEC) based on the multivariate Student-t distribution, being a flexible alternative to the use of the corresponding normal distribution. We propose an ECM algorithm for computing the maximum likelihood estimates for NLMEC/LMEC. This algorithm uses closed-form expressions at the E-step, which relies on formulas for the mean and variance of a truncated multivariate-t distribution. The proposed algorithm is implemented in the R package tlmec. We also propose here an exact ECM algorithm for linear and nonlinear mixed effects models with censored response based on the multivariate normal distribution, which enable us to developed local influence analysis for mixed effects models on the basis of the conditional expectation of the complete-data log-likelihood function. The developed procedures are illustrated with two case studies, involving the analysis of longitudinal HIV viral load in two recent AIDS studies
Mestrado
Estatistica
Mestre em Estatística
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BARRETO, Larissa Santana. "Refinamento de inferências na distribuição Birnbaum-Saunders generalizada com núcleos normal e t de Student sob censura tipo II." Universidade Federal de Pernambuco, 2013. https://repositorio.ufpe.br/handle/123456789/12339.
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CAPES
Frequentemente temos interesse em realizar inferências, em um determinado modelo, envolvendo apenas alguns dos seus parâmetros. Tais inferências podem ser feitas através da função de verossimilhança perfilada. Contudo, alguns problemas podem surgir quando tratamos a função de verossimilhança perfilada como uma verossimilhança genuína. Com o objetivo de solucionar estes problemas, vários pesquisadores, dentre eles Barndorff-Nielsen (1983, 1994) e Cox & Reid (1987, 1992), propuseram modificações à função de verossimilhança perfilada. O principal objetivo deste trabalho é utilizar a verossimilhança perfilada e seus ajustes propostos por Barndorff-Nielsen (1983,1994) e Cox & Reid (1987,1992) no aperfeiçoamento de inferências para a distribuição Birnbaum-Saunders generalizada com núcleos normal e t de Student, na presença, ou não, de censura tipo II. Mais precisamente obtemos os estimadores de máxima verossimilhança relacionados às funções de verossimilhança perfilada e perfiladas ajustadas; calculamos os intervalos de confiança do tipo assintótico, bootstrap percentil, bootstrap BCa e bootstrap-t e também apresentamos os testes da razão de verossimilhanças ajustados, o teste bootstrap paramétrico e o teste gradiente. Através de simulações de Monte Carlo avaliamos os desempenhos dos testes e dos estimadores pontuais e intervalares propostos. Os resultados evidenciam que tanto os testes quanto os estimadores baseados nas versões modificadas da verossimilhança perfilada possuem desempenho superior em pequenas amostras quando comparados com suas contrapartidas não modificadas. Adicionalmente, apresentamos alguns exemplos práticos para ilustrar tudo o que foi desenvolvido.
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Souza, Filho Nelson Lima de. "Modelagem bayesiana flexível em regressão com erros nas variáveis." Universidade Federal do Amazonas, 2012. http://tede.ufam.edu.br/handle/tede/3669.
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Previous issue date: 2012-12-06CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
In regression models, the classical normal assumption for the distribution of the measurement errors is often violated, masking some important features of the variability of the data. Some practical actions to overcome this problem, like transformations of the data, sometimes are not effective. In this work we propose a methodology to overcome this problem, in the context of multivariate linear regression with measurement errors. In these models, the covariate is unobservable and the researcher observes a surrogate variable. These measurements are made with an additive error. We extend the classical normal model, by modeling jointly the covariate and the measurement errors by a finite mixture of densities which are in a general family, accommodating skewness, heavy tails and multi-modality at the same time, allowing a degree of flexibility that can not be met by the normal model. We proceed Bayesian inference through a Gibbs-type algorithm. Some proposed models are compared with existing symmetrical models, using a modified DIC criterion, through the analysis of simulated and real data.
Em modelos de regressão, o pressuposto clássico de normalidade para a distribuição dos erros aleatórios é muitas vezes violado, mascarando algumas características importantes da variabilidade dos dados. Algumas ações práticas para resolver esse problema, como transformações nos dados, revelam-se muitas vezes ineficazes. Neste trabalho apresentamos uma proposta para lidar com esta questão no contexto do modelo de regressão multivariada linear simples, quando a variável resposta e a variável regressora são observadas com erro aditivo o chamado modelo de regressão linear com erros nas variáveis. Em tais modelos, o pesquisador observa uma variável substituta em vez da covariável de interesse. Nós estendemos o modelo clássico normal, modelando a distribuição conjunta da covariável e dos erros aleatórios por uma mistura finita de densidades pertencentes a uma família de distribuições bem geral, acomodando ao mesmo tempo assimetria, caudas pesadas e multimodalidade, permitindo um grau de flexibilidade que não pode ser atingido pelo modelo normal. Para a parte de estimação desenvolvemos um algoritmo do tipo Gibbs para proceder estimação Bayesiana. Alguns modelos propostos foram comparados com modelos simétricos já existentes na literatura, utilizando um critério DIC modificado, através da análise de dados simulados e reais.
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Ali, Mohamed Khadar. "Applying Value at Risk (VaR) analysis to Brent Blend Oil prices." Thesis, Högskolan i Gävle, Avdelningen för ekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-10798.
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The purpose with this study is to compare four different models to VaR in terms of accuracy, namely Historical Simulation (HS), Simple Moving Average (SMA), Exponentially Weighted Moving Average (EWMA) and Exponentially Weighted Historical Simulation (EWHS). These VaR models will be applied to one underlying asset which is the Brent Blend Oil using these confidence levels 95 %, 99 % and 99, 9 %. Concerning the return of the asset the models under two different assumptions namely student t-distribution and normal distribution will be studied
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Ozturk, Kevser. "Exchange Rate Volatility: The Case Of Turkey." Master's thesis, METU, 2006. http://etd.lib.metu.edu.tr/upload/12608026/index.pdf.
