Analysis of Stochastic Volatility Sequences Generated by Product Autoregressive Models

The classical methods of analysing time series by Box-Jenkins approach assume that the observed series uctuates around changing levels with constant variance. That is, the time series is assumed to be of homoscedastic nature. However, the nancial time series exhibits the presence of heteroscedasticity in the sense that, it possesses non-constant conditional variance given the past observations. So, the analysis of nancial time series, requires the modelling of such variances, which may depend on some time dependent factors or its own past values. This lead to introduction of several classes of models to study the behaviour of nancial time series. See Taylor (1986), Tsay (2005), Rachev et al. (2007). The class of models, used to describe the evolution of conditional variances is referred to as stochastic volatility modelsThe stochastic models available to analyse the conditional variances, are based on either normal or log-normal distributions. One of the objectives of the present study is to explore the possibility of employing some non-Gaussian distributions to model the volatility sequences and then study the behaviour of the resulting return series. This lead us to work on the related problem of statistical inference, which is the main contribution of the thesis

Multisensor Modeling Underwater with Uncertain Information

This thesis develops an approach to the construction of multidimensional stochastic models for intelligent systems exploring an underwater environment. It describes methods for building models by a three- dimensional spatial decomposition of stochastic, multisensor feature vectors. New sensor information is incrementally incorporated into the model by stochastic backprojection. Error and ambiguity are explicitly accounted for by blurring a spatial projection of remote sensor data before incorporation. The stochastic models can be used to derive surface maps or other representations of the environment. The methods are demonstrated on data sets from multibeam bathymetric surveying, towed sidescan bathymetry, towed sidescan acoustic imagery, and high-resolution scanning sonar aboard a remotely operated vehicle.

Prediction of glucose excursions under uncertain parameters and food intake in intensive insulin therapy for type 1 diabetes mellitus

Considering the difficulty in the insulin dosage selection and the problem of hyper- and hypoglycaemia episodes in type 1 diabetes, dosage-aid systems appear as tremendously helpful for these patients. A model-based approach to this problem must unavoidably consider uncertainty sources such as the large intra-patient variability and food intake. This work addresses the prediction of glycaemia for a given insulin therapy face to parametric and input uncertainty, by means of modal interval analysis. As result, a band containing all possible glucose excursions suffered by the patient for the given uncertainty is obtained. From it, a safer prediction of possible hyper- and hypoglycaemia episodes can be calculated

Constraint satisfaction techniques under uncertain conditions for fault diagnosis in nonlinear dynamic systems

The speed of fault isolation is crucial for the design and reconfiguration of fault tolerant control (FTC). In this paper the fault isolation problem is stated as a constraint satisfaction problem (CSP) and solved using constraint propagation techniques. The proposed method is based on constraint satisfaction techniques and uncertainty space refining of interval parameters. In comparison with other approaches based on adaptive observers, the major advantage of the presented method is that the isolation speed is fast even taking into account uncertainty in parameters, measurements and model errors and without the monotonicity assumption. In order to illustrate the proposed approach, a case study of a nonlinear dynamic system is presented

Active control of structures with uncertain coupled subsystems and actuator dynamics

This paper deals with the problem of stabilizing a class of structures subject to an uncertain excitation due to the temporary coupling of the main system with another uncertain dynamical subsystem. A Lyapunov function based control scheme is proposed to attenuate the structural vibration. In the control design, the actuator dynamics is taken into account. The control scheme is implemented by using only feedback information of the main system. The effectiveness of the control scheme is shown for a bridge platform with crossing vehicle

