Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.

Time-Domain Criteria For L2-Stability Of Nonstationary Feedback-Systems

Criteria for the L2-stability of linear and nonlinear time-varying feedback systems are given. These are conditions in the time domain involving the solution of certain associated matrix Riccati equations and permitting the use of a very general class of L2-operators as multipliers.

Tool wear monitoring using ant behaviour

In this paper we show the applicability of Ant Colony Optimisation (ACO) techniques for pattern classification problem that arises in tool wear monitoring. In an earlier study, artificial neural networks and genetic programming have been successfully applied to tool wear monitoring problem. ACO is a recent addition to evolutionary computation technique that has gained attention for its ability to extract the underlying data relationships and express them in form of simple rules. Rules are extracted for data classification using training set of data points. These rules are then applied to set of data in the testing/validation set to obtain the classification accuracy. A major attraction in ACO based classification is the possibility of obtaining an expert system like rules that can be directly applied subsequently by the user in his/her application. The classification accuracy obtained in ACO based approach is as good as obtained in other biologically inspired techniques.

Analysis of solar radiation pressure induced coupled liberations of a gravity stabilized axisymmetric satellite

This paper presents an analysis of solar radiation pressure induced coupled librations of gravity stabilized cylindrical spacecraft with a special reference to geostationary communication satellites. The Lagrangian approach is used to obtain the corresponding equations of motion. The solar induced torques are assumed to be free of librational angles and are represented by their Fourier expansion. The response and periodic solutions are obtained through linear and nonlinear analyses, using the method of harmonic balance in the latter case. The stability conditions are obtained using Routh-Hurwitz criteria. To establish the ranges of validity the analytic response is compared with the numerical solution. Finally, values of the system parameters are suggested to make the satellite behave as desired. Among these is a possible approach to subdue the solar induced roll resonance. It is felt that the approximate analysis presented here should significantly reduce the computational efforts involved in the design and stability analysis of the systems.

Nonlinear mixture autoregressive model: economic applications

The aim of this dissertation is to model economic variables by a mixture autoregressive (MAR) model. The MAR model is a generalization of linear autoregressive (AR) model. The MAR -model consists of K linear autoregressive components. At any given point of time one of these autoregressive components is randomly selected to generate a new observation for the time series. The mixture probability can be constant over time or a direct function of a some observable variable. Many economic time series contain properties which cannot be described by linear and stationary time series models. A nonlinear autoregressive model such as MAR model can a plausible alternative in the case of these time series. In this dissertation the MAR model is used to model stock market bubbles and a relationship between inflation and the interest rate. In the case of the inflation rate we arrived at the MAR model where inflation process is less mean reverting in the case of high inflation than in the case of normal inflation. The interest rate move one-for-one with expected inflation. We use the data from the Livingston survey as a proxy for inflation expectations. We have found that survey inflation expectations are not perfectly rational. According to our results information stickiness play an important role in the expectation formation. We also found that survey participants have a tendency to underestimate inflation. A MAR model has also used to model stock market bubbles and crashes. This model has two regimes: the bubble regime and the error correction regime. In the error correction regime price depends on a fundamental factor, the price-dividend ratio, and in the bubble regime, price is independent of fundamentals. In this model a stock market crash is usually caused by a regime switch from a bubble regime to an error-correction regime. According to our empirical results bubbles are related to a low inflation. Our model also imply that bubbles have influences investment return distribution in both short and long run.

Unsteady three-dimensional boundary layer flow over a flat plate with attached cylinder

The unsteady laminar incompressible three-dimensional boundary layer flow and heat transfer on a flat plate with an attached cylinder have been studied when the free stream velocity components and wall temperature vary inversely as linear and quadratic functions of time, respectively. The governing semisimilar partial differential equations with three independent variables have been solved numerically using a quasilinear finite-difference scheme. The results indicate that the skin friction increases with parameter ? which characterizes the unsteadiness in the free stream velocity and the streamwise distance Image , but the heat transfer decreases. However, the skin friction and heat transfer are found to change little along Image . The effect of the Prandtl number on the heat transfer is found to be more pronounced when ? is small, whereas the effect of the dissipation parameter is more pronounced when ? is comparatively large.

Disordered matter studied by x-ray Raman scattering

Spectroscopy can provide valuable information on the structure of disordered matter beyond that which is available through e.g. x-ray and neutron diffraction. X-ray Raman scattering is a non-resonant element-sensitive process which allows bulk-sensitive measurements of core-excited spectra from light-element samples. In this thesis, x-ray Raman scattering is used to study the local structure of hydrogen-bonded liquids and solids, including liquid water, a series of linear and branched alcohols, and high-pressure ice phases. Connecting the spectral features to the local atomic-scale structure involves theoretical references, and in the case of hydrogen-bonded systems the interpretation of the spectra is currently actively debated. The systematic studies of the intra- and intermolecular effects in alcohols, non-hydrogen-bonded neighbors in high-pressure ices, and the effect of temperature in liquid water are used to demonstrate different aspects of the local structure that can influence the near-edge spectra. Additionally, the determination of the extended x-ray absorption fine structure is addressed in a momentum-transfer dependent study. This work demonstrates the potential of x-ray Raman scattering for unique studies of the local structure of a variety of disordered light-element systems.

