The aim of this thesis is to show that the use of heavy-tailed distributions in finance is theoretically unfounded and may cause significant misunderstandings and fallacies in model interpretation. The main reason seems to be a wrong understanding of the concept of the distributional tail. Also in models based on real data it seems more reasonable to concentrate on the central part of the distribution not tails. Powered by TCPDF (www.tcpdf.org)

Cette thèse présente plusieurs aspects de la croissance stochastique des interfaces, par lebiais de son modèle le plus étudié, l'équation de Kardar-Parisi-Zhang (KPZ). Bien qued'expression très simple, cette équation recèle une grande richesse phénoménologiqueet est l'objet d'une recherche intensive depuis des dizaines d'années. Cela a conduit àl'émergence d'une nouvelle classe d'universalité, contenant des modèles de croissanceparmi les plus courants, tels que le Eden model ou encore le Polynuclear Growth Model.L'équation KPZ est également reliée à des problèmes d'optimisation en présence dedésordre (le Polymère Dirigé), ou encore à la turbulence des uides (l'équation de Burger), renforçant son intérêt. Cependant, les limites de cette classe d'universalitésont encore mal comprises. L'objet de cette thèse est, après avoir présenté les progrèsles plus récents dans le domaine, de tester les limites de cette classe d'universalité. Lathèse s'articule en quatre parties :i) Dans un premier temps, nous présentons des outils théoriques qui permettent decaractériser finement l'évolution de l'interface. Ces outils montrent une grande flexibilité, que nous illustrons en considérant le cas d'une géométrie confinée (une interfacecroissant le long d'une paroi).ii) Nous nous penchons ensuite sur l'influence du désordre, et plus particulièrementl'importance des évènements extrêmes dans la mécanique de croissance. Les largesfluctuations du désordre déforment l'interface et conduisent à une modification notabledes exposants de scaling. Nous portons une attention particulière aux conséquencesd'un tel désordre sur les stratégies d'optimisation en milieu désordonné.iii) La présence de corrélations dans le désordre est d'un intérêt expérimentalimmédiat. Bien qu'elles ne modifient pas la classe d'universalité, elles influent grandement sur la vitesse de croissance moyenne de l'interface. Cette partie est dédiée àl'étude de cette vitesse moyenne, souvent négligée car délicate à définir, et à l'existenced'un optimum de croissance intimement lié à la compétition entre exploration et exploitation.iv) Enfin, nous considérons un exemple expérimental de croissance stochastique (quin'appartient toutefois pas à la classe KPZ) et développons un formalisme phénoménologiquepour modéliser la propagation d'une interface chimique dans un milieu poreux désordonné.Tout au long du manuscrit, les conséquences des phénomènes observées dans desdomaines variés, tels que les stratégies d'optimisation, la dynamique des populations,la turbulence ou la finance, sont détaillées. / This Thesis presents several aspects of the stochastic growth, through its most paradig-matic model, the Kardar-Parisi-Zhang equation (KPZ). Albeit very simple, this equa-tion shows a rich behaviour and has been extensively studied for decades. The existenceof a new universality class is now well established, containing numerous growth modelslike the Eden model or the Polynuclear Growth Model. The KPZ equation is closelyrelated to optimisation problems (the Directed Polymer) or turbulence of uids (theBurgers equation), a feature that underlines its importance. Nonetheless, the bound-aries of this universality class are still vague. The focus of this Thesis is to probe thoselimits through various modifications of the models. It is divided in four chapters:i) First, we present theoretical tools, borrowed from integrable systems, that allowto characterize in great details the evolution of the interface. Those tools exhibitconsiderable exibility due to the large corpus of work on integrable systems, and weillustrate it by tackling the case of confined geometry (growth close to a hard wall).ii) We investigate the inuence of the disorder distribution, and more specificallythe importance of large events, with heavy-tailed distributions. Those extreme eventsstretch the interface and notably modify the main scaling exponents. The consequenceson optimization strategies in disorder landscapes are emphasized.iii) The presence of correlations in the disorder is of natural experimental interest.Although they do not impact the KPZ class, they greatly inuence the average speed ofgrowth. The latter quantity is often overlooked because it is non-universal and ratherill-defined. Nonetheless, we show that a generic optimal average speed exists in presenceof time correlations, due to a competition between exploration and exploitation.iv) Finally, we consider a set of experiments about chemical front growth in porousmedium. While this growth process is not related to KPZ in an immediate way, wepresent different tools that effciently reproduce the observations.Along that work, the consequences of each Chapter in various domains, like opti-misation strategies, turbulence, population dynamics or finance, are detailed.

