976 resultados para Volatility models


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This paper addresses the problem of discovering business process models from event logs. Existing approaches to this problem strike various tradeoffs between accuracy and understandability of the discovered models. With respect to the second criterion, empirical studies have shown that block-structured process models are generally more understandable and less error-prone than unstructured ones. Accordingly, several automated process discovery methods generate block-structured models by construction. These approaches however intertwine the concern of producing accurate models with that of ensuring their structuredness, sometimes sacrificing the former to ensure the latter. In this paper we propose an alternative approach that separates these two concerns. Instead of directly discovering a structured process model, we first apply a well-known heuristic technique that discovers more accurate but sometimes unstructured (and even unsound) process models, and then transform the resulting model into a structured one. An experimental evaluation shows that our “discover and structure” approach outperforms traditional “discover structured” approaches with respect to a range of accuracy and complexity measures.

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We study quench dynamics and defect production in the Kitaev and the extended Kitaev models. For the Kitaev model in one dimension, we show that in the limit of slow quench rate, the defect density n∼1/√τ, where 1/τ is the quench rate. We also compute the defect correlation function by providing an exact calculation of all independent nonzero spin correlation functions of the model. In two dimensions, where the quench dynamics takes the system across a critical line, we elaborate on the results of earlier work [K. Sengupta, D. Sen, and S. Mondal, Phys. Rev. Lett. 100, 077204 (2008)] to discuss the unconventional scaling of the defect density with the quench rate. In this context, we outline a general proof that for a d-dimensional quantum model, where the quench takes the system through a d−m dimensional gapless (critical) surface characterized by correlation length exponent ν and dynamical critical exponent z, the defect density n∼1/τmν/(zν+1). We also discuss the variation of the shape and spatial extent of the defect correlation function with both the rate of quench and the model parameters and compute the entropy generated during such a quenching process. Finally, we study the defect scaling law, entropy generation and defect correlation function of the two-dimensional extended Kitaev model.

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This paper presents the results of shaking table tests on model reinforced soil retaining walls in the laboratory. The influence of backfill relative density on the seismic response was studied through a series of laboratory model tests on retaining walls. Construction of model retaining walls in the laminar box mounted on shaking table, instrumentation and results from the shaking table tests are described in detail. Three types of walls: wrap- and rigid-faced reinforced soil walls and unreinforced rigid-faced walls constructed to different densities were tested for a relatively small excitation. Wrap-faced walls are further tested for higher base excitation at different frequencies and relative densities. It is observed from these tests that the effect of backfill density on the seismic performance of reinforced retaining walls is pronounced only at very low relative density and at the higher base excitation. The walls constructed with higher backfill relative density showed lesser face deformations and more acceleration amplifications compared to the walls constructed with lower densities when tested at higher base excitation. The response of wrap- and rigid-faced retaining walls is not much affected by the backfill relative density when tested at smaller base excitation. The effects of facing rigidity were evaluated to a limited extent. Displacements in wrap-faced walls are many times higher compared to rigid-faced walls. The results obtained from this study are helpful in understanding the relative performance of reinforced soil retaining walls constructed to when subjected to smaller and higher base excitation for the range of relative density employed in the testing program. (C) 2007 Elsevier Ltd. All rights reserved.

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It is widely accepted that the global climate is heating up due to human activities, such as burning of fossil fuels. Therefore we find ourselves forced to make decisions on what measures, if any, need to be taken to decrease our warming effect on the planet before any irrevocable damage occurs. Research is being conducted in a variety of fields to better understand all relevant processes governing Earth s climate, and to assess the relative roles of anthropogenic and biogenic emissions into the atmosphere. One of the least well quantified problems is the impact of small aerosol particles (both of anthropogenic and biogenic origin) on climate, through reflecting solar radiation and their ability to act as condensation nuclei for cloud droplets. In this thesis, the compounds driving the biogenic formation of new particles in the atmosphere have been examined through detailed measurements. As directly measuring the composition of these newly formed particles is extremely difficult, the approach was to indirectly study their different characteristics by measuring the hygroscopicity (water uptake) and volatility (evaporation) of particles between 10 and 50 nm. To study the first steps of the formation process in the sub-3 nm range, the nucleation of gaseous precursors to small clusters, the chemical composition of ambient naturally charged ions were measured. The ion measurements were performed with a newly developed mass spectrometer, which was first characterized in the laboratory before being deployed at a boreal forest measurement site. It was also successfully compared to similar, low-resolution instruments. The ambient measurements showed that sulfuric acid clusters dominate the negative ion spectrum during new particle formation events. Sulfuric acid/ammonia clusters were detected in ambient air for the first time in this work. Even though sulfuric acid is believed to be the most important gas phase precursor driving the initial cluster formation, measurements of the hygroscopicity and volatility of growing 10-50 nm particles in Hyytiälä showed an increasing role of organic vapors of a variety of oxidation levels. This work has provided additional insights into the compounds participating both in the initial formation and subsequent growth of atmospheric new aerosol particles. It will hopefully prove an important step in understanding atmospheric gas-to-particle conversion, which, by influencing cloud properties, can have important climate impacts. All available knowledge needs to be constantly updated, summarized, and brought to the attention of our decision-makers. Only by increasing our understanding of all the relevant processes can we build reliable models to predict the long-term effects of decisions made today.

