Inference on Cointegration in Vector Autoregressive Models (summary section only)

In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The thesis consists of an introduction and four papers. The first paper proposes a new test for cointegration in VAR models that is directly based on the eigenvalues of the least squares (LS) estimate of the autoregressive matrix. In the second paper we compare a small sample correction for the likelihood ratio (LR) test of cointegrating rank and the bootstrap. The simulation experiments show that the bootstrap works very well in practice and dominates the correction factor. The tests are applied to international stock prices data, and the .nite sample performance of the tests are investigated by simulating the data. The third paper studies the demand for money in Sweden 1970—2000 using the I(2) model. In the fourth paper we re-examine the evidence of cointegration between international stock prices. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen’s LR tests for cointegration. In all papers we work with two data sets. The first data set is a Swedish money demand data set with observations on the money stock, the consumer price index, gross domestic product (GDP), the short-term interest rate and the long-term interest rate. The data are quarterly and the sample period is 1970(1)—2000(1). The second data set consists of month-end stock market index observations for Finland, France, Germany, Sweden, the United Kingdom and the United States from 1980(1) to 1997(2). Both data sets are typical of the sample sizes encountered in economic data, and the applications illustrate the usefulness of the models and tests discussed in the thesis.

Influence of matrix characteristics on fracture toughness of high volume fraction Al2O3/Al–AlN composites

The role of matrix microstructure on the fracture of Al-alloy composites with 60 vol% alumina particulates was studied. The matrix composition and microstructure were systematically varied by changing the infiltration temperature and heat treatment. Characterization was carried out by a combination of metallography, hardness measurements, and fracture studies conducted on compact tension specimens to study the fracture toughness and crack growth in the composites. The composites showed a rise in crack resistance with crack extension (R curves) due to bridges of intact matrix ligaments formed in the crack wake. The steady-state or plateau toughness reached upon stable crack growth was observed to be more sensitive to the process temperature rather than to the heat treatment. Fracture in the composites was predominantly by particle fracture, extensive deformation, and void nucleation in the matrix. Void nucleation occurred in the matrix in the as-solutionized and peak-aged conditions and preferentially near the interface in the underaged and overaged conditions. Micromechanical models based on crack bridging by intact ductile ligaments were modified by a plastic constraint factor from estimates of the plastic zone formed under indentations, and are shown to be adequate in predicting the steady-state toughness of the composite.

Nonlocal continuum mechanics based ultrasonic flexural wave dispersion characteristics of a monolayer graphene embedded in polymer matrix

Wave propagation in graphene sheet embedded in elastic medium (polymer matrix) has been a topic of great interest in nanomechanics of graphene sheets, where the equivalent continuum models are widely used. In this manuscript, we examined this issue by incorporating the nonlocal theory into the classical plate model. The influence of the nonlocal scale effects has been investigated in detail. The results are qualitatively different from those obtained based on the local/classical plate theory and thus, are important for the development of monolayer graphene-based nanodevices. In the present work, the graphene sheet is modeled as an isotropic plate of one-atom thick. The chemical bonds are assumed to be formed between the graphene sheet and the elastic medium. The polymer matrix is described by a Pasternak foundation model, which accounts for both normal pressure and the transverse shear deformation of the surrounding elastic medium. When the shear effects are neglected, the model reduces to Winkler foundation model. The normal pressure or Winkler elastic foundation parameter is approximated as a series of closely spaced, mutually independent, vertical linear elastic springs where the foundation modulus is assumed equivalent to stiffness of the springs. For this model, the nonlocal governing differential equations of motion are derived from the minimization of the total potential energy of the entire system. An ultrasonic type of flexural wave propagation model is also derived and the results of the wave dispersion analysis are shown for both local and nonlocal elasticity calculations. From this analysis we show that the elastic matrix highly affects the flexural wave mode and it rapidly increases the frequency band gap of flexural mode. The flexural wavenumbers obtained from nonlocal elasticity calculations are higher than the local elasticity calculations. The corresponding wave group speeds are smaller in nonlocal calculation as compared to local elasticity calculation. The effect of y-directional wavenumber (eta(q)) on the spectrum and dispersion relations of the graphene embedded in polymer matrix is also observed. We also show that the cut-off frequencies of flexural wave mode depends not only on the y-direction wavenumber but also on nonlocal scaling parameter (e(0)a). The effect of eta(q) and e(0)a on the cut-off frequency variation is also captured for the cases of with and without elastic matrix effect. For a given nanostructure, nonlocal small scale coefficient can be obtained by matching the results from molecular dynamics (MD) simulations and the nonlocal elasticity calculations. At that value of the nonlocal scale coefficient, the waves will propagate in the nanostructure at that cut-off frequency. In the present paper, different values of e(0)a are used. One can get the exact e(0)a for a given graphene sheet by matching the MD simulation results of graphene with the results presented in this article. (c) 2012 Elsevier Ltd. All rights reserved.

