Comparative analysis of time-frequency methods estimating the time-varying microstructure of sleep EEG spindles

Proceedings of the Information Technology Applications in Biomedicine, Ioannina - Epirus, Greece, October 26-28, 2006

Potential dementia biomarkers based on the time-varying microstructure of sleep EEG spindles

Proceedings of the 29th Annual International Conference of the IEEE EMBS Cité Internationale, Lyon, France August 23-26, 2007

Frequency-domain receiver design for doubly-selective channels

This work is devoted to the broadband wireless transmission techniques, which are serious candidates to be implemented in future broadband wireless and cellular systems, aiming at providing high and reliable data transmission and concomitantly high mobility. In order to cope with doubly-selective channels, receiver structures based on OFDM and SC-FDE block transmission techniques, are proposed, which allow cost-effective implementations, using FFT-based signal processing. The first subject to be addressed is the impact of the number of multipath components, and the diversity order, on the asymptotic performance of OFDM and SC-FDE, in uncoded and for different channel coding schemes. The obtained results show that the number of relevant separable multipath components is a key element that influences the performance of OFDM and SC-FDE schemes. Then, the improved estimation and detection performance of OFDM-based broadcasting systems, is introduced employing SFN (Single Frequency Network) operation. An initial coarse channel is obtained with resort to low-power training sequences estimation, and an iterative receiver with joint detection and channel estimation is presented. The achieved results have shown very good performance, close to that with perfect channel estimation. The next topic is related to SFN systems, devoting special attention to time-distortion effects inherent to these networks. Typically, the SFN broadcast wireless systems employ OFDM schemes to cope with severely time-dispersive channels. However, frequency errors, due to CFO, compromises the orthogonality between subcarriers. As an alternative approach, the possibility of using SC-FDE schemes (characterized by reduced envelope fluctuations and higher robustness to carrier frequency errors) is evaluated, and a technique, employing joint CFO estimation and compensation over the severe time-distortion effects, is proposed. Finally, broadband mobile wireless systems, in which the relative motion between the transmitter and receiver induces Doppler shift which is different or each propagation path, is considered, depending on the angle of incidence of that path in relation to the direction of travel. This represents a severe impairment in wireless digital communications systems, since that multipath propagation combined with the Doppler effects, lead to drastic and unpredictable fluctuations of the envelope of the received signal, severely affecting the detection performance. The channel variations due this effect are very difficult to estimate and compensate. In this work we propose a set of SC-FDE iterative receivers implementing efficient estimation and tracking techniques. The performance results show that the proposed receivers have very good performance, even in the presence of significant Doppler spread between the different groups of multipath components.

Design and performance evaluation of turbo FDE receivers

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores

Critical Velocity obtained using Simplified Models of the Railway Track: Viability and Applicability

Increased demands on the capacity of the railway network gave rise to new issues related to the dynamic response of railway tracks subjected to moving vehicles. Thus, it becomes important to evaluate the applicability of traditionally used simplified models which have a closed form solution. Regarding simplified models, transversal vibrations of a beam on a visco-elastic foundation subjected to a moving load are considered. Governing equations are obtained by Hamilton’s principle. Shear distortion, rotary inertia and effect of axial force are accounted for. The load is introduced as a time varying force moving at a constant velocity. Transversal vibrations induced by the load are solved by the normal-mode analysis. Reflected waves at the extremities of the full beam are avoided by introduction of semi-infinite elements. Firstly, the critical velocity obtained from this model is compared with results of an undamped Euler- Bernoulli formulation with zero axial force. Secondly, a finite element model in ABAQUS is examined. The new contribution lies in the introduction of semi- infinite elements and in the first step to a systematic comparison, which have not been published so fa

Modelling and Forecasting Mortality Patterns

Thesis submitted in partial fulfillment of the requirements for the Degree of Doctor of Statistics and Information Management

High ffficiency transmission techniques for broadband wireless systems

Future broadband wireless systems are expected to cope with severely time dispersive channels, due to multi-path signal propagation between the transmitter and the receiver while having high power and spectral efficiency. Thus, advanced Frequency Domain Equalization techniques are required. The implementation complexity in mobile terminals should be as low as possible to achieve highest possible efficiency. Therefore, most of the signal processing requirements will be shifted to the base station and we will employ signals compatible with an efficient, grossly nonlinear power amplification. For this reason, we will consider offset modulation signals with quasi-constant envelope and develop receivers that will obtain good BER performance. However, these signals require a bandwidth significantly above the Nyquist rate, which can be reduced by an overlap of different frequency channels.

Flexible multivariate GARCH modeling with an application to international stock markets

This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the nev^ estimator with a number of existing ones.

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

Momentum risk: An approach following the correlations between active stocks

The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.

Maximum level and time to peak of dam-break waves on mobile horizontal bed

Journal of Hydraulic Engineering, Vol. 135, No. 11, November 1, 2009

Time diversity solutions to cope with lost packets

A dissertation submitted to Departamento de Engenharia Electrotécnica of Faculdade de Ciências e Tecnologia of Universidade Nova de Lisboa in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Engenharia Electrotécnica e de Computadores