Modelling and Analysis of Some Time Series

The thesis deals with some of the non-linear Gaussian and non-Gaussian time models and mainly concentrated in studying the properties and application of a first order autoregressive process with Cauchy marginal distribution. In this thesis some of the non-linear Gaussian and non-Gaussian time series models and mainly concentrated in studying the properties and application of a order autoregressive process with Cauchy marginal distribution. Time series relating to prices, consumptions, money in circulation, bank deposits and bank clearing, sales and profit in a departmental store, national income and foreign exchange reserves, prices and dividend of shares in a stock exchange etc. are examples of economic and business time series. The thesis discuses the application of a threshold autoregressive(TAR) model, try to fit this model to a time series data. Another important non-linear model is the ARCH model, and the third model is the TARCH model. The main objective here is to identify an appropriate model to a given set of data. The data considered are the daily coconut oil prices for a period of three years. Since it is a price data the consecutive prices may not be independent and hence a time series based model is more appropriate. In this study the properties like ergodicity, mixing property and time reversibility and also various estimation procedures used to estimate the unknown parameters of the process.

Sentencia de la Corte Constitucional del Ecuador sobre la constitucionalidad de la obligación del afianzamiento tributario (Jurisprudencia)

Los sujetos pasivos que impugnen ante la vía judicial un acto administrativo mediante el cual se pretenda determinar o recaudar tributos, deben rendir una caución equivalente al 10% de la cuantía de su demanda, de no presentársela en el término de quince días, el acto impugnado queda ejecutoriado y los jueces deben ordenar el archivo del proceso. Nuestra Corte Constitucional para el Período de Transición considera que no se vulnera derecho alguno en ese caso, siempre y cuando se exija rendir la caución después de calificada la demanda. Estudiaremos los fundamentos que tuvo la Corte Constitucional para llegar a esa conclusión. Pretenderemos analizarlos y cuestionarlos objetivamente, para así demostrar por qué su falta de coherencia y de sustento permite concluir que su análisis pecó por falto de imparcialidad, y por qué es razonable suponer que sus móviles no fueron jurídicos en lo absoluto, sin perjuicio de que, a la par, demos nuestro parecer al respecto. Independientemente de la trascendencia jurídica que puedan o no tener en nuestro ordenamiento, esperamos se entienda por qué creemos que estos precedentes deben ser considerados como un capítulo funesto en la historia de la jurisprudencia constitucional ecuatoriana.

MAGNETOHYDRODYNAMIC SIMULATIONS OF RECONNECTION AND PARTICLE ACCELERATION: THREE-DIMENSIONAL EFFECTS

Magnetic fields can change their topology through a process known as magnetic reconnection. This process in not only important for understanding the origin and evolution of the large-scale magnetic field, but is seen as a possibly efficient particle accelerator producing cosmic rays mainly through the first-order Fermi process. In this work we study the properties of particle acceleration inserted in reconnection zones and show that the velocity component parallel to the magnetic field of test particles inserted in magnetohydrodynamic (MHD) domains of reconnection without including kinetic effects, such as pressure anisotropy, the Hall term, or anomalous effects, increases exponentially. Also, the acceleration of the perpendicular component is always possible in such models. We find that within contracting magnetic islands or current sheets the particles accelerate predominantly through the first-order Fermi process, as previously described, while outside the current sheets and islands the particles experience mostly drift acceleration due to magnetic field gradients. Considering two-dimensional MHD models without a guide field, we find that the parallel acceleration stops at some level. This saturation effect is, however, removed in the presence of an out-of-plane guide field or in three-dimensional models. Therefore, we stress the importance of the guide field and fully three-dimensional studies for a complete understanding of the process of particle acceleration in astrophysical reconnection environments.

The impact of price expectations on consumer's behavior in frequently purchased goods markets: empirical evidence and implications

Este trabalho investiga como os padrões de compras de consumidores de bens estocáveis são afetados por suas expectativas de preços. Usando um modelo dinâmico padrão de maximização da utilidade, deriva-se uma expressão analítica para as compras dos consumidores como uma função das suas expectativas em relação aos preços futuros. Em seguida, uma versão mais tratável do modelo é construída, de forma a ilustrar graficamente como os diferentes tipos de expectativas de preços implicam diferentes padrões de compras dos consumidores. Além disso, na aplicação empírica, investigo qual o modelo de expectativas de preços, entre aqueles comumente utilizados na literatura, é consistente com os dados. Por fim, encontra-se suficiente heterogeneidade em expectativa de preços dos consumidores. Mostra-se que famílias de pequeno porte acreditam que os preços seguem um processo de Markov de primeira ordem, enquanto famílias de alta renda são racionais.

