A análise de dados binários é usualmente feita através da regressão logística, mas esse modelo possui limitações. Modificar a função de ligação da regressão permite maior flexibilidade na modelagem e diversas propostas já foram feitas nessa área. No entanto, não se sabe de nenhum pacote estatístico capaz de estimar esses modelos, o que dificulta sua utilização. O presente trabalho propõe uma implementação em R de quatro modelos de regressão binária com função de ligação paramétrica usando tanto a abordagem frequentista como a Bayesiana. / Binary data analysis is usually conducted with logistic regression, but this model has limitations. Modifying the link function allows greater flexibility in modelling and several proposals have been made on the field. However, to date there are no packages capable of estimating these models imposing some difficulties to utilize them. The present work develops an R implementation of four binary regression models with parametric link functions in both frequentist and Bayesian approaches.

Submitted by Jean Medeiros (jeanletras@uepb.edu.br) on 2016-02-25T17:40:34Z No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) PDF - Leandro Costa Silvestre.pdf: 4147656 bytes, checksum: c1a3dbb5d62eb80ee9feb7bd604e81bb (MD5) / Approved for entry into archive by Secta BC (secta.csu.bc@uepb.edu.br) on 2016-03-10T15:13:15Z (GMT) No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) PDF - Leandro Costa Silvestre.pdf: 4147656 bytes, checksum: c1a3dbb5d62eb80ee9feb7bd604e81bb (MD5) / Made available in DSpace on 2016-03-10T15:13:15Z (GMT). No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) PDF - Leandro Costa Silvestre.pdf: 4147656 bytes, checksum: c1a3dbb5d62eb80ee9feb7bd604e81bb (MD5) Previous issue date: 2014-02-14 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / Ferns and Lycophyta species that occur in the Caatinga Province were recorded and their biogeographical relations established using a Pambiogeographic analysis. The study aimed to conduct an analysis of the Panbiogeography of ferns and lycophytes species inventoried for the Province of Caatinga, evaluating their global distribution, as well as the explanation of this distribution based on the plant geography of South America and biogeographic processes. 52 species of ferns and five of lycophytes were recorded. The most represented genera in the neotropics were Anemia Sw (10 spp.), Adiantum L (2 spp.), Doryopteris J. Sm. (2 spp.), Sticherus C. Presl (2.spp.). About the species restricted to Brazil, only Anemia dardanoi Brade was verified as endemic to the Caatinga Province. Pambiogeographic analysis allowed the recognition of 54 individual tracks and 17 generalized tracks. The analyzes also showed 10 pambiogeographics nodes delimited to Neotropical region. The ferns and Lycophyta distribution occurrent in the Caatinga Province was mainly on seasonally dry tropical forests and Neotropical savannas in the Americas, indicating a continues distribution on these areas. / As espécies de samambaias e Lycophyta que ocorrem na Província da Caatinga foram registradas e suas relações biogeográficas estabelecidas empregando uma análise Pambiogeográfica. O estudo visou realizar uma análise de Pambiogeografia das espécies de samambaias e licófitas inventariadas para a Província da Caatinga avaliando a sua distribuição global, bem como a explicação dessa distribuição com base na fitogeografia da América do Sul e processos biogeográficos. Foram registradas 52 espécies de samambaias e cinco licófitas. Os gêneros com maior representatividade na região neotropical foram Anemia Sw (10 spp.), Adiantum L (2 spp.), Doryopteris J. Sm. (2 spp.), Sticherus C. Presl (2.spp.). Das espécies restritas ao Brasil apenas Anemia dardanoi Brade foi constatada como endêmica da Província da Caatinga. A análise de Pambiogeografia permitiu o reconhecimento de 54 traços individuais e 17 traços generalizados. As análises também registraram 10 nós pambiogeográficos delimitados a região neotropical. A distribuição das samambaias e Lycophyta ocorrentes na Província da Caatinga deu-se principalmente sobre as florestas tropicais sazonalmente secas e savanas neotropicais nas Américas, indicando uma distribuição continua sobre estas áreas.

