Submitted by Etelvina Domingos (etelvina.domingos@ufpe.br) on 2015-03-11T19:57:26Z No. of bitstreams: 2 DISSERTAÇÃO FINAL - ANA HERMÍNIA ANDRADE E SILVA.pdf: 1054336 bytes, checksum: dfad5f2edf1897887b395ecc13dd7196 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) / Made available in DSpace on 2015-03-11T19:57:26Z (GMT). No. of bitstreams: 2 DISSERTAÇÃO FINAL - ANA HERMÍNIA ANDRADE E SILVA.pdf: 1054336 bytes, checksum: dfad5f2edf1897887b395ecc13dd7196 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Previous issue date: 2013-02 / CAPES / O modelo de regressão linear é uma técnica largamente utilizada em várias áreas do conhecimento, porém, nem sempre podemos aplicá-la devido a violações de seus pressupostos. Uma alternativa é transformar as variáveis do modelo para minimizar desvios de suposições relevantes. O objetivo dessa dissertação é desenvolver testes escore para testar o parâmetro da transformação de Manly nas variáveis dependente e resposta no modelo de regressão linear. Uma vantagem da transformação de Manly sobre a de Box-Cox é que ela não requer que as variáveis sejam positivas. Os desempenhos dos testes escore, denominados Ts e T0 s , e de suas versões bootstrap, foram avaliados utilizando simulações de Monte Carlo. Além disso, foram utilizadas duas bases de dados reais para aplicar a teoria desenvolvida.

A model that can be used to analyze both current and future high-speed rail corridors is presented in this work. This model has been integrated into the Transportation Systems Analysis Model (TSAM). The TSAM is a model used to predict travel demand between any two locations in the United States, at the county level. The purpose of this work is to develop tools that will create the necessary input data for TSAM, and to update the model to incorporate passenger rail as a viable mode of transportation. This work develops a train dynamics model that can be used to calculate the travel time and energy consumption of multiple high-speed train types while traveling between stations. The work also explores multiple options to determine the best method of improving the calibration and implementation of the model in TSAM. For the mode choice model, a standard C logit model is used to calibrate the mode choice model. The utility equation for the logit model uses the decision variables of travel time and travel cost for each mode. A modified utility equation is explored; the travel time is broken into an in-vehicle and out-of-vehicle time in an attempt to improve the model, however the test determines that there is no benefit to the modification. In addition to the C-logit model, a Box-Cox transformation is applied to both variables in the utility equation. This transformation removes some of the linear assumptions of the logit model and thus improves the performance of the model. The calibration results are implemented in TSAM, where both existing and projected high-speed train corridors are modeled. The projected corridors use the planned alignment for modeling. The TSAM model is executed for the cases of existing train network and projected corridors. The model results show the sensitivity of travel demand by modeling the future corridors with varying travel speeds and travel costs. The TSAM model shows the mode shift that occurs because of the introduction of high-speed rail. / Master of Science

A tool to model both current rail and future high-speed rail (HSR) corridors has been presented in this work. The model is designed as an addition to the existing TSAM (Transportation System Analysis Model) capabilities of modeling commercial airline and automobile demand. TSAM is a nationwide county to county multimodal demand forecasting tool based on the classical four step process. A variation of the Box-Cox logit model is proposed to best capture the characteristic behavior of rail demand in US. The utility equation uses travel time and travel cost as the decision variables for each model. Additionally, a mode specific geographic constant is applied to the rail mode to model the North-East Corridor (NEC). NEC is of peculiar interest in modeling, as it accounts for most of the rail ridership. The coefficients are computed using Genetic Algorithms. A one county to one station assignment is employed for the station choice model. Modifications are made to the station choice model to replicate choices affected by the ease of access via driving and