ARMA modeling of time series based on rational approximation of spectral density function

This study is concerned with Autoregressive Moving Average (ARMA) models of time series. ARMA models form a subclass of the class of general linear models which represents stationary time series, a phenomenon encountered most often in practice by engineers, scientists and economists. It is always desirable to employ models which use parameters parsimoniously. Parsimony will be achieved by ARMA models because it has only finite number of parameters. Even though the discussion is primarily concerned with stationary time series, later we will take up the case of homogeneous non stationary time series which can be transformed to stationary time series. Time series models, obtained with the help of the present and past data is used for forecasting future values. Physical science as well as social science take benefits of forecasting models. The role of forecasting cuts across all fields of management-—finance, marketing, production, business economics, as also in signal process, communication engineering, chemical processes, electronics etc. This high applicability of time series is the motivation to this study.

Study of Synchronisalion and Control of Chaos in Directly Modulated Semiconductor Lasers

Chaos is a subject oftopical interest and, studied in great detail in relation to its relevance in almost all branches of science, which include physical, chemical, and biological fields. Chaos in the literal sense signifies utter confusion, but the scientific community has differentiated chaos as deterministic chaos and white noise. Deterministic chaos implies the complex behaviour of systems, which are governed by deterministic laws. Behaviour of such systems often become unpredictable in the long run. This unpredictability arises from the sensitivity of the system to its initial conditions. The essential requirement for ‘sensitivity to initial condition’ is nonlinearity of the system. The only method for determining the future of such systems is numerically simulating its final state from a set ofinitial conditions. Synchronisation

Decadal predictability of the Atlantic Ocean in a coupled GCM: forecast skill and optimal perturbations using Linear Inverse Modelling

The decadal predictability of three-dimensional Atlantic Ocean anomalies is examined in a coupled global climate model (HadCM3) using a Linear Inverse Modelling (LIM) approach. It is found that the evolution of temperature and salinity in the Atlantic, and the strength of the meridional overturning circulation (MOC), can be effectively described by a linear dynamical system forced by white noise. The forecasts produced using this linear model are more skillful than other reference forecasts for several decades. Furthermore, significant non-normal amplification is found under several different norms. The regions from which this growth occurs are found to be fairly shallow and located in the far North Atlantic. Initially, anomalies in the Nordic Seas impact the MOC, and the anomalies then grow to fill the entire Atlantic basin, especially at depth, over one to three decades. It is found that the structure of the optimal initial condition for amplification is sensitive to the norm employed, but the initial growth seems to be dominated by MOC-related basin scale changes, irrespective of the choice of norm. The consistent identification of the far North Atlantic as the most sensitive region for small perturbations suggests that additional observations in this region would be optimal for constraining decadal climate predictions.

Shrinking the posterior: A note on the Nerlovian model

Diebold and Lamb (1997) argue that since the long-run elasticity of supply derived from the Nerlovian model entails a ratio of random variables, it is without moments. They propose minimum expected loss estimation to correct this problem but in so-doing ignore the fact that a non white-noise-error is implicit in the model. We show that, as a consequence the estimator is biased and demonstrate that Bayesian estimation which fully accounts for the error structure is preferable.

Scanning LDV for vibration measurement of filiform hairs in crickets in response to induced airflow - art. no. 63450E

Cercal hairs represent in cricket a wind sensitive escape system, able to detect the airflow generated from predating species. These sensors have been studied as a biomimetic concept to allow the development of MEMS for biomedical use. In particular, the behaviour of the hairs, including airflow response, resonant frequency and damping, has been investigated up to a frequency of 20 kHz. The microscopic nature of the hairs, the complex vibrations of excited hairs and the high damping of the system suggested that the use of Laser Doppler vibrometry could possibly improve the test performance. Two types of tests were performed: in the first case the hairs were indirectly excited using the signal obtained from a vibrating aluminium plate, whilst in the second case the hairs were directly excited using a white noise chirp. The results from the first experiment indicated that the hairs move in-phase with the exciting signal up to frequencies in the order of 10 kHz, responding to the vibration modes of the plate with a signal attenuation of 12 to 20 dB. The chirp experiment revealed the presence of rotational resonant modes at 6850 and 11300 Hz. No clear effect of hair length was perceivable on the vibration response of the filiform sensors. The obtained results proved promising to support the mechanical and vibration characterisation of the hairs and suggest that scanning Laser vibrometry can be used extensively on highly dampened biological materials.

