Os mercados financeiros são de extrema relevância para as diversas economias do mundo. Sua efetividade na atração de capitais e investimentos é notória. Atualmente, o fluxo financeiro entre os diversos países é muito intenso, devido ao fenômeno da globalização. Tal situação provoca transmissão de crises financeiras entre diferentes países. Neste contexto, a avaliação de contágio financeiro torna-se um tema bastante relevante. A presente dissertação almejou verificar se houve contágio financeiro da crise americana de 2008 sobre os países do BRIC (Brasil, Rússia, Índia e China). Para tanto, foram utilizadas duas metodologias distintas. Uma delas, devido a Fermanian et al. (2002), foi empregada para estimação não paramétrica das cópulas via kernel. Assim, pode-se averiguar se houve aumento significativo nas medidas de dependência. A outra, desenvolvida por Remillard e Scaillet (2009), é um teste de comparação entre duas cópulas empíricas que investiga se houve mudança na estrutura de dependência no período de crise. Os dois procedimentos metodológicos indicaram a ocorrência de contágio da crise americana de 2008 sobre todos os países do BRIC. / Financial markets are extremely relevant to the world's diverse economies. Its effectiveness in attracting capital and investments is notorious. Currently, the financial flow between the various countries is very intense, due to the phenomenon of globalization. This situation leads to the transmission of financial crises between different countries. In this context, the evaluation of financial contagion becomes a very relevant issue. The present dissertation aimed to verify if there was financial contagion of the 2008 US crisis on the BRIC countries (Brazil, Russia, India and China). For that, two different methodologies were used. One of them, due to Fermanian et al. (2002), was used for non-parametric estimation of copula via kernel. Thus, it can be verified if there was a significant increase in the measures of dependence. The other, developed by Remillard and Scaillet (2009), is a test of comparison between two empirical copulas that investigates if there was a change in the dependency structure in the crisis period. The two methodological procedures indicated the occurrence of contagion of the American crisis of 2008 on all BRIC countries.

Made available in DSpace on 2014-06-11T19:26:06Z (GMT). No. of bitstreams: 0 Previous issue date: 2010-02-01Bitstream added on 2014-06-13T18:54:02Z : No. of bitstreams: 1 neves_hhr_me_jabo.pdf: 1347813 bytes, checksum: 533a7d64f9bb2ee7d83391c75514635d (MD5) / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) / O objetivo deste estudo foi investigar a existência de variabilidade genética aditiva sobre a variância residual do ganho de peso do nascimento à desmama (GND) de bovinos Nelore e as perspectivas de se explorar diferenças entre genótipos para variância residual para a obtenção de maior uniformidade de produção, por meio de seleção. Diferentes abordagens, implementadas em dois passos, foram estudadas: Inicialmente, avaliaram-se três modelos para análise de medidas de dispersão dos resíduos associados às observações de GND da progênie de touros Nelore. O modelo considerado mais promissor foi empregado em estudo subsequente, em que foi investigado o impacto do tamanho de progênie dos touros nas estimativas obtidas para variância aditiva sobre a dispersão residual e estimadores de dispersão em diferentes escalas foram comparados. A confiabilidade de tal abordagem foi verificada por meio de simulação de Monte Carlo. Um último estudo avaliou a possibilidade de se considerarem, simultaneamente, efeitos aditivos e ambientais sobre a variância residual de GND, empregando-se diferentes modelos para análise do logaritmo natural do quadrado do resíduo associado a cada observação. Concluiu-se que, ao se considerar famílias de grande tamanho, seria possível obter predições acuradas do mérito genético dos touros para a variância residual e alguma resposta em termos de uniformidade de produção, sendo a abordagem do último estudo considerada a mais adequada para este fim. Desconsiderar efeitos ambientais sobre a variância residual no segundo passo das análises pode levar a superestimação da variância aditiva sobre a dispersão residual, bem como da resposta esperada à seleção / This study was carried out to investigate the existence of genetic variability on residual variance of beef cattle production traits and to evaluate the opportunity for improvement in uniformity of such traits by selecting for lower residual variance. Different two-step approaches were studied to address these questions: Firstly, three models were employed to analyze different measures associated with residual dispersion of weight gain from birth to weaning (GND) in the progeny of Nellore sires. The model that performed best was employed in a subsequent study to access the impact of