<p>This is a final thesis done at BT, considering one of their forklift truck models called Reflex. The first part of this report is about a preliminary investigation investigating what kind of diagnostic systems BTwants to use, and also which demands there are to meet all expectations on such system. Secondly a diagnostic system, which will show if the drive wheel is worn out, will be presented. </p><p>In the preliminary investigation, two kinds of diagnostic systems were mentioned. These were Model based diagnosis and Predictive analysis. Model based diagnosis is based on measurements made by sensors at the truck, while predictive analysis is based more on statistics and retrieved data about the lifetime of a truck in specific environments. </p><p>The diagnosis system for the drive wheel is based on a model made in Matlab's Simulink. Due to poor documentation, rough simplifications in the model have been made. However, one can still see the differences of principle. </p><p>The main thought was detecting a difference in the lowest torque level from the engine, varying the diameter of the drive wheel. By measurements made directly at the truck, different torques could be observed with varying diameter of the drive wheel, varying load on the truck and varying friction in the gearbox. Using hypothesis tests, it is possible to say whether the drive wheel is worn out or not. </p><p>Results show that if the drive wheel diameter is reduced by 25 mm, torque is reduced by 7% and if the drive wheel diameter is reduced as much as 50 mm, a torque reduction of 11% would be achieved.</p>

This thesis consists of four essays, three in the field of random effects models and one in the field of GARCH. The first essay in this thesis, ''Maximum likelihood based inference in the two-way random effects model with serially correlated time effects'', considers maximum likelihood estimation and inference in the two-way random effects model with serial correlation. We derive a straightforward maximum likelihood estimator when the time-specific component follow an AR(1) or MA(1) process. The estimator is also easily generalized to allow for arbitrary stationary and strictly invertible ARMA processes. In addition we consider the model selection problem and derive tests of the null hypothesis of no serial correlation as well as tests for discriminating between the AR(1) and MA(1) specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators, test-statistics and model selection procedures. The second essay, ''Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation'', considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality is established for a comprehensive specification which nests these models as well as all commonly used random effects models. The third essay, ''Specification and estimation of random effects models with serial correlation of general form'', is also concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood estimator is derived and a coherent model selection strategy is suggested for determining the orders of serial correlation as well as the importance of time or individual effects. The methods are applied to the estimation of a production function using a sample of 72 Japanese chemical firms observed during 1968-1987. The fourth essay, entitled ''A simple efficient GMM estimator of GARCH models'', considers efficient GMM based estimation of GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained for a GARCH(1,1) model where the conditional variance is allowed to enter the mean as well. That is, the GARCH(1,1)-M model. An application to the returns to the SP500 index illustrates. / <p>Diss. Stockholm : Handelshögskolan, 2001</p>

This is a final thesis done at BT, considering one of their forklift truck models called Reflex. The first part of this report is about a preliminary investigation investigating what kind of diagnostic systems BTwants to use, and also which demands there are to meet all expectations on such system. Secondly a diagnostic system, which will show if the drive wheel is worn out, will be presented. In the preliminary investigation, two kinds of diagnostic systems were mentioned. These were Model based diagnosis and Predictive analysis. Model based diagnosis is based on measurements made by sensors at the truck, while predictive analysis is based more on statistics and retrieved data about the lifetime of a truck in specific environments. The diagnosis system for the drive wheel is based on a model made in Matlab's Simulink. Due to poor documentation, rough simplifications in the model have been made. However, one can still see the differences of principle. The main thought was detecting a difference in the lowest torque level from the engine, varying the diameter of the drive wheel. By measurements made directly at the truck, different torques could be observed with varying diameter of the drive wheel, varying load on the truck and varying friction in the gearbox. Using hypothesis tests, it is possible to say whether the drive wheel is worn out or not. Results show that if the drive wheel diameter is reduced by 25 mm, torque is reduced by 7% and if the drive wheel diameter is reduced as much as 50 mm, a torque reduction of 11% would be achieved.

