Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

Investigations of Optical Interaction Processes in Certain Photonic Materials Using Z-scan and Thermal Lens Techniques

International School of Photonics, Cochin University of Science and Technology

Synergic Reactions in the Estuarine Environment leading to Modulation of Aluminium metal during Transport Processes (in Cochin Estuary)

The research work which was carried out to Synergic Reactions in the Estuarine Environment leading to Modulation of Aluminium metal during Transport Processes (in Cochin Estuary)Estuaries are considered as sink or source for terrestrial and various anthropogenically generated materials. These include naturally occurring elements Al, Si, Fe or trace inorganics or industrial pollutants of different types. There have been reports on both positive and negative impacts by the introduction of above materials into the ecosystem.This thesis deals with the trace metal Aluminium (Al) whose average concentration (about 8%) in the earths crust is surpassed only by that of Oxygen and Silicon. There can be no doubt that most of the land derived materials reaches the ocean through rivers via estuaries. An important aspect noticed here is that the concentration of dissolved Al is much lower in sea water than in river water.On critically analysing Cochin estuary, for the entire cycles, covering monsoon, postmonsoon and premonsoon, the following salient features are documented as hereunder. Dissolved Al exhibits high and variable trends in Cochin estuary, the influencing parameters being salinity, SPM, pH and dissolved Si. A general profile showed removal in upper/mid estuary followed by regeneration in the mid/lower estuary and further decrease seawards in the southern/northem arms.Distribution appears to be a function of freshwater input, the monsoon season exhibiting very high concentrations throughout the estuary. As the river discharge decreased with the progress of seasons, dissolved Al concentration also decreased, the metal limiting itself to the upper and mid estuary.

Studies on the littoral processes in relation to stability of beaches around Cchin

The coastal and nearshore areas have played vital role in the trade and economic development of coastal nations since ancient times. In recent years, the demands for utilization of these areas have increased for purposes of navigation, setting up of offshore structures for oil industry, exploitation of the available fishery and mineral resources, and to provide recreational facilities along the coast as a part of the coastal zone management. It is in this context the studies on nearshore processes receive greater priorities. Stability of beaches is controlled by the interaction of various physical parameters such as winds, waves, currents, tides and the nature and constituents of the beaches. The results of studies carried out by the author on the dynamical effects of these environmental parameters on the shoreline processes along the beaches around Cochin are presented in this thesis. The section of the coast investigated is about 57 km of shore from Azhikode to Anthakaranazhi situated on the central Kerala coast. Four regions namely Narakkal, Malipuram, Fort Cochin and Anthakaranazhi were chosen for detailed study

Stochastic processes and their applications time dependent solutions for some queueing and inventory models

The objective of this thesis is to study the time dependent behaviour of some complex queueing and inventory models. It contains a detailed analysis of the basic stochastic processes underlying these models. In the theory of queues, analysis of time dependent behaviour is an area.very little developed compared to steady state theory. Tine dependence seems certainly worth studying from an application point of view but unfortunately, the analytic difficulties are considerable. Glosod form solutions are complicated even for such simple models as M/M /1. Outside M/>M/1, time dependent solutions have been found only in special cases and involve most often double transforms which provide very little insight into the behaviour of the queueing systems themselves. In inventory theory also There is not much results available giving the time dependent solution of the system size probabilities. Our emphasis is on explicit results free from all types of transforms and the method used may be of special interest to a wide variety of problems having regenerative structure.

Stochastic processes and their applications semi-markov analysis of some inventory and queuing problems

This thesis analyses certain problems in Inventories and Queues. There are many situations in real-life where we encounter models as described in this thesis. It analyses in depth various models which can be applied to production, storag¢, telephone traffic, road traffic, economics, business administration, serving of customers, operations of particle counters and others. Certain models described here is not a complete representation of the true situation in all its complexity, but a simplified version amenable to analysis. While discussing the models, we show how a dependence structure can be suitably introduced in some problems of Inventories and Queues. Continuous review, single commodity inventory systems with Markov dependence structure introduced in the demand quantities, replenishment quantities and reordering levels are considered separately. Lead time is assumed to be zero in these models. An inventory model involving random lead time is also considered (Chapter-4). Further finite capacity single server queueing systems with single/bulk arrival, single/bulk services are also discussed. In some models the server is assumed to go on vacation (Chapters 7 and 8). In chapters 5 and 6 a sort of dependence is introduced in the service pattern in some queuing models.