Models for the estimation of life of stator insulation in large rotating machines

Epoxy resin bonded mica splitting is the insulation of choice for machine stators. However, this system is seen to be relatively weak under time varying mechanical stress, in particular the vibration causing delamination of mica and deboning of mica from the resin matrix. The situation is accentuated under the combined action of electrical, thermal and mechanical stress. Physical and probabilistic models for failure of such systems have been proposed by one of the authors of this paper earlier. This paper presents a pragmatic accelerated failure data acquisition and analytical paradigm under multi factor coupled stress, Electrical, Thermal. The parameters of the phenomenological model so developed are estimated based on sound statistical treatment of failure data.

Anatomy of Higgs mass in supersymmetric inverse seesaw models

We compute the one loop corrections to the CP-even Higgs mass matrix in the supersymmetric inverse seesaw model to single out the different cases where the radiative corrections from the neutrino sector could become important. It is found that there could be a significant enhancement in the Higgs mass even for Dirac neutrino masses of O(30) GeV if the left-handed sneutrino soft mass is comparable or larger than the right-handed neutrino mass. In the case where right-handed neutrino masses are significantly larger than the supersymmetry breaking scale, the corrections can utmost account to an upward shift of 3 GeV. For very heavy multi TeV sneutrinos, the corrections replicate the stop corrections at 1-loop. We further show that general gauge mediation with inverse seesaw model naturally accommodates a 125 GeV Higgs with TeV scale stops. (C) 2014 The Authors. Published by Elsevier B.V.

Unified Continuum Damage Model for Matrix Cracking in Composite Rotor Blades

This paper deals with modeling of the first damage mode, matrix micro-cracking, in helicopter rotor/wind turbine blades and how this effects the overall cross-sectional stiffness. The helicopter/wind turbine rotor system operates in a highly dynamic and unsteady environment leading to severe vibratory loads present in the system. Repeated exposure to this loading condition can induce damage in the composite rotor blades. These rotor/turbine blades are generally made of fiber-reinforced laminated composites and exhibit various competing modes of damage such as matrix micro-cracking, delamination, and fiber breakage. There is a need to study the behavior of the composite rotor system under various key damage modes in composite materials for developing Structural Health Monitoring (SHM) system. Each blade is modeled as a beam based on geometrically non-linear 3-D elasticity theory. Each blade thus splits into 2-D analyzes of cross-sections and non-linear 1-D analyzes along the beam reference curves. Two different tools are used here for complete 3-D analysis: VABS for 2-D cross-sectional analysis and GEBT for 1-D beam analysis. The physically-based failure models for matrix in compression and tension loading are used in the present work. Matrix cracking is detected using two failure criterion: Matrix Failure in Compression and Matrix Failure in Tension which are based on the recovered field. A strain variable is set which drives the damage variable for matrix cracking and this damage variable is used to estimate the reduced cross-sectional stiffness. The matrix micro-cracking is performed in two different approaches: (i) Element-wise, and (ii) Node-wise. The procedure presented in this paper is implemented in VABS as matrix micro-cracking modeling module. Three examples are presented to investigate the matrix failure model which illustrate the effect of matrix cracking on cross-sectional stiffness by varying the applied cyclic

Efficient density matrix renormalization group algorithm to study Y junctions with integer and half-integer spin

