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Search Results: 1 - 10 of 37225 matches for " Souza Reinaldo Castro "
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Souza Reinaldo Castro
Pesquisa Operacional , 2001,
A new approach to identify the structural order of par (p) models
Oliveira, Fernando Luiz Cyrino;Souza, Reinaldo Castro;
Pesquisa Operacional , 2011, DOI: 10.1590/S0101-74382011000300005
Abstract: the periodic autoregressive model, a particular structure of the box & jenkins family, denoted by par (p), is employed to model the series of hydrological streamflow used for estimating the operational costs of the brazilian hydro-thermal optimal dispatch. recently, some aspects of this approachbegan to be studied and several researches on this topic are being developed. this paper focuses on the identification stage of the orders p of these models. nowadays, the identification is based on evaluating the significance of the coefficients of the partial autocorrelation function (pacf), based on the asymptoticresults of quenouille. the purpose of this study is on the application of the computer-intensive bootstraptechnique to estimate the significance of such coefficients. the results show that identification via bootstrap is considerably more parsimonious, leading to the identification of lower orders in most cases andcorroborating some points raised in previous studies on the traditional approach.
Uma abordagem estatística para a previs?o de potência reativa em sistemas elétricos
Christo, Eliane da Silva;Souza, Reinaldo Castro;
Pesquisa Operacional , 2006, DOI: 10.1590/S0101-74382006000200008
Abstract: the forecasting of reactive and active power is an important tool in the monitoring of an electrical energy systems. the present work has as main purpose the introduction of a new short-term reactive power hourly forecast technique by substations, based on the linearity between reactive and active power through linear regression. in order to improve the forecasting, distributed lags of powers are included in the simple model with a correction for serial autocorrelation (iterative method of cochrane-orcutt). moreover as reactive power data have heterocedasticity behavior, the estimation method of the coefficients through least squares is not appropriate. for that reason, it is used a robust solution known as iteratively reweighted least squares estimation (irls). the short-term reactive power forecast is divided two periods "in sample" and "out of sample". in order to increase the forecast results, it is necessary to reduce the sample dimension using a methodology to cluster of data. these clusters are classified via an unsupervised learning neural network kohonen self-organized map.
Estima??o do parametro "d " em modelos arfima
Trevisan, Elma Suema;Souza, Reinaldo Castro;Souza, Leonardo Rocha;
Pesquisa Operacional , 2000, DOI: 10.1590/S0101-74382000000100008
Abstract: arfima models are characterized by both their long-range dependence and fractional values for the arima model differencing parameter. stationarity is achieved for d ? (-0.5, 0.5) and the long memory appears whether d is positive. this work tests and compares two methodologies for the differencing parameter estimation based on, respectively, periodogram and smoothed periodogram functions. through synthetic series generated to this purpose, simulations were ran to four different arfima structures: (0,d,0), (1,d,0), (0,d,1), (1,d,1) and three values of d (0,0; 0,10; 0,25 and 0,40).
Estima o do parametro "d " em modelos arfima
Trevisan Elma Suema,Souza Reinaldo Castro,Souza Leonardo Rocha
Pesquisa Operacional , 2000,
Abstract: Os modelos ARFIMA caracterizam-se por sua longa dependência e por possuírem o parametro d do modelo ARIMA (grau de diferencia o) assumindo valores fracionários. Quando no caso d (-0,5; 0,5), há estacionariedade. A longa dependência aparece quando d é positivo. Este trabalho visa testar e comparar duas metodologias para o processo de estima o de d, baseadas na fun o Periodograma e na fun o Periodograma Suavizado. Através de séries sintéticas geradas para este fim, foram realizadas simula es em quatro diferentes estruturas ARFIMA, a saber : (0,d,0), (1,d,0), (0,d,1), (1,d,1) para três possíveis valores de d, (0,0; 0,10; 0,25 e 0,40).
First report of predation on floral visitors by crab spiders on Croton selowii Baill. (Euphorbiaceae)
Novo, Reinaldo Rodrigo;Souza, Jefferson Thiago;Castro, Cibele Cardoso de;
Acta Botanica Brasilica , 2010, DOI: 10.1590/S0102-33062010000200029
Abstract: in the literature it has been extensively mentioned that crab spiders (araneae: thomisidae) prey on floral visitors of several plant species. here we present observations of croton selowii baill. (euphorbiaceae), a monoecious species harboring individuals of crab spiders in an area of coastal vegetation of pernambuco state, brazil. the species is visited by several invertebrate orders, and some of them were preyed upon by the spiders, mainly diptera species. the spiders rubbed the forelimbs within the flowers, which may constitute a strategy to camouflage these structures. croton selowii seems to represent a suitable foraging site for the spiders, because it has a generalist pollination system (thus being visited by a wide range of invertebrate species) and blooms in a period of low flower resource availability in the area.