Queueing Theory And Other Applications Of Stochastic Processes Queueing And Inventory Models With Rest Periods

In this thesis we study the effect of rest periods in queueing systems without exhaustive service and inventory systems with rest to the server. Most of the works in the vacation models deal with exhaustive service. Recently some results have appeared for the systems without exhaustive service.

Probability Theory. Stochastic Processes And Their Applications Probabilistic Analysis Of Some Queueing And Inventory Models

In this thesis we attempt to make a probabilistic analysis of some physically realizable, though complex, storage and queueing models. It is essentially a mathematical study of the stochastic processes underlying these models. Our aim is to have an improved understanding of the behaviour of such models, that may widen their applicability. Different inventory systems with randon1 lead times, vacation to the server, bulk demands, varying ordering levels, etc. are considered. Also we study some finite and infinite capacity queueing systems with bulk service and vacation to the server and obtain the transient solution in certain cases. Each chapter in the thesis is provided with self introduction and some important references

Studies an Optical and X-ray Emission Processes in Laser Produced Plasma

Developments in laser technology over the past few years have made it possible to do experiments with focused intensities of IO"-102' Wcm'z. Short-pulse high-intensity lasers are able to accelerate protons and heavier ions to multi-MeV energies during their interaction with solid targets, gas jets and clusters. When such a laser radiation is focused at the intensity above 10” Wcm'2, local electric field strength will be almost equivalent to that within an atom. Hence, new nonlinear optical phenomena will be expected in the field of light matter interaction. Most of the research in the material interaction using high power lasers, especially related to plasma interaction, has been directed to the short pulse x-ray generation- Nanosecond laser interactions with solid targets also generate plasmas which emit radiation mainly in the optical region, the understanding of which is far from satisfactory. This thesis deals with a detailed study of some of the dynamical processes in plasmas generated by nanosecond and femtosecond lasers

Non-destructive evaluation of carrier transport properties in CuInS2 and CuInSe2 thin films using photothermal deflection technique

Photothermal deflection technique (PTD) is a non-destructive tool for measuring the temperature distribution in and around a sample, due to various non-radiative decay processes occurring within the material. This tool was used to measure the carrier transport properties of CuInS2 and CuInSe2 thin films. Films with thickness <1 μm were prepared with different Cu/In ratios to vary the electrical properties. The surface recombination velocity was least for Cu-rich films (5×105 cm/s for CuInS2, 1×103 cm/s for CuInSe2), while stoichiometric films exhibited high mobility (0.6 cm2/V s for CuInS2, 32 cm2/V s for CuInSe2) and high minority carrier lifetime (0.35 μs for CuInS2, 12 μs for CuInSe2

Studies on Advanced Oxidation Processes for the Removal of Acetamiprid from Wastewater