mass transit. The functions for time and cost inputs for the rail system were developed from the AMTRAK website. These changes and calibration coefficients are incorporated in TSAM. The TSAM model is executed for the present and future years and the predictions are discussed. Sensitivity analysis for cost and speed of the predicted HSR is shown. The model shows the market shift for different modes with the introduction of HSR. Limited data presents the most critical hindrance in improving the model further. The current validation process incorporates essential assumptions and approximations for transfer rates, short trip percentages, and access and egress distances. The challenges for the model posed by limited data are discussed in the model. / Master of Science

Le but de ce mémoire de maîtrise est de décrire les propriétés de la loi double Pareto-lognormale, de montrer comment on peut introduire des variables explicatives dans le modèle et de présenter son large potentiel d'applications dans le domaine de la science actuarielle et de la finance. Tout d'abord, nous donnons la définition de la loi double Pareto-lognormale et présentons certaines de ses propriétés basées sur les travaux de Reed et Jorgensen (2004). Les paramètres peuvent être estimés en utilisant la méthode des moments ou le maximum de vraisemblance. Ensuite, nous ajoutons une variable explicative à notre modèle. La procédure d'estimation des paramètres de ce mo-\\dèle est également discutée. Troisièmement, des applications numériques de notre modèle sont illustrées et quelques tests statistiques utiles sont effectués. / The purpose of this Master's thesis is to describe the double Pareto-lognormal distribution, show how the model can be extended by introducing explanatory variables in the model and present its large potential of applications in actuarial science and finance. First, we give the definition of the double Pareto-lognormal distribution and present some of its properties based on the work of Reed and Jorgensen (2004). The parameters could be estimated by using the method of moments or maximum likelihood. Next, we add an explanatory variable to our model. The procedure of estimation for this model is also discussed. Finally, some numerical applications of our model are illustrated and some useful statistical tests are conducted.

Conselho Nacional de Desenvolvimento Científico e Tecnológico / The path analysis allows evaluation of the direct and indirect effects of the explicative variables on variable of interest, through the breakdown of the correlation coefficients. In order to make the results obtained through the path analysis reliable, some assumptions must be met. Thus, the objectives of this study were to verify the normality and the multicollinearity interference in the corn path analysis and compare alternative methods for estimating the path coefficients. Data from 44 trials of corn cultivars was used, carried out in the state of Rio Grande do Sul, between the crop years 2002/03 and 2004/05. In each cultivar, of each trial, were measured (number of days until the male flowering, plant height, ear insertion height, relative position of the ear, number of plants, number of ears and prolificacy) and the main variable (grain yield). For each trial, descriptive statistics were calculated and univariate and multivariate normality diagnoses were conducted using the Shapiro-Wilk test and the Shapiro-Wilk multivariate generalized by Royston test, respectively. Thereupon, in the trials data that did not present a normal distribution, a transformation of the data by the Box-Cox family of transformations was carried out. The correlation coefficients between the seven explicative variables (correlation matrix X'X) and the correlation coefficients of each explicative variable with the grain yield (correlation matrix X'Y) were calculated for the original and transformed data. Then, the multicollinearity was diagnosed in the correlation matrix X'X, using four methods: variance inflation factor, tolerance, the condition number and the matrix determinant. Finally, the path analysis was performed, using the normal equations system X X �� = X Y, in three forms: traditional path analysis, path analysis under multicollinearity and traditional path analysis, with elimination of variables. The data transformation, to obtain multivariate normality, contributes to the degree of multicollinearity