An efficient density matrix renormalization group (DMRG) algorithm is presented and applied to Y junctions, systems with three arms of n sites that meet at a central site. The accuracy is comparable to DMRG of chains. As in chains, new sites are always bonded to the most recently added sites and the superblock Hamiltonian contains only new or once renormalized operators. Junctions of up to N = 3n + 1 approximate to 500 sites are studied with antiferromagnetic (AF) Heisenberg exchange J between nearest-neighbor spins S or electron transfer t between nearest neighbors in half-filled Hubbard models. Exchange or electron transfer is exclusively between sites in two sublattices with N-A not equal N-B. The ground state (GS) and spin densities rho(r) = < S-r(z)> at site r are quite different for junctions with S = 1/2, 1, 3/2, and 2. The GS has finite total spin S-G = 2S(S) for even (odd) N and for M-G = S-G in the S-G spin manifold, rho(r) > 0(< 0) at sites of the larger (smaller) sublattice. S = 1/2 junctions have delocalized states and decreasing spin densities with increasing N. S = 1 junctions have four localized S-z = 1/2 states at the end of each arm and centered on the junction, consistent with localized states in S = 1 chains with finite Haldane gap. The GS of S = 3/2 or 2 junctions of up to 500 spins is a spin density wave with increased amplitude at the ends of arms or near the junction. Quantum fluctuations completely suppress AF order in S = 1/2 or 1 junctions, as well as in half-filled Hubbard junctions, but reduce rather than suppress AF order in S = 3/2 or 2 junctions.

A new model for the energy release rate of fibre/matrix interfacial fracture

On the basis of the well-known shear-lag analysis of fibre/matrix interface stresses and the assumption of identical axial strains in the fibre and matrix, a new model for predicting the energy release rate of interfacial fracture of the fibre pull-out test model is attempted. The expressions for stresses in the fibre, matrix and interface are derived. The formula for interfacial debonding energy release rate is given. Numerical calculations are conducted and the results obtained are compared with those of the existing models.

Strain Gradient Effects on Deformation Strengthening Behavior of Particle Reinforced Metal Matrix Composites

Dislocation models with considering the mismatch of elastic modulus between matrix and reinforcing particles are used to determine the effective strain gradient \ita for particle reinforced metal matrix composites (MMCp) in the present research. Based on Taylor relation and the kinetics of dislocation multiplication, glide and annihilation, a strain gradient dependent constitutive equation is developed. By using this strain gradient-dependent constitutive equation, size-dependent deformation strengthening behavior is characterized. The results demonstrate that the smaller the particle size, the more excellent in the reinforcing effect. Some comparisons with the available experimental results demonstrate that the present approach is satisfactory.

Microstructure, strain fields and flow stress in deformed metal matrix composites

An experimental study of local orientations around whiskers in deformed metal matrix composites has been used to determine the strain gradients existing in the material following tensile deformation. These strain fields have been represented as arrays of geometrically necessary dislocations, and the material flow stress predicted using a standard dislocation hardening model. Whilst the correlation between this and the measured flow stress is reasonable, the experimentally determined strain gradients are lower by a factor of 5-10 than values obtained in previous estimates made using continuum plasticity finite element models. The local orientations around the whiskers contain a large amount of detailed information about the strain patterns in the material, and a novel approach is made to representing some of this information and to correlating it with microstructural observations. © 1998 Acta Metallurgica Inc. Published by Elsevier Science Ltd. All rights reserved.

Models for acoustic propagation through turbofan exhaust flows-lined ducts

Turbomachinery noise radiating into the rearward arc is an important problem. This noise is scattered by the trailing edges of the nacelle and the jet exhaust, and interacts with the shear layers between the external flow, bypass stream and jet, en route to the far field. In the past a range of relevant model problems involving semi-infinite cylinders have been solved. However, one limitation of these previous solutions is that they do not allow for the jet nozzle protruding a finite distance beyond the end of the nacelle (or in certain configurations being buried a finite distance upstream). With this in mind, we have used the matrix Wiener-Hopf technique to allow precisely this finite nacelle-jet nozzle separation to be included. We have previously reported results for the case of hard-walled ducts, which requires factorisation of a 2 × 2 matrix. In this paper we extend this work by allowing one of the duct walls, in this case the outer wall of the jet pipe, to be acoustically lined. This results in the need to factorise a 3 × 3 matrix, which is completed by use of a combination of pole-removal and Pad́e approximant techniques. Sample results are presented, investigating in particular the effects of exit plane stagger and liner impedance. Here we take the mean flow to be zero, but extension to nonzero Mach numbers in the core and bypass flow has also been completed. Copyright © 2009 by Nigel Peake & Ben Veitch.