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In this study, different from previous studies, the explanatory power of Student-t distribution is compared to normal distribution by employing both standard GARCH and EGARCH models to dollar/ lira (USD/TRY) exchange rate. Then the impact of Central Bank of Republic of the Turkey&rsquos (CBRT) decisions and actions on both the level of exchange rate and the volatility is investigated. Moreover the relationship between volatility and market liquidity is examined using spot foreign exchange (FX) market volume as a proxy. The results reveal that, in contrast to preceding findings, Student-t could not capture the leptokurtic property better than normal distribution does. Furthermore, an increase in Turkish government benchmark bond rates, CBRT FX purchase interventions and announcement of suspending/ decreasing-the-amount-of FX auctions lead Turkish lira to depreciate. Because of the significant positive leverage effect, the results of GARCH and EGARCH variance equations differ so much. Thereby the results should be evaluated cautiously. In addition it is observed that, only EGARCH model gives significant results when the spot market trading volume is included in the models
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GRA?A, Luziray Braga. "A percep??o da comunidade escolar sobre o Instituto Federal do Amazonas campus Tabatinga: realidades e perspectivas." Universidade Federal Rural do Rio de Janeiro, 2016. https://tede.ufrrj.br/jspui/handle/jspui/2461.
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This dissertation is the result of a survey conducted in the city of Tabatinga, interior of the State of Amazonas, located in the triple border Brazil, Colombia and Peru. If addressed, in principle, consistent information to the border region, highlighting the educational, political, economic and social relations between the countries. In addition, the study highlighted the implementation of the Federal Institutes, created by Law 11.892/08, and the operation since its installation in the city of Tabatinga. Its general objective is to understand the perception of the school community about the Instituto Federal de Educa??o, Ci?ncia e Tecnologia do Amazonas (IFAM) - campus Tabatinga, weaving an analysis guided the views of internal and external students at the Institute. At first, the focus of the work focused on the presentation of the IFAM campus Tabatinga to tabatinguense school community, considering the offer of vocational technical education to the population. In the second phase, the research highlighted the perception of the school community about the training at the Federal Institute, established in the municipality. The proposal was developed through an exploratory research, with qualitative and quantitative approaches, and using the literature research, document and case study. As data collection instruments were used participant observation and questionnaires. So with the analysis of the study, we believe that the reality experienced by the school community of Tabatinga, and the prospects of these students make up aspects that enable discussion and planning strategies capable of enhancing positive actions for the educational development process, also remedying the obstacles that hinder local growth, guiding the defining issues of the direction of the institution and the region.
A presente disserta??o ? resultado de uma pesquisa realizada no ?mbito do munic?pio de Tabatinga, interior do estado do Amazonas, localizado na tr?plice fronteira Brasil, Col?mbia e Peru. Abordou-se, a princ?pio, informa??es relativas ? regi?o fronteiri?a, destacando as rela??es educacionais, pol?ticas, econ?micas e sociais entre os pa?ses. Al?m disso, o estudo ressaltou a implanta??o dos Institutos Federais, criados atrav?s da Lei 11.892/08, e a atua??o do IFAM desde sua instala??o na cidade de Tabatinga. Teve como objetivo geral a compreens?o da percep??o da comunidade escolar sobre o Instituto Federal de Educa??o, Ci?ncia e Tecnologia do Amazonas (IFAM) campus Tabatinga, tecendo uma an?lise pautada nas vis?es de alunos internos e externos ao Instituto. No primeiro momento, o foco do trabalho concentrou-se na apresenta??o do IFAM campus Tabatinga ? comunidade escolar tabatinguense, considerando a oferta da educa??o t?cnica profissional ? popula??o. No segundo momento, a pesquisa destacou a percep??o da comunidade escolar quanto ? forma??o no Instituto Federal, implantado no munic?pio. A proposta foi desenvolvida atrav?s de uma pesquisa explorat?ria com abordagens qualitativa e quantitativa, utilizando-se a investiga??o bibliogr?fica, documental e o estudo de caso. Como instrumentos de coleta de dados foram empregados a observa??o participante e o uso de question?rios. Assim, atrav?s da an?lise do estudo, considerou-se que a realidade vivenciada pela comunidade escolar de Tabatinga, bem como as perspectivas desses estudantes, comp?e aspectos que possibilitam a discuss?o e o planejamento de estrat?gias capazes de intensificar a??es positivas em prol do processo de evolu??o educacional, sanando tamb?m os entraves que dificultam o crescimento local, norteando as quest?es definidoras dos rumos da institui??o e da regi?o.
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Freire, Paulo Guilherme de Lima. "Segmentação de placas de esclerose múltipla em imagens de ressonância magnética usando modelos de mistura de distribuições t-Student e detecção de outliers." Universidade Federal de São Carlos, 2016. https://repositorio.ufscar.br/handle/ufscar/7736.
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
Multiple Sclerosis (MS) is an inflammatory demyelinating (that is, with myelin loss) disease of the Central Nervous System (CNS). It is considered an autoimmune disease in which the immune system wrongly recognizes the myelin sheath of the CNS as an external element and attacks it, resulting in inflammation and scarring (sclerosis) of multiple areas of CNS’s white matter. Multi-contrast magnetic resonance imaging (MRI) has been successfully used in diagnosing and monitoring MS due to its excellent properties such as high resolution and good differentiation between soft tissues. Nowadays, the preferred method to segment MS lesions is the manual segmentation, which is done by specialists with limited help of a computer. However, this approach is tiresome, expensive and prone to error due to inter- and intra-variability between observers caused by low contrast on lesion edges. The challenge in automatic detection and segmentation of MS lesions in MR images is related to the variability of size and location of lesions, low contrast due to partial volume effect and the high range of forms that lesions can take depending on the stage of the disease. Recently, many researchers have turned their efforts into developing techniques that aim to accurately measure volumes of brain tissues and MS lesions, and also to reduce the amount of time spent on image analysis. In this context, this project proposes the study and development of an automatic computational technique based on an outlier detection approach, Student’s t-distribution finite mixture models and probabilistic atlases to segment and measure MS lesions volumes in MR images.