The capital maintenance rules stem from the English company law and were primarily aimed at protecting the rights of a company’s creditors. Before the introduction of the Companies Amendment Act 37 of 1998, a company was prohibited from purchasing its own shares. After this legislation was passed, a company was able to do so, provided that it satisfied the solvency and liquidity test and also complied with the new statutory provisions set out by sections 85 to 89 of the Companies Act 61 of 1973. Section 48 of the Companies Act 71 of 2008 now regulates the acquisition by a company of its own shares, as well as the acquisition of shares in its holding company by a subsidiary company. The above actions also fall under the ambit of a “distribution” as defined in the Act and therefore need to satisfy the requirements of section 46 of the Act as well. Unlike its predecessor, the provisions in the new Act are very broad and devoid of guidelines. The emphasis is placed on companies satisfying the principles of solvency and liquidity. Non-adherence to these provisions gives rise to the personal liability of the company’s directors. The provisions of section 48 do not apply where a dissenting shareholder exercises his appraisal rights in terms of section 164 of the new Act, or where a company redeems redeemable securities. These exceptions do, however, still amount to “distributions” and will accordingly need to satisfy the requirements contained in section 46 of the Act. Redeemable securities were initially not exempted from the provisions of section 48. This would potentially have given rise to a situation where a company could approach a court in terms of section 48(6) to reverse a redemption of its securities. It would have had dire consequences for financing by way of redeemable securities. In terms of the Companies Amendment Act 3 of 2011 redeemable securities are now specifically exempted from the provisions of section 48. In terms of the new Act a subsidiary company is allowed to purchase shares in its holding company to a maximum of 10% in the aggregate of the issued shares of any share class, provided that no voting rights attached to such shares may be exercised. The new Act fails to properly address some of the issues regarding the “round-tripping” of dividends and the declaration of a dividend in specie that were already identified as far back as 2001. Where the consideration for a repurchase constitutes a “dividend” as defined in the Income Tax Act 58 of 1962, the company will be liable to pay secondary tax on companies in respect thereof. If a distribution does not constitute a dividend, capital gains tax is payable with regard to it. Share repurchases are allowed in terms of Canadian corporate law after the legislative reform which occurred in that country during the 1970’s. The Canadian Business Corporations Act contains provisions that bear a striking resemblance to the provisions of the new Act adopted in South Africa. Whilst the basis and rationale behind the new corporate legislation cannot be faulted, a host of issues and concerns still remain. The unfortunate consequence is that the new Act lacks transparency and is fraught with clumsy errors. Copyright / Dissertation (LLM)--University of Pretoria, 2012. / Mercantile Law / unrestricted

Orientador: Víctor Hugo Lachos Dávila / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-26T19:55:07Z (GMT). No. of bitstreams: 1 Massuia_MoniqueBettio_M.pdf: 2926597 bytes, checksum: 2a1154c0a61b13f369e8390159fc4c3e (MD5) Previous issue date: 2015 / Resumo: Este trabalho tem como objetivo principal apresentar os modelos de regressão lineares com respostas censuradas sob a classe de distribuições de mistura de escala skew-normal (SMSN), visando generalizar o clássico modelo Tobit ao oferecer alternativas mais robustas à distribuição Normal. Um estudo de inferência clássico é desenvolvido para os modelos em questão sob dois casos especiais desta família de distribuições, a Normal e a t de Student, utilizando o algoritmo EM para obter as estimativas de máxima verossimilhança dos parâmetros dos modelos e desenvolvendo métodos de diagnóstico de influência global e local com base na metodologia proposta por Cook (1986) e Poom & Poon (1999). Sob o enfoque Bayesiano, o modelo de regressão para respostas censuradas é estudado sob alguns casos especiais da classe SMSN, como a Normal, a t de Student, a skew-Normal, a skew-t e a skew-Slash. Neste caso, o amostrador de Gibbs é a principal ferramenta utilizada para a inferência sobre os parâmetros do modelo. Apresentamos também alguns estudos de simulação para avaliar a metodologia desenvolvida que, por fim, é aplicada em dois conjuntos de dados reais. Os pacotes SMNCensReg, CensRegMod e BayesCR para o software R dão suporte computacional aos desenvolvimentos deste trabalho / Abstract: This work aims to present the linear regression model with censored response variable under the class of scale mixture of skew-normal distributions (SMSN), generalizing the well known Tobit model as providing a more robust alternative to the normal distribution. A study based on classic inference is developed to investigate these censored models under two special cases of this family of distributions, Normal and t-Student, using the EM algorithm for obtaining maximum likelihood estimates and developing methods of diagnostic based on global and local influence as suggested by Cook (1986) and Poom & Poon (1999). Under a Bayesian approach, the censored regression model was studied under some special cases of SMSN class, such as Normal, t-Student, skew-Normal, skew-t and skew-Slash. In these cases, the Gibbs sampler was the main tool used to make inference about the model parameters. We also present some simulation studies for evaluating the developed methodologies that, finally, are applied on two real data sets. The packages SMNCensReg, CensRegMod and BayesCR implemented for the software R give computational support to this work / Mestrado / Estatistica / Mestra em Estatística

