This thesis studies the Second-order Least Squares (SLS) estimation method in regression models with and without measurement error. Applications of the methodology in general quasi-likelihood and variance function models, censored models, and linear and generalized linear models are examined and strong consistency and asymptotic normality are established. To overcome the numerical difficulties of minimizing an objective function that involves multiple integrals, a simulation-based SLS estimator is used and its asymptotic properties are studied. Finite sample performances of the estimators in all of the studied models are investigated through simulation studies.

This thesis focuses on two statistical problems related to credit scoring. In credit scoring of individuals, two classes are distinguished, namely low and high risk individuals (the so-called "good" and "bad" risk classes). Firstly, we suggest a measure which may be used to study the nature of a classifier for distinguishing between the two risk classes. Secondly, we derive a new method DOUW (detecting outliers using weights) which may be used to fit logistic regression models robustly and for the detection of outliers. In the first problem, the focus is on a measure which may be used to study the nature of a classifier. This measure transforms a random variable so that it has the same distribution as another random variable. Assuming a linear form of this measure, three methods for estimating the parameters (slope and intercept) and for constructing confidence bands are developed and compared by means of a Monte Carlo study. The application of these estimators is illustrated on a number of datasets. We also construct statistical hypothesis to test this linearity assumption. In the second problem, the focus is on providing a robust logistic regression fit and the identification of outliers. It is well-known that maximum likelihood estimators of logistic regression parameters are adversely affected by outliers. We propose a robust approach that also serves as an outlier detection procedure and is called DOUW. The approach is based on associating high and low weights with the observations as a result of the likelihood maximization. It turns out that the outliers are those observations to which low weights are assigned. This procedure depends on two tuning constants. A simulation study is presented to show the effects of these constants on the performance of the proposed methodology. The results are presented in terms of four benchmark datasets as well as a large new dataset from the application area of retail marketing campaign analysis. In the last chapter we apply the techniques developed in this thesis on a practical credit scoring dataset. We show that the DOUW method improves the classifier performance and that the measure developed to study the nature of a classifier is useful in a credit scoring context and may be used for assessing whether the distribution of the good and the bad risk individuals is from the same translation-scale family. / Thesis (Ph.D. (Risk Analysis))--North-West University, Potchefstroom Campus, 2008.

Empirical trade economists have found that shocks on foreign direct investment (FDI) of some parent country in a host country affect the same parent country´s FDI in other hosts (interdependent hosts). Independent of this, there is evidence that shocks on a parent country´s FDI in some host economy affect other parent countries´ FDI in the same host (interdependent parents). In general equilibrium, shocks on FDI between any country pair will affect all country-pairs´ FDI in the world, including anyone of the two countries in a pair as well as third countries (interdependent third countries). No attempt has been made so far to allow simultaneously for all three modes of interdependence of FDI. Using cross-sectional data on FDI among 22 OECD countries in 2000, we employ a spatial feasible generalized two-stage least squares and generalized moments estimation framework to allow for all three modes of interdependence across all parent and host countries, thereby distinguishing between market-size-related and remainder interdependence. Our results highlight the complexity of multinational enterprises´ investment strategies and the interconnectedness of the world investment system (authors' abstract). / Series: Department of Economics Working Paper Series

This thesis introduces efficient numerical techniques for the analysis of novel electromagnetic metamaterials. The modelling is based on a Method of Moments modal analysis in conjunction with an interpolation scheme, which significantly accelerates the computations. Triangular basis functions are used that allow for modelling of arbitrary shaped metallic elements. Unlike the conventional methods, impedance interpolation is applied to derive the dispersion characteristics of planar periodic structures. With these techniques, the plane wave and the surface wave responses of fractal structures have been studied by means of transmission coefficients and dispersion diagrams. The multiband properties and the compactness of the proposed structures are presented. Based on this method, novel planar left-handed metamaterials are also proposed. Verifications of the left-handedness are presented by means of full wave simulation of finite planar arrays using commercial software and lab measurement. The structures are simple, readily scalable to higher frequencies and compatible with low-cost fabrication techniques.