Propagation of quasi-simple waves in a compressible rotating atmosphere

A class of self-propagating linear and nonlinear travelling wave solutions for compressible rotating fluid is studied using both numerical and analytical techiques. It is shown that, in general, a three dimensional linear wave is not periodic. However, for some range of wave numbers depending on rotation, horizontally propagating waves are periodic. When the rotation ohgr is equal to $$\sqrt {(\gamma - 1)/(4\gamma )}$$ , all horizontal waves are periodic. Here, gamma is the ratio of specific heats. The analytical study is based on phase space analysis. It reveals that the quasi-simple waves are periodic only in some plane, even when the propagation is horizontal, in contrast to the case of non-rotating flows for which there is a single parameter family of periodic solutions provided the waves propagate horizontally. A classification of the singular points of the governing differential equations for quasi-simple waves is also appended.

Radiative interactions in boundary layers

A detailed description of radiative interactions in laminar compressible boundary layers for moderate Mach numbers is presented by way of asymptotic analysis and supporting solutions. The radiation field is described by the differential approximation. While the asymptotic analysis is valid for large N (the ratio of photon mean free path to molecular mean free path) and arbitrary Boltzmann number, Bo (the ratio of convective heat flux to radiation heat flux), the solutions are obtained for Bo [double less-than sign] 1, the case of strong radiative interactions. The asymptotic analysis shows the existence of an optically thin boundary layer for large N and all Bo. For Bo [double less-than sign] 1, two outer regions are observed — one optically thin (at short distances from the leading edge) and the other optically thick (at large distances from the leading edge). An interesting feature not pointed out in the previous literature is the existence of a wall layer at large distances from the leading edge where convective heat flux can be ignored to the leading order of approximation. The radiation field in all cases can be very well approximated by a one-dimensional description. The solutions have been constructed using the ideas of matched asymptotic expansions by approximate analytical procedures and numerical methods. It is shown that, to the leading order of approximation, the radiation slip method yields exactly the same result as the more complicated matching procedure. Both the cases of linear and nonlinear radiation have been considered, the former being of interest in developing approximate methods which are subsequently generalized to handle the nonlinear problem. Detailed results are presented for both cases.

An Examination of How Entrepreneurs Can Improve Their Position in Relation to Investors

Previous research has been inconclusive regarding the impact of those who invest in entrepreneurs. Consider for a moment how potentially important they are to entrepreneurs. They for example decide who deserves funding, how much time they contribute to their portfolio firms, how they grant entrepreneurs access to their networks, and help entrepreneurs acquire additional funding. In sum, investors potentially have a great impact on the success of entrepreneurs. It is therefore important that we better understand the environment, relationships and context in which parties operate. This thesis contains five articles that explore investors’ and entrepreneurs’ relationships from various viewpoints, in theoretical frameworks, and use a variety of data and research methods. The first article is a literature review that summarises what we know of venture capital, business angel and corporate venture capital funding. The second article studies the entrepreneurs’ investor selection process, its consequences, and identifies key factors that influence the process. Earlier, the common approach has been to concentrate research on the investors’ selection policy, not the entrepreneurs’. The data and conclusions are based on multiple case studies. The article analyses how entrepreneurs can ensure that they get the best possible investor, when it is possible for an entrepreneur to select an investor, and what are the consequences of investor selection. The third article employs power constructs (dependency, power balance/imbalance, power sources) and analyses their applicability in the investor-entrepreneur relationship. Power constructs are extensively studied and utilised in the management and organisation literature. In entrepreneur investor relationships, power aspects are rarely analysed. However, having the ability to “get others to do things they would not otherwise do” is a very common factor in the investor-entrepreneur relationship. Therefore, employing and analysing the applicability of power constructs in this setting is well founded. The article is based on a single case study but suggests that power constructs could be applicable and consequently provide additional insights into the investor-entrepreneur relationship. The fourth article studies the role of advisors in the venture capital investment process and analyses implications for research and practice, particularly from the entrepreneurs’ perspective. The common entrepreneurial finance literature describes the entrepreneur-investor relationship as linear and bilateral. However, it was discovered that advisors may influence the relationship. In this article, the role of advisors, operating procedures and advisors’ impact on different parties is analysed. The fifth article concentrates on investors’ certification effect. The article measures and demonstrates that venture capital investment is likely to increase the credibility (in terms of media attention) of early stage firms, those that most often need additional credibility. Understanding investor certification can affect how entrepreneurs evaluate investment offers and how investors can make their offers appear more lucrative.

