Universiẗat, Diss., 2005--Köln.

[pt] Nesta tese de mestrado, foram analisados aspectos, propriedades, utilidade e desempenho do bootstrap, um método de reamostragem, na estimação de um parâmetro relacionado à memória longa, ou longa dependência, em séries temporais. Entre outras coisas, obtém-se estimativas do desvio-padrão do estimador do parâmetro, e um teste de hipóteses para o parâmetro. O bootstrap pode conseguir propriedades de grandes amostras a partir de um número pequeno de observações. O procedimento do bootsptrap consiste de reamostrar, com reposição, da amostra original um número grande de amostras do mesmo tamanho. A longa dependência ou memória longa (long memory) pode se caracterizado por um lento decaimento das autocorrelações conforme cresce o valor do lag. A longa dependência pode ser estudada por modelos ARIMA (p,d,q.), com o parâmetro d, relativo integração a ser feita em ruídos brancos na construção da série (ARFIMA), assumindo valor fracionário. Este trabalho está relacionado com o uso do bootstrap na estimação do parâmetro d fracionário dos modelos ARFIMA (p,d,q). / [en] This thesis treats features, properties, utility and performance of the use of bootstrap, a resample techique, in the estimation of a parameter related to long memory in times. Among other things, we estimate the standard deviation of the parameter estimator and define a null hypothesis test for the parameter. With bootstrap, we can get large sample properties from a small sample. It consists of many resamples, with reposition, of the original sample, all with the same size as the original. Long memory can be featured by a small decay of the autocorrelations as the lag tends to infinity. Long memory can be studied by ARIMA (p,d,q) models with the d parameters assuming a fractional value (ARFIMA). This work concerns the use of bootstrap in the estimation of the fractional d parameter of ARFIMA (p,d,q) models.

The Method of Moments (MOM) has been extensively used in statistics for obtaining conventional moment-based estimators of various parameters. However, the disadvantage of this method is that the estimates “can be substantially biased, have high variance, or can be influenced by outliers” (Headrick & Pant, 2012). The Method of Percentiles (MOP) provides a useful alternative to the MOM when the distributions are non-normal, specifically being more computationally efficient in terms of estimating population parameters. Examples include the generalized lambda distribution (Karian & Dudewicz, 1999), third order power method (Koran, Headrick & Kuo, 2015) and fifth order power method (Kuo & Headrick, 2017). Further, the HH, HR and HQ distributions, as extensions of the Tukey g-h (GH) family, are of interest for investigation using the MOP in this dissertation. More specifically, closed form solutions are obtained for left-right tail-weight ratio (a skew function) and tail-weight factor (a kurtosis function). A Monte Carlo simulation study which includes the comparison of monotonic and nonmonotonic transformation scenarios is also performed. The effect on Type 1 error and power rates under severely nonmonotonic scenarios are of special interest in the study. Dissimilarities of not strictly monotonic scenarios are discussed. The empirical confirmation that Rank Transform (RT) is appropriate for 2x2 designs is obtained.