Ensaios em gestão de risco e regulação bancária

Esta tese é constituída por três ensaios. O primeiro ensaio analisa a informação pública disponível sobre o risco das carteiras de crédito dos bancos brasileiros, sendo dividido em dois capítulos. O primeiro analisa a limitação da informação pública disponibilizada pelos bancos e pelo Banco Central, quando comparada a informação gerencial disponível internamente pelos bancos. Concluiu-se que existe espaço para o aumento da transparência na divulgação das informações, fato que vem ocorrendo gradativamente no Brasil através de novas normas relacionadas ao Pilar 3 de Basileia II e à divulgação de informações mais detalhas pelo Bacen, como, por exemplo, aquelas do “Top50” . A segunda parte do primeiro ensaio mostra a discrepância entre o índice de inadimplência contábil (NPL) e a probabilidade de inadimplência (PD) e também discute a relação entre provisão e perda esperada. Através da utilização de matrizes de migração e de uma simulação baseada na sobreposição de safras de carteira de crédito de grandes bancos, concluiu-se que o índice de inadimplência subestima a PD e que a provisão constituída pelos bancos é menor que a perda esperada do SFN. O segundo ensaio relaciona a gestão de risco à discriminação de preço. Foi desenvolvido um modelo que consiste em um duopólio de Cournot em um mercado de crédito de varejo, em que os bancos podem realizar discriminação de terceiro grau. Neste modelo, os potenciais tomadores de crédito podem ser de dois tipos, de baixo ou de alto risco, sendo que tomadores de baixo risco possuem demanda mais elástica. Segundo o modelo, se o custo para observar o tipo do cliente for alto, a estratégia dos bancos será não discriminar (pooling equilibrium). Mas, se este custo for suficientemente baixo, será ótimo para os bancos cobrarem taxas diferentes para cada grupo. É argumentado que o Acordo de Basileia II funcionou como um choque exógeno que deslocou o equilíbrio para uma situação com maior discriminação. O terceiro ensaio é divido em dois capítulos. O primeiro discute a aplicação dos conceitos de probabilidade subjetiva e incerteza Knigthiana a modelos de VaR e a importância da avaliação do “risco de modelo”, que compreende os riscos de estimação, especificação e identificação. O ensaio propõe que a metodologia dos “quatro elementos” de risco operacional (dados internos, externos, ambiente de negócios e cenários) seja estendida à mensuração de outros riscos (risco de mercado e risco de crédito). A segunda parte deste último ensaio trata da aplicação do elemento análise de cenários para a mensuração da volatilidade condicional nas datas de divulgação econômica relevante, especificamente nos dias de reuniões do Copom.

Especificação e implementação de um modelo assíncrono para replicação, propagação e conciliação de bases de dados distribuídas

This graduate thesis proposes a model to asynchronously replicate heterogeneous databases. This model singularly combines -in a systematic way and in a single project -different concepts, techniques and paradigms related to the areas of database replication and management of heterogeneous databases. One of the main advantages of the replication is to allow applications to continue to process information, during time intervals when they are off the network and to trigger the database synchronization, as soon as the network connection is reestablished. Therefore, the model introduces a communication and update protocol that takes in consideration the environment of asynchronous characteristics used. As part of the work, a tool was developed in Java language, based on the model s premises in order to process, test, simulate and validate the proposed model

A dimensão sociocultural da reforma psiquiátrica: articulando redes para a consolidação da estratégia de atenção psicossocial