progeny size on estimates of additive variance for residual dispersion, also aiming to compare dispersion estimators of different scales and to predict selection response in each situation. Reliability of this approach was verified by Monte Carlo simulation. The possibility of considering, simultaneously, additive and environmental effects on residual variance of GND was investigated by analyzing log squared residuals associated with each observation according to different models. It was concluded that, by considering large sire families, accurate estimates of genetic merit of sires for residual variance could be obtained as well as some improvement in uniformity of GND. Analyzing log squared residuals associated with each observation was considered the most promising approach for this task. Ignoring environmental effects at the level of residual variance could lead to inflated estimates of additive variance of residual dispersion, therefore implying in overestimation of response to selection

Os mercados financeiros são de extrema relevância para as diversas economias do mundo. Sua efetividade na atração de capitais e investimentos é notória. Atualmente, o fluxo financeiro entre os diversos países é muito intenso, devido ao fenômeno da globalização. Tal situação provoca transmissão de crises financeiras entre diferentes países. Neste contexto, a avaliação de contágio financeiro torna-se um tema bastante relevante. A presente dissertação almejou verificar se houve contágio financeiro da crise americana de 2008 sobre os países do BRIC (Brasil, Rússia, Índia e China). Para tanto, foram utilizadas duas metodologias distintas. Uma delas, devido a Fermanian et al. (2002), foi empregada para estimação não paramétrica das cópulas via kernel. Assim, pode-se averiguar se houve aumento significativo nas medidas de dependência. A outra, desenvolvida por Remillard e Scaillet (2009), é um teste de comparação entre duas cópulas empíricas que investiga se houve mudança na estrutura de dependência no período de crise. Os dois procedimentos metodológicos indicaram a ocorrência de contágio da crise americana de 2008 sobre todos os países do BRIC. / Financial markets are extremely relevant to the world's diverse economies. Its effectiveness in attracting capital and investments is notorious. Currently, the financial flow between the various countries is very intense, due to the phenomenon of globalization. This situation leads to the transmission of financial crises between different countries. In this context, the evaluation of financial contagion becomes a very relevant issue. The present dissertation aimed to verify if there was financial contagion of the 2008 US crisis on the BRIC countries (Brazil, Russia, India and China). For that, two different methodologies were used. One of them, due to Fermanian et al. (2002), was used for non-parametric estimation of copula via kernel. Thus, it can be verified if there was a significant increase in the measures of dependence. The other, developed by Remillard and Scaillet (2009), is a test of comparison between two empirical copulas that investigates if there was a change in the dependency structure in the crisis period. The two methodological procedures indicated the occurrence of contagion of the American crisis of 2008 on all BRIC countries.

Objetivo. Comparar, teórica e empiricamente, dois estimadores do coeficiente de correlação intraclasse momento-produto de Pearson para pares repetidos Pi. O primeiro é o estimador \"natural\", obtido mediante a correlação momento-produto de Pearson para membros de uma mesma classe (rI) e o segundo, obtido como função de componentes de variância (icc). Métodos. Comparação teórica e empírica dos parâmetros e estimadores. A comparação teórica envolve duas definições do coeficiente de correlação intraclasse PI como medida de confiabilidade (*), para o caso de duas réplicas, assim como uma apresentação da técnica de análise de variância e a definição e interpretação dos estimadores ri e icc. A comparação empírica é realizada mediante um estudo de simulação Monte Carlo com a geração de pares de valores correlacionados segundo o coeficiente de correlação intraclasse, momento-produto de Pearson para pares repetidos. Os pares de valores são distribuídos segundo uma distribuição Normal bivariada, com valores do tamanho da amostra e da correlação intraclasse previamente fixados em: n= 15, 30 e 45 e pI = {O; 0,15; 0,30; 0,45; 0,60; 0,75; 0,9}. Resultados. Comparando-se o vício e o erro quadrático médio dos estimadores, bem como as amplitudes dos intervalos de confiança, tem-se como resultado que o vício de icc foi sempre menor que o vício de rI, mesmo ocorrendo com o erro quadrático médio. Conclusões. O icc é um estimador melhor, principalmente para n pequeno (por exemplo 15). Para valores maiores de n (30 ou mais), os estimadores produzem resultados iguais até a segunda casa