Orientador: Filidor Edilfonso Vilca Labra / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-27T16:25:27Z (GMT). No. of bitstreams: 1 RamosQuispe_LuzMarina_M.pdf: 6411257 bytes, checksum: 6e1e798cf8f6d7586fe5d9a057492a77 (MD5) Previous issue date: 2015 / Resumo: Vários trabalhos têm sido feitos sobre a distribuição Birnbaum-Saunders (BS) univariada e suas extensões. A distribuição bivariada Birnbaum-Saunders (BS) foi apresentada apenas recentemente por Kundu et al. (2010) e algumas extensões já foram discutidas por Vilca et al. (2014) e Kundu et al. (2013). Eles propuseram uma distribuição BS bivariada com estrutura de dependência e estabeleceram várias propriedades atraentes. Este trabalho fornece extensões, univariada e bivariada, da distribuição BS. Estas extensões são baseadas na distribuição Gaussiana Inversa (IG) que é usada como uma distribuição de mistura no contexto de misturas de escala normal. As distribuições resultantes são distribuições absolutamente contínuas e muitas propriedades da distribuição BS são preservadas. Sob caso bivariado, as marginais e condicionais são do tipo Birnbaum-Saunders univariada. Para a obtenção da estimativa de máxima verossimilhança (EMV) é desenvolvido um algoritmo EM. Ilustramos os resultados obtidos com dados reais e simulados / Abstract: Several works have been done on the univariate Birnbaum-Saunders (BS) distribution and its extensions. The bivariate Birnbaum-Saunders (BS) distribution was presented only recently by Kundu et al. (2010) and some extensions have already been discussed by Vilca et al. (2014) and Kundu et al. (2013). They proposed a bivariate BS distribution with dependence structure and established several attractive properties. This work provides extensions, univariate and bivariate, of the BS distribution. These extensions are based on the Inverse Gaussian (IG) distribution that is used as a mixing distribution in the context of scale mixtures of normal. The resulting distributions are absolutely continuous distributions and many properties of the BS distribution are preserved. Under bivariate case, the marginals and conditionals are of type univariate Birnbaum-Saunders. For obtaining the maximum likelihood estimates (MLE) of the model parameters is developed an algorithm EM. We illustrate the obtained results with real and simulated dataset / Mestrado / Estatistica / Mestra em Estatística