Σκοπός της παρούσας Διδακτορικής Διατριβής (ΔΔ), είναι να ελέγξουμε το εύρος των επιδράσεων δύο ευρέως διαδεδομένων ψυχολογικών φαινομένων (γνωστικά σφάλματα), του συντηρητισμού και της αντιπροσώπευσης, στο Χρηματιστήριο του Λονδίνου για την περίοδο από το 1980 έως το 2012. Για να ικανοποιήσουμε τον παραπάνω σκοπό, χρησιμοποιήσαμε τις προσέγγιση των τάσεων και της σταθερότητας στις χρηματοοικονομικές επιδόσεις . Αναλύσαμε αν η σταθερότητα των παρελθουσών επιδόσεων σε συγκεκριμένους χρηματοοικονομικούς δείκτες, έχει προβλεπτική ικανότητα για τις μελλοντικές τιμές των μετοχών, ελέγχοντας τρεις διατυπωμένες υποθέσεις (Hypothesis Tests). Προκειμένου να απαντήσουμε θέματα ευρωστίας και αξιοπιστίας, υπολογίσαμε και συγκρίναμε τις υπερβάλλουσες αποδόσεις (abnormal returns) με διάφορες μεθόδους (single, three and four factors). Επίσης για αξιοποίηση των πολυπαραγοντικών μοντέλων, χρησιμοποιήσαμε μια εναλλακτική μέθοδο υπολογισμού των three and four factor models, που παρουσιάστηκε από τους Gregory et al. (2013) και ελέγχθηκε αποκλειστικά για την αγορά του Λονδίνου. Τα αποτελέσματα είναι μικτά, και υποστηρίζουν το βαθμό επίδρασης των δύο φαινομένων στις αποδόσεις, ανάλογα με την περίοδο εξέτασης και τις μεθόδους υπολογισμού των αποδόσεων. Ειδικότερα, οι υπερβάλλουσες αποδόσεις που παρατηρήθηκαν με τα πολυπαραγοντικά μοντέλα, επιβεβαιώνουν ευρέως την ύπαρξη των υπό εξέταση γνωστικών σφαλμάτων, σε αντίθεση με τα αποτελέσματα που προκύπτουν από το μονοπαραγοντικό μοντέλο. / The aim of this academic research is to examine the potential magnitude of the impact of two well known psychological phenomena, such as representativeness and conservatism, in the London Stock Exchange (LSE) for the period of 1980 to 2012. To fulfil this purpose, the approaches of trend and consistency in the accounting performance are followed. We analyzed whether the stability of past performance in specific financial ratios, has predictive power for future stock prices, by testing three formulated hypotheses (Hypothesis Tests). In order to address questions about robustness and reliability, we calculated and compared the excess returns (abnormal returns) with various methods (single, three and four factors). Also in order to take advantage of the multifactor models, we used an alternative method of calculation for three and four factor models, presented by Gregory et al. (2013) and tested exclusively for the London market. The results are analysed thoroughly and compared in sub periods, namely, before and after the recent financial crisis. The conclusions are mixed, and the findings support the dependence of the two cognitive biases upon the examined period and the abnormal returns calculation method. Specifically, the results of abnormal returns obtained by the multifactor models largely confirm the existence of the psychological phenomena examined, which is in contrast to those of the single factor model, which derives variations depending on the examined biases.

