635 resultados para time dependence
em Queensland University of Technology - ePrints Archive
Resumo:
Many interesting phenomena have been observed in layers of granular materials subjected to vertical oscillations; these include the formation of a variety of standing wave patterns, and the occurrence of isolated features called oscillons, which alternately form conical heaps and craters oscillating at one-half of the forcing frequency. No continuum-based explanation of these phenomena has previously been proposed. We apply a continuum theory, termed the double-shearing theory, which has had success in analyzing various problems in the flow of granular materials, to the problem of a layer of granular material on a vertically vibrating rigid base undergoing vertical oscillations in plane strain. There exists a trivial solution in which the layer moves as a rigid body. By investigating linear perturbations of this solution, we find that at certain amplitudes and frequencies this trivial solution can bifurcate. The time dependence of the perturbed solution is governed by Mathieu’s equation, which allows stable, unstable and periodic solutions, and the observed period-doubling behaviour. Several solutions for the spatial velocity distribution are obtained; these include one in which the surface undergoes vertical velocities that have sinusoidal dependence on the horizontal space dimension, which corresponds to the formation of striped standing waves, and is one of the observed patterns. An alternative continuum theory of granular material mechanics, in which the principal axes of stress and rate-of-deformation are coincident, is shown to be incapable of giving rise to similar instabilities.
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A major factor in the stratospheric collection process is the relative density of particles at the collection altitude. With current aircraft-borne collector plate geometries, one potential extraterrestrial particle of about 10 micron diameter is collected approximately every hour. However, a new design for the collector plate, termed the Large Area Collector (LAC), allows a factor of 10 improvement in collection efficiency over current conventional geometry. The implementation of LAC design on future stratospheric collection flights will provide many opportunities for additional data on both terrestrial and extraterrestrial phenomena. With the improvement in collection efficiency, LAC's may provide a suitable number of potential extraterrestrial particles in one short flight of between 4 and 8 hours duration. Alternatively, total collection periods of approximately 40 hours enhance the probability that rare particles can be retrieved from the stratosphere. This latter approach is of great value for the cosmochemist who may wish to perform sophisticated analyses on interplanetary dust greater than a picogram. The former approach, involving short duration flights, may also provide invaluable data on the source of many extraterrestrial particles. The time dependence of particle entry to the collection altitude is an important parameter which may be correlated with specific global events (e.g., meteoroid streams) provided the collection time is known to an accuracy of 2 hours.
Resumo:
Magnetic resonance is a well-established tool for structural characterisation of porous media. Features of pore-space morphology can be inferred from NMR diffusion-diffraction plots or the time-dependence of the apparent diffusion coefficient. Diffusion NMR signal attenuation can be computed from the restricted diffusion propagator, which describes the distribution of diffusing particles for a given starting position and diffusion time. We present two techniques for efficient evaluation of restricted diffusion propagators for use in NMR porous-media characterisation. The first is the Lattice Path Count (LPC). Its physical essence is that the restricted diffusion propagator connecting points A and B in time t is proportional to the number of distinct length-t paths from A to B. By using a discrete lattice, the number of such paths can be counted exactly. The second technique is the Markov transition matrix (MTM). The matrix represents the probabilities of jumps between every pair of lattice nodes within a single timestep. The propagator for an arbitrary diffusion time can be calculated as the appropriate matrix power. For periodic geometries, the transition matrix needs to be defined only for a single unit cell. This makes MTM ideally suited for periodic systems. Both LPC and MTM are closely related to existing computational techniques: LPC, to combinatorial techniques; and MTM, to the Fokker-Planck master equation. The relationship between LPC, MTM and other computational techniques is briefly discussed in the paper. Both LPC and MTM perform favourably compared to Monte Carlo sampling, yielding highly accurate and almost noiseless restricted diffusion propagators. Initial tests indicate that their computational performance is comparable to that of finite element methods. Both LPC and MTM can be applied to complicated pore-space geometries with no analytic solution. We discuss the new methods in the context of diffusion propagator calculation in porous materials and model biological tissues.
Resumo:
This study is seeking to investigate the effect of non-thermal plasma technology in the abatement of particulate matter (PM) from the actual diesel exhaust. Ozone (O3) strongly promotes PM oxidation, the main product of which is carbon dioxide (CO2). PM oxidation into the less harmful product (CO2) is the main objective whiles the correlation between PM, O3 and CO2 is considered. A dielectric barrier discharge reactor has been designed with pulsed power technology to produce plasma inside the diesel exhaust. To characterise the system under varied conditions, a range of applied voltages from 11 kVPP to 21kVPP at repetition rates of 2.5, 5, 7.5 and 10 kHz, have been experimentally investigated. The results show that by increasing the applied voltage and repetition rate, higher discharge power and CO2 dissociation can be achieved. The PM removal efficiency of more than 50% has been achieved during the experiments and high concentrations of ozone on the order of a few hundreds of ppm have been observed at high discharge powers. Furthermore, O3, CO2 and PM concentrations at different plasma states have been analysed for time dependence. Based on this analysis, an inverse relationship between ozone concentration and PM removal has been found and the role of ozone in PM removal in plasma treatment of diesel exhaust has been highlighted.