For decades, vehicle time-headway distribution models have been studied by many researchers and traffic engineers. A good time-headway model can be beneficial to traffic studies and management in many aspects; e.g. with a better understanding of road traffic patterns and road user behaviour, the researchers or engineers can give better estimations and predictions under certain road traffic conditions and hence make better decisions on traffic management and control. The models also help us to implement high-quality microscopic traffic simulation studies to seek good solutions to traffic problems with minimal interruption of the real traffic environment and minimum costs. Compared within previously studied models, the mixed (SPM and GQM) mod- els, especially using the gamma or lognormal distributions to describe followers headways, are probably the most recognized ones by researchers in statistical stud- ies of headway data. These mixed models are reported with good fitting results indicated by goodness-of-fit tests, and some of them are better than others in com- putational costs. The gamma-SPM and gamma-GQM models are often reported to have similar fitting qualities, and they often out-perform the lognormal-GQM model in terms of computational costs. A lognormal-SPM model cannot be formed analytically as no explicit Laplace transform is available with the lognormal dis- tribution. The major downsides of using mixed models are the difficulties and more flexibilities in fitting process as they have more parameters than those single models, and this sometimes leads to unsuccessful fitting or unreasonable fitted pa- rameters despite their success in passing GoF tests. Furthermore, it is difficult to know the connections between model parameters and realistic traffic situations or environments, and these parameters have to be estimated using headway samples. Hence, it is almost impossible to explain any traffic phenomena with the param- eters of a model. Moreover, with the gamma distribution as the only common well-known followers headway model, it is hard to justify whether it has described the headway process appropriately. This creates a barrier for better understanding the process of how drivers would follow their preceding vehicles. This study firstly proposes a framework developed using MATLAB, which would help researchers in quick implementations of any headway distributions of interest. This framework uses common methods to manage and prepare headway samples to meet those requirements in data analysis. It also provides common structures and methods on implementing existing or new models, fitting models, testing their performance hence reporting results. This will simplify the development work involved in headway analysis, avoid unnecessary repetitions of work done by others and provide results in formats that are more comparable with those reported by others. Secondly, this study focuses on the implementation of existing mixed models, i.e. the gamma-SPM, gamma-GQM and lognormal-GQM, using the proposed framework. The lognormal-SPM is also tested for the first time, with the recently developed approximation method of Laplace transform available for lognormal distributions. The parameters of these mixed models are specially discussed, as means of restrictions to simplify the fitting process of these models. Three ways of parameter pre-determinations are attempted over gamma-SPM and gamma-GQM models. A couple of response-time (RT) distributions are focused on in the later part of this study. Two RT models, i.e. Ex-Gaussian (EMG) and inverse Gaussian (IVG) are used, for first time, as single models to describe headway data. The fitting performances are greatly comparable to the best known lognormal single model. Further extending this work, these two models are tested as followers headway distributions in both SPM and GQM mixed models. The test results have shown excellent fitting performance. These now bring researchers more alternatives to use mixed models in headway analysis, and this will help to compare the be- haviours of different models when they are used to describe followers headway data. Again, similar parameter restrictions are attempted for these new mixed models, and the results show well-acceptable performance, and also corrections on some unreasonable fittings caused by the over flexibilities using 4- or 5- parameter models.

In the post Bretton Woods era, the volatile nature of exchange rates has been the focus of many researchers. Although some previous studies suggest that variations in an exchange rate has the potential to affect a country’s economic performance, LDC’s (Less Developed Countries’) have received less attention compared to industrialized or developed economies. In this thesis we analyse the nature of exchange rate behaviour in three LDCs: Ghana, Mozambique and Tanzania. These countries have gone through comparable policy engagements with the IMF, have followed similar floating exchange rate regimes since early 1990s and currently all adhere to the IMF convention of free current account convertibility and transfer (Ghana and Tanzania accepted Article VIII of IMF “Articles of Agreement” in 1994. Mozambique began floating in 1992 under the SAP reforms of IMF; Article IV consultation was completed in 2009 and acceptance of Article VIII seems imminent).The main content of the thesis can be summarised as follows.I. We examine whether exchange rate behaviour in these three countries are influenced by similar factors. In order to justify the applicability of a number of volatility modelling techniques, we also examine the data to find if they exhibit the empirical regularities found in other exchange rate/financial markets such as volatility clustering, non-linearity, non-normality and asymmetry. Our results suggest that exchange rate behaviour in these countries is generally influenced by similar factors. In particular, we find that the series exhibit the empirical regularities found in other exchange rate/financial markets, justifying the application of the ARCH methodology which we use to estimate the volatility of exchange rate in these countries. We however observed that the ARCH family of models does not always produce the best fit. For instance, volatility forecasts generated by an Exponentially Weighted Moving Average (EWMA) model based on the RiskMetricsTM estimation technique produces the best fit for the daily Ghanaian exchange rate series under consideration compared to volatility forecasts from our estimated ARCH family of models.II. We explore the causal relationship between exchange rate depreciation and uncertainty/volatility using the VAR toolkit. Our main motivation for this study is to analyse whether the changes in the levels of exchange rate as a result of appreciation or depreciation in an underlying currency changes the level of exchange rate uncertainty (volatility). Further, we also analyse the reverse causal relationship; whether increasing uncertainty feeds back into the exchange rate market. We find a bi-directional Granger causal relationship between the level of exchange rate and uncertainty in the foreign exchange markets. Despite adopting similar macro-policies since the mid 1980s and early 1990s, uncertainty in the Tanzanian exchange rate as a response to changes in the level of exchange rate takes a shorter length of time to dissipate. We attribute this to the macroeconomic policies undertaken by Tanzanian policymakers which have ensured price and currency stability.The reverse causality reflects the effectiveness of the Tanzanian macro-policies and the confidence in them; we observed that intervention reduces uncertainty in the Tanzanian exchange rate, whereas for Ghana and Mozambique, macro-policies intending to mitigate undesired exchange rate changes rather create further uncertainty in their exchange rate markets. For all three LDCs under consideration, we observed that effects of shocks to exchange rate from innovations in uncertainty for each country is fleeting III. We investigate the relationship between exchange rate volatility and economic performance (via trade) for each of these countries and some of their biggest trade partners. Exchange rate volatility resulting from a depreciating underlying currency of trade can potentially affect the economic performance of a country. Using a gravity model augmented with variables that are deemed to influence earnings from trade, we observe that earnings from trade are not significantly affected by exchange rate volatility. We conjecture that in periods of uncertainty, traders increase the volume of trade to compensate for the ill effects of currency volatility.