Na estatística experimental, especificamente quando se faz análise de variância, os testes de hipóteses têm sido amplamente utilizados para se concluir a respeito das fontes de variação consideradas nos modelos lineares. Para tanto, é comum a utilização de sistemas estatísticos que fornecem análises de variância e a estatística F, entre outras, para a tomada de decisões. Entretanto, o teste F numa análise de variância para tratamentos com mais de um grau de liberdade proporciona informações gerais, relacionadas com o comportamento médio dos tratamentos. Por essa razão, deve-se planejar comparações objetivas, fazendo-se desdobramentos dos graus de liberdade de tratamentos para obter informações mais específicas. Nesse sentido, uma técnica usada para esses desdobramentos baseia-se na utilização de contrastes, sendo necessário que cada componente seja explicado por um contraste, com todos os contrastes sendo ortogonais entre si, para que as comparações sejam independentes. Entretanto, essa técnica torna-se complexa à medida que o número de tratamentos aumenta. Frente a isso, utilizando-se os dados provenientes de um experimento de competição entre dois grupos de variedades de cana-de-açúcar, inteiramente ao acaso com seis tratamentos e cinco repetições, e também nos dados obtidos de um experimento fictício de competição entre híbridos de milho no delineamento blocos casualizados, propôs-se uma técnica, empregando variáveis auxiliares, para facilitar o desdobramento ortogonal dos graus de liberdade de tratamentos, procurando-se evidenciar que essa técnica facilita o desdobramento ortogonal dos graus de liberdade de tratamentos e tem resultados equivalentes aos obtidos utilizando-se a função CONTRAST do PROC GLM do SAS. Outro problema refere-se à análise de experimentos fatoriais com desbalanceamento das amostras, tendo em vista que as técnicas de estimação de parcelas perdidas não resolvem satisfatoriamente o problema, principalmente se existem muitas parcelas perdidas. Quando os dados são desbalanceados, há necessidade de se conhecer que hipóteses estão sendo testadas e se estas são de interesse do pesquisador, devido à complexidade dessas hipóteses, principalmente em presença de caselas vazias. Além disso, muito têm sido escrito sobre os diferentes resultados da análise de variância apresentados por sistemas estatísticos para dados desbalanceados com caselas vazias, o que tem gerado confusão entre os pesquisadores. Com a finalidade de propor um método alternativo para a obtenção de hipóteses de interesse, utilizaram-se os resultados de um experimento fatorial 2x3, inteiramente ao acaso, com quatro repetições, para testar os efeitos de três reguladores de crescimento (hormônios), sobre a propagação "in vitro" de dois porta-enxertos (cultivares) de macieira. Assim, diante do fato que testar uma hipótese é equivalente a impor uma restrição estimável aos parâmetros do modelo, utilizaram-se restrições paramétricas estimáveis como um critério alternativo para realizar testes de hipóteses de interesse em modelos lineares com dados desbalanceados. Os resultados mostram que esse método permite que o pesquisador teste diretamente hipóteses de seu interesse, com resultados equivalentes aos encontrados com a função CONTRAST do PROC GLM do SAS. / For experimental designs, it is usually necessary to do tests of hypotheses to conclude about effects considered in the linear models. In these cases, it is common to use statistical softwares that supply the analyses of variance and F statistics, among others, for taking decisions. However, the test F in an analysis of variance for sources of variation with more than a degree of freedom provides general information, about significant differences of levels of the factor. Therefore, it should be planned objective comparisons, making orthogonal decompositions of the degrees of the effects of interest to get more specific information. One technique used frequently based on the orthogonal contrasts, so that the comparisons are independent. However, this technique becomes complex as the number of levels of the factor increases. To study alternative methods to do these comparisons, we use data from a yield trail experiment considering two groups of varieties of sugarcane, in a complete randomized design with 6 treatments and 5 repetitions. Also, we use data from a fictitious experiment comparing hybrids of maize in the randomized complete block design. The technique of analysis using dummy variables to facilitate the orthogonal decomposition of degrees of freedom of treatments was proposed. This technique facilitates the orthogonal decomposition and has the same results of those obtained the function CONTRAST of PROC GLM of SAS. Another situation considered involves experiments with unbalanced data. In this case, it is possible to suppose that there is the necessity of knowing what hypotheses are being tested and if they are useful. Much has been written on the different results of analysis of variance presented by statistical software for unbalanced data. This can create confusion to the researcher. To illustrate, we used the results of an 2x3 factorial experiment with 4 replicates, to test the effect of 3 hormones, on the propagation of 2 in vitro cultivars of apple trees. Thus, considering that to test a hypotheses is equivalent to impose an estimable restriction to the parameters of the model, we use these restrictions as an alternative criteria to directly carry out tests of hypotheses in linear models with unbalanced data. The results showed that this procedure is equivalent of that used by the function CONTRAST of PROC GLM/SAS.