decimal. / Objective. This thesis presents and compares, theoretically and empirically, two estimators of the intraclass correlation coefficient pI, defined as Pearson\'s pairwise intraclass correlation coefficient. The first is the \"natural\" estimator, obtained by Pearson\'s moment-product correlation for members of one class (rI) while the second was obtained as a function of components of variance (icc). Methods. Theoretical and empirical comparison of the parameters and estimators are performed. The theoretical comparison involves two definitions of the intrac1ass correlation coefficient pI as a measure of reliability (*) for two repeated measurements in the same class and the presentation of the technique of analysis of variance, as well as for the definition and interpretation of the estimators ri and icc. The empirical comparison was carried out by means of a Monte Carlo simulation study of pairs of correlated values according Pearson\'s pairwise correlation. The pairs of values follow a normal bivariate distribution, with correlation values and sample size previously fixed: n= 15, 30 e 45 and Pl = . Results. Bias and mean square error for the estimators were compared as well as the range of the intervals of confidence. The comparison shows that the bias of icc is always smaller than of rI This also applies to the mean square error. Conclusions. The icc is a better estimator, especially for n less than or equal to 15. For larger samples sízes (n 30 or more), the estimators produce results that are equal to the second decimal place. (*) Fórmula

Cette thèse est consacrée à l'étude de certains modèles de déformation semi-paramétriques. Notre objectif est de proposer des méthodes récursives, issues d'algorithmes stochastiques, pour estimer les paramètres de ces modèles. Dans la première partie, on présente les outils théoriques existants qui nous seront utiles dans la deuxième partie. Dans un premier temps, on présente un panorama général sur les méthodes d'approximation stochastique, en se focalisant en particulier sur les algorithmes de Robbins-Monro et de Kiefer-Wolfowitz. Dans un second temps, on présente les méthodes à noyaux pour l'estimation de fonction de densité ou de régression. On s'intéresse plus particulièrement aux deux estimateurs à noyaux les plus courants qui sont l'estimateur de Parzen-Rosenblatt et l'estimateur de Nadaraya-Watson, en présentant les versions récursives de ces deux estimateurs.Dans la seconde partie, on présente tout d'abord une procédure d'estimation récursive semi-paramétrique du paramètre de translation et de la fonction de régression pour le modèle de translation dans la situation où la fonction de lien est périodique. On généralise ensuite ces techniques au modèle vectoriel de déformation à forme commune en estimant les paramètres de moyenne, de translation et d'échelle, ainsi que la fonction de régression. On s'intéresse finalement au modèle de déformation paramétrique de variables aléatoires dans le cadre où la déformation est connue à un paramètre réel près. Pour ces trois modèles, on établit la convergence presque sûre ainsi que la normalité asymptotique des estimateurs paramétriques et non paramétriques proposés. Enfin, on illustre numériquement le comportement de nos estimateurs sur des données simulées et des données réelles. / This thesis is devoted to the study of some semi-parametric deformation models.Our aim is to provide recursive methods, related to stochastic algorithms, in order to estimate the different parameters of the models. In the first part, we present the theoretical tools which we will use in the next part. On the one hand, we focus on stochastic approximation methods, in particular the Robbins-Monro algorithm and the Kiefer-Wolfowitz algorithm. On the other hand, we introduce kernel estimators in order to estimate a probability density function and a regression function. More particularly, we present the two most famous kernel estimators which are the one of Parzen-Rosenblatt and the one of Nadaraya-Watson. We also present their recursive version.In the second part, we present the results we obtained in this thesis.Firstly, we provide a recursive estimation method of the shift parameter and the regression function for the translation model in which the regression function is periodic. Secondly, we extend this estimation procedure to the shape invariant model, providing estimation of the height parameter, the translation parameter and the scale parameter, as well as the common shape function.Thirdly, we are interested in the parametric deformation model of random variables where the deformation is known and depending on an unknown parameter.For these three models, we establish the almost sure convergence and the asymptotic normality of each estimator. Finally, we numerically illustrate the asymptotic behaviour of our estimators on simulated data and on real data.