Robust blind deconvolution algorithm: variance approximation and series decoupling

An alternative blind deconvolution algorithm for white-noise driven minimum phase systems is presented and verified by computer simulation. This algorithm uses a cost function based on a novel idea: variance approximation and series decoupling (VASD), and suggests that not all autocorrelation function values are necessary to implement blind deconvolution.

Stochastic perturbations to dynamical systems: a response theory approach

Using the formalism of the Ruelle response theory, we study how the invariant measure of an Axiom A dynamical system changes as a result of adding noise, and describe how the stochastic perturbation can be used to explore the properties of the underlying deterministic dynamics. We first find the expression for the change in the expectation value of a general observable when a white noise forcing is introduced in the system, both in the additive and in the multiplicative case. We also show that the difference between the expectation value of the power spectrum of an observable in the stochastically perturbed case and of the same observable in the unperturbed case is equal to the variance of the noise times the square of the modulus of the linear susceptibility describing the frequency-dependent response of the system to perturbations with the same spatial patterns as the considered stochastic forcing. This provides a conceptual bridge between the change in the fluctuation properties of the system due to the presence of noise and the response of the unperturbed system to deterministic forcings. Using Kramers-Kronig theory, it is then possible to derive the real and imaginary part of the susceptibility and thus deduce the Green function of the system for any desired observable. We then extend our results to rather general patterns of random forcing, from the case of several white noise forcings, to noise terms with memory, up to the case of a space-time random field. Explicit formulas are provided for each relevant case analysed. As a general result, we find, using an argument of positive-definiteness, that the power spectrum of the stochastically perturbed system is larger at all frequencies than the power spectrum of the unperturbed system. We provide an example of application of our results by considering the spatially extended chaotic Lorenz 96 model. These results clarify the property of stochastic stability of SRB measures in Axiom A flows, provide tools for analysing stochastic parameterisations and related closure ansatz to be implemented in modelling studies, and introduce new ways to study the response of a system to external perturbations. Taking into account the chaotic hypothesis, we expect that our results have practical relevance for a more general class of system than those belonging to Axiom A.

A estrutura a termo da taxa de juros no Brasil: testando relações de codependência de ordem zero

Este trabalho testa a existência de relações de codependência de ordem zero em spreads formados a partir da estrutura a termo da taxa de juros no Brasil. O objetivo é verificar se existem combinações lineares dos spreads que geram um processo ruído branco contemporâneo. Essas combinações lineares poderiam ser utilizadas para a previsão de taxas de juros futuras dado que desvios destas relações estáveis implicariam em um movimento futuro das taxas de juros no sentido de restabelecer o equilíbrio. O modelo de Nelson e Siegel (1987) serve de base teórica para os testes empíricos. Ao verificar a hipótese de codependência de ordem zero é possível também analisar premissas quanto aos parâmetros do modelo em relação à estrutura a termo da taxa de juros no Brasil. As evidências obtidas a partir dos resultados empíricos apontam na rejeição da hipótese de codependência de ordem zero e, consequentemente, na impossibilidade de definir as combinações lineares mencionadas. Esta constatação pode estar relacionada aos períodos de instabilidade presentes na amostra ou na existência de codependência de ordem superior a zero.