decrease and in the stabilization of the direct effects in path analysis with high degree of multicollinearity. The high degrees of multicollinearity adverse effects in the estimation of the direct effects in path analysis are larger than the multivariate non-normality. The traditional path analysis, with elimination of variables, is more appropriate than the path analysis under multicollinearity. / A análise de trilha permite avaliar os efeitos diretos e indiretos de variáveis explicativas sobre a variável de interesse, por meio do desdobramento dos coeficientes de correlação. Para que os resultados gerados pela análise de trilha apresentem confiabilidade adequada, alguns pressupostos devem ser atendidos. Assim, os objetivos deste trabalho foram: verificar a interferência da não-normalidade multivariada e da multicolinearidade em análise de trilha na cultura de milho e, comparar métodos alternativos de estimação dos coeficientes de trilha. Foram utilizados dados de 44 ensaios de competição de cultivares de milho, conduzidos no estado do Rio Grande do Sul, entre os anos agrícolas de 2002/03 e 2004/05. Em cada cultivar, de cada ensaio, foram mensuradas sete variáveis explicativas (número de dias até o florescimento masculino, estatura de plantas, altura de inserção da espiga, posição relativa da espiga, número de plantas, número de espigas e prolificidade) e a variável principal (produtividade de grãos). Para cada ensaio, foram calculadas estatísticas descritivas e realizado o diagnóstico de normalidade uni e multivariada, por meio dos testes de Shapiro-Wilk e de Shapiro-Wilk multivariado generalizado por Royston, respectivamente. A seguir, nos dados dos ensaios que não apresentaram distribuição normal, foi realizada a transformação dos dados com a utilização da família de transformações Box-Cox. Para os dados originais e os dados transformados, foram calculados os coeficientes de correlação entre as sete variáveis explicativas (matriz de correlação X X) e os coeficientes de correlação de cada variável explicativa com a produtividade de grãos (matriz de correlação X Y). A seguir, foi realizado o diagnóstico de multicolinearidade na matriz de correlação X X, por meio de quatro métodos: fator de inflação de variância, tolerância, número de condição e determinante da matriz. Por fim, foi realizada a análise de trilha, com a utilização do sistema de equações normais X X �� = X Y, por três formas: análise de trilha tradicional, análise de trilha sob multicolinearidade e análise de trilha tradicional, com eliminação de variáveis. A transformação de dados, a fim de obter a normalidade multivariada, contribui para a redução do grau de multicolinearidade e na estabilização das estimativas dos efeitos diretos em análise de trilha com alto grau de multicolinearidade. Os efeitos adversos do alto grau de multicolinearidade na estimativa dos efeitos diretos de análises de trilha são maiores que a não-normalidade multivariada. A análise de trilha tradicional, com eliminação de variáveis, é mais adequada que a análise de trilha sob multicolinearidade.

This thesis is a case study in collaboration with the company Getswish AB. GetswishAB provides the mobile application and payment service Swish with the purpose ofdelivering smooth money transfers for individuals and companies in Sweden. About80 percent of the Swedish population are connected to Swish, and the majority seethe service as an apparent part of everyday life. This work studies a small part of alltransactions that take place daily between individuals and companies. Specifically, thispaper examines which factors affect the Swish transaction amount (TA) to companieswithin five different industries. The five industries studied are: Sports, leisure,and entertainment activities; Restaurant, catering, and bar activities; Retail trade,except for motor vehicles and motorcycles; Trade and repair of motor vehicles andmotorcycles; and Telecommunications. In combination with descriptive analysis andseasonality studies, a multiple linear regression model is used to evaluate patternsin the amount transferred to companies within the various industries. The responsevariable is the daily aggregated TA and the seven responding regressors examined are:i) The number of employees of the company, ii) The revenue of the company, iii) Thedate for registration to Swish service for companies, iv) The age of the customers, v) Thegender