In this thesis statistical properties of local stereological estimators of par- ticle volume are investigated. The emphasis is on the estimation of the va- riance of the local estimator and its components - the variance due to the variability in the particle size distribution and the variance due to the lo- cal stereological procedures. Various ways of estimation for independent and correlated particles are presented. Results of simulation studies for both inde- pendent and correlated ellipsoidal-shaped particles are presented. Described estimators are demonstrated on real biological data. Comprehensive theory that leads to the local stereological estimators of volume is presented too. 1

Cette thèse traite de techniques promouvant la parcimonie pour déterminer des estimateurs performants n’utilisant les mesures que d’un très faible nombre de capteurs. La position de ces capteurs est cruciale pour de bonnes performances et doit être déterminée avec soin. Les méthodes proposées dans ce travail reposent sur l’utilisation d’une base d’apprentissage du champ d’intérêt considéré et ne nécessitent pas de modèle dynamique du système physique. Les éléments de cette base d’apprentissage sont obtenus à l’aide de mesures effectuées sur le système réel ou par simulation numérique. Se basant uniquement sur ces éléments d’apprentissage, et non sur des modèles dynamiques, les approches proposées sont générales et applicables à des systèmes issus de domaines variés.Les approches proposées sont illustrées sur le cas d’un écoulement fluide 2-D autour d’un obstacle cylindrique. Le champ de pression dans un voisinage du cylindre doit être estimé à partir de quelques mesures de pression effectuées en paroi. En utilisant des positions préalablement fixées des capteurs, des estimateurs adaptés à ces positions sont proposés. Ces estimateurs tirent pleinement parti du très faible nombre de mesures en manipulant des représentations creuses et en exploitant la notion de classes. Des situations où les mesures ne portent pas sur le champ d’intérêt à estimer peuvent également être traitées. Un algorithme de placement de capteurs est proposé et permet une amélioration significative des performances des estimateurs par rapport à des capteurs placés a priori.Plusieurs extensions sont discutées : utilisation de mesures passées, utilisation de commandes passées, estimation du champ d’une quantité d’intérêt reliée de façon non linéaire aux mesures, estimation d’un champ à valeurs vectorielles, etc. / This thesis deals with sparsity promoting techniques in order to produce efficient estimators relying only on a small amount of measurements given by sensors. These sensor locations are crucial to the estimators and have to be chosen meticulously. The proposed methods do not require dynamical models and are instead based on a collection of snapshots of the field of interest. This learning sequence can be acquired through measurements on the real system or through numerical simulation. By relying only on a learning sequence, and not on dynamical models, the proposed methods become general and applicable to a variety of systems.These techniques are illustrated on the 2-D fluid flow around a cylindrical body. The pressure field in the neighbourhood of the cylinder has to be estimated from a limited amount of surface pressure measurements. For a given arrangement of the sensors, efficient estimators suited to these locations are proposed. These estimators fully harness the information given by the limited amount of sensors by manipulating sparse representations and classes. Cases where the measurements are no longer made on the field to be estimated can also be considered. A sensor placement algorithm is proposed in order to improve the performances of the estimators.Multiple extensions are discussed : incorporating past measurements, past control inputs, recovering a field non-linearly related to the measurements, estimating a vectorial field, etc.

