Orientador: Lucia Galvão de Albuquerque / Resumo: A seleção de animais geneticamente superiores com base na informação genômica tem sido uma tendência crescente e promissora em programas de melhoramento. No entanto, os principais métodos de predição genômica envolvem modelos paramétricos, que em sua maioria, assumem somente variância aditiva para o efeito dos marcadores, ignorando-se possíveis relações não-lineares. A consideração de tais efeitos pode ser importante para melhorar a habilidade de predição em características com arquitetura genética complexa. Recentemente, tem crescido o interesse em métodos de predição semi e não paramétricos. Dentro desse contexto, os métodos de aprendizagem de máquina tais como Redes Neurais Artificiais (ANN), “Random Forest” (RF) e “Support Vector Machines” (SVM) são alternativas interessantes. Os objetivos do presente estudo foram: i) Comparar o desempenho preditivo do modelo “Genomic Best Linear Unbiased Predictor” (GBLUP) e de métodos de aprendizagem de máquina em populações simuladas de bovinos de corte, apresentando diferentes níveis para efeitos de dominância; ii) Investigar a habilidade de predição de diferentes métodos de aprendizagem de máquina para predição genômica de características reprodutivas em bovinos da raça Nelore; iii) Desenvolver um estudo de associação genômica ampla (GWAS) utilizando a metodologia “Random Forest”, a fim de buscar genes candidatos para idade ao primeiro parto em novilhas da raça Nelore. No primeiro estudo, o genoma simulado compreendeu um painel de SN... (Resumo completo, clicar acesso eletrônico abaixo) / Abstract: The selection of genetically superior animals based on genomic information has been an increasing and promising trend in breeding programs. However, the main methods used for genome-enabled prediction involve parametric models that mostly assume only additive variance for markers effects, ignoring possible nonlinear relationships. Accounting for such effects may be important to improve the predictive ability for traits with complex genetic architecture. The interest in semi and non-parametric prediction methods has recently increased. Within this context, machine learning methods such as Artificial Neural Networks (ANN), Random Forest (RF) and Support Vector Machines (SVM) are an interesting alternative. The aims of the present study were: i) To compare the predictive performance of Genomic Best Linear Unbiased Predictor (GBLUP) and machine learning methods in simulated beef cattle populations presenting different degrees of dominance; ii) To investigate the predictive ability of different machine learning for genome-enabled prediction of reproductive traits in Nellore cattle and compare their performance with parametric approaches (GBLUP and BLASSO); iii) To perform a genome-wide association study (GWAS) using the Random Forest approach for scanning candidate genes for age at first calving in Nellore heifers. In the first study, the simulated genome comprised 50k single nucleotide polymorphisms (SNPs) and 300 QTL (Quantitative Trait Loci), both biallelic and randomly distrib... (Complete abstract click electronic access below) / Doutor

