Luiz Koodi Hotta

Estimation of VAR Using Copula and Extreme Value Theory

This paper proposes a method for estimating the VaR of a portfolio based on copula and extreme value theory. Each return is modeled by ARMA-GARCH models with the joint distribution of innovations modeled by copula. The marginal distributions are modeled by the generalized Pareto distribution in the left tail (large loss) and empirical distribution otherwise. The copula is estimated by an estimator which gives more weight to observations with large loss. The method is applied to a two-asset portfolio and compared to other traditional methods.

Schistosomiasis mansoni in an area of low transmission: I. Impact of control measures

This work was undertaken in the municipality of Pedro de Toledo (São Paulo State, Brazil) in 1987, to clarify aspects related to the transmission levels of Schistosoma mansoni in a human population where the snail host is Biomphalaria tenagophila. Since 1980 a control programme has been undertaken in this municipality. Urban and rural populations (4,719 subjects) were submitted to faecal examinations (Kato-Katz method). The overall prevalence rate was 4.8% being higher in males (6.2%) and also in the rural zone (5.8%). The geometric mean of S. mansoni eggs was 35.1 eggs per gramme of faeces (epg). Approximately 80.0% of the carriers presented less than 100 epg and only 20 individuals (9.0%) eliminated more than half of total eggs. The highest index of potential contamination (IPC) was in the age group of 5 to 20 years (57.6%). Two thirds of the investigated patients (207) were autochthonous of Pedro de Toledo. The geographical distribution of the carriers showed a clear aggregation of the autochthonous cases and a close association between human contact sites and breeding places of B. tenagophila. This study shows that schistosomiasis subjects were not randomly aggregated, the youngsters should be the main target in the prophylaxis, and the efficacy of the control programme.

Schistosomiasis mansoni in an area of low transmission: II. Risk factors for infection

Risk factors for Schistosoma mansoni infection were identified using a 1:1 matched case-control design. The work was conducted in the municipality of Pedro de Toledo, São Paulo State, Brazil, an area where the snail host is Biomphalaria tenagophila. Information on water contact patterns, knowledge, attitudes and practices (kap), socioeconomic and sanitary conditions were obtained by mean of questionnaires. The crude odds ratio estimates and the adjusted odds ratio estimates using the logistic regression model are presented. Most of the examined individuals admitted recent water contacts (90.6% of the cases). The most frequent reason for contact was swimming, playing and fishing and the preferential site of contact was the river. According to the logistic regression technique, the main risk factors for infection were: a) water contact through swimming, playing and fishing; b) fording; c) bad hygiene. We concluded that recreational activities are the main reasons for schistosomiasis transmission in Pedro de Toledo and leisure alternatives should be offered to the local population.

The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models

Abstract Assume that the observed series follows an ARIMA process, and that the forecaster is only interested in predicting aggregated values. In this case the aggregate series also follows an ARIMA process and the prediction could be done using either the disaggregate or the aggregate models. We derive the approximate expected values of the estimates of the model coefficients and of the innovation variances in the presence of a single additive outlier. The approximations are also checked through simulations. Our conclusion is that the approximation is good, provided the size of the series is not too small, and that the additive outlier can have a stronger effect on the disaggregate model than on the aggregate model. An empirical analysis is presented using the international airline passengers series.

Controle da esquistossomose mansônica em área de baixa transmissao

The schistosomiasis is transmitted by Biomphalaria tenagophila in our study area (Pedro de Toledo, São Paulo, Brazil). From 1980 to 1990 epidemiological surveys in a population of 4,000 inhabitants, has shown that: prevalences by Kato-Katz (KKT), immunofluorescence (FT) and intradermal (IDT) techniques were 22.8%, 55.5% and 51.8%, respectively; intensity of infection was low, 58.5 eggs per gram of faeces (epg); there were no symptomatic cases; prevalences were higher in mates, children and rural zone; index of potential contamination was 57.5% in the age group 5 to 20 years; 2/3 of patients were autochthonous; cases were no-randomly aggregated; transmission was focal and only 0.4% of snails were infected; water contacts through recreation showed the most important odds ratio; knowledge, attitudes and practices were satisfactory. From the epidemiological findings a control programme was carried out: yearly faeces exams, chemotherapy, molluscocide, health education and sanitation. Thus, the prevalence decreased sharply to 3.3% and intensity of infection to 30.3 epg; the incidence rates ranged between 0.4% and 2.5% annually; the sanitation became better and the youngsters were the main target in prophylaxis. To improve control, immunodiagnosis has to be conducted and the involvement of the population should be increase. However, we cannot forget that re-infection, therapeutic failure, etc, could play a major role in the maintenance this residual prevalence.The schistosomiasis is transmitted by Biomphalaria tenagophila in our study area (Pedro de Toledo, Sao Paulo, Brazil). From 1980 to 1990 epidemiological surveys in a population of 4.000 inhabitants, has shown that: prevalence Kato-Katz (KKT), immunofluorescence (FT) and intradermal (IDT) techniques were 22.8%, 55.5% and 51.8% respectively; intensity of infection was low, 58.5 eggs per gram of faeces (epg); there were no symptomatic cases; prevalences were higher in mates, children and rural zone; index of potential contamination was 57.5% in the age group 5 to 20 years; 2/3 of patients were autochtonous; cases were no-randomly aggregated; transmission was focal and only 0.4% of snails were infected; water contacts through recreation showed the most important odds ratio; knowledge, attitudes and practices were satisfatory. From the epidemiological control findings a control programme was carried out; yearly faeces exams, chemotherapy, molluscocide, health education and sanitation. Thus, the prevalence decreased sharply to 3.3% and intensity of infection to 30.3 epg; the incidence rates ranged between 0.4% and 2.5% annualy; the sanitation became better and the youngsters were the main target in prophylaxis. To improve control, immunodiagnosis has to be conducted and the involvment of the population should be increase. However, we cannot forget that re-infection and the involvment of the population should be increase. However, we cannot forget that re-infection, therapeutic failure, etc, could play a major role in the maintnance this residual prevalence.

