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Thesis (M.Sc.(Geography, Geoinformatics & Meteorology))--University Pretoria, 2008. / Summary in English. Includes bibliographical references (leaves 94-98).

Thesis (Ph. D.)--University of California, San Diego, 2004. / Vita. Includes bibliographical references (.eaves 445-458).

Thesis (M.S.)--University of Wisconsin--Madison, 1984. / Typescript. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaf 67).

The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. Title from PDF of title page (University of Missouri--Columbia, viewed on October 6, 2009). Thesis advisors: Dr. Deanna L. Sharpe, Dr. Sandra J. Huston. Vita. Includes bibliographical references.

Thesis (M.Sc.(Meteorology))--University of Pretoria, 2008. / Summary in English. Includes bibliographical references.

Thesis (M.S.)--University of Wisconsin--Madison, 1982. / Typescript. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaves 75-76).

Thesis (M.S.)--Florida State University, 2006. / Advisor: Robert Hart, Florida State University, College of Arts and Sciences, Dept. of Meteorology. Title and description from dissertation home page (viewed Sept. 26, 2006). Document formatted into pages; contains xv, 101 pages. Includes bibliographical references.

Η πρόβλεψη χρονοσειρών και μάλιστα αποτελούμενων από χρηματοοικονομικά δεδομένα έχει αποτελέσει αντικείμενο εκτεταμένης ερευνητικής δραστηριότητας. Στη χρηματοοικονομική επιστήμη, η ανάλυση χρονοσειρών εφαρμόζεται ευρέως για την πρόβλεψη των τιμών των διεθνών και εθνικών χρηματαγορών αλλά και σε εφαρμογές σχετικές με τη διαδικασία πρόβλεψης χρηματοοικονομικών κρίσεων. Η βασική διαφοροποίηση της διατριβής αυτής έγκειται στο αντικείμενο της πρόβλεψης· αντί της επικέντρωσης στην εύρεση της μελλοντικής τιμής μίας χρονοσειράς, οι παραγόμενες προβλέψεις στοχεύουν στον χρονικό εντοπισμό του μελλοντικού σημείου στο οποίο μία χρονοσειρά αναμένεται να βελτιστοποιηθεί τοπικά. Η παρούσα διατριβή πραγματεύεται την εισαγωγή μίας τεχνικής οπισθοδρόμησης η οποία εξομοιώνει διάφορες τεχνικές βελτιστοποίησης. Οι προτεινόμενες παραλλαγές της τεχνικής οπισθοδρόμησης καταλήγουν στη δημιουργία μεθοδολογιών οι οποίες στοχεύουν στην επίλυση προβλημάτων εντοπισμού του χρόνου παρουσίασης του τοπικού μελλοντικού βέλτιστου της εξεταζόμενης χρονοσειράς. Επιπλέον, η τεχνική προσφέρει και μεθοδολογικό πλαίσιο προς εξέταση του ζητήματος της ex ante πρόβλεψης μίας χρηματοοικονομικής κρίσης. Από την επενδυτική σκοπιά, οι πληροφορίες αυτές μπορεί να αποτελέσουν χρήσιμο εργαλείο υιοθέτησης επενδυτικής στρατηγικής και διαχείρισης χαρτοφυλακίου. Τέλος, η εμπειρική έρευνα καταλήγει στην εφαρμογή της προτεινόμενης τεχνικής σε δεδομένα από βασικές χρηματοπιστωτικές αγορές σε παγκόσμια κλίμακα αλλά και στην εγχώρια αγορά. / Time series prediction, especially in the case of financial time series, has attracted major research interest. In finance, time series analysis is applied widely for the purposes of predicting prices of international and national markets; also it is used for the prediction of financial crises. This thesis differences in the prediction’s objective; instead of focusing on the time series’ future price it aims on detecting the future time that the time series is expected to be locally optimized. This thesis introduces a backtracking techniques that integrates elements of specific optimization techniques. The introduced variations of the technique generate methodologies that confront the problem of the chronical allocation of a time series’ local optima. Moreover, the technique provides a methodological frame for the examination of the ex ante prediction of a financial crisis. Under the investment spectrum such information may provide a useful tool for the adoption of investment strategy and portfolio management. Finally the empirical research concludes with the application of the proposed techniques to data deriving from major financial international markets and the domestic market, as well.

[pt] Esta tese propõe um modelo para o tratamento de observações diárias e é aplicado na área do setor elétrico, no problema de previsão de carga horária. O modelo proposto é basicamente um modelo estrutural onde a sazonalidade anual (movimentos periódicos dentro do ano) é modelada utilizando a técnica de Splines. Esta técnica também é utilizada na estimação do efeito não linear de uma variável explicativa. O modelo desenvolvido nesta tese também leva em conta os feriados dada a grande influência dos mesmos no consumo de energia elétrica. A metodologia proposta é aplicada à três concessionárias do Sistema Interligado Brasileiro: LIGHT (Estado do Rio de Janeiro); CEMIG (Estado de Minas Gerais) e COPEL (Estado do Paraná). A estimação é levada a cabo utilizando o software STAMP conjuntamente com módulos desenvolvidos no utilitário MATLAB. / [en] This thesis presents a model that deals with daily obsevations applied to the problem of forecasting daily elecricity demand. This approach is basaed on a structural time series model with the annual seasonal pattern being modelled by a Periodic Sppline. The methods of Splines was first used in Harvey and Koopman (1993) to analyse hourly load observations, including temperature used an explanatory variable which is also modelled by a Spline. The main contribuition of this thesis is the treatment of holidays and the temperature response modelled by a spline which considerss the possible vsariations that the effect of temperature has on electricity demand within the year. The methodology is applied to three companies of the Brazilian electrical system: LIGHT (State of Rio de Janeiro), CEMIG (State of Minas Gerais) and COPEL (state of Paraná).