This thesis aims to discuss on articulations that have been produced on the socio-cultural field in the Psychiatric Reform process and its pertinence to the streghtening of Psychosocial Care Strategy (EAPS) in Fortaleza/CE. Such interest has been justified by the need to promote not only the production of these networks, but also interfaces to enable strategies of support and sociability from the perspective of deinstitutionalization of madness. We were inspired by the cartography perspective of Deleuze e Guattari, and determined as objectives: 1) to discuss the complexity of Psychiatric Reform process and analyze the EAPS as a model for the current Mental Health policy in the country; 2) to map socio-cultural strategies connected to the CAPS network in the city, investigating experiences that already exist or may be constituted as everyday social support networks; 3) from that mapping to start, define and discuss some aspects that converge to the accomplishment for this new mental health paradigm, drawing a cartography of the issues and movements in progress. The mapping was carried out in 2009 and consisted of semi-structured interviews with the coordinators of the 14 existent CAPS and with some people connected to the Coordination of Mental Health. Besides, during the whole development of the study, we have taken part in public events that brought us clues on the connection between mental health and culture. From the survey produced, we defined three vectors for discussion (Art, Labour and Partnership with Social Movements) which have been highlighted as effective possibilities of intervention in the socio-cultural field of Psychiatric Reform in Fortaleza and reveal important paths on the fulfillment process of a new pattern of care. For each of these axes, we chose a field of empirical research (Projeto Arte e Saúde, COOPCAPS e MSMCBJ) in which we could better understand their strengths and difficulties, starting from open interviews with some of their actors and the production of a diary of sensations in 2010. We have seen that they are articulated with the proposal of EAPS, being part of the concerns to the National Mental Health Policy and also the municipal administration. However, we have noticed to be necessary to promote those dimensions further, focusing on its complexity at the macro and micro policies, with the purpose of leading the Psychiatric Reform process

A ancoragem funcional através do manejo de cão em tarefas de equilíbrio

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Proposta de etapas de implementação de WMS: um estudo de caso em um varejista moveleiro

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Immobilization of cholesterol oxidase in LbL films and detection of cholesterol using ac measurements

The preserved activity of immobilized biomolecules in layer-by-layer (LbL) films can be exploited in various applications. including biosensing. In this study, cholesterol oxidase (COX) layers were alternated with layers of poly(allylamine hydrochloride) (PAH) in LbL films whose morphology was investigated with atomic force microscopy (AFM). The adsorption kinetics of COX layers comprised two regimes, a fast, first-order kinetics process followed by a slow process fitted with a Johnson-Mehl-Avrami (JMA) function. with exponent similar to 2 characteristic of aggregates growing as disks. The concept based on the use of sensor arrays to increase sensitivity, widely employed in electronic tongues, was extended to biosensing with impedance spectroscopy measurements. Using three sensing units, made of LbL films of PAH/COX and PAHIPVS (polyvinyl sulfonic acid) and a bare gold interdigitated electrode, we were able to detect cholesterol in aqueous solutions down to the 10(-6) M level. This high sensitivity is attributed to the molecular-recognition interaction between COX and cholesterol, and opens the way for clinical tests to be made with low cost. fast experimental procedures. (C) 2008 Published by Elsevier B.V.

Semantic information extraction from images of complex documents

Even though the digital processing of documents is increasingly widespread in industry, printed documents are still largely in use. In order to process electronically the contents of printed documents, information must be extracted from digital images of documents. When dealing with complex documents, in which the contents of different regions and fields can be highly heterogeneous with respect to layout, printing quality and the utilization of fonts and typing standards, the reconstruction of the contents of documents from digital images can be a difficult problem. In the present article we present an efficient solution for this problem, in which the semantic contents of fields in a complex document are extracted from a digital image.

Particle Acceleration in Turbulence and Weakly Stochastic Reconnection

In this Letter we analyze the energy distribution evolution of test particles injected in three dimensional (3D) magnetohydrodynamic (MHD) simulations of different magnetic reconnection configurations. When considering a single Sweet-Parker topology, the particles accelerate predominantly through a first-order Fermi process, as predicted in [3] and demonstrated numerically in [8]. When turbulence is included within the current sheet, the acceleration rate is highly enhanced, because reconnection becomes fast and independent of resistivity [4,11] and allows the formation of a thick volume filled with multiple simultaneously reconnecting magnetic fluxes. Charged particles trapped within this volume suffer several head-on scatterings with the contracting magnetic fluctuations, which significantly increase the acceleration rate and results in a first-order Fermi process. For comparison, we also tested acceleration in MHD turbulence, where particles suffer collisions with approaching and receding magnetic irregularities, resulting in a reduced acceleration rate. We argue that the dominant acceleration mechanism approaches a second order Fermi process in this case.