Pollution of water with pesticides has become a threat to the man, material and environment. The pesticides released to the environment reach the water bodies through run off. Industrial wastewater from pesticide manufacturing industries contains pesticides at higher concentration and hence a major source of water pollution. Pesticides create a lot of health and environmental hazards which include diseases like cancer, liver and kidney disorders, reproductive disorders, fatal death, birth defects etc. Conventional wastewater treatment plants based on biological treatment are not efficient to remove these compounds to the desired level. Most of the pesticides are phyto-toxic i.e., they kill the microorganism responsible for the degradation and are recalcitrant in nature. Advanced oxidation process (AOP) is a class of oxidation techniques where hydroxyl radicals are employed for oxidation of pollutants. AOPs have the ability to totally mineralise the organic pollutants to CO2 and water. Different methods are employed for the generation of hydroxyl radicals in AOP systems. Acetamiprid is a neonicotinoid insecticide widely used to control sucking type insects on crops such as leafy vegetables, citrus fruits, pome fruits, grapes, cotton, ornamental flowers. It is now recommended as a substitute for organophosphorous pesticides. Since its use is increasing, its presence is increasingly found in the environment. It has high water solubility and is not easily biodegradable. It has the potential to pollute surface and ground waters. Here, the use of AOPs for the removal of acetamiprid from wastewater has been investigated. Five methods were selected for the study based on literature survey and preliminary experiments conducted. Fenton process, UV treatment, UV/ H2O2 process, photo-Fenton and photocatalysis using TiO2 were selected for study. Undoped TiO2 and TiO2 doped with Cu and Fe were prepared by sol-gel method. Characterisation of the prepared catalysts was done by X-ray diffraction, scanning electron microscope, differential thermal analysis and thermogravimetric analysis. Influence of major operating parameters on the removal of acetamiprid has been investigated. All the experiments were designed using central compoiste design (CCD) of response surface methodology (RSM). Model equations were developed for Fenton, UV/ H2O2, photo-Fenton and photocatalysis for predicting acetamiprid removal and total organic carbon (TOC) removal for different operating conditions. Quality of the models were analysed by statistical methods. Experimental validations were also done to confirm the quality of the models. Optimum conditions obtained by experiment were verified with that obtained using response optimiser. Fenton Process is the simplest and oldest AOP where hydrogen peroxide and iron are employed for the generation of hydroxyl radicals. Influence of H2O2 and Fe2+ on the acetamiprid removal and TOC removal by Fenton process were investigated and it was found that removal increases with increase in H2O2 and Fe2+ concentration. At an initial concentration of 50 mg/L acetamiprid, 200 mg/L H2O2 and 20 mg/L Fe2+ at pH 3 was found to be optimum for acetamiprid removal. For UV treatment effect of pH was studied and it was found that pH has not much effect on the removal rate. Addition of H2O2 to UV process increased the removal rate because of the hydroxyl radical formation due to photolyis of H2O2. An H2O2 concentration of 110 mg/L at pH 6 was found to be optimum for acetamiprid removal. With photo-Fenton drastic reduction in the treatment time was observed with 10 times reduction in the amount of reagents required. H2O2 concentration of 20 mg/L and Fe2+ concentration of 2 mg/L was found to be optimum at pH 3. With TiO2 photocatalysis improvement in the removal rate was noticed compared to UV treatment. Effect of Cu and Fe doping on the photocatalytic activity under UV light was studied and it was observed that Cu doping enhanced the removal rate slightly while Fe doping has decreased the removal rate. Maximum acetamiprid removal was observed for an optimum catalyst loading of 1000 mg/L and Cu concentration of 1 wt%. It was noticed that mineralisation efficiency of the processes is low compared to acetamiprid removal efficiency. This may be due to the presence of stable intermediate compounds formed during degradation Kinetic studies were conducted for all the treatment processes and it was found that all processes follow pseudo-first order kinetics. Kinetic constants were found out from the experimental data for all the processes and half lives were calculated. The rate of reaction was in the order, photo- Fenton>UV/ H2O2>Fenton> TiO2 photocatalysis>UV. Operating cost was calculated for the processes and it was found that photo-Fenton removes the acetamiprid at lowest operating cost in lesser time. A kinetic model was developed for photo-Fenton process using the elementary reaction data and mass balance equations for the species involved in the process. Variation of acetamiprid concentration with time for different H2O2 and Fe2+ concentration at pH 3 can be found out using this model. The model was validated by comparing the simulated concentration profiles with that obtained from experiments. This study established the viability of the selected AOPs for the removal of acetamiprid from wastewater. Of the studied AOPs photo- Fenton gives the highest removal efficiency with lowest operating cost within shortest time.

