University of Macau / Faculty of Science and Technology / Department of Mathematics

Active galactic nuclei (AGN) are known to vary in brightness in all regions of the electromagnetic spectrum and over a wide range of timescales. Many methods have been utilized to transform this observed variability into meaningful information about the central engines of AGN. One such technique, adapted from time series analysis of galactic x-ray binary systems, has been used to detect a characteristic break timescale in the power density spectra of x-ray variability in Seyfert galaxies. This timescale, thought to be related to instabilities in the accretion disk, appears to scale with black hole mass over many orders of magnitude. This dissertation performs similar time series analyses with the optical data of eight blazars. The majority of these objects also display a characteristic break timescale. In cases where a black hole estimate is known, the timescales are in good agreement with the relationship observed for galactic x-ray binary systems and Seyfert galaxies. For objects of unknown mass, this relationship can be used to provide a mass estimate of the supermassive black hole. Comparisons are made between the structure function and power density spectrum for each object, and the implications for the connection between the accretion disk and the relativistic jet in AGN are discussed.

This paper explores the relation between the governmental expenditures on the cultural sector and the performance of the economy in the UK. In welfare economies it is the government’s role to shorten the effects of the occurring market failures. It is shown that in the cultural sector, two market failures, the high fix cost and the productivity lag are appearing. In order to ease these effects the government intervening into the market mechanisms by giving grants and subsidies to the stakeholders. In the empirical part a time series analysis is executed between the GDP, the total governmental expenditures and the governmental expenditures on the cultural services on a 60 years interval in the UK. It is shown that the three variables have the same order of integration, they move together over time, furthermore cointegration was detected between them. With Granger causality test it was proven that there is a bidirectional informal connection between the performance of economy and the government’s cultural expenditures.

<p>Today, large-scale scientific applications are both data driven and distributed. To support the scale and inherent distribution of these applications, significant heterogeneous and geographically distributed resources are required over long periods of time to ensure adequate performance. Furthermore, the behavior of these applications depends on a large number of factors related to the application, the system software, the underlying hardware, and other running applications, as well as potential interactions among these factors.</p> <p>Most Grid application users are primarily concerned with obtaining the result of the application as fast as possible, without worrying about the details involved in monitoring and understanding factors affecting application performance. In this work, we aim to provide the application users with a simple and intuitive performance evaluation mechanism during the execution time of their long-running Grid applications or workflows. Our performance evaluation mechanism provides a qualitative and periodic assessment of the application's behavior by informing the user whether the application's performance is expected or unexpected. Furthermore, it can help improve overall application performance by informing and guiding fault-tolerance services when the application exhibits persistent unexpected performance behaviors.</p> <p>This thesis addresses the hypotheses that in order to qualitatively assess application behavioral states in long-running scientific Grid applications: (1) it is necessary to extract temporal information in performance time series data, and that (2) it is sufficient to extract variance and pattern as specific examples of temporal information. Evidence supporting these hypotheses can lead to the ability to qualitatively assess the overall behavior of the application and, if needed, to offer a most likely diagnostic of the underlying problem.</p> <p>To test the stated hypotheses, we develop and evaluate a general <em> qualitative performance analysis</em> framework that incorporates (a) techniques from time series analysis and machine learning to extract and learn from data, structural and temporal features associated with application performance in order to reach a qualitative interpretation of the application's behavior, and (b) mechanisms and policies to reason over time and across the distributed resource space about the behavior of the application. </p> <p>Experiments with two scientific applications from meteorology and astronomy comparing signatures generated from instantaneous values of performance data versus those generated from temporal characteristics support the former hypothesis that temporal information is necessary to extract from performance time series data to be able to accurately interpret the behavior of these applications. Furthermore, temporal signatures incorporating variance and pattern information generated for these applications reveal signatures that have distinct characteristics during well-performing versus poor-performing executions. This leads to the framework's accurate classification of instances of similar behaviors, which represents supporting evidence for the latter hypothesis. The proposed framework's ability to generate a qualitative assessment of performance behavior for scientific applications using temporal information present in performance time series data represents a step towards simplifying and improving the quality of service for Grid applications.</p> / Dissertation