Metodologías de valoración de empresas

La valoración de una empresa como sistema dinámico es bastante compleja, los diferentes modelos o métodos de valoración son una aproximación teórica y por consiguiente simplificadora de la realidad. Dichos modelos, se aproximan mediante supuestos o premisas estadísticas que nos permiten hacer dicha simplificación, ejemplos de estos, son el comportamiento del inversionista o la eficiencia del mercado. Bajo el marco de un mercado emergente, este proceso presenta de indistinta forma retos paracualquier método de valoración, dado a que el mercado no obedece a los paradigmas tradicionales. Lo anterior hace referencia a que la valoración es aún más compleja, dado que los inversionistas se enfrentan a mayores riesgos y obstáculos. Así mismo, a medida que las economías se globalizan y el capital es más móvil, la valoración tomaráaún más importancia en el contexto citado. Este trabajo de gradopretende recopilar y analizar los diferentes métodos de valoración, además de identificar y aplicar aquellos que se reconocen como “buenas prácticas”. Este proceso se llevó a cabo para una de las empresas más importantes de Colombia, donde fundamentalmente se consideró el contexto de mercado emergente y específicamente el sector petrolero, como criterios para la aplicación del tradicional DCF y el práctico R&V.

New delay-dependent stability criteria for uncertain neutral systems with mixed time-varying delays and nonlinear perturbations

The problem of stability analysis for a class of neutral systems with mixed time-varying neutral, discrete and distributed delays and nonlinear parameter perturbations is addressed. By introducing a novel Lyapunov-Krasovskii functional and combining the descriptor model transformation, the Leibniz-Newton formula, some free-weighting matrices, and a suitable change of variables, new sufficient conditions are established for the stability of the considered system, which are neutral-delay-dependent, discrete-delay-range dependent, and distributeddelay-dependent. The conditions are presented in terms of linear matrix inequalities (LMIs) and can be efficiently solved using convex programming techniques. Two numerical examples are given to illustrate the efficiency of the proposed method

A proposal for the diagnosis of uncertain dynamic systems based on interval models

The performance of a model-based diagnosis system could be affected by several uncertainty sources, such as,model errors,uncertainty in measurements, and disturbances. This uncertainty can be handled by mean of interval models.The aim of this thesis is to propose a methodology for fault detection, isolation and identification based on interval models. The methodology includes some algorithms to obtain in an automatic way the symbolic expression of the residual generators enhancing the structural isolability of the faults, in order to design the fault detection tests. These algorithms are based on the structural model of the system. The stages of fault detection, isolation, and identification are stated as constraint satisfaction problems in continuous domains and solved by means of interval based consistency techniques. The qualitative fault isolation is enhanced by a reasoning in which the signs of the symptoms are derived from analytical redundancy relations or bond graph models of the system. An initial and empirical analysis regarding the differences between interval-based and statistical-based techniques is presented in this thesis. The performance and efficiency of the contributions are illustrated through several application examples, covering different levels of complexity.

Application of modal interval analysis to the simulation of the behaviour of dynamic systems with uncertain parameters

Els models matemàtics quantitatius són simplificacions de la realitat i per tant el comportament obtingut per simulació d'aquests models difereix dels reals. L'ús de models quantitatius complexes no és una solució perquè en la majoria dels casos hi ha alguna incertesa en el sistema real que no pot ser representada amb aquests models. Una forma de representar aquesta incertesa és mitjançant models qualitatius o semiqualitatius. Un model d'aquest tipus de fet representa un conjunt de models. La simulació del comportament de models quantitatius genera una trajectòria en el temps per a cada variable de sortida. Aquest no pot ser el resultat de la simulació d'un conjunt de models. Una forma de representar el comportament en aquest cas és mitjançant envolupants. L'envolupant exacta és complete, és a dir, inclou tots els possibles comportaments del model, i correcta, és a dir, tots els punts dins de l'envolupant pertanyen a la sortida de, com a mínim, una instància del model. La generació d'una envolupant així normalment és una tasca molt dura que es pot abordar, per exemple, mitjançant algorismes d'optimització global o comprovació de consistència. Per aquesta raó, en molts casos s'obtenen aproximacions a l'envolupant exacta. Una aproximació completa però no correcta a l'envolupant exacta és una envolupant sobredimensionada, mentre que una envolupant correcta però no completa és subdimensionada. Aquestes propietats s'han estudiat per diferents simuladors per a sistemes incerts.