Escores de Variáveis Latentes: Uma Op??o para o índice ANEEL de Satisfa??o do Consumidor
Mendes,Evandro Luiz; Soares,Tufi Machado; Souza,Reinaldo Castro;
Investiga??o Operacional , 2006,
Abstract: structural equation models with unobservable variables and measurement error have been used in the production of customers satisfaction indexes to evaluate products and services quality as well as the economic performance of companies, sectors and nations. previous studies pointed out the pls (partial least square) better than maximum likelihood method to estimate parameters in marketing applications, mainly because of data marketing feature. however, no study has shown the effects of estimation methods in the latent variable scores, specially, in the satisfaction scores. the objective of this study is to analyze the effects of estimation methods in the satisfaction scores based on the iasc model (customer satisfaction index of brazilian electricity regulatory agency). the data and true scores will be generated by monte carlo simulation and the estimated scores will be compared to the true ones through the following information measures: linear correlation, mutual information and an empirical information measure.
Aquisi??o de energia no mercado cativo brasileiro: simula??es dos efeitos da regula??o sobre o risco das distribuidoras
Barros, M?nica;Mello, Marina Figueira de;Souza, Reinaldo Castro;
Pesquisa Operacional , 2009, DOI: 10.1590/S0101-74382009000200004
Abstract: the new regulatory framework in brazilian electricity sector implemented several changes in the way energy is traded. energy required by all captive consumers is now centrally purchased by the government. distributors are only responsible for demand estimation in their concession areas. in case estimations prove wrong, distributors are punished differently for under or overestimations. underestimations are punished harder. in this paper we simulate energy purchasing costs for a hypothetical utility in which random percentages of the forecasted demand are used. we also develop a resampling scheme for the pld (settlement price), which is used to calculate penalties incurred by utilities. we conclude that, despite a very sophisticated regulatory framework, the system is fragile because changes in the inputs of the newave software (used to calculate the marginal cost of operations (cmo), which directly affects the pld) yield very different punishment fees for a given (fixed) utility acquisition strategy.
Uso de Recibos de A es nos Estados Unidos (ADRs) para Arbitragem
André Machado Caldeira,Reinaldo Castro Souza,Maria Augusta Soares Machado
Revista Eletr?nica de Sistemas de Informa??o , 2008,
Abstract: A eficiência de mercado é muito questionada por especialistas, alguns trabalhos sugerem oportunidades de arbitragem em diversas opera es financeiras. Essas oportunidades podem ser explicadas principalmente pela assimetria de informa o, pois a forma o de pre os no mercado acionário está diretamente ligada as informa es, portanto o investidor que as possuir com mais rapidez, possui uma vantagem competitiva. O objetivo desse artigo é verificar a existência de oportunidades de arbitragem utilizando os Recibos de A es nos Estados Unidos (ADRs –American Depositary Receipts), negociadas no mercado americano, e suas respectivas a es, negociadas no mercado nacional. Através do estudo de caso realizado com quatro empresas, desconsiderando os custos de transi o, foram encontradas janelas de oportunidades para arbitragem. Dentre as empresas estudadas, duas apresentaram oportunidades freqüentes de arbitragem, sendo que uma delas a oportunidade de arbitragem pode ser modelada por modelo de série temporal.
André Machado Caldeira,Reinaldo Castro Souza,Maria Augusta Soares Machado
Engevista , 2009,
Abstract: GARCH models are being largely used to model the volatility of financial assets, and GARCH (1,1) is the one mostly used. The identification of the model specification has not been fully explored. However, technology of specialist systems has been used in some applications of time series model as, for example, in time series classification problems (Reynolds et al, 1995) and ARMA models identification (Machado, 2000). The aim of this paper is to propose an intelligent system that can correctly identify the specification of GARCH models providing the right choose of the model to be used, avoiding the indiscriminate usage of GARCH (1,1) model.
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