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The shape of drift function in continuous time interest rate models has been investigated by many authors during the past decade. The main concerns have been whether the drift function is linear or nonlinear, but no convincing conclusions have been seen. In this dissertation, we investigate the reason for this problem and test several models of the drift function using a nonparametric test. Furthermore, we study some related problems, including the empirical properties of the nonparametric test. First, we propose regression models for the estimation of the drift function in some continuous time models. The limiting distribution of the parameter estimator in the proposed regression model is derived under certain conditions. Based on our analyses, we conclude that the effect of drift function for some U.S. Treasury Bill yields data is negligible. Therefore, neither linear nor nonlinear modeling has a significant effect. Second, parametric linear and nonlinear proposed regression models are applied and the correctness of those models is examined using the consistent nonparametric model specification test introduced by Li (1994) and Zheng (1996), henceforth the Jn test. The test results indicate that there is no strong statistical evidence against the assumed drift models. Furthermore, the constant drift model is not rejected either. Third, we compare the Jn and generalized likelihood ratio (GLR) tests through Monte Carlo simulation studies concerning whether the sizes of tests are stable over a range of bandwidth values, which is an important indicator to measure the usefulness of nonparametric tests. The GLR test was applied to testing the linear drift function in continuous time models by Fan and Zhang (2003). Our simulation study shows that the GLR test does not provide stable sizes over a grid of bandwidth values in testing the drift function of some continuous time models, whereas the Jn test usually does.

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This report examines two trading strategies on crude oil futures contracts by employing four time series models. Using daily prices of crude oil futures contracts in recent two years, we found that those models with better predictive ability will generate more profitable opportunities with lower risk from the result of simulated trading process. However, the two trading strategies associated with different models perform completely different. The empirical reasoning for the performance of different model-strategies is discussed, as well as applying the appropriate models and strategies in different markets. This work helps the research and development in statistical trading strategies / text

Timber harvesting is an important activity in the state of Kentucky; however, there is still a lack of information about the procedure used by the local loggers. The stump to landing transport of logs with skidders is often the most expensive and time-consuming task in timber harvesting operations. This thesis evaluated the feasibility of using a multi-camera system for time and motion studies of timber harvesting operations. It was installed in 5 skidders in 3 different harvesting sites in Kentucky. The time stamped video provided accurate time consumption data for each work phase of the skidders, which was used to fit linear regressions and find the influence of skidding distance, skid-trail gradient, and load size on skidding time. The multi-camera systems were found to be a reliable tool for time and motion studies in timber harvesting sites. Six different time equations and two speed equations were fitted for skidding cycles and sections of skid-trails, for skidders that are both loaded and unloaded. Skid-trail gradient and load size did not have an influence on skidding time. There is a need for future studies of different variables that could affect skidding time and, consequently, cost.

Distance sampling and spatial capture-recapture are statistical methods to estimate the number of animals in a wild population based on encounters between these animals and scientific detectors. Both methods estimate the probability an animal is detected during a survey, but do not explicitly model animal movement. The primary challenge is that animal movement in these surveys is unobserved; one must average over all possible paths each animal could have travelled during the survey. In this thesis, a general statistical model, with distance sampling and spatial capture-recapture as special cases, is presented that explicitly incorporates animal movement. An efficient algorithm to integrate over all possible movement paths, based on quadrature and hidden Markov modelling, is given to overcome the computational obstacles. For distance sampling, simulation studies and case studies show that incorporating animal movement can reduce the bias in estimated abundance found in conventional models and expand application of distance sampling to surveys that violate the assumption of no animal movement. For spatial capture-recapture, continuous-time encounter records are used to make detailed inference on where animals spend their time during the survey. In surveys conducted in discrete occasions, maximum likelihood models that allow for mobile activity centres are presented to account for transience, dispersal, and heterogeneous space use. These methods provide an alternative when animal movement causes bias in standard methods and the opportunity to gain richer inference on how animals move, where they spend their time, and how they interact.