Effects of caffeine on locomotor activity of horses: Determination of the no-effect threshold

Caffeine is the legal stimulant consumed most extensively by the human world population and may be found eventually in the urine and/or blood of race horses, the fact that caffeine is in foods led us to determine the highest no-effect dose (HNED) of caffeine on the spontaneous locomotor activity of horses and then to quantify this substance in urine until it disappeared. We built two behavioural stalls equipped with juxtaposed photoelectric sensors that emit infrared beams that divide the stall into nine sectors in a 'tic-tac-toe' fashion. Each time a beam was interrupted by a leg of the horse, a pulse was generated; the pulses were counted at 5-min intervals and stored by a microcomputer. Environmental effects were minimized by installing exhaust fans producing white noise that obscured outside sounds. One-way observation windows prevented the animals from seeing outside. The sensors were turned on 45 min before drug administration (saline control or caffeine), the animals were observed for up to 8 h after i.v. administration of 2.0, 2.5, 3.0 or 5.0 mg caffeine kg(-1). The HNED of caffeine for stimulation of the spontaneous locomotor activity of horses was 2.0 mg kg(-1). The quantification of caffeine in urine and plasma samples was done by gradient HPLC with UV detection. The no-effect threshold should not be greater than 2.0 mug caffeine ml(-1) plasma or 5.0 mug caffeine ml(-1) urine. Copyright (C) 2001 John Wiley & Sons, Ltd.

Modelagem e controle de um microveículo aéreo: uma aplicação de estabilidade robusta com a técnica backstepping em uma estrutura hexarrotor

In this Thesis, the development of the dynamic model of multirotor unmanned aerial vehicle with vertical takeoff and landing characteristics, considering input nonlinearities and a full state robust backstepping controller are presented. The dynamic model is expressed using the Newton-Euler laws, aiming to obtain a better mathematical representation of the mechanical system for system analysis and control design, not only when it is hovering, but also when it is taking-off, or landing, or flying to perform a task. The input nonlinearities are the deadzone and saturation, where the gravitational effect and the inherent physical constrains of the rotors are related and addressed. The experimental multirotor aerial vehicle is equipped with an inertial measurement unit and a sonar sensor, which appropriately provides measurements of attitude and altitude. A real-time attitude estimation scheme based on the extended Kalman filter using quaternions was developed. Then, for robustness analysis, sensors were modeled as the ideal value with addition of an unknown bias and unknown white noise. The bounded robust attitude/altitude controller were derived based on globally uniformly practically asymptotically stable for real systems, that remains globally uniformly asymptotically stable if and only if their solutions are globally uniformly bounded, dealing with convergence and stability into a ball of the state space with non-null radius, under some assumptions. The Lyapunov analysis technique was used to prove the stability of the closed-loop system, compute bounds on control gains and guaranteeing desired bounds on attitude dynamics tracking errors in the presence of measurement disturbances. The controller laws were tested in numerical simulations and in an experimental hexarotor, developed at the UFRN Robotics Laboratory

Stochastic modelling considering ionospheric scintillation effects on GNSS relative and point positioning

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Um estudo na teoria do movimento brownianno com viscosidade variável

In this work we investigate the stochastic behavior of a large class of systems with variable damping which are described by a time-dependent Lagrangian. Our stochastic approach is based on the Langevin treatment describing the motion of a classical Brownian particle of mass m. Two situations of physical interest are considered. In the first one, we discuss in detail an application of the standard Langevin treatment (white noise) for the variable damping system. In the second one, a more general viewpoint is adopted by assuming a given expression to the so-called collored noise. For both cases, the basic diffententiaql equations are analytically solved and al the quantities physically relevant are explicitly determined. The results depend on an arbitrary q parameter measuring how the behavior of the system departs from the standard brownian particle with constant viscosity. Several types of sthocastic behavior (superdiffusive and subdiffusive) are obteinded when the free pamameter varies continuosly. However, all the results of the conventional Langevin approach with constant damping are recovered in the limit q = 1

On the dynamic behaviour of a mass supported by a parallel combination of a spring and an elastically connected damper

This paper presents a consistent and concise analysis of the free and forced vibration of a mass supported by a parallel combination of a spring and an elastically supported damper (a Zener model). The results are presented in a compact form and the physical behaviour of the system is emphasised. This system is very similar to the conventional single-degree-of freedom system (sdof)-(Voigt model), but the dynamics can be quite different depending on the system parameters. The usefulness of the additional spring in series with the damper is investigated, and optimum damping values for the system subject to different types of excitation are determined and compared.There are three roots to the characteristic equation for the Zener model; two are complex conjugates and the third is purely real. It is shown that it is not possible to achieve critical damping of the complex roots unless the additional stiffness is at least eight times that of the main spring. For a harmonically excited system, there are some possible advantages in using the additional spring when the transmitted force to the base is of interest, but when the displacement response of the system is of interest then the benefits are marginal. It is shown that the additional spring affords no advantages when the system is excited by white noise. (c) 2007 Elsevier Ltd. All rights reserved.