In this study we propose three new distributions and a study with longitudinal data. The first was the Odd log-logistic normal distribution: theory and applications in analysis of experiments, the second was Odd log-logistic t Student: theory and applications, the third was the Odd log-logistic skew normal: the new distribution skew-bimodal with applications in analysis of experiments and the fourth regression model with random effect of the Odd log-logistic skew normal distribution: an application in longitudinal data. Some have been demonstrated such as symmetry, quantile function, some expansions, ordinary incomplete moments, mean deviation and the moment generating function. The estimation of the model parameters were approached by the method of maximum likelihood. In applications were used regression models to data from a completely randomized design (CRD) or designs completely randomized in blocks (DBC). Thus, the models can be used in practical situations for as a completely randomized designs or completely randomized blocks designs, mainly, with evidence of asymmetry, kurtosis and bimodality. / A distribuição normal é uma das mais importantes na área de estatística. Porém, não é adequada para ajustar dados que apresentam características de assimetria ou de bimodalidade, uma vez que tal distribuição possui apenas os dois primeiros momentos, diferentes de zero, ou seja, a média e o desvio-padrão. Por isso, muitos estudos são realizados com a finalidade de criar novas famílias de distribuições que possam modelar ou a assimetria ou a curtose ou a bimodalidade dos dados. Neste sentido, é importante que estas novas distribuições tenham boas propriedades matemáticas e, também, a distribuição normal como um submodelo. Porém, ainda, são poucas as classes de distribuições que incluem a distribuição normal como um modelo encaixado. Dentre essas propostas destacam-se: a skew-normal, a beta-normal, a Kumarassuamy-normal e a gama-normal. Em 2013 foi proposta a nova família X de distribuições Odd log-logística-G com o objetivo de criar novas distribuições de probabildade. Assim, utilizando as distribuições normal e a skew-normal como função base foram propostas três novas distribuições e um quarto estudo com dados longitudinais. A primeira, foi a distribuição Odd log-logística normal: teoria e aplicações em dados de ensaios experimentais; a segunda foi a distribuição Odd log-logística t Student: teoria e aplicações; a terceira foi a distribuição Odd log-logística skew-bimodal com aplicações em dados de ensaios experimentais e o quarto estudo foi o modelo de regressão com efeito aleatório para a distribuição distribuição Odd log-logística skew-bimodal: uma aplicação em dados longitudinais. Estas distribuições apresentam boas propriedades tais como: assimetria, curtose e bimodalidade. Algumas delas foram demonstradas como: simetria, função quantílica, algumas expansões, os momentos incompletos ordinários, desvios médios e a função geradora de momentos. A flexibilidade das novas distrições foram comparada com os modelos: skew-normal, beta-normal, Kumarassuamy-normal e gama-normal. A estimativas dos parâmetros dos modelos foram obtidas pelo método da máxima verossimilhança. Nas aplicações foram utilizados modelos de regressão para dados provenientes de delineamentos inteiramente casualizados (DIC) ou delineamentos casualizados em blocos (DBC). Além disso, para os novos modelos, foram realizados estudos de simulação para verificar as propriedades assintóticas das estimativas de parâmetros. Para verificar a presença de valores extremos e a qualidade dos ajustes foram propostos os resíduos quantílicos e a análise de sensibilidade. Portanto, os novos modelos estão fundamentados em propriedades matemáticas, estudos de simulação computacional e com aplicações para dados de delineamentos experimentais. Podem ser utilizados em ensaios inteiramente casualizados ou em blocos casualizados, principalmente, com dados que apresentem evidências de assimetria, curtose e bimodalidade.

A crescente oferta de programas de código aberto na rede mundial de computadores expõe potenciais usuários a muitas possibilidades de escolha. Em face da pluralidade de interesses desses indivíduos, mecanismos eficientes que os aproximem daquilo que buscam trazem benefícios para eles próprios, assim como para os desenvolvedores dos programas. Este trabalho apresenta o AppRecommender, um recomendador de aplicativos GNU/Linux que realiza uma filtragem no conjunto de programas disponíveis e oferece sugestões individualizadas para os usuários. Tal feito é alcançado por meio da análise de perfis e descoberta de padrões de comportamento na população estudada, de sorte que apenas os aplicativos considerados mais suscetíveis a aceitação sejam oferecidos aos usuários. / The increasing availability of open source software on the World Wide Web exposes potential users to a wide range of choices. Given the individuals plurality of interests, mechanisms that get them close to what they are looking for would benefit users and software developers. This work presents AppRecommender, a recommender system for GNU/Linux applications which performs a filtering on the set of available software and individually offers suggestions to users. This is achieved by analyzing profiles and discovering patterns of behavior of the studied population, in a way that only those applications considered most prone to acceptance are presented to users.