Estimating crustal deformation from geodetic data

By the end of the 19th century, geodesy has contributed greatly to the knowledge of regional tectonics and fault movement through its ability to measure, at sub-centimetre precision, the relative positions of points on the Earth’s surface. Nowadays the systematic analysis of geodetic measurements in active deformation regions represents therefore one of the most important tool in the study of crustal deformation over different temporal scales [e.g., Dixon, 1991]. This dissertation focuses on motion that can be observed geodetically with classical terrestrial position measurements, particularly triangulation and leveling observations. The work is divided into two sections: an overview of the principal methods for estimating longterm accumulation of elastic strain from terrestrial observations, and an overview of the principal methods for rigorously inverting surface coseismic deformation fields for source geometry with tests on synthetic deformation data sets and applications in two different tectonically active regions of the Italian peninsula. For the long-term accumulation of elastic strain analysis, triangulation data were available from a geodetic network across the Messina Straits area (southern Italy) for the period 1971 – 2004. From resulting angle changes, the shear strain rates as well as the orientation of the principal axes of the strain rate tensor were estimated. The computed average annual shear strain rates for the time period between 1971 and 2004 are γ˙1 = 113.89 ± 54.96 nanostrain/yr and γ˙2 = -23.38 ± 48.71 nanostrain/yr, with the orientation of the most extensional strain (θ) at N140.80° ± 19.55°E. These results suggests that the first-order strain field of the area is dominated by extension in the direction perpendicular to the trend of the Straits, sustaining the hypothesis that the Messina Straits could represents an area of active concentrated deformation. The orientation of θ agree well with GPS deformation estimates, calculated over shorter time interval, and is consistent with previous preliminary GPS estimates [D’Agostino and Selvaggi, 2004; Serpelloni et al., 2005] and is also similar to the direction of the 1908 (MW 7.1) earthquake slip vector [e.g., Boschi et al., 1989; Valensise and Pantosti, 1992; Pino et al., 2000; Amoruso et al., 2002]. Thus, the measured strain rate can be attributed to an active extension across the Messina Straits, corresponding to a relative extension rate ranges between < 1mm/yr and up to ~ 2 mm/yr, within the portion of the Straits covered by the triangulation network. These results are consistent with the hypothesis that the Messina Straits is an important active geological boundary between the Sicilian and the Calabrian domains and support previous preliminary GPS-based estimates of strain rates across the Straits, which show that the active deformation is distributed along a greater area. Finally, the preliminary dislocation modelling has shown that, although the current geodetic measurements do not resolve the geometry of the dislocation models, they solve well the rate of interseismic strain accumulation across the Messina Straits and give useful information about the locking the depth of the shear zone. Geodetic data, triangulation and leveling measurements of the 1976 Friuli (NE Italy) earthquake, were available for the inversion of coseismic source parameters. From observed angle and elevation changes, the source parameters of the seismic sequence were estimated in a join inversion using an algorithm called “simulated annealing”. The computed optimal uniform–slip elastic dislocation model consists of a 30° north-dipping shallow (depth 1.30 ± 0.75 km) fault plane with azimuth of 273° and accommodating reverse dextral slip of about 1.8 m. The hypocentral location and inferred fault plane of the main event are then consistent with the activation of Periadriatic overthrusts or other related thrust faults as the Gemona- Kobarid thrust. Then, the geodetic data set exclude the source solution of Aoudia et al. [2000], Peruzza et al. [2002] and Poli et al. [2002] that considers the Susans-Tricesimo thrust as the May 6 event. The best-fit source model is then more consistent with the solution of Pondrelli et al. [2001], which proposed the activation of other thrusts located more to the North of the Susans-Tricesimo thrust, probably on Periadriatic related thrust faults. The main characteristics of the leveling and triangulation data are then fit by the optimal single fault model, that is, these results are consistent with a first-order rupture process characterized by a progressive rupture of a single fault system. A single uniform-slip fault model seems to not reproduce some minor complexities of the observations, and some residual signals that are not modelled by the optimal single-fault plane solution, were observed. In fact, the single fault plane model does not reproduce some minor features of the leveling deformation field along the route 36 south of the main uplift peak, that is, a second fault seems to be necessary to reproduce these residual signals. By assuming movements along some mapped thrust located southward of the inferred optimal single-plane solution, the residual signal has been successfully modelled. In summary, the inversion results presented in this Thesis, are consistent with the activation of some Periadriatic related thrust for the main events of the sequence, and with a minor importance of the southward thrust systems of the middle Tagliamento plain.

