Les modèles de séries chronologiques avec variances conditionnellement hétéroscédastiques sont devenus quasi incontournables afin de modéliser les séries chronologiques dans le contexte des données financières. Dans beaucoup d'applications, vérifier l'existence d'une relation entre deux séries chronologiques représente un enjeu important. Dans ce mémoire, nous généralisons dans plusieurs directions et dans un cadre multivarié, la procédure dévéloppée par Cheung et Ng (1996) conçue pour examiner la causalité en variance dans le cas de deux séries univariées. Reposant sur le travail de El Himdi et Roy (1997) et Duchesne (2004), nous proposons un test basé sur les matrices de corrélation croisée des résidus standardisés carrés et des produits croisés de ces résidus. Sous l'hypothèse nulle de l'absence de causalité en variance, nous établissons que les statistiques de test convergent en distribution vers des variables aléatoires khi-carrées. Dans une deuxième approche, nous définissons comme dans Ling et Li (1997) une transformation des résidus pour chaque série résiduelle vectorielle. Les statistiques de test sont construites à partir des corrélations croisées de ces résidus transformés. Dans les deux approches, des statistiques de test pour les délais individuels sont proposées ainsi que des tests de type portemanteau. Cette méthodologie est également utilisée pour déterminer la direction de la causalité en variance. Les résultats de simulation montrent que les tests proposés offrent des propriétés empiriques satisfaisantes. Une application avec des données réelles est également présentée afin d'illustrer les méthodes / Time series models with conditionnaly heteroskedastic variances have become almost inevitable to model financial time series. In many applications, to confirm the existence of a relationship between two time series is very important. In this Master thesis, we generalize in several directions and in a multivariate framework, the method developed by Cheung and Ng (1996) designed to examine causality in variance in the case of two univariate series. Based on the work of El Himdi and Roy (1997) and Duchesne (2004), we propose a test based on residual cross-correlation matrices of squared residuals and cross-products of these residuals. Under the null hypothesis of no causality in variance, we establish that the test statistics converge in distribution to chi-square random variables. In a second approach, we define as in Ling and Li (1997) a transformation of the residuals for each residual time series. The test statistics are built from the cross-correlations of these transformed residuals. In both approaches, test statistics at individual lags are presented and also portmanteau-type test statistics. That methodology is also used to determine the direction of causality in variance. The simulation results show that the proposed tests provide satisfactory empirical properties. An application with real data is also presented to illustrate the methods

The last few years have witnessed an exponential increase in the availability and use of financial market data, which is sampled at increasingly high frequencies. Extracting useful information about the dependency structure of a system from these multivariate data streams has numerous practical applications and can aid in improving our understanding of the driving forces in the global financial markets. These large and noisy data sets are highly non-Gaussian in nature and require the use of efficient and accurate interaction measurement approaches for their analysis in a real-time environment. However, most frequently used measures of interaction have certain limitations to their practical use, such as the assumption of normality or computational complexity. This thesis has two major aims; firstly, to address this lack of availability of suitable methods by presenting a set of approaches to dynamically measure symmetric and asymmetric interactions, i.e. causality, in multivariate non-Gaussian signals in a computationally efficient (online) framework, and secondly, to make use of these approaches to analyse multivariate financial time series in order to extract interesting and practically useful information from financial data. Most of our proposed approaches are primarily based on independent component analysis, a blind source separation method which makes use of higher-order statistics to capture information about the mixing process which gives rise to a set of observed signals. Knowledge about this information allows us to investigate the information coupling dynamics, as well as to study the asymmetric flow of information, in multivariate non-Gaussian data streams. We extend our multivariate interaction models, using a variety of statistical techniques, to study the scale-dependent nature of interactions and to analyse dependencies in high-dimensional systems using complex coupling networks. We carry out a detailed theoretical, analytical and empirical comparison of our proposed approaches with some other frequently used measures of interaction, and demonstrate their comparative utility, efficiency and accuracy using a set of practical financial case studies, focusing primarily on the foreign exchange spot market.