Detta examensarbete är en kvalitativ studie vars syfte är att beskriva och förstå hur könsfördelningen ser ut i grundskolan i musikundervisningen utifrån fyra olika musiklärares perspektiv. Studiens syfte är att undersöka genusmönster i musik undervisningen och hur lärare förhåller sig till genusmönster och om hur lärare arbetar med stereotypiska könsfördelningar. Bakgrundsavsnittet, som är baserat på tidigare forskning i form av avhandlingar, skolans läroplan och annan litteratur, framkommer det att pojkar tar mera plats i klassrummen och dras gärna mer mot trummor och gitarr medan flickor är mer försiktiga och tar det som blir över eller väljer endera sång eller piano. Enligt forskningen kunde man konstatera att instrument och sång är könskodade. I metodavsnittet presenteras det att studiens resultat är baserat på kvalitativa intervjuer med fyra musiklärare som analyserats med kvalitativ innehållsanalys som metod. Studiens resultat visar att informanterna som arbetar som aktiva musiklärare generellt ser en skillnad på könen i form av dragning till olika instrument i högstadiet men att skillnader inte är stora i tidigare årskurser. Resultatet tar även upp hur informanterna arbetar med genus och hur de ser på skillnader och likheter i klassrummet / This thesis has been done at the department of education at Umeå university. The study’s aim is to explore and understand how the gender distribution in junior high school in music education look like from the perspective of four different music teachers. The purpose of the study is to study the awareness of stereotypical distributions in music and music education, how teachers work with stereotypical gender distributions and what development opportunities there are. The background section, which is based on previous research in the form of dissertations, the school curriculumand other litterature, shows that boys take more space in the classrooms and are more likely to be drawn to drums and guitars while girls are more cautious and take what is left or they choose either vocals or piano. In the method section it is presented that the study's results are based on qualitative interviews with four active music teachers who have been analyzed with qualitative content analysis as a method. The study's results show that the informants who work as active music teachers generally see a difference in the sex in the form of attraction to different instruments in high school, but that differences are not seen in previous grades. The result also addresses how informants work with gender awareness and how they view differences and similarities in the classroom

La prédiction de futurs évènements extrêmes est d’un grand intérêt dans de nombreux domaines tels que l’environnement ou la gestion des risques. Alors que la théorie des valeurs extrêmes univariées est bien connue, la complexité s’accroît lorsque l’on s’intéresse au comportement joint d’extrêmes de plusieurs variables. Un intérêt particulier est porté aux évènements de nature spatiale, définissant le cadre d’un nombre infini de dimensions. Sous l’hypothèse que ces évènements soient marginalement extrêmes, nous focalisons sur la structure de dépendance qui les lie. Dans un premier temps, nous faisons une revue des modèles paramétriques de dépendance dans le cadre multivarié et présentons différentes méthodes d’estimation. Les processus maxstables permettent l’extension au contexte spatial. Nous dérivons la loi en dimension finie du célèbre modèle de Brown- Resnick, permettant de faire de l’inférence par des méthodes de vraisemblance ou de vraisemblance composée. Nous utilisons ensuite des lois asymétriques afin de définir la représentation spectrale d’un modèle plus large : le modèle Extremal Skew-t, généralisant la plupart des modèles présents dans la littérature. Ce modèle a l’agréable propriété d’être asymétrique et non-stationnaire, deux notions présentées par les évènements environnementaux spatiaux. Ce dernier permet un large spectre de structures de dépendance. Les indicateurs de dépendance sont obtenus en utilisant la loi en dimension finie.Enfin, nous présentons une méthode d’estimation non-paramétrique par noyau pour les queues de distributions et l’appliquons à la sélection de modèles. Nous illustrons notre méthode à partir de l’exemple de modèles climatiques. / Projection of future extreme events is a major issue in a large number of areas including the environment and risk management. Although univariate extreme value theory is well understood, there is an increase in complexity when trying to understand the joint extreme behavior between two or more variables. Particular interest is given to events that are spatial by nature and which define the context of infinite dimensions. Under the assumption that events correspond marginally to univariate extremes, the main focus is then on the dependence structure that links them. First, we provide a review of parametric dependence models in the multivariate framework and illustrate different estimation strategies. The spatial extension of multivariate extremes is introduced through max-stable processes. We derive the finite-dimensional distribution of the widely used Brown-Resnick model which permits inference via full and composite likelihood methods. We then use Skew-symmetric distributions to develop a spectral representation of a wider max-stable model: the extremal Skew-t model from which most models available in the literature can be recovered. This model has the nice advantages of exhibiting skewness and nonstationarity, two properties often held by environmental spatial events. The latter enables a larger spectrum of dependence structures. Indicators of extremal dependence can be calculated using its finite-dimensional distribution. Finally, we introduce a kernel based non-parametric estimation procedure for univariate and multivariate tail density and apply it for model selection. Our method is illustrated by the example of selection of physical climate models.

Die Dissertation beschäftigt sich mit Labeling Problemen. Dieses Forschungsgebiet bildet einen wichtigen Teil der strukturellen Mustererkennung, in der die Struktur des zu erkennenden Objektes explizit berücksichtigt wird. Die entwickelte Theorie wird auf die Aufgabe der Stereorekonstruktion angewendet. / The thesis studies the class of labeling problems. This theory contributes to the new stream in pattern recognition in which structure is explicitly taken into account. The developed theory is applied to practical problem of stereo reconstruction.