O processo de radioterapia consiste em várias etapas, iniciando na indicação pelo médico. O plano de tratamento passa então por um processo denominado simulação, onde é adquirida uma série de imagens por tomografia computadorizada que são transferidas para o sistema de planejamento, onde a delineação dos volumes alvos e tecidos normais adjacentes serão realizadas. Após a delineação desses volumes, no sistema de planejamento são colocados os campos de irradiação e a dose desejada conforme prescrição médica. O sistema de planejamento calcula então a dose que o volume alvo e os tecidos adjacentes poderão receber. Se estas doses estão dentro dos padrões aceitáveis, o planejamento então é aprovado e enviado ao acelerador linear para a execução do tratamento. Antes da execução do tratamento, é realizada uma imagem, seja através de filme radiográfico ou digitalmente, para avaliar a posição no paciente na mesa de tratamento. Se a localização do paciente está correta, a dose é então liberada. Esse protocolo de aquisição de imagem é denominado como Radioterapia Guiada por Imagem (IGRT). A quantidade de radiografias de posicionamento segue um protocolo definido conforme a região a ser irradiada. Como resultado deste procedimento, sabe-se que uma determinada dose adicional é recebida pelos pacientes, tornando-se um fator importante a ser determinado. Esta avaliação foi realizada através da simulação de Monte Carlo, utilizando o código MCNP. Para isso foi realizada primeiramente toda a caracterização da fonte de raios X com uso de câmaras de ionização e dosimetros TL juntamente com as simulações no MCNP. Após essa caracterização, as imagens e as estruturas do planejamento radioterápico foram convertidas para serem utilizadas no código MCNP. Para que as doses fossem calculadas nos principais órgãos de risco no tratamento de próstata: bexiga, reto e cabeças de fêmur direita e esquerda. / The process of radiotherapy treatment consists of several stages, starting from the statement given by the physician. The treatment planning undergoes a process called simulation, where a series of computed tomography images is acquired and transferred to the treatment planning system, where the delineation of target volumes and adjacent normal tissues will be performed. After the delineation of these volumes, then irradiation fields and dose precribed by the physician are placed in the treatment planning system. It calculates the dose that target volume and surrounding tissues are receiving. If the doses are within acceptable standard values, then the design is approved and submitted to the linear accelerator for the treatment course. Before treatment course, an image is performed, either by radiographic or digital film, in order to evaluate (check) the patient position on the treatment table. If the patient position is correct, the treatment is realized. This image acquisition protocol is called Image-Guided Radiotherapy (IGRT). The amount of radiographic positioning follow a protocol defined for the region to be treated. As a result of this procedure, it is known that a specific additional dose is received by the patient, becoming an important factor to be determined. In this work, this additional dose evaluation was performed by the Monte Carlo simulation using the MCNP algorithm. The characterization of the entire X-ray source was primarily realized with ionization chamber thermoluminescent dosimeters and simulations with the MCNP code. After the X-ray tube characterization, images and the structures for the radiotherapy planning were converted to be used in the MCNP code for dose calculation at the main organs at risk during a prostate treatment: bladder, rectum and femoral heads right and left.

This study attempts to quantify the shocks to a banking network and analyze the transfer of shocks through the network. We consider two sources of shocks: external shocks due to market and macroeconomic factors which impact the entire banking system, and idiosyncratic shocks due to failure of a single bank. The external shocks will be estimated by using two methods: (i) non-parametric simulation of the time series of shocks that occurred to the banking system in the past, and (ii) using the extreme value theory (EVT) to model the tail part of the shocks. The external shocks we considered in this study are due to exchange rate and treasury bill rate volatility. Also, an ARMA/GARCH model is used to extract iid residuals for this purpose. In the next step, the probability of the failure of banks in the system is studied by using Monte Carlo simulation. We calibrate the model such that the network resembles the Canadian banking system.

Nowadays, as oil industry gradually moves towards deep sea fields with water depth more than 1000 meters, they are subjected to several threats which can cause failure of the pipeline, of which the accidentally-dropped objects have become the leading external risk factor for subsea developments. In this thesis, a sample field layout introduced in Det Norske Veritas (DNV) guide rules is selected as the study case with 100 m water depth. Six different groups of dropped objects are used in this paper. The conditional hit probability for long/flat shaped objects will be calculated with the methods from both DNV rules and an in-house tool Dropped Objects Simulator (DROBS). The difference between the results will be discussed. Meanwhile, the sensitivity analysis on mass, collision area , the volume, added mass coefficient and drag coefficient of the objects are calculated.

