Improved multiexponential transient spectroscopy by iterative deconvolution

The analysis of multiexponential decays is challenging because of their complex nature. When analyzing these signals, not only the parameters, but also the orders of the models, have to be estimated. We present an improved spectroscopic technique specially suited for this purpose. The proposed algorithm combines an iterative linear filter with an iterative deconvolution method. A thorough analysis of the noise effect is presented. The performance is tested with synthetic and experimental data.

Can we identify Walrasian allocations?

[eng] We consider a discrete time, pure exchange infinite horizon economy with two or more consumers and at least one concumption good per period. Within the framework of decentralized mechanisms, we show that for a given consumption trade at any period of time, say at time one, the consumers will need, in general, an infinite dimensional (informational) space to identigy such a trade as an intemporal Walrasian one. However, we show and characterize a set of enviroments where the Walrasian trades at each period of time can be achieved as the equilibrium trades of a sequence of decentralized competitive mechanisms, using only both current prices and quantities to coordinate decisions.

Availability of soil water under tillage systems, mulch management and citrus rootstocks

The increased availability of soil water is important for the management of non-irrigated orange orchards. The objective of this study was to evaluate the availability of soil water in a Haplorthox (Rhodic Ferralsol) under different tillage systems used for orchard plantation, mulch management and rootstocks in a "Pêra" orange orchard in northwest Paraná, Brazil. An experiment in a split-split-plot design was established in 2002, in an area cultivated with Brachiaria brizantha grass in which three tillage systems (no tillage, conventional tillage and strip-tillage) were used for orchard plantation. This grass was mowed twice a year between the rows, representing two mulch managements in the split plots (no mulching and mulching in the plant rows). The split-split-plots were represented by two rootstocks ("Rangpur" lime and "Cleopatra" mandarin). The soil water content in the plant rows was evaluated in the 0-20 cm layer in 2007 and at 0-20 and 20-40 cm in 2008-2009. The effect of soil tillage systems prior to implantation of orange orchards on soil water availability was less pronounced than mulching and the rootstocks. The soil water availability was lower when "Pêra" orange trees were grafted on "Cleopatra" mandarin than on "Rangpur" lime rootstocks. Mulching had a positive influence on soil water availability in the sandy surface layer (0-20 cm) and sandy clay loam subsurface (20-40 cm) of the soil in the spring. The production of B. brizantha between the rows and residue disposal in the plant rows as mulch increased water availability to the "Pêra" orange trees.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Estimation of water percolation by different methods using TDR

Detailed knowledge on water percolation into the soil in irrigated areas is fundamental for solving problems of drainage, pollution and the recharge of underground aquifers. The aim of this study was to evaluate the percolation estimated by time-domain-reflectometry (TDR) in a drainage lysimeter. We used Darcy's law with K(θ) functions determined by field and laboratory methods and by the change in water storage in the soil profile at 16 points of moisture measurement at different time intervals. A sandy clay soil was saturated and covered with plastic sheet to prevent evaporation and an internal drainage trial in a drainage lysimeter was installed. The relationship between the observed and estimated percolation values was evaluated by linear regression analysis. The results suggest that percolation in the field or laboratory can be estimated based on continuous monitoring with TDR, and at short time intervals, of the variations in soil water storage. The precision and accuracy of this approach are similar to those of the lysimeter and it has advantages over the other evaluated methods, of which the most relevant are the possibility of estimating percolation in short time intervals and exemption from the predetermination of soil hydraulic properties such as water retention and hydraulic conductivity. The estimates obtained by the Darcy-Buckingham equation for percolation levels using function K(θ) predicted by the method of Hillel et al. (1972) provided compatible water percolation estimates with those obtained in the lysimeter at time intervals greater than 1 h. The methods of Libardi et al. (1980), Sisson et al. (1980) and van Genuchten (1980) underestimated water percolation.

Modelling diffusion of innovations in a social network

A simple model of diffusion of innovations in a social network with upgrading costs is introduced. Agents are characterized by a single real variable, their technological level. According to local information, agents decide whether to upgrade their level or not, balancing their possible benefit with the upgrading cost. A critical point where technological avalanches display a power-law behavior is also found. This critical point is characterized by a macroscopic observable that turns out to optimize technological growth in the stationary state. Analytical results supporting our findings are found for the globally coupled case.

Analysis of linear networks with inconsistent initial conditions

This paper presents a new method to analyze timeinvariant linear networks allowing the existence of inconsistent initial conditions. This method is based on the use of distributions and state equations. Any time-invariant linear network can be analyzed. The network can involve any kind of pure or controlled sources. Also, the transferences of energy that occur at t=O are determined, and the concept of connection energy is introduced. The algorithms are easily implemented in a computer program.