Esclerose Múltipla (EM) é uma doença inflamatória e desmielinizante (isto é, com perda de mielina) do sistema nervoso central (SNC). É considerada uma doença autoimune a qual o sistema imunológico reconhece erroneamente a bainha de mielina do SNC como um elemento externo e então a ataca, resultando em inflamação e formação de cicatrizes gliais (escleroses) em múltiplas áreas da substância branca do SNC. O imageamento multi- contraste por ressonância magnética (RM) tem sido usado clinicamente com muito sucesso para o diagnóstico e monitoramento da EM devido às suas excelentes propriedades como alta resolução e boa diferenciação de tecidos moles. Atualmente, o método utilizado para a segmentação de lesões de EM é o delineamento manual em imagens 3D de RM, o qual é realizado por especialistas com ajuda limitada do computador. Entretanto, tal procedimento é custoso e propenso à variabilidade inter e intraobservadores devido ao baixo contraste das bordas das lesões. A grande dificuldade na detecção e segmentação automáticas das le- sões de EM em imagens de RM está associada às suas variações no tamanho e localização, baixo contraste decorrente do efeito de volume parcial e o amplo espectro de aparências (realçadas, não-realçadas, black-holes) que elas podem ter, dependendo do estado evolutivo da doença. Atualmente, vários pesquisadores têm voltado seus esforços para o desenvol- vimento de técnicas que visam diminuir o tempo gasto na análise das imagens e medir, de maneira mais precisa, o volume dos tecidos cerebrais e das lesões de EM. Nesse contexto, este projeto propõe o estudo e o desenvolvimento de uma técnica computacional automá- tica, baseada na abordagem de detecção de outliers e usando modelos de misturas finitas de distribuições t-Student e atlas probabilísticos para a segmentação e medição do volume de lesões de EM em imagens de RM.
FAPESP: 2014/00019-6
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Rücker, Michael T. [Verfasser], Niels [Gutachter] Pinkwart, and Peter [Gutachter] Hubwieser. "A Naturalistic Inquiry into Student Conceptions of Computing Technology and their Role for Learning and Transfer / Michael T. Rücker ; Gutachter: Niels Pinkwart, Peter Hubwieser." Berlin : Humboldt-Universität zu Berlin, 2020. http://d-nb.info/1206588314/34.
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Rücker, Michael Tobias [Verfasser], Niels [Gutachter] Pinkwart, and Peter [Gutachter] Hubwieser. "A Naturalistic Inquiry into Student Conceptions of Computing Technology and their Role for Learning and Transfer / Michael T. Rücker ; Gutachter: Niels Pinkwart, Peter Hubwieser." Berlin : Humboldt-Universität zu Berlin, 2020. http://d-nb.info/1206588314/34.
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Jordan, Jamie. "The Impact of a Sixth Grade Laptop Initiative on Student Attitudes Concerning Their Learning and Technological Competencies." Digital Commons @ East Tennessee State University, 2018. https://dc.etsu.edu/etd/3359.
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This research explored the impact of a sixth grade one-to-one laptop initiative on student attitudes about learning and technological competencies. The study compared student preintervention and postintervention survey data prior to and after a sixth grade laptop intervention initiative. The survey responses were divided into 5 dimensions (School Subject Attitudes, Teaching and Learning Preferences, Computer Use Perceptions, Technology Skills, and Personal Attitudes and Behaviors) on both pre- and postsurveys. District means were compared with preintervention and postintervention data, as well as the means from the 5 dimensions, using a one-sample t-test with a midpoint test value of 3 on a 5-point scale. Ninety students participated in the preintervention survey and 93 students participated in the postintervention survey across 3 schools. The findings indicated that there was a statistically significant difference in student responses in 4 of the 5 dimensions except Teaching and Learning Preferences. Overall the findings on the 2 dimensions related to technological competencies had statistically significant scores on the postintervention survey, whereas the findings on 2 of the 3 sections related to student attitudes about learning had statistically significant scores. In conclusion, generally the laptop intervention initiative had an overall positive impact on student attitudes and technological competencies. The researcher concluded that the timing of the postsurvey, as well as the research taking place during the first year of implementation could have had an impact on the Teaching and Learning Preferences results. Examining the impact of one-to-one initiatives on student attitudes about learning and technological competencies could support districts in making the decision of adopting this technology.
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Ashurbekova, Karina. "High-dimensional robust structure learning." Thesis, Université Grenoble Alpes (ComUE), 2019. http://www.theses.fr/2019GREAT100.
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L'apprentisage de structure de graphes est un problème essentiel dans de nombreuses applications, i.e. génétiques, neuroscience.L'estimation de la matrice de covariance/précision est le point crucial. Les techniques usuelles souffrent de deux problèmes. Le premier problème est la robustesse aux données non gaussiennes. Le second problème est le manque de données quand le nombre de paramètres à estimer est trop grand devant la taille de l'échantillon disponible. L'objectif de cette thèse est de fournir des méthodes robustes et adaptée à une faible taille d'échantillon.La première contribution de cette thèse considère les estimateurs de maximum de vraisemblance de la matrice de covariance avec shrinkage sous l'hypothèse de distributions à queue lourde et moyenne inconnue. La difficulté principale est le choix du paramètre de régularisation. Nous dérivons une expression explicite du coefficient de shrinkage pour toute distribution elliptique. Nous proposons aussi un algorithm dans le cas de distribution de Student multivariée qui est appliqué à des données simulées et des données réelles.La deuxième contribution concerne l'estimation de matrice de précision parcimonieuse pour des données non gaussiennes. En partant des résultats de la littérature, nous avons généralisé ceux-ci à des modèles de mélanges en grande dimension pour une sous-classe de famille de distribution elliptique.Pour finir, nous avons testé nos approches sur des données réelles d'IRMf. La structure estimée est soit la correlation soit la correlation partielle. Nous proposons une nouvelle construction de graphes prenant en compte la correlation et la correlation partielle. Cette nouvelle approche est validée sur des simulations et des données réellesStructure learning in graphical models is an essential topic in different application areas, i.e., genetics, neuroscience. The crucial part of this model is the estimation of covariance/precision matrices. Traditional techniques for handling this problem suffer from two main issues. The first one is the lack of robustness when samples are assumed to follow a Gaussian distribution. The second one is the lack of data when the number of parameters to estimate is too large compared to the number of samples. Thus this thesis aims to build robust high-dimensional models for covariance and precision matrices estimation.The first question we address in the manuscript is the link between zero elements of precision matrices and the measure of the relationship between variables it reveals for different distributions.par In the first main contribution of this thesis we consider the shrinked likelihood-based estimators of the covariance matrix under the assumption of heavy-tailed distribution with unknown mean vector. The main difficulty at this point is the choice of the regularization parameters. We provide a closed-form expression of an optimal shrinkage coefficient for any sample distribution in the elliptical family. Based on these results, an algorithm for the case of the multivariate t-distribution with the simulated and real data is presented.The second contribution is dealing with sparse precision matrix estimation for the non-Gaussian data. Starting with the traditional techniques, we are able to generalize results for the high-dimensional mixture models for the subclass of elliptical family.Finally, we test our graph structure learning approach on brain signals using fMRI. The structure induced by both the correlation and the partial correlation is considered. We then propose a new graph construction method taking into account both conditional and marginal independences. The proposed approach shows better results than classical algorithms
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Mandal, Anandadeep. "An empirical investigation of the determinants of asset return comovements." Thesis, Cranfield University, 2015. http://dspace.lib.cranfield.ac.uk/handle/1826/10184.
