Bootstrap and empirical likelihood methods in statistical shape analysis

The aim of this thesis is to propose bootstrap and empirical likelihood confidence regions and hypothesis tests for use in statistical shape analysis. Bootstrap and empirical likelihood methods have some advantages when compared to conventional methods. In particular, they are nonparametric methods and so it is not necessary to choose a family of distribution for building confidence regions or testing hypotheses. There has been very little work on bootstrap and empirical likelihood methods in statistical shape analysis. Only one paper (Bhattacharya and Patrangenaru, 2003) has considered bootstrap methods in statistical shape analysis, but just for constructing confidence regions. There are no published papers on the use of empirical likelihood methods in statistical shape analysis. Existing methods for building confidence regions and testing hypotheses in shape analysis have some limitations. The Hotelling and Goodall confidence regions and hypothesis tests are not appropriate for data sets with low concentration. The main reason is that these methods are designed for data with high concentration, and if this hypothesis is violated, the methods do not perform well. On the other hand, simulation results have showed that bootstrap and empirical likelihood methods developed in this thesis are appropriate to the statistical shape analysis of low concentrated data sets. For highly concentrated data sets all the methods show similar performance. Theoretical aspects of bootstrap and empirical likelihood methods are also considered. Both methods are based on asymptotic results and those results are explained in this thesis. It is proved that the bootstrap methods proposed in this thesis are asymptotically pivotal. Computational aspects are discussed. All the bootstrap algorithms are implemented in “R”. An algorithm for computing empirical likelihood tests for several populations is also implemented in “R”

Avaliação nutricional e composição em ácidos gordos de 6 variedades de nozes, sementes de Juglans regia L., cultivadas em Trás-os-Montes

A dieta mediterrânea, considerada saudável e uma das melhores no que concerne à prevenção das doenças cardiovasculares inclui, como componentes importantes, os frutos secos. No entanto, e talvez devido ao facto deste tipo de alimentos ser rico em lípidos, assistiu-se a um declínio do seu consumo. Actualmente, associa-se o consumo de frutos secos à ingestão de ingredientes com propriedades funcionais. Quando comparadas com a maioria dos outros frutos secos, que contam principalmente ácidos gordos monoinsaturados, as nozes distinguem-se pelos teores elevados em ácidos gordos polinsaturados (omega-3 e omega-6)

Determination of Sterol and Fatty Acid Compositions, Oxidative Stability, and Nutritional Value of Six Walnut (Juglans regia L.) Cultivars Grown in Portugal

Six cultivars (Franquette, Marbot, Mayette, Mellanaise, Lara, and Parisienne) of walnuts (Juglans regia L.) were collected during the 2001 crop, from Bragança, Portugal. Chemical composition, including moisture, total oil content, crude protein, ash, carbohydrates, and nutritional value, was evaluated. Fat was the predominant component, ranging from 62.3 to 66.5%. Total oil was extracted and analyzed for fatty acids, sterols, oxidative stability, and peroxide value. Fatty acids and sterols were determined by gas-liquid chromatography coupled to a flame ionization detector. Eighteen fatty acids were quantified. Polyunsaturated fatty acids and, in particular, linoleic acid were predominant. â-Sitosterol, ¢5-avenasterol, and campesterol were the major sterols found. Differences were observed among the studied cultivars, especially in peroxide values and in the sterol profile

GFC-Robust Risk Management Strategies under the Basel Accord

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the selection of optimal risk models, consider combining alternative risk models, discuss the choice between a conservative and aggressive risk management strategy, and evaluate the effects of the Basel II Accord on risk management. We also examine how risk management strategies performed during the 2008-09 financial crisis, evaluate how the financial crisis affected risk management practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the financial crisis. These issues are illustrated using Standard and Poor’s 500 Index, with an emphasis on how risk management practices were monitored and encouraged by the Basel II Accord regulations during the financial crisis

What Happened to Risk Management During the 2008-09 Financial Crisis?

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord limits

Classification PDO olive oils on the basis of their sterol composition by multivariate analysis

The sterol compositions (GLC/FID/capillary column) of monovarietal olive oils (51 samples) from the most important cultivars of northeastern Portugal (Cvs. Cobranc¸osa, Madural and Verdeal Transmontana) and 27 commercial samples of olive oils with protected denomination of origin (PDO) from the same region and cultivars were evaluated. Δ-sitosterol, Δ5-avenasterol and campesterol were the most representative sterols. Cholesterol, stigmasterol, clerosterol and Δ7-stigmastenol were also found in all samples. All studied samples respected EC Regulation N. 2568, and in all cases total sterols were remarkably higher than the minimum limit set by legislation, ranging from 2003 to 2682 mg/kg. Results were analysed with the help of several statistical techniques, including reduction of dimensionality by principal component analysis with cross-validation of the number of components, followed by the use of canonical variate predictive biplots for model development and canonical variate interpolative biplots for approximate classification of monovarietal and PDO olive oils. These biplots proved to be a very interesting solution in the present case study, overcoming the problems of interpretation and classification that arise whenever different multivariate analyses are coupled together

International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. Such a risk management strategy is robust to the GFC in the sense that, while maintaining the same risk management strategy before, during and after a financial crisis, it will lead to comparatively low daily capital charges and violation penalties for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is generally GFC-robust. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. In the empirical analysis, we choose several major indexes, namely French CAC, German DAX, US Dow Jones, UK FTSE100, Hong Kong Hang Seng, Spanish Ibex35, Japanese Nikkei, Swiss SMI and US S&P500. The GARCH, EGARCH, GJR and Riskmetrics models, as well as several other strategies, are used in the comparison. Backtesting is performed on each of these indexes using the Basel II Accord regulations for 2008-10 to examine the performance of the Median strategy in terms of the number of violations and daily capital charges, among other criteria. The Median is shown to be a profitable and safe strategy for risk management, both in calm and turbulent periods, as it provides a reasonable number of violations and daily capital charges. The Median also performs well when both total losses and the asymmetric linear tick loss function are considere

Comparative Genomics of Marine Bacteria from a Historically Defined Plastic Biodegradation Consortium with the Capacity to Biodegrade Polyhydroxyalkanoates

Biodegradable and compostable plastics are getting more attention as the environmental impacts of fossil-fuel-based plastics are revealed. Microbes can consume these plastics and biodegrade them within weeks to months under the proper conditions. The biobased polyhydroxyalkanoate (PHA) polymer family is an attractive alternative due to its physicochemical properties and biodegradability in soil, aquatic, and composting environments. Standard test methods are available for biodegradation that employ either natural inocula or defined communities, the latter being preferred for standardization and comparability. The original marine biodegradation standard test method ASTM D6691 employed such a defined consortium for testing PHA biodegradation. However, the taxonomic composition and metabolic potential of this consortium have never been confirmed using DNA sequencing technologies. To this end, we revived available members of this consortium and determined their phylogenetic placement, genomic sequence content, and metabolic potential. The revived members belonged to the Bacillaceae, Rhodobacteraceae, and Vibrionaceae families. Using a comparative genomics approach, we found all the necessary enzymes for both PHA production and utilization in most of the members. In a clearing-zone assay, three isolates also showed extracellular depolymerase activity. However, we did not find classical PHA depolymerases, but identified two potentially new extracellular depolymerases that resemble triacylglycerol lipases