Drying peanut seed using air ambient temperature at low relative humidity

The moisture content of peanut kernel (Arachis hypogaea L.) at digging ranges from 30 to 50% on a wet basis (w.b.). The seed moisture content must be reduced to 10.5% or below before seeds can be graded and marketed. After digging, peanuts are cured on a window sill for two to five days then mechanically separated from the vine. Heated air is used to further dry the peanuts from approximately 18 to 10% moisture content w.b. Drying is required to maintain peanut seed and grain quality. Traditional dryers pass a high temperature and high humidity air stream through the seed mass. The drying time is long because the system is inefficient and the high temperature increases the risk of thermal damage to the kernels. New technology identified as heat pipe technology (HPT) is available and has the unique feature of removing the moisture from the air stream before it is heated and passed through the seed. A study was conducted to evaluate the performance of the HPT system in drying peanut seed. The seeds inside the shells were dried from 17.4 to 7.3% in 14 hours and 11 minutes, with a rate of moisture removal of 0.71% mc per hour. This drying process caused no reduction in seed quality as measured by the standard germination, accelerated ageing and field emergence tests. It was concluded that the HPT system is a promising technology for drying peanut seed when efficiency and maintenance of physiological quality are desired.

Stochastic particle models: mean reversion and burgers dynamics. An application to commodity markets

The aim of this study is to propose a stochastic model for commodity markets linked with the Burgers equation from fluid dynamics. We construct a stochastic particles method for commodity markets, in which particles represent market participants. A discontinuity in the model is included through an interacting kernel equal to the Heaviside function and its link with the Burgers equation is given. The Burgers equation and the connection of this model with stochastic differential equations are also studied. Further, based on the law of large numbers, we prove the convergence, for large N, of a system of stochastic differential equations describing the evolution of the prices of N traders to a deterministic partial differential equation of Burgers type. Numerical experiments highlight the success of the new proposal in modeling some commodity markets, and this is confirmed by the ability of the model to reproduce price spikes when their effects occur in a sufficiently long period of time.

On the path integral formulation and the evaluation of quantum statistical averages

Four problems of physical interest have been solved in this thesis using the path integral formalism. Using the trigonometric expansion method of Burton and de Borde (1955), we found the kernel for two interacting one dimensional oscillators• The result is the same as one would obtain using a normal coordinate transformation, We next introduced the method of Papadopolous (1969), which is a systematic perturbation type method specifically geared to finding the partition function Z, or equivalently, the Helmholtz free energy F, of a system of interacting oscillators. We applied this method to the next three problems considered• First, by summing the perturbation expansion, we found F for a system of N interacting Einstein oscillators^ The result obtained is the same as the usual result obtained by Shukla and Muller (1972) • Next, we found F to 0(Xi)f where A is the usual Tan Hove ordering parameter* The results obtained are the same as those of Shukla and Oowley (1971), who have used a diagrammatic procedure, and did the necessary sums in Fourier space* We performed the work in temperature space• Finally, slightly modifying the method of Papadopolous, we found the finite temperature expressions for the Debyecaller factor in Bravais lattices, to 0(AZ) and u(/K/ j,where K is the scattering vector* The high temperature limit of the expressions obtained here, are in complete agreement with the classical results of Maradudin and Flinn (1963) .

Latent Variable Models for Stochastic Discount Factors.

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time series of asset prices. In the CAPM or APT beta pricing models, the dimension reduction is cross-sectional in nature, while in time-series state-space models, dimension is reduced longitudinally by assuming conditional independence between consecutive returns, given a small number of state variables. In this paper, we use the concept of Stochastic Discount Factor (SDF) or pricing kernel as a unifying principle to integrate these two concepts of latent variables. Beta pricing relations amount to characterize the factors as a basis of a vectorial space for the SDF. The coefficients of the SDF with respect to the factors are specified as deterministic functions of some state variables which summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross-sectional factor structure, that is, a conditional independence between contemporaneous returns of a large number of assets, given a small number of factors, like in standard Factor Analysis. We provide this unifying analysis in the context of conditional equilibrium beta pricing as well as asset pricing with stochastic volatility, stochastic interest rates and other state variables. We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals. We interpret various instantaneous causality relationships between state variables and market fundamentals as leverage effects and discuss their central role relative to the validity of standard CAPM-like stock pricing and preference-free option pricing.

Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions.

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. We suggest controlling the size of such tests (under nonparametric assumptions) by using permutational versions of the tests jointly with the method of Monte Carlo tests properly adjusted to deal with discrete distributions. We also propose a combined test procedure, whose level is again perfectly controlled through the Monte Carlo test technique and has better power properties than the individual tests that are combined. Finally, in a simulation experiment, we show that the technique suggested provides perfect control of test size and that the new tests proposed can yield sizeable power improvements.

Nonparametric Instrumental Regression

The focus of the paper is the nonparametric estimation of an instrumental regression function P defined by conditional moment restrictions stemming from a structural econometric model : E[Y-P(Z)|W]=0 and involving endogenous variables Y and Z and instruments W. The function P is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Tikhonov regularization. The paper analyses identification and overidentification of this model and presents asymptotic properties of the estimated nonparametric instrumental regression function.

The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model.

We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is an arbitrary function of the conditional variance. For monthly S&P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect, as documented by others. Moreover, the shape of these relationships seems to be relatively stable over time.

Jumps in the Volatility of Financial Markets.

Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and Hidalgo (1996) to higher conditional moments, in particular the conditional variance. Simulation results show that the procedure provides reasonable estimates of the number and location of jumps. This procedure detects several jumps in the conditional variance of daily returns on the S&P 500 index.