Robust Control of Systems Subjected to Uncertain Disturbances and Actuator Dynamics

Esta tesis está enfocada al diseño y validación de controladores robustos que pueden reducir de una manera efectiva las vibraciones structurales producidas por perturbaciones externas tales como terremotos, fuertes vientos o cargas pesadas. Los controladores están diseñados basados en teorías de control tradicionalamente usadas en esta area: Teoría de estabilidad de Lyapunov, control en modo deslizante y control clipped-optimal, una técnica reciente mente introducida : Control Backstepping y una que no había sido usada antes: Quantitative Feedback Theory. La principal contribución al usar las anteriores técnicas, es la solución de problemas de control estructural abiertos tales como dinámicas de actuador, perturbaciones desconocidas, parametros inciertos y acoplamientos dinámicos. Se utilizan estructuras típicas para validar numéricamente los controladores propuestos. Especificamente las estructuras son un edificio de base aislada, una plataforma estructural puente-camión y un puente de 2 tramos, cuya configuración de control es tal que uno o mas problemas abiertos están presentes. Se utilizan tres prototipos experimentales para implementar los controladores robustos propuestos, con el fin de validar experimentalmente su efectividad y viabilidad. El principal resultado obtenido con la presente tesis es el diseño e implementación de controladores estructurales robustos que resultan efectivos para resolver problemas abiertos en control estructural tales como dinámicas de actuador, parámetros inciertos, acoplamientos dinámicos, limitación de medidas y perturbaciones desconocidas.

Private long-term investment in uncertain times. Bruegel Policy Contribution 2012/23, December 2012

The economic and financial crisis in Europe is affecting the financing of long-term infrastructure investment. There are multiple clearly identifiable channels: reduced demand for long-term investment, a tightening prudential framework for lending, upward adjustment of risk perception, complex transition of the financial system, and increasing macroeconomic, sovereign and regulatory risk. Some of the identified channels are potentially dangerous spillovers from the crisis that entail the risk of a downward spiral (eg increasing regulatory risk), while others are efficient market responses (eg reduced investment demand, correction of pricing of risk). Consequently, public policy instruments should not address the accessibility of long-term finance per se, but should explicitly target the critical channels.

Calibration of uncertain flood inundation models using remotely sensed water levels

A traditional method of validating the performance of a flood model when remotely sensed data of the flood extent are available is to compare the predicted flood extent to that observed. The performance measure employed often uses areal pattern-matching to assess the degree to which the two extents overlap. Recently, remote sensing of flood extents using synthetic aperture radar (SAR) and airborne scanning laser altimetry (LIDAR) has made more straightforward the synoptic measurement of water surface elevations along flood waterlines, and this has emphasised the possibility of using alternative performance measures based on height. This paper considers the advantages that can accrue from using a performance measure based on waterline elevations rather than one based on areal patterns of wet and dry pixels. The two measures were compared for their ability to estimate flood inundation uncertainty maps from a set of model runs carried out to span the acceptable model parameter range in a GLUE-based analysis. A 1 in 5-year flood on the Thames in 1992 was used as a test event. As is typical for UK floods, only a single SAR image of observed flood extent was available for model calibration and validation. A simple implementation of a two-dimensional flood model (LISFLOOD-FP) was used to generate model flood extents for comparison with that observed. The performance measure based on height differences of corresponding points along the observed and modelled waterlines was found to be significantly more sensitive to the channel friction parameter than the measure based on areal patterns of flood extent. The former was able to restrict the parameter range of acceptable model runs and hence reduce the number of runs necessary to generate an inundation uncertainty map. A result of this was that there was less uncertainty in the final flood risk map. The uncertainty analysis included the effects of uncertainties in the observed flood extent as well as in model parameters. The height-based measure was found to be more sensitive when increased heighting accuracy was achieved by requiring that observed waterline heights varied slowly along the reach. The technique allows for the decomposition of the reach into sections, with different effective channel friction parameters used in different sections, which in this case resulted in lower r.m.s. height differences between observed and modelled waterlines than those achieved by runs using a single friction parameter for the whole reach. However, a validation of the modelled inundation uncertainty using the calibration event showed a significant difference between the uncertainty map and the observed flood extent. While this was true for both measures, the difference was especially significant for the height-based one. This is likely to be due to the conceptually simple flood inundation model and the coarse application resolution employed in this case. The increased sensitivity of the height-based measure may lead to an increased onus being placed on the model developer in the production of a valid model