Transceiver designs and analysis for LTI, LTV and broadcast channels - new matrix decompositions and majorization theory

Signal processing techniques play important roles in the design of digital communication systems. These include information manipulation, transmitter signal processing, channel estimation, channel equalization and receiver signal processing. By interacting with communication theory and system implementing technologies, signal processing specialists develop efficient schemes for various communication problems by wisely exploiting various mathematical tools such as analysis, probability theory, matrix theory, optimization theory, and many others. In recent years, researchers realized that multiple-input multiple-output (MIMO) channel models are applicable to a wide range of different physical communications channels. Using the elegant matrix-vector notations, many MIMO transceiver (including the precoder and equalizer) design problems can be solved by matrix and optimization theory. Furthermore, the researchers showed that the majorization theory and matrix decompositions, such as singular value decomposition (SVD), geometric mean decomposition (GMD) and generalized triangular decomposition (GTD), provide unified frameworks for solving many of the point-to-point MIMO transceiver design problems.

In this thesis, we consider the transceiver design problems for linear time invariant (LTI) flat MIMO channels, linear time-varying narrowband MIMO channels, flat MIMO broadcast channels, and doubly selective scalar channels. Additionally, the channel estimation problem is also considered. The main contributions of this dissertation are the development of new matrix decompositions, and the uses of the matrix decompositions and majorization theory toward the practical transmit-receive scheme designs for transceiver optimization problems. Elegant solutions are obtained, novel transceiver structures are developed, ingenious algorithms are proposed, and performance analyses are derived.

The first part of the thesis focuses on transceiver design with LTI flat MIMO channels. We propose a novel matrix decomposition which decomposes a complex matrix as a product of several sets of semi-unitary matrices and upper triangular matrices in an iterative manner. The complexity of the new decomposition, generalized geometric mean decomposition (GGMD), is always less than or equal to that of geometric mean decomposition (GMD). The optimal GGMD parameters which yield the minimal complexity are derived. Based on the channel state information (CSI) at both the transmitter (CSIT) and receiver (CSIR), GGMD is used to design a butterfly structured decision feedback equalizer (DFE) MIMO transceiver which achieves the minimum average mean square error (MSE) under the total transmit power constraint. A novel iterative receiving detection algorithm for the specific receiver is also proposed. For the application to cyclic prefix (CP) systems in which the SVD of the equivalent channel matrix can be easily computed, the proposed GGMD transceiver has K/log_2(K) times complexity advantage over the GMD transceiver, where K is the number of data symbols per data block and is a power of 2. The performance analysis shows that the GGMD DFE transceiver can convert a MIMO channel into a set of parallel subchannels with the same bias and signal to interference plus noise ratios (SINRs). Hence, the average bit rate error (BER) is automatically minimized without the need for bit allocation. Moreover, the proposed transceiver can achieve the channel capacity simply by applying independent scalar Gaussian codes of the same rate at subchannels.

In the second part of the thesis, we focus on MIMO transceiver design for slowly time-varying MIMO channels with zero-forcing or MMSE criterion. Even though the GGMD/GMD DFE transceivers work for slowly time-varying MIMO channels by exploiting the instantaneous CSI at both ends, their performance is by no means optimal since the temporal diversity of the time-varying channels is not exploited. Based on the GTD, we develop space-time GTD (ST-GTD) for the decomposition of linear time-varying flat MIMO channels. Under the assumption that CSIT, CSIR and channel prediction are available, by using the proposed ST-GTD, we develop space-time geometric mean decomposition (ST-GMD) DFE transceivers under the zero-forcing or MMSE criterion. Under perfect channel prediction, the new system minimizes both the average MSE at the detector in each space-time (ST) block (which consists of several coherence blocks), and the average per ST-block BER in the moderate high SNR region. Moreover, the ST-GMD DFE transceiver designed under an MMSE criterion maximizes Gaussian mutual information over the equivalent channel seen by each ST-block. In general, the newly proposed transceivers perform better than the GGMD-based systems since the super-imposed temporal precoder is able to exploit the temporal diversity of time-varying channels. For practical applications, a novel ST-GTD based system which does not require channel prediction but shares the same asymptotic BER performance with the ST-GMD DFE transceiver is also proposed.