of the customers, vi) The number of transactions, and vii) The transaction date.The estimated parameters for each regressor are studied to evaluate correlations withthe TA. This thesis states that it is possible to construct a model from the regressorsanalyzed, which can predict the amount with an explanation degree of above 85% forfour of the five industries. The model constructed for the motor vehicle industry nevergives satisfactory results and must be further investigated to conclude. / Detta examensarbete är en fallstudie i samarbete med företaget GetSwish AB.GetSwish AB tillhandahåller mobilapplikationen och betaltjänsten Swish, vars syfteär att leverera smidig pengaöverföring för privatpersoner och företag i Sverige. Idagär cirka 80 procent av Sveriges befolkning anslutna till Swish och majoriteten sertjänsten som en självklar del av vardagen. Detta arbete kommer dock endast fokuserapå en liten del av alla transaktioner som dagligen sker mellan privatpersoner ochföretag. Specifikt undersöker denna rapport vilka faktorer som påverkar Swishstransaktionsbelopp till företag inom fem olika branscher. De fem branschernasom studeras är: Sport-, fritids- och nöjesverksamhet; Restaurang-, catering ochbarverksamhet; Detaljhandel utom med motorfordon och motorcyklar; Handelsamt reparation av motorfordon och motorcyklar; och Telekommunikation. Ikombination med en deskriptiv analys och säsongsstudier skapades en multipel linjärregressionsmodell för att utvärdera mönster i transaktionsbeloppet från kund tillföretag inom de olika branscherna. Responsvariablen är det dagliga aggregeradebeloppet och de förklarande variablerna som undersöktes var: antalet anställda,omsättning, datum för registrering till Swish för företag, kundernas ålder och könsamt antal transaktioner och transaktionsdatum. De skattade parametrarna förvarje regressor studerades för att utvärdera magnitud samt positiva eller negativakorrelationer med beloppet. Denna rapport visar att det är möjligt att konstrueraen modell från de analyserade regressorerna som kan förutsäga beloppet med enförklaringsgrad på över 85% för fyra av de fem branscherna och kan användas föratt förutspå beloppen på de dagliga transaktionerna. Modellen som konstruerats förfordonsindustrin gav aldrig tillfredsställande resultat och bör undersökas vidare innanslutsatser dras.

The diploma thesis is focused on process stability and capability assessment. It describes certain types of control charts, basic capability indices as well as Box-Cox transformation. The practical part of the study is concerned with applying control charts on generated data and consequently on real data. By this, it focuses on comparing various methods of estimating sample standard deviation and on the impact of non-compliance with the assumption of normal distribution of process variable on process stability and capability assessment.

The fuel consumption of a seagoing vessel is, through a combination of Box-Cox transforms and principal component analysis, reduced to a univariatefunction of the primary principle component with mean model error −3.2%and error standard deviation 10.3%. In the process, a Latin-hypercube-inspired space partitioning sampling technique is developed and successfully used to produce a representative sampleused in determining the regression coefficients. Finally, a formal optimisation problem for minimising the fuel use is described. The problem is derived from a parametrised expression for the fuel consumption, and has only 3, or 2 if simplified, free variables at each timestep. Some information has been redacted in order to comply with NDA restrictions. Most redactions are either names (of vessels or otherwise), units, andin some cases (especially on figures) quantities. / <p>Presentation was performed remotely using Zoom.</p>