Cette thèse est consacrée à une analyse doctrinale et philologique du commentaire de Thomas d'Aquin sur la distinction 35 du premier Livre des Sentences de Pierre Lombard. Le sujet de cette distinction est la science que Dieu a de lui-même et des autres choses. La première partie de notre travail est une présentation conceptuelle et historique de l'arrière-fond de cette distinction. Elle est divisée en quatre étapes. Dans la première, nous nous sommes interrogé sur la science divine dans une perspective linguistique. Dans la seconde, nous avons discuté le rôle de l'autre, en tant qu'objet, dans la connaissance divine. Dans la troisième,nous avons étudié la synthèse chez Thomas des éléments aristotéliciens et pseudo-dionysiens, comme la notion d'actus purus et la notion d'esse. La quatrième étape, présente brièvement le contexte historique pour comprendre la méthode du commentaire des Sentences, ainsi qu'un bref panorama de l'Université de Paris au XIIIe siècle. La deuxième partie de la thèse offre une édition critique de la distinction 35. Après avoir collationné les témoins manuscrits selon les critères de la Commission Léonine, nous avons présenté le texte avec une introduction où nous établissons les différentes familles de la transmission textuelle. / This dissertation provides a doctrinal and philological study of Aquinas' Commentary on Book I, dist. 35 ofPeter Lombard's Sentences. At issue is the knowledge that God has of Himself and of the things other thanHimself. The first part of the dissertation investigates the conceptual and historical background of dist. 35. Itdivides into four sections. First, we approach the topic of the divine science from a linguistic perspective.Secondly, we examine the role of things other than God as objects of the divine knowledge. Thirdly, we drawattention to Aquinas' synthesis of Aristotelian and pseudo-Dionysian elements, namely the notions of actuspurus and esse. The fourth section provides an overview of the historical context and the XIIIth-centuryUniversity of Paris, in order to better understand the method of commentaries on the Sentences. The secondpart of the dissertation intends to provide, for the first time, the critical edition of Aquinas' Commentary onBook I, dist. 35 of Peter Lombard's Sentences. The manuscripts are collated according to LeonineCommission's criteria. The critical text is introduced by a philological study in which we investigate the textualtransmission of dist. 35 and we propose a stemma.

The issue of causality in the suits for damages The subject of this thesis is the issue of causality in disputes relating to compensation for damage to health. Causation is a considerably miscellaneous institute, therefore, this paper deals with various aspects of this topic and its context. The writing focuses on cases in which damage was caused to health through providing health services, as this legal field is characterized by many specifics from other areas of liability. Firstly, the thesis aims at explanation of the concept of causation, its importance and development not only in law but also in other areas of human activity. Subsequently, the attention is focused on the significance of causation in law; after theories of causation are compared, its substantial features are described in comparison to the other elements of liability. Consequently, the work concentrates on processes through which the causal link is determined, on the selection of relevant causes and consequences and the relationship between them in cases involving their plurality. It does not forget to mention the importance of causation in the context of strict liability, particularly in its specific cases relating to the provision of health services. The core of this work is the issue of causation in disputes in which the...

This thesis examines the output-variability relationship and causal relationships among the inflation, the output growth and their uncertainties for the Central and Eastern European region during the period of time that covers the economic crisis of 2008. We apply the bivariate GARCH(1,1) model with the constant conditional correlation covariance matrix to obtain conditional variances that proxy the two uncertainties and use Granger causality test to determine the causal effects among four variables. We come up with a number of interesting results. First, we did not find statistical evidence neither for the inflation-output variability relationship nor for the Phillips curve. Second, we uncovered support for the positive causal effect of the inflation on its uncertainty and negative causal effect for the reverse direction. Additionally, we also found some support for the indirect negative causal effect of the inflation on the output growth. These results support the policy of low and stable inflation in the countries. Finally, we showed that crisis has a significant impact on the results, changing the behaviour of conditional variances and causal effects among the variables. Powered by TCPDF (www.tcpdf.org)

This paper focuses on analysing and modelling inflation and its dynamics in Czech Republic applying a special kind of econometric models. Firstly economic theory of inflation is mentioned - fundamental terms, measuring methods of inflation, the way Czech national bank is monitoring the inflation and obviously a short summary of historical evolution of inflation in Czech economy. In the second part of this paper two econometric concepts of modelling time series are introduced - vector autoregression models (VAR models) and volatility models, concretely ARCH and GARCH models. In connection with the VAR models, Granger causality, impulse response functions, cointegration and error correction models are described. The empirical part includes application of selected models on real time series of chosen macroeconomic indicators. The estimation outputs are interpreted and forecasts are implemented. The quality of chosen econometric models for modelling inflation in Czech Republic is discussed.

