76 research outputs found

    Estimation des modèles à volatilité stochastique par l’entremise du modèle à chaîne de Markov cachée

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    La problèmatique d’estimation des paramètres des modèles à volatilité stochastique par maximisation directe de la vraisemblance est adressée. À cet effet, nous présentons un algorithme approximant numériquement le filtre optimal à partir de la méthodologie proposée par Kitagawa (1987) pour la résolution du problème de filtrage dans les systèmes non-linéaires et/ou non-gaussiens. Nous montrons que cet algorithme consiste à exécuter le filtre d’Hamilton (le filtre d’Hamilton offre une solution optimale au problème de filtrage pour un modèle à chaîne de Markov cachée) sur une discrétisation de la variable latente continue. La solution proposée améliore considérablement le temps de calcul et produit des résultats au moins aussi bons que les approches de référence dans le domaine. Par la suite, nous présentons et démontrons une généralisation de cet algorithme au cas des modèles à volatilité stochastique incorporant un effet de levier et des sauts. Plusieurs études Monte Carlo et empiriques sont réalisées pour évaluer la qualité de l’approche dans l’approximation de la log-vraisemblance et l’estimation des paramètres des différents modèles à volatilité stochastique. Nous présentons aussi une comparaison de cette approche à celle par filtre particulaire continu.The problem of estimating the parameters of stochastic volatility models by direct maximisation of the likelihood is addressed. To this end, we present an algorithm that numerically approximates the optimal filter from the methodology proposed by Kitagawa (1987) for solving the filtering problem in non-linear and/or non-Gaussian systems. We show that this algorithm corresponds to running the Hamilton filter (the Hamilton filter offers an optimal solution to the filtering problem for a hidden Markov model on a finite state space) on a discretization of the continuous latent variable. The proposed solution significantly improves the computation time and produces results at least as good as stateof-the-art approaches in the field. Subsequently, we present and demonstrate a generalization of this algorithm in the case of stochastic volatility models incorporating leverage and jumps. Several Monte Carlo and empirical studies are conducted to evaluate the quality of the approach for approximating the log-likelihood and estimating the parameters. We also present a comparison of this approach to the continuous particle filter approach

    Effets Du Labour Mécanisé Successif Sur Le Statut Nutritif Du Sol Et Le Rendement Du Riz Pluvial Dans La Commune d’Abomey Calavi (Sud Bénin)

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    The effects of mechanized plowing with power tiller and rotavator and that of the succession of production campaigns on the nutritive status of soil and the rice yield in pluvial system were studied in the low land of Dokomey in South of Benin. The methodological approach is based on field trials conducted during three successive production campaigns from 2014 to 2016 according to a split plot design with one factor (plowing).. Sampling and analysis of the physical and chemical soils’ parameters were done at the beginning and end of each campaign and also the weighing of harvested paddy. Results showed that the fertility of the plots which received mechanized plowing and that of their yields increased noticeably during each campaign and along all the campaigns than those which received manual plowing. For example, from campaign 1 to 3, the yields under mechanized plowing increased respectively of 35%, 37% and 39% more than those obtained under manual plowing. The same report was obtained for soils parameters where the contents of organic matters (OM), nitrogen (N), ratio C/N, cationic exchange capacity, assimilable phosphorus (Pass) and clay increased respectively of 31,63% ; 11,77% ; 13,39% ; 10,28% ; 6,03% et 3,74%.Moreover, the correlations study between yield and nutritive status of soil showed likewise a high dependence between those parameters and the obtained yields. This dependence was highly significant at the level of 0.1% for th mechanized plowin

    Invasive floating water weeds – killing life and commerce

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    Weeds by definition are plants that grow in the wrong place. When their seeds or other plant parts are transported to other regions where their natural enemies are absent, they can multiply unhindered. Indigenous plants, especially those that are adapted for invading disturbed areas, can also become weeds. The first category is a particularly good target for classical biological control. Insects, mites and micro-organisms that feed on them are imported from their original area and released against the new invader. Against indigenous plants however, biological control is far less promising. By the end of 1980s, many of the water bodies in West Africa were invaded by alien plant species considered to be among the world’s worst aquatic weeds: water hyacinth Eichhornia crassipes, water lettuce Pistia stratiotes, and water fern Salvinia molesta. They were accidentally or deliberately introduced as ornamentals or for use in aquariums from their native range South America to many parts of the world where they have become invasive

    Purification performances of common reed beds based on the residence time: Case of Benin

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    Introduction: To avoid ecological and human disasters due to the release of huge amounts of domestic waste, wastewater treatment facilities must be built immediately. One solution is to apply an organic treatment technology. Organic treatments are cheap, efficient, and require little electric energy.Objective: This study aims to determine the purification performances of common reed beds in order to facilitate their implementation in Benin.Methodology and Results: A test station, which utilizes vertical flow filters planted with phragmites, was built to treat the Abomey-Calavi campus’s domestic sewage in Benin. This sewage treatment plant was tested for 3 months. At the beginning of the study, the untreated sewage had concentrations of 3240 mg/L; 850 mg/L; 7400 mg/L; 168 mg/L; and 4.5 mg/L respectively in Chemical Oxygen Demand (COD), Biochemical Oxygen Demand at 5 days of incubation (BOD5), Total Suspended Solid (TSS), Total Kjeldahl Nitrogen (TKN), and Total Phosphorus (TP). At the end of the study, the treatment performance results showed the following removal rates: COD (93%), BOD5 (92%), TSS (98%) and TKN (99%). The removal rates are within the Beninese standards set by the decree n°2001-109 of April 4, 2001 which set the minimum removal rates at75%, 70-90%, and 90% respectively in COD, BOD5, and TSS.Conclusion and application of results: Despite the use of a single stage, good results were obtained. Indeed, this study’s removal rates are within the Beninese standards. The reed bed wastewater treatment process is simple to build, to make functional and to maintain. This process is also cheap to build. Owing to its advantages, the reed bed is a solution to Beninese purification problems. Since technical service agent of the municipalities can quickly and easily build, make functional and maintain a reed bed plant.Keywords: common reed beds, domestic wastewate
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