Estudo de Fractalidade e Evolução Dinâmica de Sistemas Complexos

In this work, the study of some complex systems is done with use of two distinct procedures. In the first part, we have studied the usage of Wavelet transform on analysis and characterization of (multi)fractal time series. We have test the reliability of Wavelet Transform Modulus Maxima method (WTMM) in respect to the multifractal formalism, trough the calculation of the singularity spectrum of time series whose fractality is well known a priori. Next, we have use the Wavelet Transform Modulus Maxima method to study the fractality of lungs crackles sounds, a biological time series. Since the crackles sounds are due to the opening of a pulmonary airway bronchi, bronchioles and alveoli which was initially closed, we can get information on the phenomenon of the airway opening cascade of the whole lung. Once this phenomenon is associated with the pulmonar tree architecture, which displays fractal geometry, the analysis and fractal characterization of this noise may provide us with important parameters for comparison between healthy lungs and those affected by disorders that affect the geometry of the tree lung, such as the obstructive and parenchymal degenerative diseases, which occurs, for example, in pulmonary emphysema. In the second part, we study a site percolation model for square lattices, where the percolating cluster grows governed by a control rule, corresponding to a method of automatic search. In this model of percolation, which have characteristics of self-organized criticality, the method does not use the automated search on Leaths algorithm. It uses the following control rule: pt+1 = pt + k(Rc − Rt), where p is the probability of percolation, k is a kinetic parameter where 0 < k < 1 and R is the fraction of percolating finite square lattices with side L, LxL. This rule provides a time series corresponding to the dynamical evolution of the system, in particular the likelihood of percolation p. We proceed an analysis of scaling of the signal obtained in this way. The model used here enables the study of the automatic search method used for site percolation in square lattices, evaluating the dynamics of their parameters when the system goes to the critical point. It shows that the scaling of , the time elapsed until the system reaches the critical point, and tcor, the time required for the system loses its correlations, are both inversely proportional to k, the kinetic parameter of the control rule. We verify yet that the system has two different time scales after: one in which the system shows noise of type 1 f , indicating to be strongly correlated. Another in which it shows white noise, indicating that the correlation is lost. For large intervals of time the dynamics of the system shows ergodicity

Age impact on the eferent system actitivies in cochlear mechanical properties in normal hearing individuals

O trato olivococlear medial realiza o controle eferente das células ciliadas externas, regulando as contrações lentas e atenuando as rápidas. Com a pesquisa da amplitude das emissões otoacústicas sem e com estimulação acústica contra, ipsi ou bilateralmente, é possível estimar as condições desse trato, uma vez que o efeito resultante de redução/supressão das emissões indica seu funcionamento. O envelhecimento implica em diminuição da atividade do sistema auditivo central, em função da degeneração das estruturas envolvidas nas habilidades auditivas. OBJETIVO: O objetivo foi investigar o efeito da idade na atividade do trato sobre a cóclea, com a análise da amplitude das emissões com estimulação acústica contralateral. MATERIAL E MÉTODO: A casuística foi composta por 75 indivíduos agrupados conforme a idade. A metodologia foi o modo convencional, com clique linear e o ruído branco. ESTUDO DE CASO: A análise considerou a resposta das orelhas e a comparação entre os grupos. RESULTADOS: Os resultados revelam diferenças estatisticamente significantes entre o response das emissões sem e com estimulação acústica contralateral, nos indivíduos (20 a 39 anos). O efeito redução/supressão das emissões diminui com a idade (quarta década). CONCLUSÃO: O envelhecimento prejudica a efetividade da atividade do trato.