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Understanding financial asset return correlation is a key facet in asset allocation and investor’s portfolio optimization strategy. For the last decades, several studies have investigated this relationship between stock and bond returns. But, fewer studies have dealt with multi-asset return dynamics. While initial literature attempted to understand the fundamental pattern of comovements, later studies model the economic state variables influencing such time-varying comovements of primarily stock and bond returns.
Research widely acknowledges that return distributions of financial assets are non-normal. When the joint distributions of the asset returns follow a non-elliptical structure, linear correlation fails to provide sufficient information of their dependence structure. In particular two issues arise from this existing empirical evidence. The first is to propose a more reliable alternative density specification for a higher-dimensional case. The second is to formulate a measure of the variables’ dependence structure which is more instructive than linear correlation.
In this work I use a time-varying conditional multivariate elliptical and non-elliptical copula to examine the return comovements of three different asset classes: financial assets, commodities and real estate in the US market. I establish the following stylized facts about asset return comovements. First, the static measures of asset return comovements overestimate the asset return comovements in the economic expansion phase, while underestimating it in the periods of economic contraction. Second, Student t-copulas outperform both elliptical and non-elliptical copula models, thus confirming the
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dominance of Student t-distribution. Third, findings show a significant increase in asset return comovements post August 2007 subprime crisis ... [cont.].
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SALAS, ALVAREZ LUIS ANGEL. "Análisis del Requerimiento de Capital de Solvencia por riesgo accionario bajo el enfoque de Solvencia II en México: Una metodología GARCH con innovaciones t-student." Tesis de Licenciatura, Universidad Autónoma del Estado de México, 2019. http://hdl.handle.net/20.500.11799/104867.
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TESIS DE LICENCIATURA EN ACTUARÍAEn este trabajo se analiza el Requerimiento de Capital de Solvencia (SCR por sus siglas en inglés) por riesgo accionario bajo los lineamientos de la regulación actual de seguros en México (equivalente a Solvencia II). Se parte del supuesto de que el Índice de Precios y Cotizaciones (IPC/BMV) es una muestra representativa del comportamiento de las acciones listadas en el mercado accionario mexicano. Dos de las características más importantes de la serie de rendimientos del IPC, es que sigue una distribución de colas pesadas (exceso de curtosis) y presenta clusters de volatilidad (heterogeneidad en la varianza). Se propone una metodología GARCH con innovaciones t − student para el cálculo del VaR(99.5 %) exigido como equivalencia a la formula estándar de la Circular Única de Seguros y Fianzas (CUSF). De esta manera, se busca evidenciar una subestimación del riesgo accionario si se utiliza el modelo estándar de la Comisión Nacional de Seguros y Fianzas (CNSF), o bien, si se utilizan modelos mal especificados, por ejemplo, modelos con innovaciones gaussianas. La serie de tiempo contemplada abarca de Abril de 1990 a Diciembre de 2018 con periodicidad diaria; los datos son obtenidos del portal del Banco de México (BANXICO).
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Dudley, Jennifer Elizabeth. "The effect of participation in place-based environmental education programs on student affect toward science: a case study of F. T. Stone Laboratory's middle school program." The Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc_num=osu1170096652.
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Christmas, Jacqueline. "Robust spatio-temporal latent variable models." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3051.
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Principal Component Analysis (PCA) and Canonical Correlation Analysis (CCA) are widely-used mathematical models for decomposing multivariate data. They capture spatial relationships between variables, but ignore any temporal relationships that might exist between observations. Probabilistic PCA (PPCA) and Probabilistic CCA (ProbCCA) are versions of these two models that explain the statistical properties of the observed variables as linear mixtures of an alternative, hypothetical set of hidden, or latent, variables and explicitly model noise. Both the noise and the latent variables are assumed to be Gaussian distributed. This thesis introduces two new models, named PPCA-AR and ProbCCA-AR, that augment PPCA and ProbCCA respectively with autoregressive processes over the latent variables to additionally capture temporal relationships between the observations. To make PPCA-AR and ProbCCA-AR robust to outliers and able to model leptokurtic data, the Gaussian assumptions are replaced with infinite scale mixtures of Gaussians, using the Student-t distribution. Bayesian inference calculates posterior probability distributions for each of the parameter variables, from which we obtain a measure of confidence in the inference. It avoids the pitfalls associated with the maximum likelihood method: integrating over all possible values of the parameter variables guards against overfitting. For these new models the integrals required for exact Bayesian inference are intractable; instead a method of approximation, the variational Bayesian approach, is used. This enables the use of automatic relevance determination to estimate the model orders. PPCA-AR and ProbCCA-AR can be viewed as linear dynamical systems, so the forward-backward algorithm, also known as the Baum-Welch algorithm, is used as an efficient method for inferring the posterior distributions of the latent variables. The exact algorithm is tractable because Gaussian assumptions are made regarding the distribution of the latent variables. This thesis introduces a variational Bayesian forward-backward algorithm based on Student-t assumptions. The new models are demonstrated on synthetic datasets and on real remote sensing and EEG data.
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BARBIERI, Leonardo Fagner Ponciano. "Episódios significativos de ventos de través no aeroporto de Petrolina: um estudo de condições meteorológicas adversas Em operações de pouso e decolagem." Universidade Federal de Campina Grande, 2016. http://dspace.sti.ufcg.edu.br:8080/jspui/handle/riufcg/695.
