Les fermes houlomotrices de seconde génération qui seront déployées dans les années qui viennent seront composées d’un grand nombre de modules identiques mouillés en mer et rapportant au rivage l’électricité produite par câbles sous-marins. Il a été montré que le contrôle des machines houlomotrices permet d’augmenter significativement leur rendement. Cependant, le contrôle optimal d’un système houlomoteur est non causal, i.e. son application nécessite la prévision de la force d’excitation soumise par le champ de vague sur chacun des éléments de la ferme. Les travaux présentés dans ce manuscrit ont consisté à mettre en place une stratégie de contrôle permettant une récupération d’énergie proche de l’optimum théorique en tenant compte des interactions hydrodynamiques liées à la configuration de ferme et permettant de résoudre la non-causalité d’un tel contrôleur en utilisant uniquement l’information contenue dans les vecteurs d’états des machines de la ferme. Dans un premier temps, les équations reliant les différents états des machines de la ferme ont été établies puis ont été utilisées afin d'effectuer une prévision des états sur les corps contrôlés permettant ainsi d’appliquer un contrôle réactif pseudo causal. Afin de contraindre la dynamique des corps et maitriser l’horizon de non causal du contrôleur, une méthode de fenêtrage a été appliquée à l’impédance du contrôleur. À l’aide d’un simulateur temporel développé spécifiquement, une étude de sensibilité a été conduite pour définir les paramètres optimaux et le comportement de la stratégie de contrôle et de son fenêtrage. La robustesse et la performance du contrôleur ont ensuite été évaluées pour différents changements extérieurs comme la dérive des corps, les variations d’orientation de houle, et l’étalement spectral directionnel. L’application de la stratégie de contrôle à une ferme de 10 corps a montré une récupération d’énergie supérieure à 83% de la limite théorique maximale. / The next generation of wave farms will becomposed of a large number of identical devices deployed offshore, which will transfer the retrieved energy to the shore using submarine cables. It hasbeen proven that the control of Wave Energy Converters can improve their efficiency. However, one of the main challenges of WEC control is the noncausality of the optimal controller. Indeed, the time domain application of this kind of control requires the forecast of the excitation force applied by the wavefield on each device of the farm. The work presented in this thesis aimed at developing and assessing a control strategy with an energy efficiency close to the theoretical optimum, taking into account the hydrodynamic interactions between the farm devices, and solving the non-causality issue using the measurements of the states of the device of the array. First, the equations linking the devices’ states within the array have been established and used to performa deterministic forecast of the states of the controlled bodies, which allowed to apply a pseudo-causal reactive control. Moreover, a window function hasbeen applied to the controller impedance in order to constrain the dynamic of the controlled bodies, and also to regulate the non-causal horizon of the controller. Then, using a time domain simulator developed specifically, a sensibility analysis has been performed to define the optimal parameters and the behavior of the controller with the window function.The robustness and the performances of the controller have also been assessed when affected by exterior changes such as device drift, wave orientation modification, and directional spreading of the wave spectrum. The collaborative controlled strategy applied to a farm of 10 devices has shown an energy efficiency over 83% of the theoretical bound.

對於私部門儲蓄（private saving）之組成成分──公司儲蓄（cor- porate saving）與家庭儲蓄（household saving）間究竟存在著什麼樣 的互動關係，因涉及政府之租稅重分配政策是否可提升私部門儲蓄的課題 ，一直是關心資本形成的經濟學者所爭論的焦點。本文即希望透過 Granger- Sims檢定法則，首次透過因果關係的角度澄清兩者之間的關連 關係，確立可能存在的因果方向及型態，以作為政府施政時的參考。臺灣 地區之實證結果顯示：公司儲蓄(SC)、家庭儲蓄(SH)不論在所得稅負變數 是否存在下，均呈現同向之回饋因果關係。個體儲蓄決策過程中，超理 性 (ultra rationality)並不存在，一旦公司儲蓄、家庭儲蓄兩者之一有 所增減，必帶動另一者作同方向之變動，對整體私部門儲蓄率之變動只有 加劇而無抵消之效果。是故在所得稅負重分配政策的採行上，政府須審慎 考慮其對私部門資本形成所帶來之負面打擊。