<p>Predmet izučavanja doktorske disertacije jeste postavljanje univerzalne metode za rešavanje fazi linearnih sistema primenom blokovske reprezentacije uopštenih inverza matrice. Pre svega, postavljen je potreban i dovoljan uslov za ekzistenciju rešanja fazi linearnog sistema. Zatim je data tačna algebarska forma rešenja i na kraju je predstavljen efikasan algoritam.</p> / <p>Thе subject of research of thesis is setting universal method for solving fuzzy linear systems using a block representation of generalized inversis of a matrix. A necessary and sufficienf condition for the existence solutions of fuzzy linear systems is given. The exact algebraic form of any solutiof fuzzy linear system is established.</p>

In this study, we aim to develop new likelihood based method for estimating parameters of ordinary differential equations (ODEs) / delay differential equations (DDEs) models. Those models are important for modeling dynamical processes that are described in terms of their derivatives and are widely used in many fields of modern science, such as physics, chemistry, biology and social sciences. We use our new approach to study a distributed delay differential equation model, the statistical inference of which has been unexplored, to our knowledge. Estimating a distributed DDE model or ODE model with time varying coefficients results in a large number of parameters. We also apply regularization for efficient estimation of such models. We assess the performance of our new approaches using simulation and applied them to analyzing data from epidemiology and ecology.

In this dissertation, three essays are presented that apply recent advances in time-series methods to the analysis of inflation and stock market index data for Taiwan. Specifically, ARCH and GARCH methodologies are used to investigate claims of increased volatility in economic time-series data since 1980. In the first essay, analysis that accounts for structural change reveals that the fundamental relationship between inflation and its variability was severed by policies implemented during economic liberalization in Taiwan in the early 1980s. Furthermore, if residuals are corrected for serial correlation, evidence in favor of ARCH effects is weakened. In the second essay, dynamic linkages between daily stock returns and daily trading volume are explored. Both linear and nonlinear dependence are evaluated using Granger causality tests and GARCH modelling. Results suggest significant unidirectional Granger causality from stock returns to trading volume. In the third essay, comparative analysis of the frequency structure of the Taiwan stock index data is conducted using daily, weekly, and monthly data. Results demonstrate that the relationship between mean return and its conditional standard deviation is positive and significant only for high-frequency daily data.

<p>Model za organizaciju taksi transporta putnika baziran je na<br />definisanju generalisanih troškova u funkciji ostvarenja prihoda.<br />Simplifikacijom postupka analize sistema taksi transporta grada,<br />omogućeno je brže utvrđivanje optimalnog broja taksi vozila lokalnog<br />taksi tržišta. Optimalan broj taksivozila predstavlja prvi korak ka<br />postavljanju &bdquo;zdravih odnosa&ldquo; između svih činioca sistema taksi<br />transporta u gradovima i omogoćuje ostvarenje reproduktivne<br />sposobnosti operatera. Konstantnim praćenjem navedenih parametara<br />(generalisanih troškova i prihoda sistema), omogućeno je održavanje<br />ravnoteže između ponude i tražnje u sistemu taksi transporta putnika.</p> / <p>The model for the organization of taxi transport of passengers is based on<br />defining the generated costs in the function of realized revenue. By simplifying<br />the procedure for analyzing the city taxi taxi system, it is possible to determine<br />the optimal number of taxis of the local taxi market. The optimum number of<br />taxis is the first step towards the establishment of &quot;healthy relationships&quot;<br />between all the operators of the taxi transport system in cities and enables the<br />operator&#39;s reproductive ability to be achieved. Constant monitoring of these<br />parameters (generated costs and system revenues), the balance between<br />supply and demand in the taxi transport system is maintained, which is the<br />basis of the quality organization of this system in cities.</p>