Η αντιμετώπιση της περιορισμένης χωρικής ανάλυσης των εικόνων, η οποία οφείλεται στους φυσικούς περιορισμούς που εμφανίζουν οι αισθητήρες σύλληψης εικόνας, αποτελεί το αντικείμενο μελέτης της παρούσας διδακτορικής διατριβής. Στη διατριβή αυτή αρχικά γίνεται προσπάθεια μοντελοποίησης της λειτουργίας του ψηφιοποιητή εικόνας κατά τη δημιουργία αντίγραφου ενός εγγράφου μέσω απλών μοντέλων. Στην εξομοίωση της λειτουργίας του ψηφιοποιητή, το προτεινόμενο μοντέλο θα πρέπει να προτιμηθεί έναντι των μοντέλων Gaussian και Cauchy, που συναντώνται στη βιβλιογραφία, καθώς είναι ισοδύναμο στην απόδοση, απλούστερο στην υλοποίηση και δεν παρουσιάζει εξάρτηση από συγκεκριμένα χαρακτηριστικά λειτουργίας του ψηφιοποιητή. Έπειτα, μορφοποιούνται νέες μέθοδοι για τη βελτίωση της χωρικής ανάλυσης σε εικόνες. Προτείνεται μέθοδος μη ομοιόμορφης παρεμβολής για ανακατασκευή εικόνας Super-Resolution (SR). Αποδεικνύεται πειραματικά πως η προτεινόμενη μέθοδος η οποία χρησιμοποιεί την παρεμβολή Kriging υπερτερεί της μεθόδου η οποία δημιουργεί το πλέγμα υψηλής ανάλυσης μέσω της σταθμισμένης παρεμβολής κοντινότερου γείτονα που αποτελεί συμβατική τεχνική. Επίσης, παρουσιάζονται τρεις νέες μέθοδοι για στοχαστική ανακατασκευή εικόνας SR regularized. Ο εκτιμητής Tukey σε συνδυασμό με το Bilateral Total Variation (BTV) regularization, ο εκτιμητής Lorentzian σε συνδυασμό με το BTV regularization και ο εκτιμητής Huber συνδυασμένος με το BTV regularization είναι οι τρεις μέθοδοι που προτείνονται. Μία πρόσθετη καινοτομία αποτελεί η απευθείας σύγκριση των τριών εκτιμητών Tukey, Lorentzian και Huber στην ανακατασκευή εικόνας super-resolution, άρα στην απόρριψη outliers. Η απόδοση των προτεινόμενων μεθόδων συγκρίνεται απευθείας με εκείνη μίας τεχνικής SR regularized που υπάρχει στη βιβλιογραφία, η οποία αποδεικνύεται κατώτερη. Σημειώνεται πως τα πειραματικά αποτελέσματα οδηγούν σε επαλήθευση της θεωρίας εύρωστης στατιστικής συμπεριφοράς. Επίσης, εκπονείται μία πρωτότυπη μελέτη σχετικά με την επίδραση που έχει κάθε ένας από τους όρους έκφρασης πιστότητας στα δεδομένα και regularization στη διαμόρφωση του αποτελέσματος της ανακατασκευής εικόνας SR. Τα συμπεράσματα που προκύπτουν βοηθούν στην επιλογή μίας αποτελεσματικής μεθόδου για ανακατασκευή εικόνας SR ανάμεσα σε διάφορες υποψήφιες μεθόδους για κάποια δεδομένη ακολουθία εικόνων χαμηλής ανάλυσης. Τέλος, προτείνεται μία μέθοδος παρεμβολής σε εικόνα μέσω νευρωνικού δικτύου. Χάρη στην προτεινόμενη τεχνική εκπαίδευσης το νευρωνικό δίκτυο μαθαίνει το point spread function του ψηφιοποιητή εικόνας. Τα πειραματικά αποτελέσματα αποδεικνύουν πως η προτεινόμενη μέθοδος υπερτερεί σε σχέση με τους κλασικούς αλγόριθμους δικυβικής παρεμβολής και παρεμβολής spline. Η τεχνική που προτείνεται εξετάζει για πρώτη φορά το ζήτημα της σειράς της παρουσίασης των δεδομένων εκπαίδευσης στην είσοδο του νευρωνικού δικτύου. / Coping with the limited spatial resolution of images, which is caused by the physical limitations of image sensors, is the objective of this thesis. Initially, an effort to model the scanner function when generating a document copy by means of simple models is made. In a task of scanner function simulation the proposed model should be preferred over the Gaussian and Cauchy models met in bibliography as it is equivalent in performance, simpler in implementation and does not present any dependence on certain scanner characteristics. Afterwards, new methods for improving images spatial resolution are formulated. A nonuniform interpolation method for Super-Resolution (SR) image reconstruction is proposed. Experimentation proves that the proposed method employing Kriging interpolation predominates over the method which creates the high-resolution grid by means of the weighted nearest neighbor interpolation that is a conventional interpolation technique. Also, three new methods for stochastic regularized SR image reconstruction are presented. The Tukey error norm in combination with the Bilateral Total Variation (BTV) regularization, the Lorentzian error norm in combination with the BTV regularization and the Huber error norm combined with the BTV regularization are the three proposed methods. An additional novelty is the direct comparison of the three estimators Tukey, Lorentzian and Huber in the task of super-resolution image reconstruction, thus in rejecting outliers. The performance of the proposed methods proves superior to that of a regularized SR technique met in bibliography. Experimental results verify the robust statistics theory. Moreover, a novel study which considers the effect of each one of the data-fidelity and regularization terms on the SR image reconstruction result is carried out. The conclusions reached help to select an effective SR image reconstruction method, among several potential ones, for a given low-resolution sequence of frames. Finally, an image interpolation method employing a neural network is proposed. The presented training procedure results in the network learning the scanner point spread function. Experimental results prove that the proposed technique predominates over the classical algorithms of bicubic and spline interpolation. The proposed method is novel as it treats, for the first time, the issue of the training data presentation order to the neural network input.