The third part of the thesis considers two quality of service (QoS) transceiver design problems for flat MIMO broadcast channels. The first one is the power minimization problem (min-power) with a total bitrate constraint and per-stream BER constraints. The second problem is the rate maximization problem (max-rate) with a total transmit power constraint and per-stream BER constraints. Exploiting a particular class of joint triangularization (JT), we are able to jointly optimize the bit allocation and the broadcast DFE transceiver for the min-power and max-rate problems. The resulting optimal designs are called the minimum power JT broadcast DFE transceiver (MPJT) and maximum rate JT broadcast DFE transceiver (MRJT), respectively. In addition to the optimal designs, two suboptimal designs based on QR decomposition are proposed. They are realizable for arbitrary number of users.

Finally, we investigate the design of a discrete Fourier transform (DFT) modulated filterbank transceiver (DFT-FBT) with LTV scalar channels. For both cases with known LTV channels and unknown wide sense stationary uncorrelated scattering (WSSUS) statistical channels, we show how to optimize the transmitting and receiving prototypes of a DFT-FBT such that the SINR at the receiver is maximized. Also, a novel pilot-aided subspace channel estimation algorithm is proposed for the orthogonal frequency division multiplexing (OFDM) systems with quasi-stationary multi-path Rayleigh fading channels. Using the concept of a difference co-array, the new technique can construct M^2 co-pilots from M physical pilot tones with alternating pilot placement. Subspace methods, such as MUSIC and ESPRIT, can be used to estimate the multipath delays and the number of identifiable paths is up to O(M^2), theoretically. With the delay information, a MMSE estimator for frequency response is derived. It is shown through simulations that the proposed method outperforms the conventional subspace channel estimator when the number of multipaths is greater than or equal to the number of physical pilots minus one.

Random propagation in complex systems : nonlinear matrix recursions and epidemic spread

This dissertation studies long-term behavior of random Riccati recursions and mathematical epidemic model. Riccati recursions are derived from Kalman filtering. The error covariance matrix of Kalman filtering satisfies Riccati recursions. Convergence condition of time-invariant Riccati recursions are well-studied by researchers. We focus on time-varying case, and assume that regressor matrix is random and identical and independently distributed according to given distribution whose probability distribution function is continuous, supported on whole space, and decaying faster than any polynomial. We study the geometric convergence of the probability distribution. We also study the global dynamics of the epidemic spread over complex networks for various models. For instance, in the discrete-time Markov chain model, each node is either healthy or infected at any given time. In this setting, the number of the state increases exponentially as the size of the network increases. The Markov chain has a unique stationary distribution where all the nodes are healthy with probability 1. Since the probability distribution of Markov chain defined on finite state converges to the stationary distribution, this Markov chain model concludes that epidemic disease dies out after long enough time. To analyze the Markov chain model, we study nonlinear epidemic model whose state at any given time is the vector obtained from the marginal probability of infection of each node in the network at that time. Convergence to the origin in the epidemic map implies the extinction of epidemics. The nonlinear model is upper-bounded by linearizing the model at the origin. As a result, the origin is the globally stable unique fixed point of the nonlinear model if the linear upper bound is stable. The nonlinear model has a second fixed point when the linear upper bound is unstable. We work on stability analysis of the second fixed point for both discrete-time and continuous-time models. Returning back to the Markov chain model, we claim that the stability of linear upper bound for nonlinear model is strongly related with the extinction time of the Markov chain. We show that stable linear upper bound is sufficient condition of fast extinction and the probability of survival is bounded by nonlinear epidemic map.