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CNPq
O desenvolvimento deste trabalho teve como objetivo caracterizar o regime de vento em superfície na área do Aeroporto Internacional de Petrolina (Senador Nilo Coelho) e identificar condições meteorológicas adversas cruciais às operações de pouso e decolagem. Enfoque especial foi dado aos episódios de vento cruzado, também denominado vento de través (vento perpendicular à pista de pouso). Os principais dados utilizados são as mensagens METAR do período 2003 - 2014. Um aumento significativo na frequência de vento de través, que chega a 100% no mês de julho, é informação importante a ser considerada pelos pilotos que atuam na Região. A Análise Fatorial por Componentes Principais (ACP) foi utilizada para identificar mecanismos físicos associados com mudanças significativas no vento local. Foram retidos três fatores que explicaram 94,9% da variabilidade dos dados no mês de abril. Os episódios mais significativos de vento de través do quadrante Nordeste (TRV_NE) ocorreram no ano de 2012 em condições atmosféricas influenciadas pela atuação de VCAN (Vórtice Ciclônico de Altos Níveis). Movimentos descendentes no centro do VCAN, redução na umidade atmosférica e um número maior de nuvens mais altas estão entre as principais características desses eventos. As análises mostram ainda uma relação positiva entre o número de registros de VCAN e a frequência de TRV_NE, e que a circulação da brisa lacustre induzida pela implantação do Lago de Sobradinho ao sul do aeroporto de Petrolina contribuiu para o aumento na frequência de vento de través do quadrante Sudoeste (TRV_SW).
The development of this work aimed to characterize the surface wind regime in the Petrolina International Airport area (Senator Nilo Coelho) and to identify adverse weather conditions crucial to landing and takeoff operations. Special focus was given to cross-wind (wind perpendicular to the runway) episodes. The main data used are the METAR messages for the period 2003 – 2014. A significant increase in cross-wind frequency, that reaches 100% in the month of July, is important information to be considered by the pilots that operate in the region. The Factor Analysis by Principal Components (PCA) was used to identify physical mechanisms associated with significant changes in the local wind. Three factors explaining 94.9% of the variance in the month of April were retained. The most significant episodes of cross-wind on the Northeast quadrant (TRV_NE) occurred in 2012 under atmospheric conditions influenced by UTCV (Upper Tropospheric Cyclonic Vortex). Descending motion in the UTCV center, reduction in atmospheric humidity and a larger number of higher base clouds are among the main characteristics of these events. The analyses show also a positive relationship between the number of UTCV reports and the frequency of TRV_NE, and that the lake breeze circulation induced by the implantation of the Sobradinho Lake to the south of the Petrolina airport contributed for the increase in the frequency of cross-wind on the Southwest quadrant (TRV_SW).
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Can, Mutan Oya. "Statistical Inference From Complete And Incomplete Data." Phd thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/3/12611531/index.pdf.
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Let X and Y be two random variables such that Y depends on X=x. This is a very common situation in many real life applications. The problem is to estimate the location and scale parameters in the marginal distributions of X and Y and the conditional distribution of Y given X=x. We are also interested in estimating the regression coefficient and the correlation coefficient. We have a cost constraint for observing X=x, the larger x is the more expensive it becomes. The allowable sample size n is governed by a pre-determined total cost. This can lead to a situation where some of the largest X=x observations cannot be observed (Type II censoring). Two general methods of estimation are available, the method of least squares and the method of maximum likelihood. For most non-normal distributions, however, the latter is analytically and computationally problematic. Instead, we use the method of modified maximum likelihood estimation which is known to be essentially as efficient as the maximum likelihood estimation. The method has a distinct advantage: It yields estimators which are explicit functions of sample observations and are, therefore, analytically and computationally straightforward. In this thesis specifically, the problem is to evaluate the effect of the largest order statistics x(i) (i>n-r) in a random sample of size n (i) on the mean E(X) and variance V(X) of X, (ii) on the cost of observing the x-observations, (iii) on the conditional mean E(Y|X=x) and variance V(Y|X=x) and (iv) on the regression coefficient. It is shown that unduly large x-observations have a detrimental effect on the allowable sample size and the estimators, both least squares and modified maximum likelihood. The advantage of not observing a few largest observations are evaluated. The distributions considered are Weibull, Generalized Logistic and the scaled Student&rsquo
s t.
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Kim, Young Il. "Essays on Volatility Risk, Asset Returns and Consumption-Based Asset Pricing." The Ohio State University, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=osu1211912340.
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Holmes, Janet. "Impact of Texas Counselors' Network on students: A preliminary study." Thesis, University of North Texas, 2004. https://digital.library.unt.edu/ark:/67531/metadc4606/.
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This study assessed the impact of the Texas Counselors' Network (TCN) on students of counselors who attended TCN workshops. TCN is a professional organization created in 1996 for the professional development of counselors. TCN impacts primary and secondary school students by providing counselors with selected skills to assist them in helping students. In theory, TCN thus impacts these students by improving overall skills of participating counselors. This study assessed the progress of students before and after implementation of TCN. Students' progress was considered in four areas: Texas Accountability Assessment Scores (TAAS), attendance rates, dropout rates, and high school student enrollment in technical programs. The current study compared student performance in the above four areas during a two to three year period prior to the establishment of TCN, with the initial six years of TCN existence. This study examined data attained through the Texas Educational Agency (TEA) Website using their Academic Excellence Indicator System (AEIS) for four regional TCN groups. The study used a paired t-test to compare the performance of students before versus after counselor participation in network workshops. The findings indicated that overall, counselor participation in TCN could have a significant effect on student performance. In fact, eight tests were run and all were found significant at the .05 alpha level.
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Ofe, Hosea, and Peter Okah. "Value at Risk: A Standard Tool in Measuring Risk : A Quantitative Study on Stock Portfolio." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45303.