Analysis of an iterative deconvolution approach for estimating the source wavelet during waveform inversion of crosshole ground-penetrating radar data

A major issue in the application of waveform inversion methods to crosshole georadar data is the accurate estimation of the source wavelet. Here, we explore the viability and robustness of incorporating this step into a time-domain waveform inversion procedure through an iterative deconvolution approach. Our results indicate that, at least in non-dispersive electrical environments, such an approach provides remarkably accurate and robust estimates of the source wavelet even in the presence of strong heterogeneity in both the dielectric permittivity and electrical conductivity. Our results also indicate that the proposed source wavelet estimation approach is relatively insensitive to ambient noise and to the phase characteristics of the starting wavelet. Finally, there appears to be little-to-no trade-off between the wavelet estimation and the tomographic imaging procedures.

Nonlinear chemoconvection in the Methylene-blue-glucose system

Interfacial hydrodynamic instabilities arise in a range of chemical systems. One mechanism for instability is the occurrence of unstable density gradients due to the accumulation of reaction products. In this paper we conduct two-dimensional nonlinear numerical simulations for a member of this class of system: the methylene-blue¿glucose reaction. The result of these reactions is the oxidation of glucose to a relatively, but marginally, dense product, gluconic acid, that accumulates at oxygen permeable interfaces, such as the surface open to the atmosphere. The reaction is catalyzed by methylene-blue. We show that simulations help to disassemble the mechanisms responsible for the onset of instability and evolution of patterns, and we demonstrate that some of the results are remarkably consistent with experiments. We probe the impact of the upper oxygen boundary condition, for fixed flux, fixed concentration, or mixed boundary conditions, and find significant qualitative differences in solution behavior; structures either attract or repel one another depending on the boundary condition imposed. We suggest that measurement of the form of the boundary condition is possible via observation of oxygen penetration, and improved product yields may be obtained via proper control of boundary conditions in an engineering setting. We also investigate the dependence on parameters such as the Rayleigh number and depth. Finally, we find that pseudo-steady linear and weakly nonlinear techniques described elsewhere are useful tools for predicting the behavior of instabilities beyond their formal range of validity, as good agreement is obtained with the simulations.

Can we identify Walrasian allocations?

[eng] We consider a discrete time, pure exchange infinite horizon economy with two or more consumers and at least one concumption good per period. Within the framework of decentralized mechanisms, we show that for a given consumption trade at any period of time, say at time one, the consumers will need, in general, an infinite dimensional (informational) space to identigy such a trade as an intemporal Walrasian one. However, we show and characterize a set of enviroments where the Walrasian trades at each period of time can be achieved as the equilibrium trades of a sequence of decentralized competitive mechanisms, using only both current prices and quantities to coordinate decisions.

Heated Optical Fiber for Distributed Soil-Moisture Measurements: A Lysimeter Experiment

An Actively Heated Fiber Optics (AHFO) method to estimate soil moisture is tested and the analysis technique improved on. The measurements were performed in a lysimeter uniformly packed with loam soil with variable water content profiles. In the first meter of the soil profi le, 30 m of fiber optic cable were installed in a 12 loops coil. The metal sheath armoring the fiber cable was used as an electrical resistance heater to generate a heat pulse, and the soil response was monitored with a Distributed Temperature Sensing (DTS) system. We study the cooling following three continuous heat pulses of 120 s at 36 W m(-1) by means of long-time approximation of radial heat conduction. The soil volumetric water contents were then inferred from the estimated thermal conductivities through a specifically calibrated model relating thermal conductivity and volumetric water content. To use the pre-asymptotic data we employed a time correction that allowed the volumetric water content to be estimated with a precision of 0.01-0.035 (m(3) m(-3)). A comparison of the AHFO measurements with soil-moisture measurements obtained with calibrated capacitance-based probes gave good agreement for wetter soils [discrepancy between the two methods was less than 0.04 (m(3) m(-3))]. In the shallow drier soils, the AHFO method underestimated the volumetric water content due to the longertime required for the temperature increment to become asymptotic in less thermally conductive media [discrepancy between the two methods was larger than 0.1 (m(3) m(-3))]. The present work suggests that future applications of the AHFO method should include longer heat pulses, that longer heating and cooling events are analyzed, and, temperature increments ideally be measured with higher frequency.

Source-wavelet estimation during full-waveform inversion of ground-penetrating radar data

A major issue in the application of waveform inversion methods to crosshole ground-penetrating radar (GPR) data is the accurate estimation of the source wavelet. Here, we explore the viability and robustness of incorporating this step into a recently published time-domain inversion procedure through an iterative deconvolution approach. Our results indicate that, at least in non-dispersive electrical environments, such an approach provides remarkably accurate and robust estimates of the source wavelet even in the presence of strong heterogeneity of both the dielectric permittivity and electrical conductivity. Our results also indicate that the proposed source wavelet estimation approach is relatively insensitive to ambient noise and to the phase characteristics of the starting wavelet. Finally, there appears to be little to no trade-off between the wavelet estimation and the tomographic imaging procedures.