High-strain composites and dual-matrix composite structures

Most space applications require deployable structures due to the limiting size of current launch vehicles. Specifically, payloads in nanosatellites such as CubeSats require very high compaction ratios due to the very limited space available in this typo of platform. Strain-energy-storing deployable structures can be suitable for these applications, but the curvature to which these structures can be folded is limited to the elastic range. Thanks to fiber microbuckling, high-strain composite materials can be folded into much higher curvatures without showing significant damage, which makes them suitable for very high compaction deployable structure applications. However, in applications that require carrying loads in compression, fiber microbuckling also dominates the strength of the material. A good understanding of the strength in compression of high-strain composites is then needed to determine how suitable they are for this type of application.

The goal of this thesis is to investigate, experimentally and numerically, the microbuckling in compression of high-strain composites. Particularly, the behavior in compression of unidirectional carbon fiber reinforced silicone rods (CFRS) is studied. Experimental testing of the compression failure of CFRS rods showed a higher strength in compression than the strength estimated by analytical models, which is unusual in standard polymer composites. This effect, first discovered in the present research, was attributed to the variation in random carbon fiber angles respect to the nominal direction. This is an important effect, as it implies that microbuckling strength might be increased by controlling the fiber angles. With a higher microbuckling strength, high-strain materials could carry loads in compression without reaching microbuckling and therefore be suitable for several space applications.

A finite element model was developed to predict the homogenized stiffness of the CFRS, and the homogenization results were used in another finite element model that simulated a homogenized rod under axial compression. A statistical representation of the fiber angles was implemented in the model. The presence of fiber angles increased the longitudinal shear stiffness of the material, resulting in a higher strength in compression. The simulations showed a large increase of the strength in compression for lower values of the standard deviation of the fiber angle, and a slight decrease of strength in compression for lower values of the mean fiber angle. The strength observed in the experiments was achieved with the minimum local angle standard deviation observed in the CFRS rods, whereas the shear stiffness measured in torsion tests was achieved with the overall fiber angle distribution observed in the CFRS rods.

High strain composites exhibit good bending capabilities, but they tend to be soft out-of-plane. To achieve a higher out-of-plane stiffness, the concept of dual-matrix composites is introduced. Dual-matrix composites are foldable composites which are soft in the crease regions and stiff elsewhere. Previous attempts to fabricate continuous dual-matrix fiber composite shells had limited performance due to excessive resin flow and matrix mixing. An alternative method, presented in this thesis uses UV-cure silicone and fiberglass to avoid these problems. Preliminary experiments on the effect of folding on the out-of-plane stiffness are presented. An application to a conical log-periodic antenna for CubeSats is proposed, using origami-inspired stowing schemes, that allow a conical dual-matrix composite shell to reach very high compaction ratios.

Transmission matrices and lumped parameter models for continuous systems

The use of transmission matrices and lumped parameter models for describing continuous systems is the subject of this study. Non-uniform continuous systems which play important roles in practical vibration problems, e.g., torsional oscillations in bars, transverse bending vibrations of beams, etc., are of primary importance.

A new approach for deriving closed form transmission matrices is applied to several classes of non-uniform continuous segments of one dimensional and beam systems. A power series expansion method is presented for determining approximate transmission matrices of any order for segments of non-uniform systems whose solutions cannot be found in closed form. This direct series method is shown to give results comparable to those of the improved lumped parameter models for one dimensional systems.

Four types of lumped parameter models are evaluated on the basis of the uniform continuous one dimensional system by comparing the behavior of the frequency root errors. The lumped parameter models which are based upon a close fit to the low frequency approximation of the exact transmission matrix, at the segment level, are shown to be superior. On this basis an improved lumped parameter model is recommended for approximating non-uniform segments. This new model is compared to a uniform segment approximation and error curves are presented for systems whose areas very quadratically and linearly. The effect of varying segment lengths is investigated for one dimensional systems and results indicate very little improvement in comparison to the use of equal length segments. For purposes of completeness, a brief summary of various lumped parameter models and other techniques which have previously been used to approximate the uniform Bernoulli-Euler beam is a given.