Aggregation and Disaggregation of Structural Time Series Models

The aggregation/disaggregation problem has been widely studied in the time series literature. Some main issues related to this problem are modelling, prediction and robustness to outliers. In this paper we look at the modelling problem with particular interest in the local level and local trend structural time series models together with their corresponding ARIMA(0, 1, 1) and ARIMA(0, 2, 2) representations. Given an observed time series that can be expressed by a structural or autoregressive integrated moving-average (ARIMA) model, we derive the necessary and sufficient conditions under which the aggregate and/or disaggregate series can be expressed by the same class of model. Harveys cycle and seasonal components models (Harvey, Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge: Cambridge University Press, 1989) are also briefly discussed. Systematic sampling of structural and ARIMA models is also discussed.

Bayesian Melding Estimation of a Stochastic SEIR Model

One of the main problems in estimating stochastic SEIR models is that the data are not completely observed. In this case, the estimation is usually done by least squares or by MCMC. The Bayesian melding method is proposed to estimate SEIR models and to evaluate the likelihood in the presence of incomplete data. The method is illustrated by estimating a model for HIV/TB interaction in the population of a prison.

Bootstrap prediction in univariate volatility models with leverage effect

The EGARCH and GJR-GARCH models are widely used in modeling volatility when a leverage effect is present in the data. Traditional methods of constructing prediction intervals for time series normally assume that the model parameters are known, and the innovations are normally distributed. When these assumptions are not true, the prediction interval obtained usually has the wrong coverage. In this article, the Pascual, Romo and Ruiz (PRR) algorithm, developed to obtain prediction intervals for GARCH models, is adapted to obtain prediction intervals of returns and volatilities in EGARCH and GJR-GARCH models. These adjustments have the same advantage of the original PRR algorithm, which incorporates a component of uncertainty due to parameter estimation and does not require assumptions about the distribution of the innovations. The adaptations show good performance in Monte Carlo experiments. However, the performance, especially in volatility prediction, can be very poor in the presence of an additive outlier near the forecasting origin. The algorithms are applied to the daily returns series of the GBP/USD exchange rates.

Effect of outliers on forecasting temporally aggregated flow variables

Economic time series are of two types: stock and flows, and may be available at different levels of aggregation (for instance, monthly or quarterly). The economist, in many situations, is interested in forecasting the aggregated observations. The forecast function, in this case, can be based either on the disaggregated series or the aggregated series. The forecasts based on the disaggregated data are at least as efficient, in terms of mean squared forecast errors, as the forecasts based on temporally aggregated observations when the data generating process (DGP) is a known ARIMA process. However, the effect of outliers on both forecast functions is not known. In this paper, we consider the effect of additive and innovation outliers on forecasting aggregated values based on aggregated and disaggregated models when the DGP is a known ARIMA process and the presence of the outliers is ignored. Results when the model is not known and tests applied for the detection of outliers are derived through simulation.

Competição biológica entre Biomphalaria glabrata (Say, 1818) e Biomphalaria tenagophila (d'Orbigny, 1835) em criadouros naturais no município de Ourinhos, SP (Brasil)

Foram feitas observacoes sobre a provavel competicao entre Biomphalaria tenagophila e Biomphalaria glabrata, em tres criadouros do tipo vala, situados no Municipio de Ourinhos (SP), durante o periodo de 27-11-73 a 20-02-79. As coletas foram realizadas trimestralmente ate dezembro de 1976 e de 1977 a 1979, semestralmente, num total de 17 capturas. Foram coletados 5.249 exemplares de B. tenagophila e 353 de B. glabrata no criadouro 1; no criadouro 2 o total de exemplares foi de 1.703 e 64 para B. tenagophila e B. glabrata, respectivamente e no criadouro 3, 1.249 e 4 exemplares de B. tenagophila e E. glabrata, respectivamente. Apenas os dados relativos ao primeiro criadouro forneceram informacoes relacionadas com o deslocamento de B. glabrata e B. tenagophila, sendo que a analise estatistica sugeriu ter havido competicao entre as duas especies estudadas, com tendencia a exclusao de B. glabrata. A substituicao parece ter ocorrido num periodo de pelo menos cinco anos. Apesar de terem sido observadas evidencias de deslocamento competitivo entre as duas especies, nao foi possivel detectar o mecanismo do fenomeno.Possible competition between Biomphalaria glabrata and Biomphalaria tenagophila were observed at three natural breeding sites in Ourinhos (SP) between November 27, 1973 and February 20, 1979. The snails were collected every three months until 1976; after this period they were every six months. A total of B. tenagophila 5,249 snails and 353 B. glabrata were collected at the first study site (irrigation ditch); at the second environment 1,703 B. tenagophila and 64 B. glabrata were collected, in the third environment 1,249 B. tenagophila and 4 B. glabrata were collected. Only the data from the first freshwater environment furnished information relating to the displacement of B. glabrata and B. tenaglophila. Statistical analysis suggested competition between the two species with a tendency for B. glabrata to be excluded. It seems that the displacement took place over a period of at least five years. Although the evidence for competitive displacement between B. glabrata and B. tenagophila is clear, we were not able to determine the exact mechanism for this phenomenon.