Profile simulations of gas chopping etching processes : model development and comparison with experiments

The progress in microsystem technology or nano technology places extended requirements to the fabrication processes. The trend is moving towards structuring within the nanometer scale on the one hand, and towards fabrication of structures with high aspect ratio (ratio of vertical vs. lateral dimensions) and large depths in the 100 µm scale on the other hand. Current procedures for the microstructuring of silicon are wet chemical etching and dry or plasma etching. A modern plasma etching technique for the structuring of silicon is the so-called "gas chopping" etching technique (also called "time-multiplexed etching"). In this etching technique, passivation cycles, which prevent lateral underetching of sidewalls, and etching cycles, which etch preferably in the vertical direction because of the sidewall passivation, are constantly alternated during the complete etching process. To do this, a CHF3/CH4 plasma, which generates CF monomeres is employed during the passivation cycle, and a SF6/Ar, which generates fluorine radicals and ions plasma is employed during the etching cycle. Depending on the requirements on the etched profile, the durations of the individual passivation and etching cycles are in the range of a few seconds up to several minutes. The profiles achieved with this etching process crucially depend on the flow of reactants, i.e. CF monomeres during the passivation cycle, and ions and fluorine radicals during the etching cycle, to the bottom of the profile, especially for profiles with high aspect ratio. With regard to the predictability of the etching processes, knowledge of the fundamental effects taking place during a gas chopping etching process, and their impact onto the resulting profile is required. For this purpose in the context of this work, a model for the description of the profile evolution of such etching processes is proposed, which considers the reactions (etching or deposition) at the sample surface on a phenomenological basis. Furthermore, the reactant transport inside the etching trench is modelled, based on angular distribution functions and on absorption probabilities at the sidewalls and bottom of the trench. A comparison of the simulated profiles with corresponding experimental profiles reveals that the proposed model reproduces the experimental profiles, if the angular distribution functions and absorption probabilities employed in the model is in agreement with data found in the literature. Therefor the model developed in the context of this work is an adequate description of the effects taking place during a gas chopping plasma etching process.

Polarization and correlation phenomena in the radiative electron capture by bare highly-charged ions