Dans cette thèse nous présentons une approche générale et robuste pour la décomposition des jeux décrits en Game Description Language (GDL). Dans le domaine du General Game Playing (GGP), les joueurs peuvent significativement diminuer le coût de l'exploration d'un jeu s'ils disposent d'une version décomposée de celui-ci. Les travaux existants sur la décomposition des jeux s'appuient sur la structure syntaxique des règles, sur des habitudes d'écriture du GDL ou sur le coûteux calcul de la forme normale disjonctive des règles. Nous proposons une méthode plus générale pour décomposer les jeux solitaires ou multijoueurs. Dans un premier temps nous envisageons une approche fondée sur l'analyse logique des règles. Celle-ci nécessite l'utilisation d'heuristiques, qui en limitent la robustesse, et le coûteux calcul de la forme normale disjonctive des règles. Une seconde approche plus efficace est fondée sur la collecte d'informations durant des simulations (playouts). Cette dernière permet la détection des liens de causalité entre les actions et les fluents d'un jeu. Elle est capable de traiter les différents types de jeux composés et de prendre en charge certains cas difficiles comme les jeux à actions composées et les jeux en série. Nous avons testé notre approche sur un panel de 597 jeux GGP. Pour 70% des jeux, la décomposition nécessite moins d'une minute en faisant 5k playouts. Nous montrons de 87% d'entre eux peuvent être correctement décomposés après seulement 1k playouts. Nous ébauchons également une approche originale pour jouer avec ces jeux décomposés. Les tests préliminaires sur quelques jeux solitaires sont prometteurs. / This PhD thesis presents a robust and general approach for the decomposition of games described in Game Description Language (GDL). In the General Game Playing framework (GGP), players can drastically decrease game search cost if they hold a decomposed version of the game. Previous works on decomposition rely on syntactical structures and writing habits of the GDL, or on the disjunctive normal form of the rules, which is very costly to compute. We offer an approach to decompose single or multi-player games. First, we consider an approach based on logical rule analysis. This requires the use of heuristics, which limit its robustness, and the costly calculation of the disjunctive normal form of the rules. A second more efficient approach is based on information gathering during simulations of the game (playouts). The latter allows the detection of causal links between actions. It can handle the different classes of compound games and can process some difficult cases like synchrounous parallel games with compound moves and serial games. We tested our program on 597 games. Given 5k playouts, 70% of the games are decomposed in less than one minute. We demonstrate that for 87% of the games, 1k playouts are sufficient to obtain a correct decomposition. We also sketch an original approach to play with these decomposed games. Preliminary tests on some one-player games are promising. Another contribution of this thesis is the evaluation of the MPPA architecture for the parallelization of a GGP player (LeJoueur of Jean-Noël Vittaut).

A pesquisa teve por objetivo verificar se e como evangélicos vivenciam experiências anômalas do tipo extra-sensório-motoras, sob a ótica da Psicologia Social. Para tanto, utilizou-se o Questionário de Prevalência e Relevância de Psi (Q-PRP) e entrevista dirigida, de forma a contemplar aspectos quantitativos e qualitativos do estudo. Como aporte teórico para compreensão dos dados, fizemos uso da teoria de atribuição de causalidade, verificando como a percepção social e os eventos se relacionam. Do total de respondentes (N=126); 84,9% relataram ter vivenciado ao menos alguma das experiências abordadas no questionário. Respondentes tradicionais vivenciam menos experiências que respondentes neopentecostais, ou, na linguagem apresentada, neopentecostais são experienciadores de forma estatisticamente significante em relação aos tradicionais para cinco das doze experiências com as quais trabalhamos. A diferença entre as denominações também surgiu nas atribuições de causalidade, quando tradicionais fizeram atribuições a coincidência e ao poder da mente, enquanto neopentecostais (por diferença estatisticamente significante) fizeram atribuições a Deus. Os respondentes pentecostais se comportaram como um grupo impreciso, ora aproximando-se dos tradicionais, ora dos neopentecostais. A pesquisa tem um caráter exploratório e novos estudos se fazem necessários para aprofundamento das tendências aqui apontadas / The aim of this research is to verify if and how evangelical experience anomalous occurrences of extrasensorimotor type, from the perspective of Social Psychology. Therefore we used the Questionário de Prevalência e Relevância de Psi (Q-PRP) and oriented interview in order to contemplate quantitative and qualitative aspects of the study. As a theoretical framework for understanding the data, we used the attribution theory, to determine how the social perception and the events are related. Of the total respondents (N = 126); 84.9% claimed having experienced at least some of the occurrences addressed in the questionnaire. Traditional respondents experience less occurrences then the neopentecostal respondents, or, in the language presented, neopentecostals are experiencers a statistically significant manner compared to traditional to five of the twelve experiments with which we work. The difference between the denominations also appeared in causal attributions when the traditional ascribe the \"coincidence\" and the \"power of the mind\", while neopentecostal (a statistically significant difference) did ascribe to God. Pentecostals respondents behaved like an imprecise group, at times wavering closer to traditional and other times neopentecostals. This research has an exploratory character and further studies are needed to deepen the trends identified here