Among the parametric nonlinear time series model families, the smooth transition regression (STR) model has recently received attention in the literature. The considerations in this dissertation focus on the univariate special case of this model, the smooth transition autoregression (STAR) model, although large parts of the discussion can be easily generalised to the more general STR case. Many nonlinear univariate time series models can be described as consisting of a number of regimes, each one corresponding to a linear autoregressive parametrisation, between which the process switches. In the STAR models, as opposed to certain other popular models involving multiple regimes, the transition between the extreme regimes is smooth and assumed to be characterised by a bounded continuous function of a transition variable. The transition variable, in turn, may be a lagged value of the variable in the model, or another stochastic or deterministic observable variable. A number of other commonly discussed nonlinear autoregressive models can be viewed as special or limiting cases of the STAR model. The applications presented in the first two chapters of this dissertation, Chapter I: Another look at Swedish Business Cycles, 1861-1988 Chapter II: Modelling asymmetries and moving equilibria in unemployment rates, make use of STAR models. In these two studies, STAR models are used to provide insight into dynamic properties of the time series which cannot be be properly characterised by linear time series models, and which thereby may be obscured by estimating only a linear model in cases where linearity would be rejected if tested. The applications being of interest in their own right, an important common objective of these two chapters is also to develop, suggest, and give examples of various methods that may be of use in discussing the dynamic properties of estimated STAR models in general.Chapter III, Testing linearity against smooth transition autoregression using a parametric bootstrap, reports the result of a small simulation study considering a new test of linearity against STAR based on bootstrap methodology. / <p>Diss. Stockholm : Handelshögskolan, 1999</p>

Bakgrund och Problem: Aktiemarknaden påverkas både av inhemska och utländska faktorer. Därför är det av intresse att se vilka makroekonomiska variabler som påverkar den svenska aktiemarknaden. Anledningen till att Sverige har valts som den geografiska punkten är att det är av intresse att se hur ett litet land som Sverige, som har en öppen ekonomi påverkas av de utvalda makroekonomiska variablerna. Syfte: Syftet med uppsatsen är att med hjälp av information samt analys, studera hur de olika makroekonomiska variablerna påverkar den inhemska aktiemarknaden. Olika faktorer som påverkar aktiemarknaden kommer att lyftas fram för att i sin tur även se till de olika branscherna. Metod: Då data enbart består av hämtning av tidigare information fokuseras det enbart på sekundärdata i form av historiska siffror samt historiska undersökningar. De statistiska tester som tillämpas är Granger Causality test, Johansens Cointegration test, Impulse Response Function test, ADF test, KPSS test, Mulitpel regression. Slutsats: Med de resultat som presenterades i denna studie, skulle vi nog inte kunna säga att vi har ett svar över vilka aktier en investerare ska införskaffa. Dock skulle vi kunna poängtera att den potentiella investeraren bör ha dessa variabler i beaktning vid beslut. Genom att studera dessa variabler kan man få en känsla om vilket håll variablerna kommer att röra sig och på så sätt säga att de kan påverka aktieindexen. Att bara kolla på de makroekonomiska variabler som denna studie belyser räcker inte för att förstå hur aktieindex kommer att se ut i framtiden, men det är en bit på vägen till att förstå aktiemarknadens rörelse.

Functional Magnetic Resonance Imaging (fMRI) is one of the best techniques for neuroimaging and has revolutionized the way to understand the brain functions. It measures the changes in the blood oxygen level-dependent (BOLD) signal which is related to the neuronal activity. Complexity of the data, presence of different types of noises and the massive amount of data makes the fMRI data analysis a challenging one. It demands efficient signal processing and statistical analysis methods.  The inference of the analysis is used by the physicians, neurologists and researchers for better understanding of the brain functions.      The purpose of this study is to design a toolbox for fMRI data analysis. It includes methods to detect the brain activity maps, estimation of the hemodynamic response (HDR) and the connectivity of the brain structures. This toolbox provides methods for detection of activated brain regions measured with Bayesian estimator. Results are compared with the conventional methods such as t-test, ordinary least squares (OLS) and weighted least squares (WLS). Brain activation and HDR are estimated with linear adaptive model and nonlinear method based on radial basis function (RBF) neural network. Nonlinear autoregressive with exogenous inputs (NARX) neural network is developed to model the dynamics of the fMRI data.  This toolbox also provides methods to brain connectivity such as functional connectivity and effective connectivity.  These methods are examined on simulated and real fMRI datasets.