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This work belongs to the field of computational high-energy physics (HEP). The key methods used in this thesis work to meet the challenges raised by the Large Hadron Collider (LHC) era experiments are object-orientation with software engineering, Monte Carlo simulation, the computer technology of clusters, and artificial neural networks. The first aspect discussed is the development of hadronic cascade models, used for the accurate simulation of medium-energy hadron-nucleus reactions, up to 10 GeV. These models are typically needed in hadronic calorimeter studies and in the estimation of radiation backgrounds. Various applications outside HEP include the medical field (such as hadron treatment simulations), space science (satellite shielding), and nuclear physics (spallation studies). Validation results are presented for several significant improvements released in Geant4 simulation tool, and the significance of the new models for computing in the Large Hadron Collider era is estimated. In particular, we estimate the ability of the Bertini cascade to simulate Compact Muon Solenoid (CMS) hadron calorimeter HCAL. LHC test beam activity has a tightly coupled cycle of simulation-to-data analysis. Typically, a Geant4 computer experiment is used to understand test beam measurements. Thus an another aspect of this thesis is a description of studies related to developing new CMS H2 test beam data analysis tools and performing data analysis on the basis of CMS Monte Carlo events. These events have been simulated in detail using Geant4 physics models, full CMS detector description, and event reconstruction. Using the ROOT data analysis framework we have developed an offline ANN-based approach to tag b-jets associated with heavy neutral Higgs particles, and we show that this kind of NN methodology can be successfully used to separate the Higgs signal from the background in the CMS experiment.

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Atmospheric aerosol particles affect the global climate as well as human health. In this thesis, formation of nanometer sized atmospheric aerosol particles and their subsequent growth was observed to occur all around the world. Typical formation rate of 3 nm particles at varied from 0.01 to 10 cm-3s-1. One order of magnitude higher formation rates were detected in urban environment. Highest formation rates up to 105 cm-3s-1 were detected in coastal areas and in industrial pollution plumes. Subsequent growth rates varied from 0.01 to 20 nm h-1. Smallest growth rates were observed in polar areas and the largest in the polluted urban environment. This was probably due to competition between growth by condensation and loss by coagulation. Observed growth rates were used in the calculation of a proxy condensable vapour concentration and its source rate in vastly different environments from pristine Antarctica to polluted India. Estimated concentrations varied only 2 orders of magnitude, but the source rates for the vapours varied up to 4 orders of magnitude. Highest source rates were in New Delhi and lowest were in the Antarctica. Indirect methods were applied to study the growth of freshly formed particles in the atmosphere. Also a newly developed Water Condensation Particle Counter, TSI 3785, was found to be a potential candidate to detect water solubility and thus indirectly composition of atmospheric ultra-fine particles. Based on indirect methods, the relative roles of sulphuric acid, non-volatile material and coagulation were investigated in rural Melpitz, Germany. Condensation of non-volatile material explained 20-40% and sulphuric acid the most of the remaining growth up to a point, when nucleation mode reached 10 to 20 nm in diameter. Coagulation contributed typically less than 5%. Furthermore, hygroscopicity measurements were applied to detect the contribution of water soluble and insoluble components in Athens. During more polluted days, the water soluble components contributed more to the growth. During less anthropogenic influence, non-soluble compounds explained a larger fraction of the growth. In addition, long range transport to a measurement station in Finland in a relatively polluted air mass was found to affect the hygroscopicity of the particles. This aging could have implications to cloud formation far away from the pollution sources.

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Cosmological inflation is the dominant paradigm in explaining the origin of structure in the universe. According to the inflationary scenario, there has been a period of nearly exponential expansion in the very early universe, long before the nucleosynthesis. Inflation is commonly considered as a consequence of some scalar field or fields whose energy density starts to dominate the universe. The inflationary expansion converts the quantum fluctuations of the fields into classical perturbations on superhorizon scales and these primordial perturbations are the seeds of the structure in the universe. Moreover, inflation also naturally explains the high degree of homogeneity and spatial flatness of the early universe. The real challenge of the inflationary cosmology lies in trying to establish a connection between the fields driving inflation and theories of particle physics. In this thesis we concentrate on inflationary models at scales well below the Planck scale. The low scale allows us to seek for candidates for the inflationary matter within extensions of the Standard Model but typically also implies fine-tuning problems. We discuss a low scale model where inflation is driven by a flat direction of the Minimally Supersymmetric Standard Model. The relation between the potential along the flat direction and the underlying supergravity model is studied. The low inflationary scale requires an extremely flat potential but we find that in this particular model the associated fine-tuning problems can be solved in a rather natural fashion in a class of supergravity models. For this class of models, the flatness is a consequence of the structure of the supergravity model and is insensitive to the vacuum expectation values of the fields that break supersymmetry. Another low scale model considered in the thesis is the curvaton scenario where the primordial perturbations originate from quantum fluctuations of a curvaton field, which is different from the fields driving inflation. The curvaton gives a negligible contribution to the total energy density during inflation but its perturbations become significant in the post-inflationary epoch. The separation between the fields driving inflation and the fields giving rise to primordial perturbations opens up new possibilities to lower the inflationary scale without introducing fine-tuning problems. The curvaton model typically gives rise to relatively large level of non-gaussian features in the statistics of primordial perturbations. We find that the level of non-gaussian effects is heavily dependent on the form of the curvaton potential. Future observations that provide more accurate information of the non-gaussian statistics can therefore place constraining bounds on the curvaton interactions.

