Local-Median Method of Forecasting for Regression Time Series under Outliers

2002 Mathematics Subject Classification: 62M20, 62-07, 62J05, 62P20.

Tail Inference for a Law in a Max-Semistable Domain of Attraction

2000 Mathematics Subject Classification: 62G32, 62G05.

On a Second Order Condition for Max-Semistable Laws

2000 Mathematics Subject Classification: 62G32, 62G20.

Functional Transfer Theorems for Maxima of Stationary Processes

2000 Mathematics Subject Classification: 60G70, 60F12, 60G10.

A Modified Model of Risk Business

2000 Mathematics Subject Classification: 60K10, 62P05

On Estimation and Testing for Pareto Tails

2010 Mathematics Subject Classification: 62F10, 62F12.

Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Experimental and Analytical Methodologies for Predicting Peak Loads on Building Envelopes and Roofing Systems

The performance of building envelopes and roofing systems significantly depends on accurate knowledge of wind loads and the response of envelope components under realistic wind conditions. Wind tunnel testing is a well-established practice to determine wind loads on structures. For small structures much larger model scales are needed than for large structures, to maintain modeling accuracy and minimize Reynolds number effects. In these circumstances the ability to obtain a large enough turbulence integral scale is usually compromised by the limited dimensions of the wind tunnel meaning that it is not possible to simulate the low frequency end of the turbulence spectrum. Such flows are called flows with Partial Turbulence Simulation. In this dissertation, the test procedure and scaling requirements for tests in partial turbulence simulation are discussed. A theoretical method is proposed for including the effects of low-frequency turbulences in the post-test analysis. In this theory the turbulence spectrum is divided into two distinct statistical processes, one at high frequencies which can be simulated in the wind tunnel, and one at low frequencies which can be treated in a quasi-steady manner. The joint probability of load resulting from the two processes is derived from which full-scale equivalent peak pressure coefficients can be obtained. The efficacy of the method is proved by comparing predicted data derived from tests on large-scale models of the Silsoe Cube and Texas-Tech University buildings in Wall of Wind facility at Florida International University with the available full-scale data. For multi-layer building envelopes such as rain-screen walls, roof pavers, and vented energy efficient walls not only peak wind loads but also their spatial gradients are important. Wind permeable roof claddings like roof pavers are not well dealt with in many existing building codes and standards. Large-scale experiments were carried out to investigate the wind loading on concrete pavers including wind blow-off tests and pressure measurements. Simplified guidelines were developed for design of loose-laid roof pavers against wind uplift. The guidelines are formatted so that use can be made of the existing information in codes and standards such as ASCE 7-10 on pressure coefficients on components and cladding.

Fluxo de fluído através de um meio poroso fractal desordenado. Análise das tensões de cisalhamento e efeito de escala na estimativa das forças viscosas

In this work we have investigated some aspects of the two-dimensional flow of a viscous Newtonian fluid through a disordered porous medium modeled by a random fractal system similar to the Sierpinski carpet. This fractal is formed by obstacles of various sizes, whose distribution function follows a power law. They are randomly disposed in a rectangular channel. The velocity field and other details of fluid dynamics are obtained by solving numerically of the Navier-Stokes and continuity equations at the pore level, where occurs actually the flow of fluids in porous media. The results of numerical simulations allowed us to analyze the distribution of shear stresses developed in the solid-fluid interfaces, and find algebraic relations between the viscous forces or of friction with the geometric parameters of the model, including its fractal dimension. Based on the numerical results, we proposed scaling relations involving the relevant parameters of the phenomenon, allowing quantifying the fractions of these forces with respect to size classes of obstacles. Finally, it was also possible to make inferences about the fluctuations in the form of the distribution of viscous stresses developed on the surface of obstacles.

A bidding strategy for minimizing the imbalances costs for renewable generators in Spanish power markets

The aim of this paper is to suggest a simple methodology to be used by renewable power generators to bid in Spanish markets in order to minimize the cost of their imbalances. As it is known, the optimal bid depends on the probability distribution function of the energy to produce, of the probability distribution function of the future system imbalance and of its expected cost. We assume simple methods for estimating any of these parameters and, using actual data of 2014, we test the potential economic benefit for a wind generator from using our optimal bid instead of just the expected power generation. We find evidence that Spanish wind generators savings would be from 7% to 26%.

Numerical detection of the Gardner transition in a mean-field glass former.

Recent theoretical advances predict the existence, deep into the glass phase, of a novel phase transition, the so-called Gardner transition. This transition is associated with the emergence of a complex free energy landscape composed of many marginally stable sub-basins within a glass metabasin. In this study, we explore several methods to detect numerically the Gardner transition in a simple structural glass former, the infinite-range Mari-Kurchan model. The transition point is robustly located from three independent approaches: (i) the divergence of the characteristic relaxation time, (ii) the divergence of the caging susceptibility, and (iii) the abnormal tail in the probability distribution function of cage order parameters. We show that the numerical results are fully consistent with the theoretical expectation. The methods we propose may also be generalized to more realistic numerical models as well as to experimental systems.