Over-parameterised, uncertain 'mathematical marionettes' - How can we best use catchment water quality models? An example of an 80-year catchment-scale nutrient balance

The Integrated Catchment Model of Nitrogen (INCA-N) was applied to the River Lambourn, a Chalk river-system in southern England. The model's abilities to simulate the long-term trend and seasonal patterns in observed stream water nitrate concentrations from 1920 to 2003 were tested. This is the first time a semi-distributed, daily time-step model has been applied to simulate such a long time period and then used to calculate detailed catchment nutrient budgets which span the conversion of pasture to arable during the late 1930s and 1940s. Thus, this work goes beyond source apportionment and looks to demonstrate how such simulations can be used to assess the state of the catchment and develop an understanding of system behaviour. The mass-balance results from 1921, 1922, 1991, 2001 and 2002 are presented and those for 1991 are compared to other modelled and literature values of loads associated with nitrogen soil processes and export. The variations highlighted the problem of comparing modelled fluxes with point measurements but proved useful for identifying the most poorly understood inputs and processes thereby providing an assessment of input data and model structural uncertainty. The modelled terrestrial and instream mass-balances also highlight the importance of the hydrological conditions in pollutant transport. Between 1922 and 2002, increased inputs of nitrogen from fertiliser, livestock and deposition have altered the nitrogen balance with a shift from possible reduction in soil fertility but little environmental impact in 1922, to a situation of nitrogen accumulation in the soil, groundwater and instream biota in 2002. In 1922 and 2002 it was estimated that approximately 2 and 18 kg N ha(-1) yr(-1) respectively were exported from the land to the stream. The utility of the approach and further considerations for the best use of models are discussed. (C) 2008 Elsevier B.V. All rights reserved.

Over-parameterised, uncertain 'mathematical marionettes' - How can we best use catchment water quality models? An example of an 80-year catchment-scale nutrient balance

The Integrated Catchment Model of Nitrogen (INCA-N) was applied to the River Lambourn, a Chalk river-system in southern England. The model's abilities to simulate the long-term trend and seasonal patterns in observed stream water nitrate concentrations from 1920 to 2003 were tested. This is the first time a semi-distributed, daily time-step model has been applied to simulate such a long time period and then used to calculate detailed catchment nutrient budgets which span the conversion of pasture to arable during the late 1930s and 1940s. Thus, this work goes beyond source apportionment and looks to demonstrate how such simulations can be used to assess the state of the catchment and develop an understanding of system behaviour. The mass-balance results from 1921, 1922, 1991, 2001 and 2002 are presented and those for 1991 are compared to other modelled and literature values of loads associated with nitrogen soil processes and export. The variations highlighted the problem of comparing modelled fluxes with point measurements but proved useful for identifying the most poorly understood inputs and processes thereby providing an assessment of input data and model structural uncertainty. The modelled terrestrial and instream mass-balances also highlight the importance of the hydrological conditions in pollutant transport. Between 1922 and 2002, increased inputs of nitrogen from fertiliser, livestock and deposition have altered the nitrogen balance with a shift from possible reduction in soil fertility but little environmental impact in 1922, to a situation of nitrogen accumulation in the soil, groundwater and instream biota in 2002. In 1922 and 2002 it was estimated that approximately 2 and 18 kg N ha(-1) yr(-1) respectively were exported from the land to the stream. The utility of the approach and further considerations for the best use of models are discussed. (C) 2008 Elsevier B.V. All rights reserved.