Orientadores: Caio Lucidius Naberezny Azevedo, Filidor Edilfonso Vilca Labra / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-26T22:33:37Z (GMT). No. of bitstreams: 1 Chaves_NathaliaLima_M.pdf: 3044792 bytes, checksum: 8fea3cd9d074997b605026a7a4526c35 (MD5) Previous issue date: 2015 / Resumo: A classe de modelos Birnbaum-Saunders (BS) foi desenvolvida a partir de problemas que surgiram na área de confiabilidade de materiais. Tais problemas, em geral, são ligados ao estudo de fadiga de materiais. No entanto, nos últimos tempos, essa classe de modelos tem sido aplicada em áreas fora do referido contexto como, por exemplo, em ciências da saúde, ambiental, florestal, demográficas, atuariais, financeira, entre outras, devido à sua grande versatilidade. Neste trabalho desenvolvemos a distribuição Birnbaum-Saunders (BS) baseada na normal assimétrica padrão sob a parametrização centrada (BSNAC) que, além de representar uma extensão da distribuição BS usual, apresenta diversas vantagens em relação à distribuição BS baseada na distribuição normal assimétrica sob a parametrização usual. Desenvolvemos também um modelo de regressão linear log-Birnbaum-Saunders. Apresentamos, tanto para a distribuição BSNAC quanto para o respectivo modelo de regressão, diversas propriedades. Desenvolvemos procedimentos de estimação sob os enfoques frenquentista e bayesiano, bem como ferramentas de diagnóstico para os modelos propostos, contemplando análise residual e medidas de influência. Realizamos estudos de simulação, considerando diferentes cenários, com o intuito de comparar as estimativas frequentistas e bayesianas, bem como avaliar o desempenho das medidas de diagnóstico. A metodologia aqui proposta foi ilustrada tanto com dados provenientes de estudos de simulação, quanto com conjuntos de dados reais / Abstract: The class of Birnbaum-Saunders (BS) models was developed from problems that arose in the field of material reliability. These problems generally are related to the study of material fatigue. However, in the last years, this class of models has been applied in areas outside that context, such as in health sciences, environmental, forestry, demographic, actuarial, financial, among others, due to its great versatility. In this work, we developed the skew-normal Birnbaum-Saunders distribution under the centered parameterization (BSNAC), which also represents an extension of the usual BS distribution and presents several advantages over the BS distribution based on the skew-normal distribution under the usual parameterization. We also developed a log-Birnbaum-Saunders linear regression model. We present several properties of both BSNAC distribution and the related regression model. We develop estimation procedures under the frequentist and Bayesian approaches, as well as diagnostic tools for the proposed models, contemplating residual analysis and measures of influence. We conducted simulation studies considering different scenarios, in order to compare the frequentist and Bayesian estimates and evaluate the performance of diagnostic measures. The methodology proposed here is illustrated with data sets from both simulation studies and real data sets / Mestrado / Estatistica / Mestra em Estatística

The first half of the thesis focuses on the computation of high-dimensional multivariate normal (MVN) and multivariate Student-t (MVT) probabilities. Chapter 2 generalizes the bivariate conditioning method to a d-dimensional conditioning method and combines it with a hierarchical representation of the n × n covariance matrix. The resulting two-level hierarchical-block conditioning method requires Monte Carlo simulations to be performed only in d dimensions, with d ≪ n, and allows the dominant complexity term of the algorithm to be O(n log n). Chapter 3 improves the block reordering scheme from Chapter 2 and integrates it into the Quasi-Monte Carlo simulation under the tile-low-rank representation of the covariance matrix. Simulations up to dimension 65,536 suggest that this method can improve the run time by one order of magnitude compared with the hierarchical Monte Carlo method. The second half of the thesis discusses a novel matrix compression scheme with Kronecker products, an R package that implements the methods described in Chapter 3, and an application study with the probit Gaussian random field. Chapter 4 studies the potential of using the sum of Kronecker products (SKP) as a compressed covariance matrix representation. Experiments show that this new SKP representation can save the memory footprint by one order of magnitude compared with the hierarchical representation for covariance matrices from large grids and the Cholesky factorization in one million dimensions can be achieved within 600 seconds. In Chapter 5, an R package is introduced that implements the methods in Chapter 3 and show how the package improves the accuracy of the computed excursion sets. Chapter 6 derives the posterior properties of the probit Gaussian random field, based on which model selection and posterior prediction are performed. With the tlrmvnmvt package, the computation becomes feasible in tens of thousands of dimensions, where the prediction errors are significantly reduced.