An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests.

Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that with substantially correlated errors, the OLS estimate of the AR(1) parameter is severely biased. in this paper, we first show that this least squares bias induces a significant increase in the bias and mean-squared error of kernel-based estimators.

Efficient estimation using the characteristic function : theory and applications with high frequency data

The attached file is created with Scientific Workplace Latex

Déploiement automatique d’une application de routage téléphonique d’une langue source vers une langue cible

Les modèles de compréhension statistiques appliqués à des applications vocales nécessitent beaucoup de données pour être entraînés. Souvent, une même application doit pouvoir supporter plusieurs langues, c’est le cas avec les pays ayant plusieurs langues officielles. Il s’agit donc de gérer les mêmes requêtes des utilisateurs, lesquelles présentent une sémantique similaire, mais dans plusieurs langues différentes. Ce projet présente des techniques pour déployer automatiquement un modèle de compréhension statistique d’une langue source vers une langue cible. Ceci afin de réduire le nombre de données nécessaires ainsi que le temps relié au déploiement d’une application dans une nouvelle langue. Premièrement, une approche basée sur les techniques de traduction automatique est présentée. Ensuite une approche utilisant un espace sémantique commun pour comparer plusieurs langues a été développée. Ces deux méthodes sont comparées pour vérifier leurs limites et leurs faisabilités. L’apport de ce projet se situe dans l’amélioration d’un modèle de traduction grâce à l’ajout de données très proche de l’application ainsi que d’une nouvelle façon d’inférer un espace sémantique multilingue.

Introduction à la théorie de la viabilité

Mémoire numérisé par la Division de la gestion de documents et des archives de l'Université de Montréal

Estimation utilisant les polynômes de Bernstein

Ce mémoire porte sur la présentation des estimateurs de Bernstein qui sont des alternatives récentes aux différents estimateurs classiques de fonctions de répartition et de densité. Plus précisément, nous étudions leurs différentes propriétés et les comparons à celles de la fonction de répartition empirique et à celles de l'estimateur par la méthode du noyau. Nous déterminons une expression asymptotique des deux premiers moments de l'estimateur de Bernstein pour la fonction de répartition. Comme pour les estimateurs classiques, nous montrons que cet estimateur vérifie la propriété de Chung-Smirnov sous certaines conditions. Nous montrons ensuite que l'estimateur de Bernstein est meilleur que la fonction de répartition empirique en terme d'erreur quadratique moyenne. En s'intéressant au comportement asymptotique des estimateurs de Bernstein, pour un choix convenable du degré du polynôme, nous montrons que ces estimateurs sont asymptotiquement normaux. Des études numériques sur quelques distributions classiques nous permettent de confirmer que les estimateurs de Bernstein peuvent être préférables aux estimateurs classiques.

Introduction à quelques aspects de quantification géométrique.

On révise les prérequis de géométrie différentielle nécessaires à une première approche de la théorie de la quantification géométrique, c'est-à-dire des notions de base en géométrie symplectique, des notions de groupes et d'algèbres de Lie, d'action d'un groupe de Lie, de G-fibré principal, de connexion, de fibré associé et de structure presque-complexe. Ceci mène à une étude plus approfondie des fibrés en droites hermitiens, dont une condition d'existence de fibré préquantique sur une variété symplectique. Avec ces outils en main, nous commençons ensuite l'étude de la quantification géométrique, étape par étape. Nous introduisons la théorie de la préquantification, i.e. la construction des opérateurs associés à des observables classiques et la construction d'un espace de Hilbert. Des problèmes majeurs font surface lors de l'application concrète de la préquantification : les opérateurs ne sont pas ceux attendus par la première quantification et l'espace de Hilbert formé est trop gros. Une première correction, la polarisation, élimine quelques problèmes, mais limite grandement l'ensemble des observables classiques que l'on peut quantifier. Ce mémoire n'est pas un survol complet de la quantification géométrique, et cela n'est pas son but. Il ne couvre ni la correction métaplectique, ni le noyau BKS. Il est un à-côté de lecture pour ceux qui s'introduisent à la quantification géométrique. D'une part, il introduit des concepts de géométrie différentielle pris pour acquis dans (Woodhouse [21]) et (Sniatycki [18]), i.e. G-fibrés principaux et fibrés associés. Enfin, il rajoute des détails à quelques preuves rapides données dans ces deux dernières références.

Doppler vortography : detection and quantification of the vortices in the left ventricle

Nous proposons une nouvelle méthode pour quantifier la vorticité intracardiaque (vortographie Doppler), basée sur l’imagerie Doppler conventionnelle. Afin de caractériser les vortex, nous utilisons un indice dénommé « Blood Vortex Signature (BVS) » (Signature Tourbillonnaire Sanguine) obtenu par l’application d’un filtre par noyau basé sur la covariance. La validation de l’indice BVS mesuré par vortographie Doppler a été réalisée à partir de champs Doppler issus de simulations et d’expériences in vitro. Des résultats préliminaires obtenus chez des sujets sains et des patients atteints de complications cardiaques sont également présentés dans ce mémoire. Des corrélations significatives ont été observées entre la vorticité estimée par vortographie Doppler et la méthode de référence (in silico: r2 = 0.98, in vitro: r2 = 0.86). Nos résultats suggèrent que la vortographie Doppler est une technique d’échographie cardiaque prometteuse pour quantifier les vortex intracardiaques. Cet outil d’évaluation pourrait être aisément appliqué en routine clinique pour détecter la présence d’une insuffisance ventriculaire et évaluer la fonction diastolique par échocardiographie Doppler.