Submitted by Izabel Franco (izabel-franco@ufscar.br) on 2016-10-06T18:14:46Z No. of bitstreams: 1 TeseEAMms.pdf: 1490434 bytes, checksum: e7a807666b453630ffb423774d2539b9 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-10-20T13:51:46Z (GMT) No. of bitstreams: 1 TeseEAMms.pdf: 1490434 bytes, checksum: e7a807666b453630ffb423774d2539b9 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-10-20T13:51:52Z (GMT) No. of bitstreams: 1 TeseEAMms.pdf: 1490434 bytes, checksum: e7a807666b453630ffb423774d2539b9 (MD5) / Made available in DSpace on 2016-10-20T13:52:00Z (GMT). No. of bitstreams: 1 TeseEAMms.pdf: 1490434 bytes, checksum: e7a807666b453630ffb423774d2539b9 (MD5) Previous issue date: 2016-03-23 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / From the generalized normal distribution and concepts of the generalized autoregressive moving averages models we introduce the generalized normal-ARMA model as an alternative way to model time series exhibiting symmetry and tails that may be lighter or heavier when compared the normal distribution. We present application for proposed model using three time series in the hydrology, economy and publics policy areas. The proposed model is presented as good alternative when compared to ARMA model with normal distribution. We extended this model the case of the asymmetric time series. In this case we used the Box-Cox transformation, denoted by Box-Cox generalized normal ARMA. The particular case, when we use the logarithmic transformation is called generalized log-normal ARMA. We adjusted the models with transformation to the series on monthly average affluent streamflow of the Furnas and Sobradinho hydroelectric plants. We obtain the prediction values for the model with transformation, that are better when compared with the model without transformation. To treat time series that exhibit periodic in the correlation function we defined three extensions for periodic autoregressive model, called generalized normal periodic autoregressive model, generalized log-normal periodic autoregressive model and Box-Cox generalized normal periodic autoregressive model. We can observed that the series on monthly average affluent streamflow of the Furnas and Sobradinho hydroelectric plants have periodic correlation. We present two applications of periodic models from these series. In the models, we note that is not necessary the use of generalized normal distribution in every months, just in some the generalized normal distribution presented better results than the normal distribution. Finally, we define the generalized normal zero inflated distribution and the generalized normal zero inflated ARMA model for time series. Adopting the model for series that have zero inflation and the maximum likelihood method for estimation of parameters, we analyze the serie of the amount of rainfall in the city of São Carlos. / A partir da distribuição normal generalizada e dos conceitos do modelo autorregressivo e de médias móveis generalizado, introduzimos o modelo normal generalizada- ARMA, como alternativa para modelar séries temporais, que exibem simetria e caudas mais leves ou mais pesadas quando comparadas com a distribuição normal. Apresentamos aplicações do modelo proposto, usando três séries temporais, das áreas de hidrologia, políticas públicas e economia. O modelo proposto se apresentou como uma boa alternativa ao modelo ARMA com distribuição normal. Estendemos o modelo para o caso de séries que apresentam assimetria. Neste caso, utilizamos a transformação de Box-Cox, denotado por Box-Cox normal generalizada-ARMA. O caso particular quando utilizamos a transformação logarítmica é chamado de log-normal generalizada-ARMA. Ajustamos os modelos com transformação à séries de vazões das usinas hidrelétricas de Furnas e Sobradinho. Calculamos predições, que para o modelo com transformação, foram melhores, quando comparado ao modelo sem transformação. Com o objetivo de tratar séries que apresentam periodicidade na função de correlação, definimos três extensões do modelo autorregressivo periódico, chamando-os de modelo normal generalizada autorregressivo periódico, modelo log-normal generalizada autorregressivo periódico e modelo Box-Cox normal generalizada autorregressivo periódico. Constatamos que as séries de vazões das usinas hidrelétricas de Furnas e Sobradinho apresentam correlação periódica. Apresentamos duas aplicações dos modelos periódicos propostos usando estas séries. Nos ajustes dos modelos, notamos que não há necessidade da utilização da distribuição normal generalizada em todos os meses, mas em alguns a distribuição normal generalizada se sobressaiu em relação a distribuição normal. Por último, definimos a distribuição normal generalizada zero inflacionada e o modelo para séries temporais normal generalizada zero inflacionada-ARMA. Adotando o método de máxima verossimilhança e o modelo para séries que apresentam inflação de zeros, analisamos a série da quantidade de precipitação pluviométrica da cidade de São Carlos.