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Abstract Background Understanding spatio-temporal variation in malaria incidence provides a basis for effective disease control planning and monitoring. Methods Monthly surveillance data between 1991 and 2006 for Plasmodium vivax and Plasmodium falciparum malaria across 128 counties were assembled for Yunnan, a province of China with one of the highest burdens of malaria. County-level Bayesian Poisson regression models of incidence were constructed, with effects for rainfall, maximum temperature and temporal trend. The model also allowed for spatial variation in county-level incidence and temporal trend, and dependence between incidence in June–September and the preceding January–February. Results Models revealed strong associations between malaria incidence and both rainfall and maximum temperature. There was a significant association between incidence in June–September and the preceding January–February. Raw standardised morbidity ratios showed a high incidence in some counties bordering Myanmar, Laos and Vietnam, and counties in the Red River valley. Clusters of counties in south-western and northern Yunnan were identified that had high incidence not explained by climate. The overall trend in incidence decreased, but there was significant variation between counties. Conclusion Dependence between incidence in summer and the preceding January–February suggests a role of intrinsic host-pathogen dynamics. Incidence during the summer peak might be predictable based on incidence in January–February, facilitating malaria control planning, scaled months in advance to the magnitude of the summer malaria burden. Heterogeneities in county-level temporal trends suggest that reductions in the burden of malaria have been unevenly distributed throughout the province.
Resumo:
Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.
Resumo:
In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.
Resumo:
The measurement of broadband ultrasonic attenuation (BUA) in cancellous bone at the calcaneus for the assessment of osteoporosis was first described within this journal 25 years ago. It was recognized in 2006 by Universities UK as being one of the ‘100 discoveries and developments in UK Universities that have changed the world’ over the past 50 years. In 2008, the UK's Department of Health also recognized BUA assessment of osteoporosis in a publication highlighting 11 projects that have contributed to ‘60 years of NHS research benefiting patients’. The BUA technique has been extensively clinically validated and is utilized worldwide, with at least seven commercial systems currently providing calcaneal BUA measurement. However, there is still no fundamental understanding of the dependence of BUA upon the material and structural properties of cancellous bone. This review aims to provide an ‘engineering in medicine’ perspective and proposes a new paradigm based upon phase cancellation due to variation in propagation transit time across the receive transducer face to explain the non-linear relationship between BUA and bone volume fraction in cancellous bone.
Resumo:
Durland and McCurdy [Durland, J.M., McCurdy, T.H., 1994. Duration-dependent transitions in a Markov model of US GNP growth. Journal of Business and Economic Statistics 12, 279–288] investigated the issue of duration dependence in US business cycle phases using a Markov regime-switching approach, introduced by Hamilton [Hamilton, J., 1989. A new approach to the analysis of time series and the business cycle. Econometrica 57, 357–384] and extended to the case of variable transition parameters by Filardo [Filardo, A.J., 1994. Business cycle phases and their transitional dynamics. Journal of Business and Economic Statistics 12, 299–308]. In Durland and McCurdy’s model duration alone was used as an explanatory variable of the transition probabilities. They found that recessions were duration dependent whilst expansions were not. In this paper, we explicitly incorporate the widely-accepted US business cycle phase change dates as determined by the NBER, and use a state-dependent multinomial Logit modelling framework. The model incorporates both duration and movements in two leading indexes – one designed to have a short lead (SLI) and the other designed to have a longer lead (LLI) – as potential explanatory variables. We find that doing so suggests that current duration is not only a significant determinant of transition out of recessions, but that there is some evidence that it is also weakly significant in the case of expansions. Furthermore, we find that SLI has more informational content for the termination of recessions whilst LLI does so for expansions.
Resumo:
This article augments Resource Dependence Theory with Real Options reasoning in order to explain time bounds specification in strategic alliances. Whereas prior work has found about a 50/50 split between alliances that are time bound and those that are open-ended, their substantive differences and antecedents are ill understood. To address this, we suggest that the two alliance modes present different real options trade-offs in adaptation to environmental uncertainty: ceteris paribus, time-bound alliances are likely to provide abandonment options over open-ended alliances, but require additional investments to extend the alliance when this turns out to be desirable after formation. Open-ended alliances are likely to provide growth options over open-ended alliances, but they demand additional effort to abandon the alliance if post-formation circumstances so desire. Therefore, we expect time bounds specification to be a function of environmental uncertainty: organizations in more uncertain environments will be relatively more likely to place time bounds on their strategic alliances. Longitudinal archival and survey data collected amongst 39 industry clusters provides empirical support for our claims, which contribute to the recent renaissance of resource dependence theory by specifying the conditions under which organizations choose different time windows in strategic partnering.