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This paper proposes the use of empirical modeling techniques for building microarchitecture sensitive models for compiler optimizations. The models we build relate program performance to settings of compiler optimization flags, associated heuristics and key microarchitectural parameters. Unlike traditional analytical modeling methods, this relationship is learned entirely from data obtained by measuring performance at a small number of carefully selected compiler/microarchitecture configurations. We evaluate three different learning techniques in this context viz. linear regression, adaptive regression splines and radial basis function networks. We use the generated models to a) predict program performance at arbitrary compiler/microarchitecture configurations, b) quantify the significance of complex interactions between optimizations and the microarchitecture, and c) efficiently search for'optimal' settings of optimization flags and heuristics for any given microarchitectural configuration. Our evaluation using benchmarks from the SPEC CPU2000 suits suggests that accurate models (< 5% average error in prediction) can be generated using a reasonable number of simulations. We also find that using compiler settings prescribed by a model-based search can improve program performance by as much as 19% (with an average of 9.5%) over highly optimized binaries.

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Within Australia, there have been many attempts to pass voluntary euthanasia (VE) or physician-assisted suicide (PAS) legislation. From 16 June 1993 until the date of writing, 51 Bills have been introduced into Australian parliaments dealing with legalising VE or PAS. Despite these numerous attempts, the only successful Bill was the Rights of the Terminally Ill Act 1995 (NT), which was enacted in the Northern Territory, but a short time later overturned by the controversial Euthanasia Laws Act 1997 (Cth). Yet, in stark contrast to the significant political opposition, for decades Australian public opinion has overwhelmingly supported law reform legalising VE or PAS. While there is ongoing debate in Australia, both through public discourse and scholarly publications, about the merits and dangers of reform in this field, there has been remarkably little analysis of the numerous legislative attempts to reform the law, and the context in which those reform attempts occurred. The aim of this article is to better understand the reform landscape in Australia over the past two decades. The information provided in this article will better equip Australians, both politicians and the general public, to have a more nuanced understanding of the political context in which the euthanasia debate has been and is occurring. It will also facilitate a more informed debate in the future.

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This article presents and evaluates Quantum Inspired models of Target Activation using Cued-Target Recall Memory Modelling over multiple sources of Free Association data. Two components were evaluated: Whether Quantum Inspired models of Target Activation would provide a better framework than their classical psychological counterparts and how robust these models are across the different sources of Free Association data. In previous work, a formal model of cued-target recall did not exist and as such Target Activation was unable to be assessed directly. Further to that, the data source used was suspected of suffering from temporal and geographical bias. As a consequence, Target Activation was measured against cued-target recall data as an approximation of performance. Since then, a formal model of cued-target recall (PIER3) has been developed [10] with alternative sources of data also becoming available. This allowed us to directly model target activation in cued-target recall with human cued-target recall pairs and use multiply sources of Free Association Data. Featural Characteristics known to be important to Target Activation were measured for each of the data sources to identify any major differences that may explain variations in performance for each of the models. Each of the activation models were used in the PIER3 memory model for each of the data sources and was benchmarked against cued-target recall pairs provided by the University of South Florida (USF). Two methods where used to evaluate performance. The first involved measuring the divergence between the sets of results using the Kullback Leibler (KL) divergence with the second utilizing a previous statistical analysis of the errors [9]. Of the three sources of data, two were sourced from human subjects being the USF Free Association Norms and the University of Leuven (UL) Free Association Networks. The third was sourced from a new method put forward by Galea and Bruza, 2015 in which pseudo Free Association Networks (Corpus Based Association Networks - CANs) are built using co-occurrence statistics on large text corpus. It was found that the Quantum Inspired Models of Target Activation not only outperformed the classical psychological model but was more robust across a variety of data sources.

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This paper presents the results of shaking table tests on geotextile-reinforced wrap-faced soil-retaining walls. Construction of model retaining walls in a laminar box mounted on a shaking table, instrumentation, and results from the shaking table tests are discussed in detail. The base motion parameters, surcharge pressure and number of reinforcing layers are varied in different model tests. It is observed from these tests that the response of the wrap-faced soil-retaining walls is significantly affected by the base acceleration levels, frequency of shaking, quantity of reinforcement and magnitude of surcharge pressure on the crest. The effects of these different parameters on acceleration response at different elevations of the retaining wall, horizontal soil pressures and face deformations are also presented. The results obtained from this study are helpful in understanding the relative performance of reinforced soil-retaining walls under different test conditions used in the experiments.

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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.