In dieser Dissertation werden neue Methoden zur Erfassung zweier Risikoarten entwickelt. Markrisiko ist definiert als das Risiko, auf Grund von Wertrückgängen in Wertpapierportfolios Geld zu verlieren. Systemisches Risiko bezieht sich auf das Risiko des Zusammenbruchs eines Finanzsystems, das durch die Notlage eines einzelnen Finanzinstituts entsteht. Im Zuge der Finanzkrise 2007–2009 realisierten sich beide Risiken, was weltweit zu hohen Verlusten für Investoren, Unternehmen und Steuerzahler führte. Vor diesem Hintergrund besteht sowohl bei Finanzinstituten als auch bei Regulierungsbehörden Interesse an neuen Ansätzen für das Risikomanagement. Die Gemeinsamkeit der in dieser Dissertation entwickelten Methoden besteht darin, dass unterschiedliche Quantilsregressionsansätze in neuartiger Weise für das Finanzrisikomanagement verwendet werden. Zum einen wird nichtparametrische Quantilsregression mit Extremwertmethoden kombiniert, um extreme Markpreisänderungsrisiken zu prognostizieren. Das resultierende Value at Risk (VaR) Prognose- Modell für extremeWahrscheinlichkeiten wird auf internationale Aktienindizes angewandt. In vielen Fällen schneidet es besser ab als parametrische Vergleichsmodelle. Zum anderen wird ein Maß für systemisches Risiko, das realized systemic risk beta, eingeführt. Anders als bereits existierende Messgrößen erfasst es explizit sowohl Risikoabhängigkeiten zwischen Finanzinstituten als auch deren individuelle Bilanzmerkmale und Finanzsektor-Indikatoren. Um die relevanten Risikotreiber jedes einzelnen Unternehmens zu bestimmen, werden Modellselektionsverfahren für hochdimensionale Quantilsregressionen benutzt. Das realized systemic risk beta entspricht dem totalen Effekt eines Anstiegs des VaR eines Unternehmens auf den VaR des Finanzsystems. Anhand von us-amerikanischen und europäischen Daten wird gezeigt, dass die neue Messzahl sich gut zur Erfassung und Vorhersage systemischen Risikos eignet. / This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During the financial crisis 2007–2009, both types of risk materialized, resulting in huge losses for investors, companies, and tax payers all over the world. Therefore, considering new risk management alternatives is of interest for both financial institutions and regulatory authorities. A common feature of the models used throughout the thesis is that they adapt quantile regression techniques to the context of financial risk management in a novel way. Firstly, to predict extreme market risk, nonparametric quantile regression is combined with extreme value theory. The resulting extreme Value at Risk (VaR) forecast framework is applied to different international stock indices. In many situations, its performance is superior to parametric benchmark models. Secondly, a systemic risk measure, the realized systemic risk beta, is proposed. In contrast to exististing measures it is tailored to account for tail risk interconnections within the financial sector, individual firm characteristics, and financial indicators. To determine each company’s relevant risk drivers, model selection techniques for high-dimensional quantile regression are employed. The realized systemic risk beta corresponds to the total effect of each firm’s VaR on the system’s VaR. Using data on major financial institutions in the U.S. and in Europe, it is shown that the new measure is a valuable tool to both estimate and forecast systemic risk.

This thesis studies the mixed data types kernel estimation framework for the models of discrete dependent variables, which are known as kernel discrete conditional functions. The conventional parametric multinomial logit MNL model is compared with the mixed data types kernel conditional density estimator in Chapter (2). A new kernel estimator for discrete time single state hazard models is developed in Chapter (3), and named as the discrete time “external kernel hazard” estimator. The discrete time (mixed) proportional hazard estimators are then compared with the discrete time external kernel hazard estimator empirically in Chapter (4). The work in Chapter (2) attempts to estimate a labour force participation decision model using a cross-section data from the UK labour force survey in 2007. The work in Chapter (4) estimates a hazard rate for job-vacancies in weeks, using data from Lancashire Careers Service (LCS) between the period from March 1988 to June 1992. The evidences from the vast literature regarding female labour force participation and the job-market random matching theory are used to examine the empirical results of the estimators. The parametric estimator are tighten by the restrictive assumption regarding the link function of the discrete dependent variable and the dummy variables of the discrete covariates. Adding interaction terms improves the performance of the parametric models but encounters other risks like generating multicollinearity problem, increasing the singularity of the data matrix and complicates the computation of the ML function. On the other hand, the mixed data types kernel estimation framework shows an outstanding performance compared with the conventional parametric estimation methods. The kernel functions that are used for the discrete variables, including the dependent variable, in the mixed data types estimation framework, have substantially improved the performance of the kernel estimators. The kernel framework uses very few assumptions about the functional form of the variables in the model, and relay on the right choice of the kernel functions in the estimator. The outcomes of the kernel conditional density shows that female education level and fertility have high impact on females propensity to work and be in the labour force. The kernel conditional density estimator captures more heterogeneity among the females in the sample than the MNL model due to the restrictive parametric assumptions in the later. The (mixed) proportional hazard framework, on the other hand, missed to capture the effect of the job-market tightness in the job-vacancies hazard rate and produce inconsistent results when the assumptions regarding the distribution of the unobserved heterogeneity are changed. The external kernel hazard estimator overcomes those problems and produce results that consistent with the job market random matching theory. The results in this thesis are useful for nonparametric estimation research in econometrics and in labour economics research.

This thesis deals with oportunity of ROC curve usage in the description of methods that work with sound signals. Specifically, it focuses on ways of detecting of stress in speech signals. The detection itselfs is done in a range of frequencies of the sound signal. There is also a classifier designed using ROC curves that decides whether the input signal is stressed or not. The output of this thesis are findings gathered from analyses and also some recommendation based on those analyses.