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The role of risk management has gained momentum in recent years most notably after the recent financial crisis. This thesis uses a quantitative approach to evaluate the theory of value at risk which is considered a benchmark to measure financial risk. The thesis makes use of both parametric and non parametric approaches to evaluate the effectiveness of VAR as a standard tool in measuring risk of stock portfolio. This study uses the normal distribution, student t-distribution, historical simulation and the exponential weighted moving average at 95% and 99% confidence levels on the stock returns of Sonny Ericsson, Three Months Swedish Treasury bill (STB3M) and Nordea Bank. The evaluations of the VAR models are based on the Kupiec (1995) Test. From a general perspective, the results of the study indicate that VAR as a proxy of risk measurement has some imprecision in its estimates. However, this imprecision is not all the same for all the approaches. The results indicate that models which assume normality of return distribution display poor performance at both confidence levels than models which assume fatter tails or have leptokurtic characteristics. Another finding from the study which may be interesting is the fact that during the period of high volatility such as the financial crisis of 2008, the imprecision of VAR estimates increases. For the parametric approaches, the t-distribution VAR estimates were accurate at 95% confidence level, while normal distribution approach produced inaccurate estimates at 95% confidence level. However both approaches were unable to provide accurate estimates at 99% confidence level. For the non parametric approaches the exponentially weighted moving average outperformed the historical simulation approach at 95% confidence level, while at the 99% confidence level both approaches tend to perform equally. The results of this study thus question the reliability on VAR as a standard tool in measuring risk on stock portfolio. It also suggest that more research should be done to improve on the accuracy of VAR approaches, given that the role of risk management in today’s business environment is increasing ever than before. The study suggest VAR should be complemented with other risk measures such as Extreme value theory and stress testing, and that more than one back testing techniques should be used to test the accuracy of VAR.
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Vieira, Jackson Aparecido Gomes. "A pesquisa cient?fica no processo de ensinoaprendizagem: uma abordagem a partir do estudo da ciclagem de nutrientes na cultura do eucalipto." Universidade Federal Rural do Rio de Janeiro, 2009. https://tede.ufrrj.br/jspui/handle/jspui/2427.
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Doing to learn unstuck of the others know no longer it fits as pedagogic premise in the days today of our Schools, because it is necessary use of new technologies, in the process of producing knowledge flexible in the construction time/space. This work had as objective offers theoretical-methodological subsidies, for the understanding of the science starting from methods and investigation processes, that in the extent of the professional formation in the Agrot?cnica School, it can develop the student's of the technical course scientific critical spirit in farming. The work was developed through a teaching-learning process based on an approach starting from the study of the cycling of nutrients in the culture of the eucalyptus. The study was developed at the School Federal Agrot?cnica of S?o Jo?o Evangelista, today Federal Institute of Education Science and Technology of Minas Gerais (IFMG-Campus S?o Jo?o Evangelista). Two groups of voluntary students, composed by 21 students, they were submitted to the teaching-learning process. A group was worked with the traditional method of teaching and the other with the scientific method. To the two groups a questionnaire was applied containing 10 subjects regarding the culture of the eucalyptus. In the first chapter it was evaluated, through the methodology it informs, the cycling of nutrients in the culture of the eucalyptus. It was verified that the burlap deposition on the soil allowed the macronutrients liberation for the soil, standing out N and Ca. The burlap accumulation also benefitted the fertility of the soil, being verified improvement in almost all of the appraised attributes, with emphasis in the organic matter of the soil. In the second chapter the efficiency of the teaching methodologies was evaluated (traditional and it informs) in the teaching-learning process, and the scientific method was shown more efficient than the traditional, because in this the students acquired more knowledge on the subject besides a larger interest, for they be discovering and explaining their old doubts and faiths. This larger learning was verified being observed the notes of the questionnaire easily and also in their participations, very effective during the developed activities.
O fazer para aprender descolado dos demais saberes j? n?o cabe como premissa pedag?gica nos dias de hoje das nossas escolas, visto que ? preciso utiliza??o de novas tecnologias no processo de produzir conhecimentos flexibilizados no tempo/espa?o de constru??o. Este trabalho teve como objetivo oferecer subs?dios te?rico-metodol?gicos, para a compreens?o da ci?ncia a partir de m?todos e processos de investiga??o, que no ?mbito da forma??o profissional na Escola Agrot?cnica poder? desenvolver o esp?rito cr?tico cient?fico do aluno do curso T?cnico em Agropecu?ria. O trabalho foi desenvolvido por meio de um processo de ensino-aprendizagem baseado em abordagem a partir do estudo da ciclagem de nutrientes na cultura do eucalipto. O estudo foi desenvolvido na Escola Agrot?cnica Federal de S?o Jo?o Evangelista, hoje Instituto Federal de Educa??o Ci?ncia e Tecnologia de Minas Gerais (IFMG ? Campus S?o Jo?o Evangelista). Duas turmas de alunos volunt?rios, compostas por 21 alunos, foram submetidas ao processo de ensino-aprendizagem. Uma turma foi trabalhada com o m?todo tradicional de ensino e a outra com o m?todo cient?fico. ?s duas turmas foi aplicado um question?rio contendo 10 quest?es referentes ? cultura do eucalipto. No primeiro cap?tulo, avaliou-se, por meio da metodologia cient?fica, a ciclagem de nutrientes na cultura do eucalipto. Verificou-se que a deposi??o de serapilheira sobre o solo permitiu a libera??o de macronutrientes para o solo, destacando-se o N e Ca. O ac?mulo de serapilheira tamb?m beneficiou a fertilidade do solo, sendo verificada melhoria em quase todos os atributos avaliados, com ?nfase na mat?ria org?nica do solo. No segundo cap?tulo, avaliou-se a efici?ncia das metodologias de ensino (tradicional e cient?fica) no processo de ensino-aprendizagem, tendo o m?todo cient?fico se mostrado mais eficiente que o tradicional, pois neste os alunos adquiriram mais conhecimentos sobre o assunto, al?m de maior interesse, por estarem descobrindo e esclarecendo suas antigas d?vidas e cren?as. Esse maior aprendizado foi facilmente verificado, observando-se as notas do question?rio e tamb?m as suas participa??es, bem efetivas durante as atividades.
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Relvas, Carlos Eduardo Martins. "Modelos parcialmente lineares com erros simétricos autoregressivos de primeira ordem." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-28052013-182956/.