In dieser Arbeit wird die Wechselwirkung zwischen einem Photon und einem Elektron im starken Coulombfeld eines Atomkerns am Beispiel des radiativen Elektroneneinfangs beim Stoß hochgeladener Teilchen untersucht. In den letzten Jahren wurde dieser Ladungsaustauschprozess insbesondere für relativistische Ion–Atom–Stöße sowohl experimentell als auch theoretisch ausführlich erforscht. In Zentrum standen dabei haupsächlich die totalen und differentiellen Wirkungsquerschnitte. In neuerer Zeit werden vermehrt Spin– und Polarisationseffekte sowie Korrelationseffekte bei diesen Stoßprozessen diskutiert. Man erwartet, dass diese sehr empfindlich auf relativistische Effekte im Stoß reagieren und man deshalb eine hervorragende Methode zu deren Bestimmung erhält. Darüber hinaus könnten diese Messungen auch indirekt dazu führen, dass man die Polarisation des Ionenstrahls bestimmen kann. Damit würden sich neue experimentelle Möglichkeiten sowohl in der Atom– als auch der Kernphysik ergeben. In dieser Dissertation werden zunächst diese ersten Untersuchungen zu den Spin–, Polarisations– und Korrelationseffekten systematisch zusammengefasst. Die Dichtematrixtheorie liefert hierzu die geeignete Methode. Mit dieser Methode werden dann die allgemeinen Gleichungen für die Zweistufen–Rekombination hergeleitet. In diesem Prozess wird ein Elektron zunächst radiativ in einen angeregten Zustand eingefangen, der dann im zweiten Schritt unter Emission des zweiten (charakteristischen) Photons in den Grundzustand übergeht. Diese Gleichungen können natürlich auf beliebige Mehrstufen– sowie Einstufen–Prozesse erweitert werden. Im direkten Elektroneneinfang in den Grundzustand wurde die ”lineare” Polarisation der Rekombinationsphotonen untersucht. Es wurde gezeigt, dass man damit eine Möglichkeit zur Bestimmung der Polarisation der Teilchen im Eingangskanal des Schwerionenstoßes hat. Rechnungen zur Rekombination bei nackten U92+ Projektilen zeigen z. B., dass die Spinpolarisation der einfallenden Elektronen zu einer Drehung der linearen Polarisation der emittierten Photonen aus der Streuebene heraus führt. Diese Polarisationdrehung kann mit neu entwickelten orts– und polarisationsempfindlichen Festkörperdetektoren gemessen werden. Damit erhält man eine Methode zur Messung der Polarisation der einfallenden Elektronen und des Ionenstrahls. Die K–Schalen–Rekombination ist ein einfaches Beispiel eines Ein–Stufen–Prozesses. Das am besten bekannte Beispiel der Zwei–Stufen–Rekombination ist der Elektroneneinfang in den 2p3/2–Zustand des nackten Ions und anschließendem Lyman–1–Zerfall (2p3/2 ! 1s1/2). Im Rahmen der Dichte–Matrix–Theorie wurden sowohl die Winkelverteilung als auch die lineare Polarisation der charakteristischen Photonen untersucht. Beide (messbaren) Größen werden beträchtlich durch die Interferenz des E1–Kanals (elektrischer Dipol) mit dem viel schwächeren M2–Kanal (magnetischer Quadrupol) beeinflusst. Für die Winkelverteilung des Lyman–1 Zerfalls im Wasserstoff–ähnlichen Uran führt diese E1–M2–Mischung zu einem 30%–Effekt. Die Berücksichtigung dieser Interferenz behebt die bisher vorhandene Diskrepanz von Theorie und Experiment beim Alignment des 2p3/2–Zustands. Neben diesen Ein–Teichen–Querschnitten (Messung des Einfangphotons oder des charakteristischen Photons) wurde auch die Korrelation zwischen den beiden berechnet. Diese Korrelationen sollten in X–X–Koinzidenz–Messungen beobbachtbar sein. Der Schwerpunkt dieser Untersuchungen lag bei der Photon–Photon–Winkelkorrelation, die experimentell am einfachsten zu messen ist. In dieser Arbeit wurden ausführliche Berechnungen der koinzidenten X–X–Winkelverteilungen beim Elektroneneinfang in den 2p3/2–Zustand des nackten Uranions und beim anschließenden Lyman–1–Übergang durchgeführt. Wie bereits erwähnt, hängt die Winkelverteilung des charakteristischen Photons nicht nur vom Winkel des Rekombinationsphotons, sondern auch stark von der Spin–Polarisation der einfallenden Teilchen ab. Damit eröffnet sich eine zweite Möglichkeit zur Messung der Polaristion des einfallenden Ionenstrahls bzw. der einfallenden Elektronen.

Three-electron radiative transitions

A new type of many-electron radiative transitions involving three electrons is predicted. The results of their investigation by many-body perturbation theory are presented. New spectral lines observed in the wavelength range of 37.5 to 54.0 nm by means of photon-induced fluorescence spectroscopy (PIFS) following the excitation of the Kr I 3d{^-1}np resonances are reported and compared with the predictions.

Many-electron relativistic calculation and interpretation of atomic processes in time dependent heavy-ion scattering

The time dependence of a heavy-ion-atom collision system is solved via a set of coupled channel equations using energy eigenvalues and matrix elements from a self-consistent field relativistic molecular many-electron Dirac-Fock-Slater calculation. Within this independent particle model we give a full many-particle interpretation by performing a small number of single-particle calculations. First results for the P(b) curves for the Ne K-hole excitation for the systems F{^8+} - Ne and F{^6+} - Ne as examples are discussed.