A presente pesquisa tem o objetivo de estudar os princípios de investigação dos seres vivos tendo como parâmetro a concepção hilemórfica dos entes naturais em Aristóteles. Para tanto, em primeiro lugar, analisaremos o hilemorfismo tal como exposto no Livro II da Física, a fim de investigarmos a doutrina da matéria e forma, no contexto em que ela desempenha um papel fundamental para a elaboração de uma concepção que é capaz de mostrar os modos pelos quais os entes se constituem na natureza. Em segundo lugar, examinaremos os princípios de investigação dos seres vivos no Livro I das Partes dos Animais, de modo a identificar os fundamentos conceituais nos quais ele se sustenta. Assim, veremos em que medida a doutrina da matéria e forma desempenha uma função determinante na análise relativa aos organismos vivos. / The present research aims to study the principles of investigation of living beings, from hylemorphic conception as a parameter of explanation of natural beings in Aristotle. To do so, first, well analyze the hylemorphism as set out in Book II of Physics in order to investigate the doctrine of matter and form, in which it plays a key role in the development of a conception that is able to show the ways in which beings are formed in nature. Second, well examine the principles of living beings in Book I of the Part of Animals, in order to identify the conceptual foundations on which it holds. So we\'ll see how far the doctrine of matter and form plays a decisive role in the analysis relating to living organisms.

Recent popularization of technologies such as Smartphones, Wearables, Internet of Things, Social Networks and Video streaming increased data creation. Dealing with extensive data sets led the creation of term big data, often defined as when data volume, acquisition rate or representation demands nontraditional approaches to data analysis or requires horizontal scaling for data processing. Analysis is the most important Big Data phase, where it has the objective of extracting meaningful and often hidden information. One example of Big Data hidden information is causality, which can be inferred with Delayed Transfer Entropy (DTE). Despite DTE wide applicability, it has a high demanding processing power which is aggravated with large datasets as those found in big data. This research optimized DTE performance and modified existing code to enable DTE execution on a computer cluster. With big data trend in sight, this results may enable bigger datasets analysis or better statistical evidence. / A recente popularização de tecnologias como Smartphones, Wearables, Internet das Coisas, Redes Sociais e streaming de Video aumentou a criação de dados. A manipulação de grande quantidade de dados levou a criação do termo Big Data, muitas vezes definido como quando o volume, a taxa de aquisição ou a representação dos dados demanda abordagens não tradicionais para analisar ou requer uma escala horizontal para o processamento de dados. A análise é a etapa de Big Data mais importante, tendo como objetivo extrair informações relevantes e às vezes escondidas. Um exemplo de informação escondida é a causalidade, que pode ser inferida utilizando Delayed Transfer Entropy (DTE). Apesar do DTE ter uma grande aplicabilidade, ele possui uma grande demanda computacional, esta última, é agravada devido a grandes bases de dados como as encontradas em Big Data. Essa pesquisa otimizou e modificou o código existente para permitir a execução de DTE em um cluster de computadores. Com a tendência de Big Data em vista, esse resultado pode permitir bancos de dados maiores ou melhores evidências estatísticas.