Modeling and Analysis of Some Heavy Tailed Time Series

The thesis has covered various aspects of modeling and analysis of finite mean time series with symmetric stable distributed innovations. Time series analysis based on Box and Jenkins methods are the most popular approaches where the models are linear and errors are Gaussian. We highlighted the limitations of classical time series analysis tools and explored some generalized tools and organized the approach parallel to the classical set up. In the present thesis we mainly studied the estimation and prediction of signal plus noise model. Here we assumed the signal and noise follow some models with symmetric stable innovations.We start the thesis with some motivating examples and application areas of alpha stable time series models. Classical time series analysis and corresponding theories based on finite variance models are extensively discussed in second chapter. We also surveyed the existing theories and methods correspond to infinite variance models in the same chapter. We present a linear filtering method for computing the filter weights assigned to the observation for estimating unobserved signal under general noisy environment in third chapter. Here we consider both the signal and the noise as stationary processes with infinite variance innovations. We derived semi infinite, double infinite and asymmetric signal extraction filters based on minimum dispersion criteria. Finite length filters based on Kalman-Levy filters are developed and identified the pattern of the filter weights. Simulation studies show that the proposed methods are competent enough in signal extraction for processes with infinite variance.Parameter estimation of autoregressive signals observed in a symmetric stable noise environment is discussed in fourth chapter. Here we used higher order Yule-Walker type estimation using auto-covariation function and exemplify the methods by simulation and application to Sea surface temperature data. We increased the number of Yule-Walker equations and proposed a ordinary least square estimate to the autoregressive parameters. Singularity problem of the auto-covariation matrix is addressed and derived a modified version of the Generalized Yule-Walker method using singular value decomposition.In fifth chapter of the thesis we introduced partial covariation function as a tool for stable time series analysis where covariance or partial covariance is ill defined. Asymptotic results of the partial auto-covariation is studied and its application in model identification of stable auto-regressive models are discussed. We generalize the Durbin-Levinson algorithm to include infinite variance models in terms of partial auto-covariation function and introduce a new information criteria for consistent order estimation of stable autoregressive model.In chapter six we explore the application of the techniques discussed in the previous chapter in signal processing. Frequency estimation of sinusoidal signal observed in symmetric stable noisy environment is discussed in this context. Here we introduced a parametric spectrum analysis and frequency estimate using power transfer function. Estimate of the power transfer function is obtained using the modified generalized Yule-Walker approach. Another important problem in statistical signal processing is to identify the number of sinusoidal components in an observed signal. We used a modified version of the proposed information criteria for this purpose.

Studies on the meteriological aspects of air pollution over Cochin

Pollutants that once enter into the earth’s atmosphere become part of the atmosphere and hence their dispersion, dilution, direction of transportation etc. are governed by the meteorological conditions. The thesis deals with the study of the atmospheric dispersion capacity, wind climatology, atmospheric stability, pollutant distribution by means of a model and the suggestions for a comprehensive planning for the industrially developing city, Cochin. The definition, sources, types and effects of air pollution have been dealt with briefly. The influence of various meteorological parameters such as vector wind, temperature and its vertical structure and atmospheric stability in relation to pollutant dispersal have been studied. The importance of inversions, mixing heights, ventilation coefficients were brought out. The spatial variation of mixing heights studies for the first time on a microscale region, serves to delineate the regions of good and poor dispersal capacity. A study of wind direction fluctuation, σθ and its relation to stability and mixing heights were shown to be much useful. It was shown that there is a necessity to look into the method of σθ computation. The development of Gausssian Plume Model along with the application for multiple sources was presented. The pollutant chosen was sulphur dioxide and industrial sources alone were considered. The percentage frequency of occurrence of inversions and isothermals are found to be low in all months during the year. The spatial variation of mixing heights revealed that a single mixing height cannot be taken as a representative for the whole city have low mixing heights and monsoonal months showed lowest mixing heights. The study of ventilation co-efficients showed values less than the required optimum value 6000m2/5. However, the low values may be due to the consideration of surface wind alone instead of the vertically averaged wind. Relatively more calm conditions and light winds during night and strong winds during day time were observed. During the most of the year westerlies during day time and northeasterlies during night time are the dominant winds. Unstable conditions with high values of σθ during day time and stable conditions with lower values of σθ during night time are the prominent features. Monsoonal months showed neutral stability for most of the time. A study σθ of and Pasquill Stability category has revealed the difficulty in giving a unique value of for each stability category. For the first time regression equations have been developed relating mixing heights and σθ. A closer examination of σθ revealed that half of the range of wind direction fluctuations is to be taken, instead of one by sixth, to compute σθ. The spatial distribution of SO2 showed a more or less uniform distribution with a slight intrusion towards south. Winter months showed low concentrations contrary to the expectations. The variations of the concentration is found to be influenced more by the mixing height and the stack height rather than wind speed. In the densely populated areas the concentration is more than the threshold limit value. However, the values reported appear to be high, because no depletion of the material is assumed through dry or wet depositions and also because of the inclusion of calm conditions with a very light wind speed. A reduction of emission during night time with a consequent rise during day time would bring down the levels of pollution. The probable locations for the new industries could be the extreme southeast parts because the concentration towards the north falls off very quickly resulting low concentrations. In such a case pollutant spread would be towards south and west, thus keeping the city interior relatively free from pollution. A more detailed examination of the pollutant spread by means of models that would take the dry and wet depositions may be necessary. Nevertheless, the present model serves to give the trend of the distribution of pollutant concentration with which one can suggest the optimum locations for the new industries