Equity risk premium is a financial variable that is surrounded by mystery. Starting from the almost 30 year old equity premium puzzle caused by considerations that equity premium values which are observable in past data imply an implausibly high risk aversion to more recent statements that equity premium does not exist anymore. The purpose of this paper is to find out more about the traits and characteristics of equity risk premium, its current status and interactions of its values across international markets by conducting data analysis on mature equity markets using optimal methods as suggested in academic literature. This paper attempts to clear some of the confusion regarding equity premiums by analyzing equity excess returns in the mature equity markets of France, Germany, Sweden, United Kingdom and USA from 1970 to 2012. It is concluded that equity premium follows a mean reverting process however in short-term and mid-term its values can be volatile and in March 2000 there might have been a structural break. The obtained current equity premium values are significantly higher than zero. At the same time they are lower than popularly used values that are based on longer periods of past data. The paper also finds out that equity premiums in different countries are highly correlated not only due to shared global influence but also due to some direct causality relationships between them, most of which are positive. A panel data analysis is conducted as well to test the explanatory power of some macroeconomic and financial variables on the equity risk premium values and it is concluded that risk-free rate and unemployment rate have some explanatory power for equity risk premium values. This paper manages to clear a part of the mystery that surrounds the equity risk premium.

This study presents our attempt to examine the linkages and to investigate the linkage of stock price indexes among Taiwan, China and its major trading countries. Our empirical analysis employs daily data on stock price indexes over the period of January 2, 2000 to May 10, 2010. The total number of observations is about 2500. This study employ a sequence of time-series methodologies, including unit root test, cointegration test, vector error correction model, Granger causality test, Criterion, autocorrelation test, heteroscedasticity test, GARCH and Bi-GARCH. The findings of this study as follows. First, after first difference, every stock price indexes series all became stationary. Second, we found there has no long-run interrelationship among these stock markets. Third, we found that Taiwan¡¦s stock market exits leading role to China¡¦s stock market, but other countries¡¦ stock market lead Taiwan¡¦s stock market. For China, the stock market of United States, Japan, Taiwan and Hong Kong has a leading role to China¡¦s stock market. Only the rela-tionship between South Korea and China¡¦s stock market is independent. Forth, the result of autocorrelation test and ARCH test indicates that the influence of stock price indexes of major trading countries to Taiwan and China¡¦s stock price index has changed over time. Finally, the result of study indicates that every stock market can forecast its future trend by using its past stock data and investor can use the past stock data of stock market of major trading countries to forecast Taiwan and China¡¦s stock market.

The Environmental Protection Administration of Executive Yuan has been promoting the environmental protection policy for years, hoping to achieve the goal of ¡§zero waste¡¨ and meet the international environmental standard by executing source minimization and resource recycling. The study aims to investigate the causality between the disbursement incurred from waste management and the effectiveness of control measures of the 22 Taiwan¡¦s administrative regions from 2001 to 2010; variables of the examination are, disbursement incurred from waste management , disposal or treatment rate of municipal waste, and recycling rate of enforcement authority. After the gathering of data, the Granger test is conducted to determine the causality. Given that the data of disbursement incurred from waste management is hard to gather and the details of the actual disbursement of the evaluation indices are impossible to separate, the study postulates that, with consideration of the consistency and continuity of the budgeting process and the massive accident, all the disbursement incurred from waste management is used for the said purpose. The result of the empirical research indicates that disposal or treatment rate of municipal waste and disbursement incurred from waste management are not causally related. In the Granger test, the correlation between disbursement incurred from waste management and recycling rate of enforcement authority are significant at the 0.01 level; the correlation between recycling rate of enforcement authority and disbursement incurred from waste management are significant at the 0.1 level. Therefore, the ¡§Zero Waste¡¨ and ¡§source minimization and resource recycling¡¨ policy promoted by the Administration is effective in reducing the disbursement incurred from waste management. If we adhere to the environmental policy, we can not only improve the environmental health and life quality, but also be able to reduce the expense of waste management and invest the resource on other departments to achieve the effect of protecting the environment while maintaining economic growth.

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This study investigates the validity of the twin deficits hypothesis for the Turkish quarterly data over the 1988:1-2005:2 periods. To this end, we consider a VAR variable space containing budget deficits, current account deficits, real output, real interest rates and real exchange rates and employ cointegration, equilibrium/error correction mechanism techniques along with Granger-non-causality tests and impulse response analyses. The empirical results from decompositions of the budget and current account deficits into their cyclical and structural components suggest that both CAD and BD are counter-cyclical. The twin deficit hypothesis, consistent with the conventional Mundell-Flemming framework, postulates that current account and budget deficits move together in the long run and the causality runs from the former to the latter. The results from Engle-Granger and Johansen cointegration procedures support either the twin divergence or the Ricardian equivalence postulations but not the twin deficits hypothesis. Current account deficits and budget deficits are also found to be jointly endogenous. The short-run impacts of budget deficits on current account deficits are found to be mainly through the real exchange rate and real interest rate channels.