<p>When researchers work on time series or sequence, certain fundamental questions will naturally arise. One of them will be whether the series or sequence exhibits a gradual trend over time. In this thesis, we propose a test statistic based on moving order statistics and establish an exact procedure to test for the presence of monotone trends. We show that the test statistic under the null hypothesis that there is no trend follows the closed skew normal distribution. An efficient algorithm is then developed to generate realizations from this null distribution. A simulation study is conducted to evaluate the proposed test under the alternative hypotheses with linear, logarithmic and quadratic trend functions. Finally, a practical example is provided to illustrate the proposed test procedure.</p> / Master of Science (MSc)

This dissertation is composed of three articles describing novel approaches for analysis and modeling using multivariate skew-normal and skew-t distributions in econometrics and environmetrics. In the first article we introduce the Heckman selection-t model. Sample selection arises often as a result of the partial observability of the outcome of interest in a study. In the presence of sample selection, the observed data do not represent a random sample from the population, even after controlling for explanatory variables. Heckman introduced a sample-selection model to analyze such data and proposed a full maximum likelihood estimation method under the assumption of normality. The method was criticized in the literature because of its sensitivity to the normality assumption. In practice, data, such as income or expenditure data, often violate the normality assumption because of heavier tails. We first establish a new link between sample-selection models and recently studied families of extended skew-elliptical distributions. This then allows us to introduce a selection-t model, which models the error distribution using a Student’s t distribution. We study its properties and investigate the finite-sample performance of the maximum likelihood estimators for this model. We compare the performance of the selection-t model to the Heckman selection model and apply it to analyze ambulatory expenditures. In the second article we introduce a family of multivariate log-skew-elliptical distributions, extending the list of multivariate distributions with positive support. We investigate their probabilistic properties such as stochastic representations, marginal and conditional distributions, and existence of moments, as well as inferential properties. We demonstrate, for example, that as for the log-t distribution, the positive moments of the log-skew-t distribution do not exist. Our emphasis is on two special cases, the log-skew-normal and log-skew-t distributions, which we use to analyze U.S. precipitation data. Many commonly used statistical methods assume that data are normally distributed. This assumption is often violated in practice which prompted the development of more flexible distributions. In the third article we describe two such multivariate distributions, the skew-normal and the skew-t, and present commands for fitting univariate and multivariate skew-normal and skew-t regressions in the statistical software package Stata.

In this thesis we introduce, implement and compare several multivariate goodness-of-fit tests. First of all, we will focus on universal mul- tivariate tests that do not place any assumptions on parametric families of null distributions. Thereafter, we will be concerned with testing of multi- variate normality and, by using Monte Carlo simulations, we will compare power of five different tests of bivariate normality against several alternati- ves. Then we describe multivariate skew-normal distribution and propose a new test of multivariate skew-normality based on empirical moment genera- ting functions. In the final analysis, we compare its power with other tests of multivariate skew-normality. 1

In the present work we study families of skew-probability distributions. We will gradually build concept of families of more and more general distributions. For us the most important ones are skew normal distribution, elliptical distri- bution and skew elliptical distribution. On the each of them we will present basic properties and visualize particular examples. At the end we will generate realizations of variates and propose how to estimate the original distribution.

Apresentamos algumas aplicações de ferramentas estatísticas que são comumente utilizadas na melhoria da qualidade de processos industriais. Inicialmente, desenvolveu-se procedimentos para testar a competência de laboratórios que participam de programas de ensaios de proficiência. Em situações onde os laboratórios medem várias vezes no mesmo ponto, utilizou-se o modelo de erros de medição, proposto por Jaech [39](1985). Além disso, a inferência sobre os parâmetros de tendência aditiva foi generalizada para a classe de distribuições elípticas. A competência dos laboratórios é avaliada pelo teste da razão de verossimilhança generalizada, do qual, obtemos a distribuição exata para a estatística proposta. Em situações onde os laboratórios medem várias vezes em vários pontos e a variável em análise apresenta variações naturais, utilizou-se o modelo com erro nas variáveis. Diante disso, vamos estender o modelo estrutural definido em Barnett [13] (1969) para o modelo ultra-estrutural com réplicas. Neste caso, vamos avaliar não somente a tendência aditiva, mas também, a tendência multiplicativa, ou seja, avaliar a linearidade das medições. As estimativas dos parâmetros foram obtidas via procedimento do algorítmo EM, com isso, desenvolvemos os teste de Wald, razão de verossimilhança e escore para avaliar a competência dos laboratórios. Nos dois modelos propostos, generalizamos o erro normalizado (En) sugerido pelo Guia 43 [37] para testar a competência dos laboratórios participantes de programas de ensaio de proficiência. Apresentamos também, um procedimento para calcular índices de performance para processos univariados e multivariados. Nestes casos, consideramos que a distribuição dos dados segue uma distribuição Normal assimétrica. Além disso, apresentamos uma análise de simulação onde concluímos que a presença de assimetria nos dados pode causar interpretações erradas sobre o processo, quando a distribuição assumida para os dados é a Normal / We present some applications of statistical tools that are used in the improvement of the quality of industrial processes. Initially, we develop procedures to test the ability of laboratories that participate of programs of proficiency test. In situations where the laboratories measure several times in the same point, we use the model of errors of measurement, considered for Jaech [39](1985). Moreover, the inference on the parameters additive bias was generalized for the class of elliptical distributions. The ability of the laboratories is evaluated by the generalized likelihood ratio test, of which, we get the accurate distribution for the statistics proposal. In situations where the laboratories measure some times in some points and the variable in analysis presents natural variations, uses the model with error in the variable. With this, we go to extend the model structural defined in Barnett [13] (1969) for the ultrastructural model with replicate. In this case, we go to not only evaluate the bias additive, but also, the bias multiplicative, that is, to evaluate the linearity of the measurements. The estimates of the parameters had been gotten by the procedure of the EM algorithm, with this, develop of Wald, likelihood ratio and score test to evaluate the ability of the laboratories. In the two considered models, we generalize the normalized error (En) suggested for Guide 43 [37] to test the ability of the participant laboratories of programs of proficiency test. We also present, a procedure to calculate index of performance for univariate and multivariate processes. In these cases, we consider that the distribution of the data follows a skew Normal distribution. Moreover, we present a simulation analysis where we conclude that the presence of asymmetry in the data can cause interpretations missed on the process, when the distribution assumed for the data is the Normal