Made available in DSpace on 2014-06-11T19:22:25Z (GMT). No. of bitstreams: 0 Previous issue date: 2011-11-17Bitstream added on 2014-06-13T20:28:46Z : No. of bitstreams: 1 jacomo_ca_me_prud.pdf: 1222052 bytes, checksum: 3b9412b044c50bf7e570b6daab17353e (MD5) / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / O regime pluviométrico pode ser compreendido pelos modelos espaço-temporal. A busca, cada vez mais crescente, por modelos espaço-temporal se deve a abundância de dados armazenados pelo tempo e espaço disponibilizados por muitos institutos e órgãos governamentais e o conhecimento desse fenômeno pode ser importante para os planejamentos agrícolas, urbanos e ambientas. Este trabalho teve por objetivo estudar o comportamento espaço-temporal do regime pluviométrico do oeste do Estado de São Paulo por meios de modelos que descrevem o fenômeno no espaço, tempo e espaço-tempo. Inicialmente foi criado um banco de dados referente à precipitação pluviométrica no período de janeiro de 1970 a dezembro de 2000. Com este conjunto, fez-se uma análise de agrupamento, utilizando-se a técnica proposta por Ward para formação de grupos de estações similares e formação de anos similares. Com as estações formouse 7 grupos homogêneos e para os anos, 3 grupos homogêneos. Nessa análise foi possível localizar grupos com o mesmo comportamento, como a região mais seca e região mais chuvosa, e os anos mais secos e chuvosos. Os resultados apresentados através do método de Ward foram semelhantes aos resultados publicados por outros autore, mesmo considerando somente a variável precipitação mensal. Dentre os modelos espaço-tempo estudados, o modelo geoestatístico espaço-tempo apresentou as melhores estimativas. As superfícies espaço-tempo geradas a partir das estimativas desse modelo descreveram o comportamento do regime pluviométrico ao longo do espaço e do tempo. Essas superfícies mostram as menores e maiores concentrações de chuva e tanto no eixo temporal quanto no... / Rainfall can be understood by using space-time models. The increasing search for space-time models is due to the large amount of data, stored by time and space, offered by many institutes and government agencies. Knowledge of this phenomenon may be important for agricultural, urban, and environmental planning. This work aimed to study the behavior of the space-time rainfall in western São Paulo state by means of models that describe the phenomenon in space, time, and space-time. Initially, a database was created of rainfall from January, 1970 to December, 2000. With this set, we carried out a cluster analysis using the technique proposed by Ward for the formation of similar groups of stations and the formation of similar years. It was possible to form seven homogeneous groups for the stations, and three homogeneous groups for the years. In this analysis, it was possible to find groups with the same behavior as the driest and wettest regions, and the dry and wet years. The results presented by Ward's method were similar to those published by other authors, even considering only variable monthly precipitation. Among... (Complete abstract click electronic access below)

Orientador: Vilma Mayumi Tachibana / Coorientador: Edilson Ferreira Flores / Banca: Paulo Milton Barbosa Landim / Banca: Nilton Nobuhiro Imai / Resumo: O regime pluviométrico pode ser compreendido pelos modelos espaço-temporal. A busca, cada vez mais crescente, por modelos espaço-temporal se deve a abundância de dados armazenados pelo tempo e espaço disponibilizados por muitos institutos e órgãos governamentais e o conhecimento desse fenômeno pode ser importante para os planejamentos agrícolas, urbanos e ambientas. Este trabalho teve por objetivo estudar o comportamento espaço-temporal do regime pluviométrico do oeste do Estado de São Paulo por meios de modelos que descrevem o fenômeno no espaço, tempo e espaço-tempo. Inicialmente foi criado um banco de dados referente à precipitação pluviométrica no período de janeiro de 1970 a dezembro de 2000. Com este conjunto, fez-se uma análise de agrupamento, utilizando-se a técnica proposta por Ward para formação de grupos de estações similares e formação de anos similares. Com as estações formouse 7 grupos homogêneos e para os anos, 3 grupos homogêneos. Nessa análise foi possível localizar grupos com o mesmo comportamento, como a região mais seca e região mais chuvosa, e os anos mais secos e chuvosos. Os resultados apresentados através do método de Ward foram semelhantes aos resultados publicados por outros autore, mesmo considerando somente a variável precipitação mensal. Dentre os modelos espaço-tempo estudados, o modelo geoestatístico espaço-tempo apresentou as melhores estimativas. As superfícies espaço-tempo geradas a partir das estimativas desse modelo descreveram o comportamento do regime pluviométrico ao longo do espaço e do tempo. Essas superfícies mostram as menores e maiores concentrações de chuva e tanto no eixo temporal quanto no... (Resumo completo, clicar acesso eletrônico abaixo) / Abstract: Rainfall can be understood by using space-time models. The increasing search for space-time models is due to the large amount of data, stored by time and space, offered by many institutes and government agencies. Knowledge of this phenomenon may be important for agricultural, urban, and environmental planning. This work aimed to study the behavior of the space-time rainfall in western São Paulo state by means of models that describe the phenomenon in space, time, and space-time. Initially, a database was created of rainfall from January, 1970 to December, 2000. With this set, we carried out a cluster analysis using the technique proposed by Ward for the formation of similar groups of stations and the formation of similar years. It was possible to form seven homogeneous groups for the stations, and three homogeneous groups for the years. In this analysis, it was possible to find groups with the same behavior as the driest and wettest regions, and the dry and wet years. The results presented by Ward's method were similar to those published by other authors, even considering only variable monthly precipitation. Among... (Complete abstract click electronic access below) / Mestre

The workforce rostering for tomorrow’s industry needs to be reconsidered. The development of new types of production control mechanisms, like decentralized production control, impacts the effectivity and efficiency of workforce rostering methods, too. Simultaneously, social trends, like the growing demand of flexible working time models and labor shortages, take their influence on the rostering process. We are facing these requirements by developing a new rostering method which is appropriate for decentrally controlled production systems, the consideration of individual preferred working times independent of rigid shift systems and the simultaneous targeting of production-related performance variables. Therefore, we apply a simulation-based optimization approach which is based on a genetic algorithm.