Inhomogeneous cloud coverage through the Coulomb explosion of dust in substellar atmospheres

Context. Recent observations of brown dwarf spectroscopic variability in the infrared infer the presence of patchy cloud cover. Aims. This paper proposes a mechanism for producing inhomogeneous cloud coverage due to the depletion of cloud particles through the Coulomb explosion of dust in atmospheric plasma regions. Charged dust grains Coulomb-explode when the electrostatic stress of the grain exceeds its mechanical tensile stress, which results in grains below a critical radius a < a Coul crit being broken up. Methods. This work outlines the criteria required for the Coulomb explosion of dust clouds in substellar atmospheres, the effect on the dust particle size distribution function, and the resulting radiative properties of the atmospheric regions. Results. Our results show that for an atmospheric plasma region with an electron temperature of Te = 10 eV (≈105 K), the critical grain radius varies from 10−7 to 10−4 cm, depending on the grains’ tensile strength. Higher critical radii up to 10−3 cm are attainable for higher electron temperatures. We find that the process produces a bimodal particle size distribution composed of stable nanoscale seed particles and dust particles with a ≥ a Coul crit , with the intervening particle sizes defining a region devoid of dust. As a result, the dust population is depleted, and the clouds become optically thin in the wavelength range 0.1–10 μm, with a characteristic peak that shifts to higher wavelengths as more sub-micrometer particles are destroyed. Conclusions. In an atmosphere populated with a distribution of plasma volumes, this will yield regions of contrasting radiative properties, thereby giving a source of inhomogeneous cloud coverage. The results presented here may also be relevant for dust in supernova remnants and protoplanetary disks.

Wind wave prediction in the Caspian Sea

In this thesis, wind wave prediction and analysis in the Southern Caspian Sea are surveyed. Because of very much importance and application of this matter in reducing vital and financial damages or marine activities, such as monitoring marine pollution, designing marine structure, shipping, fishing, offshore industry, tourism and etc, gave attention by some marine activities. In this study are used the Caspian Sea topography data that are extracted from the Caspian Sea Hydrography map of Iran Armed Forces Geographical Organization and the I 0 meter wind field data that are extracted from the transmitted GTS synoptic data of regional centers to Forecasting Center of Iran Meteorological Organization for wave prediction and is used the 20012 wave are recorded by the oil company's buoy that was located at distance 28 Kilometers from Neka shore for wave analysis. The results of this research are as follows: - Because of disagreement between the prediction results of SMB method in the Caspian sea and wave data of the Anzali and Neka buoys. The SMB method isn't able to Predict wave characteristics in the Southern Caspian Sea. - Because of good relativity agreement between the WAM model output in the Caspian Sea and wave data of the Anzali buoy. The WAM model is able to predict wave characteristics in the southern Caspian Sea with high relativity accuracy. The extreme wave height distribution function for fitting to the Southern Caspian Sea wave data is obtained by determining free parameters of Poisson-Gumbel function through moment method. These parameters are as below: A=2.41, B=0.33. The maximum relative error between the estimated 4-year return value of the Southern Caspian Sea significant wave height by above function with the wave data of Neka buoy is about %35. The 100-year return value of the Southern Caspian Sea significant height wave is about 4.97 meter. The maximum relative error between the estimated 4-year return value of the Southern Caspian Sea significant wave height by statistical model of peak over threshold with the wave data of Neka buoy is about %2.28. The parametric relation for fitting to the Southern Caspian Sea frequency spectra is obtained by determining free parameters of the Strekalov, Massel and Krylov etal_ multipeak spectra through mathematical method. These parameters are as below: A = 2.9 B=26.26, C=0.0016 m=0.19 and n=3.69. The maximum relative error between calculated free parameters of the Southern Caspian Sea multipeak spectrum with the proposed free parameters of double-peaked spectrum by Massel and Strekalov on the experimental data from the Caspian Sea is about 36.1 % in spectrum energetic part and is about 74M% in spectrum high frequency part. The peak over threshold waverose of the Southern Caspian Sea shows that maximum occurrence probability of wave height is relevant to waves with 2-2.5 meters wave fhe error sources in the statistical analysis are mainly due to: l) the missing wave data in 2 years duration through battery discharge of Neka buoy. 2) the deportation %15 of significant height annual mean in single year than long period average value that is caused by lack of adequate measurement on oceanic waves, and the error sources in the spectral analysis are mainly due to above- mentioned items and low accurate of the proposed free parameters of double-peaked spectrum on the experimental data from the Caspian Sea.

Zastosowanie modelu hantli w badaniach właściwości fizykochemicznych i strukturalnych układów homo- i heterogenicznych metodą Monte Carlo

Wydział Chemii

Coagulation equations with mass loss

We derive and solve models for coagulation with mass loss arising, for example, from industrial processes in which growing inclusions are lost from the melt by colliding with the wall of the vessel. We consider a variety of loss laws and a variety of coagulation kernels, deriving exact results where possible, and more generally reducing the equations to similarity solutions valid in the large-time limit. One notable result is the effect that mass removal has on gelation: for small loss rates, gelation is delayed, whilst above a critical threshold, gelation is completely prevented. Finally, by forming an exact explicit solution for a more general initial cluster size distribution function, we illustrate how numerical results from earlier work can be interpreted in the light of the theory presented herein.