[pt] O presente trabalho visa generalizar a modelagem do tempo entre os negócios ocorridos no mercado financeiro, doravante chamado duração, e estudar os impactos destas duraçõoes sobre a volatilidade instântanea. O estudo foi realizado por meio do modelo linear ACD (autoregression conditional duration) proposto por Engel e Russel[3], os quais usaram a distribuição Exponencial e Weibull para as inovações, e o modelo GARCH-t para dados com alta freqüência para modelar a volatilidade instântanea, também usando a proposição de Engel e Russel[3]. A generalização faz uso da Gama Generalizada proposta em Zhang, Russel & Tsay[9] em um modelo de duração não linear conhecido como TACD (threshold autoregressive conditional duration). A justificativa para o estudo das durações com a Gama Generalizada é obter uma modelo mais flexível que o proposto por Engel e Russel[3]. Os resultados do modelo ACD com as inovações seguindo uma Gama Generalizada se mostrou mais adequado capturando a sub-dispersão dos dados. A seguir estimamos o modelo de volatilidade instantânea usando as durações estimadas como variáveis explicativas encontrando resultados compatíveis com a literatura. / [en] This work generalizes the duration model, the time elapsed between two consecutive transactions, such as financial transactions data; and explores the consequences of durations in the instantaneous volatility. The approach have been motivated by Engel and Russel[3], that proposed an autoregressive conditional duration (ACD) model to explain the variation of volatility, where the innovations proposes were Exponential andWeibull distributions. Besides they used the GARCH-t to modeling the instantaneous volatility in high frequency data. This work uses the Generalized Gamma to the innovations in order to generalize the ACD model, this distribution has been first suggested by Zhang, Russel and Tsay[9], in the threshold ACD (TACD) framework. We justify the generalized Gamma specification in order to allow for more flexibility than the ACD model of Engel and Russel[3]. We find evidences that the ACD model with this specification was better to captur the behavior such as sub- dispersion.

High frequency time series data have become increasingly common. In many settings, such as the medical sciences or economics, these series may additionally display semi-reflective boundaries. These are boundaries, either physically existing, arbitrarily set, or determined based on inherent qualities of the series, which may be exceeded and yet based on probable consequences offer incentives to return to mid-range levels. In a lane control setting, Dawson, Cavanaugh, Zamba, and Rizzo (2010) have previously developed a weighted third-order autoregressive model utilizing flat, linear, and quadratic projections with a signed error term in order to depict key features of driving behavior, where the probability of a negative residual is predicted via logistic regression. In this driving application, the intercept (Λ0) of the logistic regression model describes the central tendency of a particular driver while the slope parameter (Λ1 ) can be intuitively defined as a representation of the propensity of the series to return to mid-range levels. We call this therefore the "re-centering" parameter, though this is a slight misnomer since the logistic model does not describe the position of the series, but rather the probability of a negative residual. In this framework a multi-step estimation algorithm, which we label as the Single-Pass method, was provided. In addition to investigating the statistical properties of the Single-Pass method, several other estimation techniques are investigated. These techniques include an Iterated Grid Search, which utilizes the underlying likelihood model, and four modified versions of the Single-Pass method. These Modified Single-Pass (MSP) techniques utilize respectively unconstrained least squares estimation for the vector of projection coefficients (Β), use unconstrained linear regression with a post-hoc application of the summation constraint, reduce the regression model to include only the flat and linear projections, or implement the Least Absolute Shrinkage and Selection Operator (LASSO). For each of these techniques, mean bias, confidence intervals, and coverage probabilities were calculated which indicated that of the modifications only the first two were promising alternatives. In a driving application, we therefore considered these two modified techniques along with the Single-Pass and Iterative Grid Search. It was found that though each of these methods remains biased with generally lower than ideal coverage probabilities, in a lane control setting they are each able to distinguish between two populations based on disease status. It has also been found that the re-centering parameter, estimated based on data collected in a driving simulator amongst a control population, is significantly correlated with neuropsychological outcomes as well as driving errors performed on-road. Several of these correlations were apparent regardless of the estimation technique, indicating real-world validity of the model across related assessments. Additionally, the Iterated Grid Search produces estimates that are most distinct with generally lower bias and improved coverage with the exception of the estimate of Λ1. However this method also requires potentially large time and memory commitments as compared to the other techniques considered. Thus the optimal estimation scheme is dependent upon the situation. When feasible the Iterated Grid Search appears to be the best overall method currently available. However if time or memory is a limiting factor, or if a reliable estimate of the re-centering parameter with reasonably accurate estimation of the Β vector is desired, the Modified Single-Pass technique utilizing unconstrained linear regression followed by implementation of the summation constraint is a sensible alternative.