Resumo:
The multifractal properties of two indices of geomagnetic activity, D st (representative of low latitudes) and a p (representative of the global geomagnetic activity), with the solar X-ray brightness, X l , during the period from 1 March 1995 to 17 June 2003 are examined using multifractal detrended fluctuation analysis (MF-DFA). The h(q) curves of D st and a p in the MF-DFA are similar to each other, but they are different from that of X l , indicating that the scaling properties of X l are different from those of D st and a p . Hence, one should not predict the magnitude of magnetic storms directly from solar X-ray observations. However, a strong relationship exists between the classes of the solar X-ray irradiance (the classes being chosen to separate solar flares of class X-M, class C, and class B or less, including no flares) in hourly measurements and the geomagnetic disturbances (large to moderate, small, or quiet) seen in D st and a p during the active period. Each time series was converted into a symbolic sequence using three classes. The frequency, yielding the measure representations, of the substrings in the symbolic sequences then characterizes the pattern of space weather events. Using the MF-DFA method and traditional multifractal analysis, we calculate the h(q), D(q), and τ (q) curves of the measure representations. The τ (q) curves indicate that the measure representations of these three indices are multifractal. On the basis of this three-class clustering, we find that the h(q), D(q), and τ (q) curves of the measure representations of these three indices are similar to each other for positive values of q. Hence, a positive flare storm class dependence is reflected in the scaling exponents h(q) in the MF-DFA and the multifractal exponents D(q) and τ (q). This finding indicates that the use of the solar flare classes could improve the prediction of the D st classes.
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Fractional differential equations are becoming more widely accepted as a powerful tool in modelling anomalous diffusion, which is exhibited by various materials and processes. Recently, researchers have suggested that rather than using constant order fractional operators, some processes are more accurately modelled using fractional orders that vary with time and/or space. In this paper we develop computationally efficient techniques for solving time-variable-order time-space fractional reaction-diffusion equations (tsfrde) using the finite difference scheme. We adopt the Coimbra variable order time fractional operator and variable order fractional Laplacian operator in space where both orders are functions of time. Because the fractional operator is nonlocal, it is challenging to efficiently deal with its long range dependence when using classical numerical techniques to solve such equations. The novelty of our method is that the numerical solution of the time-variable-order tsfrde is written in terms of a matrix function vector product at each time step. This product is approximated efficiently by the Lanczos method, which is a powerful iterative technique for approximating the action of a matrix function by projecting onto a Krylov subspace. Furthermore an adaptive preconditioner is constructed that dramatically reduces the size of the required Krylov subspaces and hence the overall computational cost. Numerical examples, including the variable-order fractional Fisher equation, are presented to demonstrate the accuracy and efficiency of the approach.
Resumo:
This article explores an important temporal aspect of the design of strategic alliances by focusing on the issue of time bounds specification. Time bounds specification refers to a choice on behalf of prospective alliance partners at the time of alliance formation to either pre-specify the duration of an alliance to a specific time window, or to keep the alliance open-ended (Reuer & Ariňo, 2007). For instance, Das (2006) mentions the example of the alliance between Telemundo Network and Mexican Argos Comunicacion (MAC). Announced in October 2000, this alliance entailed a joint production of 1200 hours of comedy, news, drama, reality and novella programs (Das, 2006). Conditioned on the projected date of completing the 1200 hours of programs, Telemundo Network and MAC pre-specified the time bounds of the alliance ex ante. Such time-bound alliances are said to be particularly prevalent in project-based industries, like movie production, construction, telecommunications and pharmaceuticals (Schwab & Miner, 2008). In many other instances, however, firms may choose to keep their alliances open-ended, not specifying a specific time bound at the time of alliance formation. The choice between designing open-ended alliances that are “built to last”, versus time bound alliances that are “meant to end” is important. Seminal works like Axelrod (1984), Heide & Miner (1992), and Parkhe (1993) demonstrated that the choice to place temporal bounds on a collaborative venture has important implications. More specifically, collaborations that have explicit, short term time bounds (i.e. what is termed a shorter “shadow of the future”) are more likely to experience opportunism (Axelrod, 1984), are more likely to focus on the immediate present (Bakker, Boros, Kenis & Oerlemans, 2012), and are less likely to develop trust (Parkhe, 1993) than alliances for which time bounds are kept indeterminate. These factors, in turn, have been shown to have important implications for the performance of alliances (e.g. Kale, Singh & Perlmutter, 2000). Thus, there seems to be a strong incentive for organizations to form open-ended strategic alliances. And yet, Reuer & Ariňo (2007), one of few empirical studies that details the prevalence of time-bound and open-ended strategic alliances, found that about half (47%) of the alliances in their sample were time bound, the other half were open-ended. What conditions, then, determine this choice?