Nesta tese são desenvolvidos três estudos sobre o risco associado aos acidentes de trânsito, com o objetivo de avaliar como a população o percebe, e o valor que estaria disposta a pagar para reduzi-lo. As análises foram feitas com duas diferentes metodologias econométricas e dois diferentes conjuntos de dados da população de Porto Alegre. O primeiro estudo procurou avaliar que fatores de risco contribuem para aumentar a gravidade dos acidentes de trânsito, utilizando dados de acidentes de trânsito ocorridos na cidade de Porto Alegre no período 2000-2008, através de modelos logit ordenados generalizados. Os resultados indicam que a maioria das vítimas feridas em acidentes de trânsito são condutores jovens, do sexo masculino e que estavam em motocicletas ou cujo acidente foi um choque contra obstáculos. Contudo, as vítimas fatais têm maior probabilidade de morte são os pedestres, com mais de 60 anos de idade. Os acidentes com maior gravidade ocorrem em maior proporção a noite ou finais de semana, em locais mais afastados do centro da cidade, o que sugere comportamento associado à alta velocidade e uso de substâncias psicoativas como álcool. Para os demais estudos utilizaram-se dados de um survey feito com a população de Porto Alegre em 2009. O segundo estudo avalia como as características sócio-demográficas, a experiência no trânsito e a informação recebida, afetam a percepção do risco e o comportamento no trânsito. Os resultados indicam que os indivíduos que tem risco maior de morte no trânsito subestimam seu próprio risco e vice-versa; e que os mais jovens têm maior percepção deste risco, assim como os que tiveram experiência de acidente de trânsito ou passam mais tempo expostos a ele. O risco do consumo de bebidas alcoólicas associado ao trânsito, no entanto é percebido maior pelos idosos, mulheres, não bebedores ou quem não tem comportamento de risco, assim como pelos que têm mais informação do risco. Da mesma maneira, o comportamento de risco no trânsito associado ao consumo de álcool está negativamente relacionado a percepção deste risco e a idade. O terceiro estudo estimou a disposição a pagar ( ) dos entrevistados pela redução no seu próprio risco de sofrer lesões em um acidente de trânsito e o valor de uma vida estatística ( ), utilizando modelos lineares e não-lineares ajustados através de uma transformação Box-Cox. Os resultados indicam que a esta relacionada de forma decrescente com a idade e com a não utilização de dispositivos de segurança, mas aumenta com a renda, o tempo de exposição ao trânsito, a experiência com acidentes, para as mulheres e para os que têm dependentes. O valor médio eliciado da para reduzir a zero o risco das lesões mais graves, que resultam em morte, implicou em de cerca de R$ 13,4 milhões (US$7,3 milhões) - valor menor, porém comparável ao encontrado para países desenvolvidos e em estudo para o Brasil. / This thesis develops three studies on the risk associated with traffic accidents, in order to assess how people perceive it and the value they would be willing to pay to reduce it. The analysis was made with two different econometric methods and two different sets of data from Porto Alegre's population. The first study to assess at risk factors that contribute to increased severity of accidents, using data obtained from traffic accidents in the city of Porto Alegre between the years 2000 and 2008, and applying the generalized ordered logit. The results indicate that most of the victims injured in accidents are young drivers, males, motorcyclists and whose crash was a “collision with obstacles”. However, fatal victims have a different profile: they are pedestrians, over 60 years old. The most serious accidents occur in greater proportions at nights or weekends, at locations further away from the city center, which suggests behavior associated with high speed driving and the use of psychoactive substances, such as alcohol. The other two studies used data from a survey done with the population of Porto Alegre in 2009. The second study evaluates how socio-demographic characteristics, traffic experience and the information received about the risks of driving under the influence of alcohol, affect risk perception and behavior in the traffic. The results indicate that individuals who have greater risk of dying in traffic, underestimate their own risk and vice versa; and that young people as well as those who have been in an accident or those who spend a lot of time in traffic, have a greater perception of their risk. On the other hand, the risk of alcohol consumption associated with traffic, is perceived better by older people, women, non-drinkers, people without risky behavior, and those who are more aware of the risks of driving under the influence of alcohol. Similarly, risky behavior in traffic, related to alcohol consumption, is inversely proportional to perception of risk and to age. The third study estimated the respondents' willingness to pay ( ) for the reduction in their risk of suffering injuries in a traffic accident, as well as the value of a statistical life ( ), using linear and nonlinear models adjusted by the Box-Cox transformation. The results indicate that the decreases with age and with not using safety devices, but increases with income, exposure to traffic, and the accidents experience, for women and for those who have dependents. The average value elicited by to reduce to zero the risk of severe injuries that result in death, implied a of about R$13.4 million (US$ 7.3 million) - lower, but still a comparable value to that found in developed countries, and studied in Brazil.