Les protocoles de traitement du cancer par Radiothérapie Conformationnelle par Modulation d'Intensité (RCMI) ciblent avec une précision de plus en plus grande la tumeur. Pour cela, ils nécessitent des informations anatomiques précises du patient juste avant le traitement, qui peuvent d'être obtenues à l'aide de systèmes d'imagerie embarqués sur l'accélérateur linéaire médical délivrant le faisceau de traitement. Ces systèmes, composés d'un tube à rayons X et d'un détecteur 2D planaire, sont appelés kV-Cone Beam CT (kV-CBCT). Aujourd'hui, leur usage est très fortement répandu dans le cadre des traitements par RCMI. Cependant, ces examens kV-CBCT sont responsables d'une dose de rayonnements ionisants additionnelle qui est loin d'être négligeable et pouvant d'être à l'origine de l'apparition d'effets secondaires, tels que des cancers radio-induits chez les patients traités. Au cours de cette thèse, un simulateur basé sur la méthode de Monte-Carlo a été développé permettant ainsi d'estimer avec précision les doses délivrées aux organes lors des examens d'imagerie kV-CBCT. Cet outil a ensuite été utilisé afin d'étudier différentes stratégies de prise en compte clinique de ces doses additionnelles. L'étude présentée dans ce manuscrit propose notamment une méthode rapide d'estimation des niveaux de doses délivrés aux organes prenant en compte la morphologie de chaque patient. Cette stratégie a été développée à partir d'une cohorte de 50 patients incluant 40 enfants et 10 adultes. Ces travaux ont été réalisés en collaboration avec l'unité de physique médicale du Centre Eugène Marquis à Rennes qui a fourni les données cliniques nécessaires à l'étude. / Protocols for cancer treatment using intensity-modulated radiation therapy (IMRT) allow to target the tumor with an increased precision. They require accurate anatomical information of the patient just before the treatment, which can be obtained using on-board imaging systems mounted on the medical linear accelerator delivering the treatment beam. These systems, composed of an X-ray tube and a 2D planar detector, are called kV-Cone Beam CT (kV-CBCT). Nowadays, they are widely used in the context of IMRT treatments. However, these kV-CBCT examinations are also responsible for an additional dose of ionizing radiations which is far to be negligible and could be the cause for secondary effects, such as radiation-induced second cancers for treated patients. During this PhD work, a simulator based on the Monte Carlo method was developed in order to calculate accurately the doses delivered to organs during kV-CBCT examinations. Then, this tool was used to study several strategies to take in account for the imaging additional doses in clinical environment. The study reported here includes, in particular, a fast and personalized method to estimate the doses delivered to organs. This strategy was developed using a cohort of 50 patients including 40 children and 10 adults. This work has been done in collaboration with the medical physics unit of the Eugène Marquis medical center in Rennes, which has collected the clinical data used for this study.

Commodity trading firms work to remain competitive in the evolving agricultural industry. They work to become more efficient by increasing economies of size and scale, vertically and horizontally integrating, and diversifying geographically, or any combination of these avenues. Geographically diverse firms have access to multiple origins between which, spatial arbitrage opportunities can occur. When spatial arbitrage opportunities occur, firms take advantage of them to generate profit. Origin switching options are one way to take advantage of these opportunities. Origin switching option allow the seller of grain to fill a contract with any listed origin at the cost of the premium negotiated. This thesis helps to determine the value of these origin type switching options by developing a Monte Carlo simulation model with real option analysis. Soybean and corn markets are analyzed in the U.S. Gulf, Pacific Northwest, Brazil, Argentine, and origins with China and Japan as the respective destinations.

We suggest a computational approach for estimating the ring-like deposition of nanoparticles contained in a drying liquid droplet. The proposed method involves a Monte Carlo scheme, based on three independent probabilistic processes: (a) evaporation at the liquid surface, (b) convective motion of nanoparticles to the contact line, and (c) treatment of the nanoparticles floating in the air. According to the computational results, while the liquid is evaporating in nanoparticle-suspended liquid droplet (NSLD), the nanoparticles are moved to the contact line as the mass of droplet decreases linearly with time. Since the resulting ring-like deposition can be accounted for in terms of nanoparticle mobility and liquid evaporation from the droplet, our computational approach achieves a morphological and kinematical description of NSLD drying. Some other important features, such as self-pinning of the contact line, reduction of the droplet radius, and pattern formation, are also obtained from this simulation.

京都大学 / 0048 / 新制・課程博士 / 博士(工学) / 甲第21103号 / 工博第4467号 / 新制||工||1694(附属図書館) / 京都大学大学院工学研究科材料工学専攻 / (主査)教授 田中 功, 教授 中村 裕之, 准教授 弓削 是貴 / 学位規則第4条第1項該当 / Doctor of Philosophy (Engineering) / Kyoto University / DFAM