Orientador: Selene Maria Coelho Loibel / Resumo: Esta dissertação tem como foco a análise de dados categóricos, uma parte integrante da Análise Multivariada que interpreta a informação que está contida em dados discretos provenientes de contagens de eventos, possuindo características de nidas pela combinação das categorias de duas ou mais variáveis. A análise de dados categóricos é de grande importância dentro da Estatística pois tem aplicabilidade em variadas áreas do conhecimento. Os dados utilizados, foram coletados através de um question ário aplicado aos alunos de cinco Escolas Técnicas Estaduais (Etec) que nalizaram os cursos técnicos em 2018 e 2019. A pesquisa teve como objetivo obter dados locais e analisar se os alunos pretendem trabalhar ou continuar estudando na mesma área do curso que estão concluindo, se os alunos estão satisfeitos com os cursos que estão fazendo, se pretendem voltar para Etec e fazer outro curso complementar, entre outros questionamentos. Devido à natureza dos dados obtidos, as técnicas de análise de dados categóricos são adequadas e devem ser aplicadas para modelar e fazer inferências sobre os aspectos de interesse. Esta análise pode levar a resultados que serão de grande utilidade para essas Etecs. / Abstract: This dissertation focuses on the Categorical Data Analysis, an integral part of the Multivariate Analysis, which interprets embedded information in discrete data resulting from event counts, having characteristics de ned by combinations of categories from two or more variables. The categorical data analysis is of considerable importance within Statistics since it has a wide applicability in several areas of knowledge. The data set used was collected through a questionnaire applied to students from ve Public Technical Schools (Etec) that nished the technical courses in 2018 and 2019. The research aims to gather local data and analyze whether students intend to work or continue studying in the same eld of the technical course they are completing, whether students are satis ed with the courses they are attending, whether they want to go back to Etec and take another complementary course, among other questions. Due to the nature of the data obtained, categorized data analysis techniques are adequate and should be applied to model and make inferences about the aspects of interest. This analysis can be leaded to outcomes that will be very useful to these Etecs. / Mestre

<p>This thesis is a result of the increased requirements on availability and costs of the aircraft Jas 39 Gripen. The work has been to specify demands and to find methods suitable for development of a decision support system for the fault isolation of the aircraft. The work has also been to implement the chosen method. Two different methods are presented and a detailed comparison is performed with the demands as a starting point. The chosen method handle multiple faults in O(N2)-time where N is the number of components. The implementation shows how all demands are fulfilled and how new tests can be added during execution. Since the thesis covers the development of a prototype no practical evaluation with compare of manually isolation is done.</p>

In the base station system of the GSM mobile network there are a large number of counters tracking the behaviour of the system. When the software of the system is updated, we wish to find out which of the counters that have changed their behaviour. This thesis work has shown that the counter data can be modelled as a stochastic time series with a daily profile and a noise term. The change detection can be done by estimating the daily profile and the variance of the noise term and perform statistical hypothesis tests of whether the mean value and/or the daily profile of the counter data before and after the software update can be considered equal. When the chosen counter data has been analysed, it seems to be reasonable in most cases to assume that the noise terms are approximately independent and normally distributed, which justies the hypothesis tests. When the change detection is tested on data where the software is unchanged and on data with known software updates, the results are as expected in most cases. Thus the method seems to be applicable under the conditions studied.

This thesis is a result of the increased requirements on availability and costs of the aircraft Jas 39 Gripen. The work has been to specify demands and to find methods suitable for development of a decision support system for the fault isolation of the aircraft. The work has also been to implement the chosen method. Two different methods are presented and a detailed comparison is performed with the demands as a starting point. The chosen method handle multiple faults in O(N2)-time where N is the number of components. The implementation shows how all demands are fulfilled and how new tests can be added during execution. Since the thesis covers the development of a prototype no practical evaluation with compare of manually isolation is done.