Environmental flows are important to maintain the ecological integrity of the estuary. In a watershed, it is influenced by land use land cover (LULC) change, climate variability, and water regulations. San Antonio, Texas, the 8th largest city in the US, is likely to affect environmental flows to the San Antonio Bay/Guadalupe Estuary, due to rapid urbanization. Time series analysis was conducted at several stream gauging stations to assess trends in hydrologic variables. A bootstrapping method was employed to estimate the critical value for global significance. Results suggested a greater number of trends are observed than are expected to occur by chance. Stream gauging stations present in lower half of the watershed experienced increasing trend, whereas upper half experienced decreasing trends. A similar spatial pattern was not observed for rainfall. Winter season observed maximum number of trends. Wavelet analysis on hydrologic variables, suggested presence of multi-scale temporal variability; dominant frequencies in 10 to 15 year scale was observed in some of the hydrologic variables, with a decadal cycle. Dominant frequencies were also observed in 17 to 23 year scale with repeatability in 20 to 30 years. It is therefore important to understand various ecological processes that are dominant in this scale and quantify possible linkages among them. Genetic algorithm (GA) was used for calibration of the Hydrologic Simulation Program in FORTRAN (HSPF) model. Although, GA is computationally demanding, it is better than manual calibration. Parameter values obtained for the calibrated model had physical representation and were well within the ranges suggested in the literature. Information from LANDSAT images for the years 1987, 1999, and 2003 were introduced to HSPF to quantify the impact of LULC change on environmental flows. Modeling studies indicated, with increase in impervious surface, peak flows increased over the years. Wavelet analysis pointed, that urbanization also impacted storage. Modeling studies quantified, on average about 50% of variability in freshwater inflows could be attributed to variation in precipitation, and approximately 10% of variation in freshwater inflows could be attributed to LULC change. This study will help ecologist, engineers, scientist, and politicians in policy making pertinent to water resources management.

Most of the time series are constructed by some kind of aggregation and temporal aggregation that can be defined as aggregation over consecutive time periods. Temporal aggregation takes an important role in time series analysis since the choice of time unit clearly influences the type of model and forecast results. A totally different time series model can be fitted on the same variable over different time periods. In this thesis, the effect of temporal aggregation on univariate time series models is studied by considering modeling and forecasting procedure via a simulation study and an application based on a southern oscillation data set. Simulation study shows how the model, mean square forecast error and estimated parameters change when temporally aggregated data is used for different orders of aggregation and sample sizes. Furthermore, the effect of temporal aggregation is also demonstrated through southern oscillation data set for different orders of aggregation. It is observed that the effect of temporal aggregation should be taken into account for data analysis since temporal aggregation can give rise to misleading results and inferences.

Drought, which is an important result of the climate change, is one of the most serious natural hazards globally. It has been agreed all over the world that it has adverse impacts on the production of agriculture, which plays a major role in the economy of a country. Studies showed that the results of the drought directly affected the crop yields, and it seems that this negative impact will continue drastically soon. Moreover, many researches revealed that, Turkey will be affected from the results of climate change in many aspects, especially the agricultural production will encounter dry seasons after the rapid changes in the precipitation amount. Insurance is a well-established method, which is used to share the risk based on natural disasters by people and organizations. Furthermore, a new way of insuring against the weather shocks is designing index-based insurance, and it has gained special attention in many developing countries. In this study, our aim is to model weather index based drought insurance product to help the small holder farmers in the Cental Anatolia Region under different models. At first, time series techniques were applied to forecast the wheat yield relying on the past data. Then, the AMS (AgroMetShell) software outputs, NDVI (Normalized Difference Vegetation Index) values were used, and SPI values for distinct time steps were chosen to develop a basic threshold based drought insurance for each province. Linear regression equations were used to calculate the trigger points for weather index, afterwards based on these trigger levels / pure premium and indemnity calculations were made for each province separately. In addition to this, Panel Data Analysis were used to construct an alternative linear model for drought insurance. It can be helpful to understand the direct and actual effects of selected weather index measures on wheat yield and also reduce the basis risks for constructed contracts. A simple ratio was generated to compare the basis risk of the different index-based insurance contracts.