A structural principle for a class of adaptive systems

A feature common to many adaptive systems for identification and control is the adjustment.of gain parameters in a manner ensuring the stability of the overall system. This paper puts forward a principle which assures such a result for arbitrary systems which are linear and time invariant except for the adjustable parameters. The principle only demands that a transfer function be positive real. This transfer function dependent on the structure of the system with respect to the parameters. Several examples from adaptive identification, control and observer schemes are given as illustrations of the conceptual simplification provided by the structural principle.

Microscopic Mechanism of 1/f Noise in Graphene: Role of Energy Band Dispersion

A distinctive feature of single-layer graphene is the linearly dispersive energy bands, which in the case of multilayer graphene become parabolic. A simple electrical transport-based probe to differentiate between these two band structures will be immensely valuable, particularly when quantum Hall measurements are difficult, such as in chemically synthesized graphene nanoribbons. Here we show that the flicker noise, or the 1/f noise, in electrical resistance is a sensitive and robust probe to the band structure of graphene. At low temperatures, the dependence of noise magnitude on the carrier density was found to be opposite for the linear and parabolic bands. We explain our data with a comprehensive theoretical model that clarifies several puzzling issues concerning the microscopic origin of flicker noise in graphene field-effect transistors (GraFET).

A Flat Concurrent Prolog compiler for PARAM

We describe a compiler for the Flat Concurrent Prolog language on a message passing multiprocessor architecture. This compiler permits symbolic and declarative programming in the syntax of Guarded Horn Rules, The implementation has been verified and tested on the 64-node PARAM parallel computer developed by C-DAC (Centre for the Development of Advanced Computing, India), Flat Concurrent Prolog (FCP) is a logic programming language designed for concurrent programming and parallel execution, It is a process oriented language, which embodies dataflow synchronization and guarded-command as its basic control mechanisms. An identical algorithm is executed on every processor in the network, We assume regular network topologies like mesh, ring, etc, Each node has a local memory, The algorithm comprises of two important parts: reduction and communication, The most difficult task is to integrate the solutions of problems that arise in the implementation in a coherent and efficient manner. We have tested the efficacy of the compiler on various benchmark problems of the ICOT project that have been reported in the recent book by Evan Tick, These problems include Quicksort, 8-queens, and Prime Number Generation, The results of the preliminary tests are favourable, We are currently examining issues like indexing and load balancing to further optimize our compiler.

Large deformation finite element analysis of laminated circular composite plates

A 48 d.o.f., four-noded quadrilateral laminated composite shell finite element is particularised to a sector finite element and is used for the large deformation analysis of circular composite laminated plates. The strain-displacement relationships for the sector element are obtained by reducing those of the quadrilateral shell finite element by substituting proper values for the geometric parameters. Subsequently, the linear and tangent stiffness matrices are formulated using conventional methods. The Newton-Raphson method is employed as the nonlinear solution technique. The computer code developed is validated by solving an isotropic case for which results are available in the literature. The method is then applied to solve problems of cylindrically orthotropic circular plates. Some of the results of cylindrically orthotropic case are compared with those available in the literature. Subsequently, application is made to the case of laminated composite circular plates having different lay-up schemes. The computer code can handle symmetric/unsymmetric lay-up schemes. The large displacement analysis is useful in estimating the damage in composite plates caused by low-velocity impact.

Nonlinear Optical Properties of Stacked Conjugated Systems

We study linear and nonlinear optical properties of two push-pull polyenes stacked in head to head (HtH) and head to tail (HtT) configurations, at different stacking angles within the Pariser-Parr-Pople model using exact diagonalization method. By varying the stacking angle between the polyenes, we find that the optical gap varies marginally, but transition dipoles show large variations. We find that the dominant first-order hyperpolarizability component beta(XXX) for HtH arrangement and beta(YYY) for HtT arrangement strongly depend on the distance of separation between molecules, while the other smaller component beta(XYY) for HtH arrangement and beta(XXY) for HtT arrangement) does not show this variation with distance. We find that the beta(XXX) for HtH configuration shows a maximum at an angle away from 0, in contrast with the oriented gas model. This angle varies with distance between the polyenes, and at large distance it falls to 0. The ratio of all components of beta of a dimer to monomer is less than two for HtH configuration for all angles. But for HtT configurations the ratio of the dominant beta component is greater than two at large angles. Our ZINDO study on two monomers (4-hydroxy-4'-nitroazobenzene) connected in a nonconjugative fashion shows a linear increase in vertical bar(beta) over right arrow (av)vertical bar without much red shift in optical gap. There is a linear increase in vertical bar(beta) over right arrow (av)vertical bar with increase in number of monomers connected nonconjugatively without resulting in a red shift in optical gap.