Na estatística experimental, especificamente quando se faz análise de variância, os testes de hipóteses têm sido amplamente utilizados para se concluir a respeito das fontes de variação consideradas nos modelos lineares. Para tanto, é comum a utilização de sistemas estatísticos que fornecem análises de variância e a estatística F, entre outras, para a tomada de decisões. Entretanto, o teste F numa análise de variância para tratamentos com mais de um grau de liberdade proporciona informações gerais, relacionadas com o comportamento médio dos tratamentos. Por essa razão, deve-se planejar comparações objetivas, fazendo-se desdobramentos dos graus de liberdade de tratamentos para obter informações mais específicas. Nesse sentido, uma técnica usada para esses desdobramentos baseia-se na utilização de contrastes, sendo necessário que cada componente seja explicado por um contraste, com todos os contrastes sendo ortogonais entre si, para que as comparações sejam independentes. Entretanto, essa técnica torna-se complexa à medida que o número de tratamentos aumenta. Frente a isso, utilizando-se os dados provenientes de um experimento de competição entre dois grupos de variedades de cana-de-açúcar, inteiramente ao acaso com seis tratamentos e cinco repetições, e também nos dados obtidos de um experimento fictício de competição entre híbridos de milho no delineamento blocos casualizados, propôs-se uma técnica, empregando variáveis auxiliares, para facilitar o desdobramento ortogonal dos graus de liberdade de tratamentos, procurando-se evidenciar que essa técnica facilita o desdobramento ortogonal dos graus de liberdade de tratamentos e tem resultados equivalentes aos obtidos utilizando-se a função CONTRAST do PROC GLM do SAS. Outro problema refere-se à análise de experimentos fatoriais com desbalanceamento das amostras, tendo em vista que as técnicas de estimação de parcelas perdidas não resolvem satisfatoriamente o problema, principalmente se existem muitas parcelas perdidas. Quando os dados são desbalanceados, há necessidade de se conhecer que hipóteses estão sendo testadas e se estas são de interesse do pesquisador, devido à complexidade dessas hipóteses, principalmente em presença de caselas vazias. Além disso, muito têm sido escrito sobre os diferentes resultados da análise de variância apresentados por sistemas estatísticos para dados desbalanceados com caselas vazias, o que tem gerado confusão entre os pesquisadores. Com a finalidade de propor um método alternativo para a obtenção de hipóteses de interesse, utilizaram-se os resultados de um experimento fatorial 2x3, inteiramente ao acaso, com quatro repetições, para testar os efeitos de três reguladores de crescimento (hormônios), sobre a propagação “in vitro” de dois porta-enxertos (cultivares) de macieira. Assim, diante do fato que testar uma hipótese é equivalente a impor uma restrição estimável aos parâmetros do modelo, utilizaram-se restrições paramétricas estimáveis como um critério alternativo para realizar testes de hipóteses de interesse em modelos lineares com dados desbalanceados. Os resultados mostram que esse método permite que o pesquisador teste diretamente hipóteses de seu interesse, com resultados equivalentes aos encontrados com a função CONTRAST do PROC GLM do SAS. / For experimental designs, it is usually necessary to do tests of hypotheses to conclude about effects considered in the linear models. In these cases, it is common to use statistical softwares that supply the analyses of variance and F statistics, among others, for taking decisions. However, the test F in an analysis of variance for sources of variation with more than a degree of freedom provides general information, about significant differences of levels of the factor. Therefore, it should be planned objective comparisons, making orthogonal decompositions of the degrees of the effects of interest to get more specific information. One technique used frequently based on the orthogonal contrasts, so that the comparisons are independent. However, this technique becomes complex as the number of levels of the factor increases. To study alternative methods to do these comparisons, we use data from a yield trail experiment considering two groups of varieties of sugarcane, in a complete randomized design with 6 treatments and 5 repetitions. Also, we use data from a fictitious experiment comparing hybrids of maize in the randomized complete block design. The technique of analysis using dummy variables to facilitate the orthogonal decomposition of degrees of freedom of treatments was proposed. This technique facilitates the orthogonal decomposition and has the same results of those obtained the function CONTRAST of PROC GLM of SAS. Another situation considered involves experiments with unbalanced data. In this case, it is possible to suppose that there is the necessity of knowing what hypotheses are being tested and if they are useful. Much has been written on the different results of analysis of variance presented by statistical software for unbalanced data. This can create confusion to the researcher. To illustrate, we used the results of an 2x3 factorial experiment with 4 replicates, to test the effect of 3 hormones, on the propagation of 2 in vitro cultivars of apple trees. Thus, considering that to test a hypotheses is equivalent to impose an estimable restriction to the parameters of the model, we use these restrictions as an alternative criteria to directly carry out tests of hypotheses in linear models with unbalanced data. The results showed that this procedure is equivalent of that used by the function CONTRAST of PROC GLM/SAS.