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Neste trabalho, apresentamos os modelos simétricos parcialmente lineares AR(1), que generalizam os modelos parcialmente lineares para a presença de erros autocorrelacionados seguindo uma estrutura de autocorrelação AR(1) e erros seguindo uma distribuição simétrica ao invés da distribuição normal. Dentre as distribuições simétricas, podemos considerar distribuições com caudas mais pesadas do que a normal, controlando a curtose e ponderando as observações aberrantes no processo de estimação. A estimação dos parâmetros do modelo é realizada por meio do critério de verossimilhança penalizada, que utiliza as funções escore e a matriz de informação de Fisher, sendo todas essas quantidades derivadas neste trabalho. O número efetivo de graus de liberdade e resultados assintóticos também são apresentados, assim como procedimentos de diagnóstico, destacando-se a obtenção da curvatura normal de influência local sob diferentes esquemas de perturbação e análise de resíduos. Uma aplicação com dados reais é apresentada como ilustração.In this master dissertation, we present the symmetric partially linear models with AR(1) errors that generalize the normal partially linear models to contain autocorrelated errors AR(1) following a symmetric distribution instead of the normal distribution. Among the symmetric distributions, we can consider heavier tails than the normal ones, controlling the kurtosis and down-weighting outlying observations in the estimation process. The parameter estimation is made through the penalized likelihood by using score functions and the expected Fisher information. We derive these functions in this work. The effective degrees of freedom and asymptotic results are also presented as well as the residual analysis, highlighting the normal curvature of local influence under different perturbation schemes. An application with real data is given for illustration.
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Top, Ercan. "Evaluation Of Preservice Foreign Language Teachers'." Master's thesis, METU, 2003. http://etd.lib.metu.edu.tr/upload/3/1063676/index.pdf.
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This study evaluated Department of Foreign Language Education students�
perceptions on technology competence in regard to National Educational Technology Standards for Teachers (NETS-T) developed by International Society for Technology in Education (ISTE), in Middle East Technical University, in Ankara, Turkey. The NETS-T&
#65533
s six sub standards -technology operations and concepts
planning and designing learning environments and experiences
teaching, learning, and the curriculum
assessment and evaluation
productivity and professional practice
social, ethical, legal, and human issues- were investigated in the study. 383 students participated in the study. 103 of them were freshmen, 98 of them were sophomores, 96 of them were juniors, and 86 of them were seniors. Besides, 96 of them were males, while 287 of them were females. This study was designed as a cross-sectional survey study. In order to collect the data, a survey, consisted of 44 Likert type, five point scale items, was developed by the researcher. The study results show that except for &
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technology operations and concepts&
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for which male students&
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perceptions were higher than female students&
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perceptions there was no significant difference between male and female students. There was no significant difference in &
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technology operations and concepts&
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across grade levels. There were no significant differences between freshmen&
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s and sophomores&
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perceptions for all of the sub-standards. In general, juniors&
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perceptions on the competence of NETS-T were higher than freshmen&
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s and sophomores&
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perceptions, and seniors&
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perceptions were higher than all of the other grade levels&
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perceptions. As a result, the findings of the study indicated that students&
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perceptions related with their competencies in the NETS_T needs to be increased.
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Blad, Wiktor, and Vilim Nedic. "GARCH models applied on Swedish Stock Exchange Indices." Thesis, Uppsala universitet, Statistiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-386185.
Full textAbstract:
In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. In addition to acquiring information of the expected loss, VaR was introduced in the regulatory frameworks of Basel I and II as a standardized measure of market risk. Due to necessity of measuring VaR accurately, this thesis aims to be a contribution to the research field of applying GARCH-models to financial time series in order to forecast the conditional variance and find accurate VaR-estimations. The findings in this thesis is that GARCH-models which incorporate the asymmetric effect of positive and negative returns perform better than a standard GARCH. Further on, leptokurtic distributions have been found to outperform normal distribution. In addition to various models and distributions, various rolling windows have been used to examine how the forecasts differ given window lengths.
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Percy, Edward Richard Jr. "Corrected LM goodness-of-fit tests with applicaton to stock returns." The Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc_num=osu1134416514.
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Giosa, Francesca. "I test d'ipotesi e la loro declinazione in ambito medico." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2018. http://amslaurea.unibo.it/15992/.
Full textAbstract:
Una domanda di rilevante interesse in ambito medico e in particolare nell'ambito della ricerca medica è: avendo a disposizione un certo numero di farmaci quale di questi è più efficace? E' chiaro quanto sia importante conoscere l'efficacia di un farmaco prima di somministrarlo e la statistica medica con lo strumento statistico comunemente chiamato Test d'ipotesi si occupa di rispondere a queste domande e di limitare il più possibile gli errori di valutazione che si possono commettere. Lo scopo della mia tesi è spiegare l'utilizzo dei test d'ipotesi e in particolare di analizzare il confronto tra due e più popolazioni (gaussiane e non), ponendo attenzione alle varie possibilità di impostazione del problema a seconda delle ipotesi che vengono di volta in volta soddisfatte.
Infatti a seconda del disegno sperimentale del problema che si vuole trattare, molto spesso si fa un uso diverso della stessa tecnica e la maggior parte degli errori nella letteratura biomedica riguarda proprio errori basilari nel disegno sperimentale, come per esempio una errata procedura di randomizzazione o l'omissione del gruppo di controllo, oppure l'utilizzo non appropriato del test t per confronti multipli. Pertanto è bene fare attenzione alle diverse possibilità e capire quali sono le più adatte nei vari casi.
Per questo motivo il percorso seguito nella mia tesi è basato sulla importanza della adeguatezza del modello utilizzato e della verifica delle ipotesi che permettono di utilizzare un metodo di risoluzione piuttosto che un altro. Inoltre ho presentato un esempio tratto da una situazione reale, con dati forniti dall'istituto per lo scompenso cardiaco di Bologna. Questo esempio è volto a mettere in evidenza l'importanza della adeguatezza del modello e i problemi pratici in cui si può incorrere.
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Heracleous, Maria S. "Volatility Modeling Using the Student's t Distribution." Diss., Virginia Tech, 2003. http://hdl.handle.net/10919/29126.