The variation of the composition of assemblages and the relative abundance of commercial prawns collected from the coastal waters of Yunlin was studied. The data of shrimp fishery was collected from Jan 1997 to Dec 2008 through the program of Integrated Assessment and Management of Environmental Resources for the Industrial District on the Outer-Bank of Yunlin Islands. The dominant species landed in this area are Parapenaeopsis hardwickii, Metapenaeus ensis, and Penaeus penicillatus. Their peak catch seasons are November to May, March to August, and July to March, respectively. The composition of the assemblages of commercial shrimps belonged to three groups according to the seasons: winter (December to February), spring to summer (March to July), and late summer to autumn (August to November). According to time series analysis, the relative abundance is auto-regressed to that of the previous month and the same month one year age. In addition, Jhuo-Shuei river runoff ware correlated to a significant decrease of the shrimp abundance five months later. Based on this information, we obtained a seasonal and factored ARIMA time series equation of the relative abundance of commercial shrimps.

<p>Unforeseen changes in production or consumption in power systems lead to changes in grid frequency. This can cause damages to the system, or to frequency sensitive equipment at the consumers. The system operator (SO) is the responsible for balancing production and consumption in the system. The regulating market is the market place where the SO can sell or purchase electricity in order to balance unforeseen events. Producers acting on the regulating market must be able to change their production levels fast (within minutes) when required. Hydropower is therefore suitable for trading on the regulating market because of its flexibility in power production. This thesis describes models that hydropower owners can use to generate optimal bidding strategies when the regulating market is considered.</p><p>When planning for trading on the market, the prices are not known. Therefore, the prices are considered as stochastic variables. The planning problems in this thesis are based on multi-stage stochastic optimization, where the uncertain power prices are represented by scenario trees. The scenario trees are generated by simulation of price scenarios, which is achieved by using a model based on ARIMA and Markov processes. Two optimization models are presented in this thesis:</p><p>* Model for generation of optimal bidding strategies for the regulating market.</p><p>* Model for generation of optimal bidding strategies for the spot market when trading on the regulating market is considered.</p><p>The described models are applied in a case study with real data from the Nordic power system.</p><p>Conclusions of the thesis are that the proposed approaches of modelling prices and generation of bidding strategies are possible to use, and that the models produces reasonable data when applied to real data.</p> / <p>Oväntade produktions- eller konsumtionsändringar i kraftsystem leder till ändringar i nätfrekvens. Detta kan orsaka skador på systemet eller på frekvenskänslig utrustning hos konsumenterna. Systemoperatören (SO) är den ansvarige för att balansera produktion och konsumtion i kraftsystemet. Till sin hjälp har SO reglermarknaden, som är den handelsplats där SO köper eller säljer el för att balansera oväntade händelser i systemet. Producenter som agerar på reglermarknaden måste snabbt (inom minuter) kunna ändra sina produktionsnivåer om så behövs. Vattenkraft är därför lämplig för handel på reglermarknaden på grund av dess flexibilitet i kraftproduktion. Denna avhandling beskriver modeller som vattenkraftägare kan använda för generering av optimala budstrategier då reglermarknaden beaktas.</p><p>När en producents planering för handel på marknaden utförs är marknadspriserna okända. Dessa är därför betraktade som stokastiska variabler. Planeringmodellerna som presenteras i denna avhandling är baserade på multi-periodisk stokastisk programmering, där de osäkra marknadspriserna är representerade av ett scenarieträd. Scenarierna i trädet genereras genom simulering av marknadspriser. En prismodell, baserad på ARIMA- och Markovprocesser, har därför utvecklats. Två olika optimeringsmodeller presenteras i denna avhandling:</p><p>* Model för generering av optimala budstrategier för reglermarknaden.</p><p>* Model för generering av optimala budstrategier för spotmarknaden då handel på reglermarknaden beaktas.</p><p>Modellerna tillämpas i en studie där data från den nordiska elmarknaden appliceras. Slutsatser i avhandlingen är att de föreslagna ansatserna för modellering av priser och generering av budstrategier är möjliga att anvÄanda, samt att modellerna producerar rimliga resultat när applicerade på verkliga data.</p>

Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 364-373). Also available on the Internet.