Color has been widely used in content-based image retrieval (CBIR) applications. In such applications the color properties of an image are usually characterized by the probability distribution of the colors in the image. A distance measure is then used to measure the (dis-)similarity between images based on the descriptions of their color distributions in order to quickly find relevant images. The development and investigation of statistical methods for robust representations of such distributions, the construction of distance measures between them and their applications in efficient retrieval, browsing, and structuring of very large image databases are the main contributions of the thesis. In particular we have addressed the following problems in CBIR. Firstly, different non-parametric density estimators are used to describe color information for CBIR applications. Kernel-based methods using nonorthogonal bases together with a Gram-Schmidt procedure and the application of the Fourier transform are introduced and compared to previously used histogram-based methods. Our experiments show that efficient use of kernel density estimators improves the retrieval performance of CBIR. The practical problem of how to choose an optimal smoothing parameter for such density estimators as well as the selection of the histogram bin-width for CBIR applications are also discussed. Distance measures between color distributions are then described in a differential geometry-based framework. This allows the incorporation of geometrical features of the underlying color space into the distance measure between the probability distributions. The general framework is illustrated with two examples: Normal distributions and linear representations of distributions. The linear representation of color distributions is then used to derive new compact descriptors for color-based image retrieval. These descriptors are based on the combination of two ideas: Incorporating information from the structure of the color space with information from images and application of projection methods in the space of color distribution and the space of differences between neighboring color distributions. In our experiments we used several image databases containing more than 1,300,000 images. The experiments show that the method developed in this thesis is very fast and that the retrieval performance chievedcompares favorably with existing methods. A CBIR system has been developed and is currently available at http://www.media.itn.liu.se/cse. We also describe color invariant descriptors that can be used to retrieve images of objects independent of geometrical factors and the illumination conditions under which these images were taken. Both statistics- and physics-based methods are proposed and examined. We investigated the interaction between light and material using different physical models and applied the theory of transformation groups to derive geometry color invariants. Using the proposed framework, we are able to construct all independent invariants for a given physical model. The dichromatic reflection model and the Kubelka-Munk model are used as examples for the framework. The proposed color invariant descriptors are then applied to both CBIR, color image segmentation, and color correction applications. In the last chapter of the thesis we describe an industrial application where different color correction methods are used to optimize the layout of a newspaper page. / <p>A search engine based, on the methodes discribed in this thesis, can be found at http://pub.ep.liu.se/cse/db/?. Note that the question mark must be included in the address.</p>

Light transport simulation is used in realistic image synthesis to create physically plausible images of virtual scenes. Important components of the scenes are participating media (e.g. air, water, skin etc.). Efficient computation of light transport in participating media robust to their large diversity is still an open problem. We implemented the UPBP algorithm recently developed by Křivánek et al. It addresses the problem by combining several complementary previous methods using multiple importance sampling, and excels at rendering scenes where the previous methods alone fail. The implementation is available online, we focused on its thorough description to facilitate and support further research in this field. Powered by TCPDF (www.tcpdf.org)