A simulation-based study on Bayesian estimators for the skew Brownian motion

CAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL DE NÍVEL SUPERIORIn analyzing a temporal data set from a continuous variable, diffusion processes can be suitable under certain conditions, depending on the distribution of increments. We are interested in processes where a semi-permeable barrier splits the state space, producing a skewed diffusion that can have different rates on each side. In this work, the asymptotic behavior of some Bayesian inferences for this class of processes is discussed and validated through simulations. As an application, we model the location of South American sea lions (Otaria flavescens) on the coast of Calbuco, southern Chile, which can be used to understand how the foraging behavior of apex predators varies temporally and spatially.In analyzing a temporal data set from a continuous variable, diffusion processes can be suitable under certain conditions, depending on the distribution of increments. We are interested in processes where a semi-permeable barrier splits the state space, producing a skewed diffusion that can have different rates on each side. In this work, the asymptotic behavior of some Bayesian inferences for this class of processes is discussed and validated through simulations. As an application, we model the location of South American sea lions (Otaria flavescens) on the coast of Calbuco, southern Chile, which can be used to understand how the foraging behavior of apex predators varies temporally and spatially.187CAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL DE NÍVEL SUPERIORCAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL DE NÍVEL SUPERIORsem informaçã

Bayesian inference on the memory parameter for Gamma-modulated regression models

CNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOIn this work, we propose a Bayesian methodology to make inferences for the memory parameter and other characteristics under non-standard assumptions for a class of stochastic processes. This class generalizes the Gamma-modulated process, with trajectories that exhibit long memory behavior, as well as decreasing variability as time increases. Different values of the memory parameter influence the speed of this decrease, making this heteroscedastic model very flexible. Its properties are used to implement an approximate Bayesian computation and MCMC scheme to obtain posterior estimates. We test and validate our method through simulations and real data from the big earthquake that occurred in 2010 in Chile.In this work, we propose a Bayesian methodology to make inferences for the memory parameter and other characteristics under non-standard assumptions for a class of stochastic processes. This class generalizes the Gamma-modulated process, with trajectories that exhibit long memory behavior, as well as decreasing variability as time increases. Different values of the memory parameter influence the speed of this decrease, making this heteroscedastic model very flexible. Its properties are used to implement an approximate Bayesian computation and MCMC scheme to obtain posterior estimates. We test and validate our method through simulations and real data from the big earthquake that occurred in 2010 in Chile.171065766597CNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOCNPq [141048/2013-1]FAPESP [2013/07699-0]141048/2013-

Full Bayesian analysis for a class of jump-diffusion models

A new Bayesian significance test is adjusted for jump detection in a diffusion process. This is an advantageous procedure for temporal data having extreme valued outliers, like financial data, pluvial or tectonic forces records and others.Comment: 15 pages, 7 figures; real data analysis adde

Coding in the Presence of Semantic Value of Information: Unequal Error Protection Using Poset Decoders

In this work we explore possibilities for coding when information worlds have different (semantic) values. We introduce a loss function that expresses the overall performance of a coding scheme for discrete channels and exchange the usual goal of minimizing the error probability to that of minimizing the expected loss. In this environment we explore the possibilities of using poset-decoders to make a message-wise unequal error protection (UEP), where the most valuable information is protected by placing in its proximity information words that differ by small valued information. Similar definitions and results are shortly presented also for signal constellations in Euclidean space

Tributación de instrumentos derivados según Ley 20.544 de enero del 2012

Tesis pra optar al grado de Magíster en TributaciónNo disponible a texto completoEl 14 de octubre 2011, fue emitida la Ley 20.544 que regula el tratamiento tributario de los instrumentos derivados

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Consideramos um sistema de partículas interagentes no plano inteiro bi-dimensional, composto por partículas de um mesmo tamanho e uma partícula maior que as outras. A interação entre elas ocorre por exclusão com uma deriva para baixo, representando a força da gravidade. O fenômeno denominado Brazil nuts mostra experimentalmente que mediante uma agitação no sistema, a partícula maior se segrega das outras, movendo-se para cima com relação às menores. O que fazemos aqui é formalizar matematicamente este resultado observado, primeiramente para o caso em que as partículas estão inicialmente em equilíbrio utilizando a reversibilidade da medida, e, na segunda parte, para o caso fora do equilíbrio, utilizando a construção de um processo de ramificação dual. Em ambos os casos, estudamos o sistema quando a agitação cresce para o infinitonot availabl

Full bayesian analysis for a model of tail dependence

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)The family of the asymmetric logistic copulas appears naturally in modeling tail dependence. Within this family, some well-known models, as independence and logistic dependence, define precise hypotheses, having zero posterior probability for an absolute continuous posterior distribution. We show that the e-value associated to the Full Bayesian Significance Test has a good performance in non standard dependence problems, obtaining posterior estimates and predictive distributions. The analysis proposed is illustrated with two examples: (1) monthly sea level maxima at Newlyn and Sheerness, England (1990-2005) and (2) AIDS rates related to an educational indicator in U. S. Census Bureau (2007). We validate the inferences obtained through simulated data.The family of the asymmetric logistic copulas appears naturally in modeling tail dependence. Within this family, some well-known models, as independence and logistic dependence, define precise hypotheses, having zero posterior probability for an absolute412241074123CNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)CNPq [485999/2007-2, 476501 2009-1]485999/2007-2; 476501 2009-

Full Bayesian significance test for extremal distributions

A new Bayesian measure of evidence is used for model choice within the generalized extreme value family of distributions, given an absolutely continuous posterior distribution on the related parametric space. This criterion allows quantitative measurement of evidence of any sharp hypothesis, with no need of a prior distribution assignment to it. We apply this methodology to the testing of the precise hypothesis given by the Gumbel model using real data. Performance is compared with usual evidence measures, such as Bayes factor, Bayesian information criterion, deviance information criterion and descriptive level for deviance statistic.