Full textAbstract:
Over the last twenty years or so the Dynamic Volatility literature has produced a wealth of univariate and multivariate GARCH type models. While the univariate models have been relatively successful in empirical studies, they suffer from a number ofweaknesses, such as unverifiable parameter restrictions, existence of moment conditions and the retention of Normality. These problems are naturally more acute in the multivariate GARCH type models, which in addition have the problem of overparameterization.
This dissertation uses the Student's t distribution and follows the Probabilistic Reduction (PR) methodology to modify and extend the univariate and multivariate volatility models viewed as alternative to the GARCH models. Its most important advantage is that it gives rise to internally consistent statistical models that do not require ad hoc parameter restrictions unlike the GARCH formulations.
Chapters 1 and 2 provide an overview of my dissertation and recent developments in the volatility literature. In Chapter 3 we provide an empirical illustration of the PR approach for modeling univariate volatility. Estimation results suggest that the Student's t AR model is a parsimonious and statistically adequate representation of exchange rate returns and Dow Jones returns data. Econometric modeling based on the Student's t distribution introduces an additional variable - the degree of freedom parameter. In Chapter 4 we focus on two questions relating to the `degree of freedom' parameter. A simulation study is used to examine:(i) the ability of the kurtosis coefficient to accurately capture the implied degrees of freedom, and (ii) the ability of Student's t GARCH model to estimate the true degree of freedom parameter accurately. Simulation results reveal that the kurtosis coefficient and the Student's t GARCH model (Bollerslev, 1987) provide biased and inconsistent estimators of the degree of freedom parameter.
Chapter 5 develops the Students' t Dynamic Linear Regression (DLR) }model which allows us to explain univariate volatility in terms of: (i) volatility in the past history of the series itself and (ii) volatility in other relevant exogenous variables. Empirical results of this chapter suggest that the Student's t DLR model provides a promising way to model volatility. The main advantage of this model is that it is defined in terms of observable random variables and their lags, and not the errors as is the case with the GARCH models. This makes the inclusion of relevant exogenous variables a natural part of the model set up.
In Chapter 6 we propose the Student's t VAR model which deals effectively with several key issues raised in the multivariate volatility literature. In particular, it ensures positive definiteness of the variance-covariance matrix without requiring any unrealistic coefficient restrictions and provides a parsimonious description of the conditional variance-covariance matrix by jointly modeling the conditional mean and variance functions.Ph. D.
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Zhou, Wang. "Saddlepoint approximations for student's t-statistic without moment conditions /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?MATH%202004%20ZHOU.
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Jonsson, Fredrik. "Existence and convergence of moments of student's t-statistic /." Uppsala : Department of Mathematics, Uppsala University, 2008. http://www.math.uu.se/research/pub/Jonsson2_lic.pdf.
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Roth, Michael, Emre Ozkan, and Fredrik Gustafsson. "A student's t filter for heavy tailed process and measurement noise." Linköpings universitet, Reglerteknik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-93704.
Full textAbstract:
We consider the filtering problem in linear state space models with heavy tailed process and measurement noise. Our work is based on Student's t distribution, for which we give a number of useful results. The derived filtering algorithm is a generalization of the ubiquitous Kalman filter, and reduces to it as special case. Both Kalman filter and the new algorithm are compared on a challenging tracking example where a maneuvering target is observed in clutter.MC Impulse
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Erickson, Whitney Jaye. "Evaluation of the N-O-T Program for Smoking Cessation Among High School Students." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5076.
Full textAbstract:
Adolescents and young adults use more tobacco than all other adults, yet the percentage of this younger population eventually quitting the use of tobacco is lower. There is little evidence-based research to support adolescent smoking cessation programs. Using social learning theory (SLT) and the stages of change model, the purpose of this project was to evaluate the effectiveness of the Not-On-Tobacco (N-O-T) program, an evidence-based adolescent smoking cessation program, in reducing or preventing the number of cigarettes smoked by high school boarding students and to evaluate how best to individualize the program for this high school going forward. The DNP questions were asked to see to what extent the N-O-T program would reduce the prevalence of student smoking and what changes to the current program curriculum should be made to tailor the program to this particular high school. Pre- and post survey data were obtained from 10 students 15-17 years of age enrolled in the N-O-T program for violating the campus' tobacco-free policy. A secondary data analysis using paired samples t test did not determine a statistically significant effect on smoking cessation in this small population of students. The findings did show a significant positive correlation between those who found the program 'very helpful' and a decrease in the number of cigarettes smoked pre- and post program. Content analysis of student data resulted in recommendations to modify the program to make it more effective for this school. Awareness of interactions and relationships with others and successfully dealing with social changes through a program like the N-O-T program will lead to increased life-long health benefits, decreased medical costs, and lost productivity associated with tobacco use. School nurses are in an ideal position to implement a successful smoking cessation program.
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Erickson, Whitney. "Evaluation of the N-O-T Program for Smoking Cessation among High School Students." Thesis, Walden University, 2018. http://pqdtopen.proquest.com/#viewpdf?dispub=10787312.
Full textAbstract:
Adolescents and young adults use more tobacco than all other adults, yet the percentage of this younger population eventually quitting the use of tobacco is lower. There is little evidence-based research to support adolescent smoking cessation programs. Using social learning theory (SLT) and the stages of change model, the purpose of this project was to evaluate the effectiveness of the Not-On-Tobacco (N-O-T) program, an evidence-based adolescent smoking cessation program, in reducing or preventing the number of cigarettes smoked by high school boarding students and to evaluate how best to individualize the program for this high school going forward. The DNP questions were asked to see to what extent the N-O-T program would reduce the prevalence of student smoking and what changes to the current program curriculum should be made to tailor the program to this particular high school. Pre- and post survey data were obtained from 10 students 15-17 years of age enrolled in the N-O-T program for violating the campus’ tobacco-free policy. A secondary data analysis using paired samples t test did not determine a statistically significant effect on smoking cessation in this small population of students. The findings did show a significant positive correlation between those who found the program “very helpful” and a decrease in the number of cigarettes smoked pre- and post program. Content analysis of student data resulted in recommendations to modify the program to make it more effective for this school. Awareness of interactions and relationships with others and successfully dealing with social changes through a program like the N-O-T program will lead to increased life-long health benefits, decreased medical costs, and lost productivity associated with tobacco use. School nurses are in an ideal position to implement a successful smoking cessation program.