Total internal reflection fluorescence cross-correlation spectroscopy: theory and application for studying boundary slip phenomenon

I present a new experimental method called Total Internal Reflection Fluorescence Cross-Correlation Spectroscopy (TIR-FCCS). It is a method that can probe hydrodynamic flows near solid surfaces, on length scales of tens of nanometres. Fluorescent tracers flowing with the liquid are excited by evanescent light, produced by epi-illumination through the periphery of a high NA oil-immersion objective. Due to the fast decay of the evanescent wave, fluorescence only occurs for tracers in the ~100 nm proximity of the surface, thus resulting in very high normal resolution. The time-resolved fluorescence intensity signals from two laterally shifted (in flow direction) observation volumes, created by two confocal pinholes are independently measured and recorded. The cross-correlation of these signals provides important information for the tracers’ motion and thus their flow velocity. Due to the high sensitivity of the method, fluorescent species with different size, down to single dye molecules can be used as tracers. The aim of my work was to build an experimental setup for TIR-FCCS and use it to experimentally measure the shear rate and slip length of water flowing on hydrophilic and hydrophobic surfaces. However, in order to extract these parameters from the measured correlation curves a quantitative data analysis is needed. This is not straightforward task due to the complexity of the problem, which makes the derivation of analytical expressions for the correlation functions needed to fit the experimental data, impossible. Therefore in order to process and interpret the experimental results I also describe a new numerical method of data analysis of the acquired auto- and cross-correlation curves – Brownian Dynamics techniques are used to produce simulated auto- and cross-correlation functions and to fit the corresponding experimental data. I show how to combine detailed and fairly realistic theoretical modelling of the phenomena with accurate measurements of the correlation functions, in order to establish a fully quantitative method to retrieve the flow properties from the experiments. An importance-sampling Monte Carlo procedure is employed in order to fit the experiments. This provides the optimum parameter values together with their statistical error bars. The approach is well suited for both modern desktop PC machines and massively parallel computers. The latter allows making the data analysis within short computing times. I applied this method to study flow of aqueous electrolyte solution near smooth hydrophilic and hydrophobic surfaces. Generally on hydrophilic surface slip is not expected, while on hydrophobic surface some slippage may exists. Our results show that on both hydrophilic and moderately hydrophobic (contact angle ~85°) surfaces the slip length is ~10-15nm or lower, and within the limitations of the experiments and the model, indistinguishable from zero.

Das Internet der Dinge unter dem Aspekt der Selbststeuerung-Ein Überblick

In den letzten Jahren wurde die Vision einer Welt smarter Alltagsgegenstände unter den Begriffen wie Ubiquitous Computing, Pervasive Computing und Ambient Intelligence in der Öffentlichkeit wahrgenommen. Die smarten Gegenstände sollen mit digitaler Logik, Sensorik und der Möglichkeit zur Vernetzung ausgestattet werden. Somit bilden sie ein „Internet der Dinge“, in dem der Computer als eigenständiges Gerät verschwindet und in den Objekten der physischen Welt aufgeht. Während auf der einen Seite die Vision des „Internet der Dinge“ durch die weiter anhaltenden Fortschritte in der Informatik, Mikroelektronik, Kommunikationstechnik und Materialwissenschaft zumindest aus technischer Sicht wahrscheinlich mittelfristig realisiert werden kann, müssen auf der anderen Seite die damit zusammenhängenden ökonomischen, rechtlichen und sozialen Fragen geklärt werden. Zur Weiterentwicklung und Realisierung der Vision des „Internet der Dinge“ wurde erstmals vom AutoID-Center das EPC-Konzept entwickelt, welches auf globale netzbasierte Informationsstandards setzt und heute von EPCglobal weiterentwickelt und umgesetzt wird. Der EPC erlaubt es, umfassende Produktinformationen über das Internet zur Verfügung zu stellen. Die RFID-Technologie stellt dabei die wichtigste Grundlage des „Internet der Dinge“ dar, da sie die Brücke zwischen der physischen Welt der Produkte und der virtuellen Welt der digitalen Daten schlägt. Die Objekte, die mit RFID-Transpondern ausgestattet sind, können miteinander kommunizieren und beispielsweise ihren Weg durch die Prozesskette finden. So können sie dann mit Hilfe der auf den RFID-Transpondern gespeicherten Informationen Förderanlagen oder sonstige Maschinen ohne menschliches Eingreifen selbstständig steuern.