Rockfall induced seismic signals: case study in Montserrat, Catalonia

After a rockfall event, a usual post event survey includes qualitative volume estimation, trajectory mapping and determination of departing zones. However, quantitative measurements are not usually made. Additional relevant quantitative information could be useful in determining the spatial occurrence of rockfall events and help us in quantifying their size. Seismic measurements could be suitable for detection purposes since they are non invasive methods and are relatively inexpensive. Moreover, seismic techniques could provide important information on rockfall size and location of impacts. On 14 February 2007 the Avalanche Group of the University of Barcelona obtained the seismic data generated by an artificially triggered rockfall event at the Montserrat massif (near Barcelona, Spain) carried out in order to purge a slope. Two 3 component seismic stations were deployed in the area about 200 m from the explosion point that triggered the rockfall. Seismic signals and video images were simultaneously obtained. The initial volume of the rockfall was estimated to be 75 m3 by laser scanner data analysis. After the explosion, dozens of boulders ranging from 10¿4 to 5 m3 in volume impacted on the ground at different locations. The blocks fell down onto a terrace, 120 m below the release zone. The impact generated a small continuous mass movement composed of a mixture of rocks, sand and dust that ran down the slope and impacted on the road 60 m below. Time, time-frequency evolution and particle motion analysis of the seismic records and seismic energy estimation were performed. The results are as follows: 1 ¿ A rockfall event generates seismic signals with specific characteristics in the time domain; 2 ¿ the seismic signals generated by the mass movement show a time-frequency evolution different from that of other seismogenic sources (e.g. earthquakes, explosions or a single rock impact). This feature could be used for detection purposes; 3 ¿ particle motion plot analysis shows that the procedure to locate the rock impact using two stations is feasible; 4 ¿ The feasibility and validity of seismic methods for the detection of rockfall events, their localization and size determination are comfirmed.

Estimating vadose zone hydraulic properties using ground penetrating radar: The impact of prior information

A number of geophysical methods, such as ground-penetrating radar (GPR), have the potential to provide valuable information on hydrological properties in the unsaturated zone. In particular, the stochastic inversion of such data within a coupled geophysical-hydrological framework may allow for the effective estimation of vadose zone hydraulic parameters and their corresponding uncertainties. A critical issue in stochastic inversion is choosing prior parameter probability distributions from which potential model configurations are drawn and tested against observed data. A well chosen prior should reflect as honestly as possible the initial state of knowledge regarding the parameters and be neither overly specific nor too conservative. In a Bayesian context, combining the prior with available data yields a posterior state of knowledge about the parameters, which can then be used statistically for predictions and risk assessment. Here we investigate the influence of prior information regarding the van Genuchten-Mualem (VGM) parameters, which describe vadose zone hydraulic properties, on the stochastic inversion of crosshole GPR data collected under steady state, natural-loading conditions. We do this using a Bayesian Markov chain Monte Carlo (MCMC) inversion approach, considering first noninformative uniform prior distributions and then more informative priors derived from soil property databases. For the informative priors, we further explore the effect of including information regarding parameter correlation. Analysis of both synthetic and field data indicates that the geophysical data alone contain valuable information regarding the VGM parameters. However, significantly better results are obtained when we combine these data with a realistic, informative prior.

Full-waveform inversion of cross-hole ground-penetrating radar data to characterize a gravel aquifer close to the Thur River, Switzerland

Cross-hole radar tomography is a useful tool for mapping shallow subsurface electrical properties viz. dielectric permittivity and electrical conductivity. Common practice is to invert cross-hole radar data with ray-based tomographic algorithms using first arrival traveltimes and first cycle amplitudes. However, the resolution of conventional standard ray-based inversion schemes for cross-hole ground-penetrating radar (GPR) is limited because only a fraction of the information contained in the radar data is used. The resolution can be improved significantly by using a full-waveform inversion that considers the entire waveform, or significant parts thereof. A recently developed 2D time-domain vectorial full-waveform crosshole radar inversion code has been modified in the present study by allowing optimized acquisition setups that reduce the acquisition time and computational costs significantly. This is achieved by minimizing the number of transmitter points and maximizing the number of receiver positions. The improved algorithm was employed to invert cross-hole GPR data acquired within a gravel aquifer (4-10 m depth) in the Thur valley, Switzerland. The simulated traces of the final model obtained by the full-waveform inversion fit the observed traces very well in the lower part of the section and reasonably well in the upper part of the section. Compared to the ray-based inversion, the results from the full-waveform inversion show significantly higher resolution images. At either side, 2.5 m distance away from the cross-hole plane, borehole logs were acquired. There is a good correspondence between the conductivity tomograms and the natural gamma logs at the boundary of the gravel layer and the underlying lacustrine clay deposits. Using existing petrophysical models, the inversion results and neutron-neutron logs are converted to porosity. Without any additional calibration, the values obtained for the converted neutron-neutron logs and permittivity results are very close and similar vertical variations can be observed. The full-waveform inversion provides in both cases additional information about the subsurface. Due to the presence of the water table and associated refracted/reflected waves, the upper traces are not well fitted and the upper 2 m in the permittivity and conductivity tomograms are not reliably reconstructed because the unsaturated zone is not incorporated into the inversion domain.