Submitted by Kamila Costa (kamilavasconceloscosta@gmail.com) on 2015-06-18T20:16:38Z No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2015-07-06T15:29:34Z (GMT) No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2015-07-06T15:27:26Z (GMT) No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2015-07-06T15:33:36Z (GMT) No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) / Made available in DSpace on 2015-07-06T15:33:36Z (GMT). No. of bitstreams: 1 Dissertação-Carina Figueiredo Coelho.pdf: 3096964 bytes, checksum: 57c06ccd1fdc732a7cf9a50381d3806b (MD5) Previous issue date: 2013-06-28 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / We investigated use of finite mixture models with skew normal independent distributions to model the conditional distributions in discriminat analysis, particularly the skew normal and skew t. To evaluate this model, we developed a simulation study and applications with real data sets, analyzing error rates associated with the classifiers obtained with these mixture models. Problems were simulated with different structures and separations for the classes distributions employing different training set sizes. The results of the study suggest that the models evaluated are able to adjust to different problems studied, from the simplest to the most complex in terms of modeling the observations for classification purposes. With real data, where then shapes distributions of the class is unknown, the models showed reasonable error rates when compared to other classifiers. As a limitation for the analized sets of data was observed that modeling by finite mixtures requires large samples per class when the dimension of the feature vector is relatively high. / Investigamos o emprego de misturas finitas de densidades na família normal assimétrica independente, em particular a normal assimétrica e a t assimétrica, para modelar as distribuições condicionais do vetor de características em Análise Discriminante (AD). O objetivo é obter modelos capazes de modelar dados com estruturas mais complexas onde, por exemplo, temos assimetria e multimodalidade, o quemuitas vezes ocorrem em problemas reais de AD. Para avaliar esta modelagem, desenvolvemos um estudo de simulação e aplicações em dados reais, analisando a taxa de erro (TE) associadas aos classificadores obtidos com estes modelos de misturas. Foram simulados problemas com diferentes estruturas, relativas à separação e distribuição das classes e o tamanho do conjunto de treinamento. Os resultados do estudo sugerem que os modelos avaliados são capazes de se ajustar aos diferentes problemas estudados, desde os mais simples aos mais complexos, em termos de modelagem das observações para fins de classificação. Com os dados reais, situações onde desconhecemos as formas das distribuições nas classes, os modelos apresentaram TE’s razoáveis quando comparados a outros classificadores. Como uma limitação, para os conjuntos de dados analisados, foi observado que a modelagem por misturas finitas necessita de amostras grandes por classe em situações onde a dimensão do vetor de características é relativamente alta.

Matrix variate skew elliptically contoured distributions generalize several classes of important distributions. This paper defines and explores matrix variate skew elliptically contoured distributions. In particular, we discuss the first two moments of the matrix variate skew elliptically contoured distributions.

The study of properties of probability distributions has always been a persistent theme of statistics and of applied probability. This thesis deals with an investigation of distribution functions under the following two topics: (i) characterization of distributions based on record values and order statistics, (ii) properties of the skew-t distribution. Within the extensive characterization literature there are several results involving properties of record values and order statistics. Although there have been many well known results already developed, it is still of great interest to find new characterization of distributions based on record values and order statistics. In the first part, we provide the conditional distribution of any record value given the maximum order statistics and study characterizations of distributions based on record values and the maximum order statistics. We also give some characterizations of the mean value function within the class of order statistics point processes, by using certain relations between the conditional moments of the jump times or current lives. These results can be applied to characterize the uniform distribution using the sequence of order statistics, and the exponential distribution using the sequence of record values, respectively. Azzalini (1985, 1986) introduced the skew-normal distribution which includes the normal distribution and has some properties like the normal and yet is skew. This class of distributions is useful in studying robustness and for modeling skewness. Since then, skew-symmetric distributions have been proposed by many authors. In the second part, the so-called generalized skew-t distribution is defined and studied. Examples of distributions in this class, generated by the ratio of two independent skew-symmetric distributions, are given. We also investigate properties of the skew-symmetric distribution.