This thesis presents an efficient self-consistent Hybrid Spectral Ray Tracing (HSRT) technique for analysis and design of multi-scale sub-millimeter wave problems, where sub-wavelength features are modeled using rigorous methods, and complex structures with dimensions in the order of tens or even hundreds of wavelengths are modeled by asymptotic methods. Quasi-optical devices are used in imaging arrays for sub-millimeter and terahertz applications, THz time-domain spectroscopy (THz-TDS), high-speed wireless communications, and space applications to couple terahertz radiation from space to a hot electron bolometer. These devices and structures, as physically small they have become, are very large in terms of the wavelength of the driving quasi-optical sources and may have dimension in the tens or even hundreds of wavelengths. Simulation and design optimization of these devices and structures is an extremely challenging electromagnetic problem. The analysis of complex electrically large unbounded wave structures using rigorous methods such as method of moments (MoM), finite element method (FEM), and finite difference time domain (FDTD) method can become almost impossible due to the need for large computational resources. Asymptotic high-frequency techniques are used for analysis of electrically large quasi-optical systems and hybrid methods for solving multi-scale problems. Spectral Ray Tracing (SRT) has a number of unique advantages as a candidate for hybridization. The SRT method has the advantages of Spectral Theory of Diffraction (STD). STD can model reflection, refraction and diffraction of an arbitrary wave incident on the complex structure, which is not the case for diffraction theories such as Geometrical Theory of Diffraction (GTD), Uniform theory of Diffraction (UTD) and Uniform Asymptotic Theory (UAT). By including complex rays, SRT can effectively analyze both near-fields and far-fields accurately with minimal approximations. In this thesis, a novel matrix representation of SRT is presented that uses only one spectral integration per observation point and applied to modeling a hemispherical and hyper-hemispherical lens. The hybridization of SRT with commercially available FEM and MoM software is proposed in this work to solve the complexity of multi-scale analysis. This yields a computationally efficient self-consistent HSRT algorithm. Various arrangements of the Hybrid SRT method such as FEM-SRT, and MoM-SRT, are investigated and validated through comparison of radiation patterns with Ansoft HFSS for the FEM method, FEKO for MoM, Multi-level Fast Multipole Method (MLFMM) and physical optics. For that a bow-tie terahertz antenna backed by hyper-hemispherical silicon lens, an on-chip planar dipole fabricated in SiGe:C BiCMOS technology and attached to a hyper-hemispherical silicon lens and a double-slot antenna backed by silica lens will be used as sample structures to be analyzed using the HSRT. Computational performance (memory requirement, CPU/GPU time) of developed algorithm is compared to other methods in commercially available software. It is shown that the MoM-SRT, in its present implementation, is more accurate than MoM-PO but comparable in speed. However, as shown in this thesis, MoM-SRT can take advantage of parallel processing and GPU. The HSRT algorithm is applied to simulation of on-chip dipole antenna backed by Silicon lens and integrated with a 180-GHz VCO and radiation pattern compared with measurements. The radiation pattern is measured in a quasi-optical configuration using a power detector. In addition, it is shown that the matrix formulation of SRT and HSRT are promising approaches for solving complex electrically large problems with high accuracy. This thesis also expounds on new measurement setup specifically developed for measuring integrated antennas, radiation pattern and gain of the embedded on-chip antenna in the mmW/ terahertz range. In this method, the radiation pattern is first measured in a quasi-optical configuration using a power detector. Subsequently, the radiated power is estimated form the integration over the radiation pattern. Finally, the antenna gain is obtained from the measurement of a two-antenna system.

The Method of Moments is a numerical technique for solving electromagnetic problems with integral equations. The method discretizes a surface in three dimensions, which reduces the dimension of the problem with one. A drawback of the method is that it yields a dense system of linear equations. This effectively prohibits the solution of large scale problems. Papers I-III describe the Fast Multipole Method. It reduces the cost of computing a dense matrix vector multiplication. This implies that large scale problems can be solved on personal computers. In Paper I the error introduced by the Fast Multipole Method is analyzed. Paper II and Paper III describe the implementation of the Fast Multipole Method. The problem of computing monostatic Radar Cross Section involves many right hand sides. Since the Fast Multipole Method computes a matrix times a vector, iterative techniques are used to solve the linear systems. It is important that the solution time for each system is as low as possible. Otherwise the total solution time becomes too large. Different techniques for reducing the work in the iterative solver are described in Paper IV-VI. Paper IV describes a block Quasi Minimal Residual method for several right hand sides and Sparse Approximate Inverse preconditioner that reduce the number of iterations significantly. In Paper V and Paper VI a method based on linear algebra called the Minimal Residual Interpolation method is described. It reduces the work in an iterative solver by accurately computing an initial guess for the iterative method. In Paper VII a hybrid method between Physical Optics and the Fast Multipole Method is described. It can handle large problems that are out of reach for the Fast Multipole Method.

Thesis (MscEng (Electrical and Electronic Engineering))--University of Stellenbosch, 2011. / ENGLISH ABSTRACT: The aim of this thesis is to investigate the suitability of TEM (Transverse Electromagnetic) horn antennas for use as feed structures for the Square Kilometre Array (SKA) radio telescope, in particular with regard to the roundness of the radiation pattern. A literature study shows that existing TEM horn designs do not yield a round radiation pattern over a wide bandwidth and that an alternative is required. The Method of Moments (MoM) is a computational electromagnetic (CEM) technique typically used in the analysis of TEM horn antennas. An in-house MoM solver is successfully developed to analyse such antennas and is able to calculate the current density on the surface of a conductor, as well as the farfield patterns of an antenna. A modification to an exponential TEM horn antenna is proposed and simulations show the modification is successful in yielding a round radiation pattern over a wide bandwidth. The modified exponential TEM horn has a convex triangular arc at the end of each antenna plate and is constructed for measurement. Due to limited construction capabilities, the measurements deviate slightly from the simulated results but still indicate the potential of the structure to yield a round radiation pattern over a wide bandwidth. / AFRIKAANSE OPSOMMING: Die doel van hierdie tesis is om die geskiktheid van transverse elektromagnetiese (TEM) horing antennas te ondersoek vir die gebruik as voerstrukture vir die Square Kilometre Array (SKA)- radioteleskoop, veral met betrekking tot die rondheid van die stralingspatroon. ’n Literatuurstudie toon dat bestaande TEM horing ontwerpe nie ’n ronde stralingspatroon oor ’n wye bandwydte lewer nie, en dat ’n alternatief nodig is. Die metode van momente is ’n rekenbare elektromagnetiese tegniek wat tipies gebruik word in die ontleding van TEM horing antennas. ’n In-huis metode van momente ontleder is suksesvol ontwikkel om sulke antennas te analiseer en is in staat om die stroomdigtheid op die oppervlak van ’n geleier, sowel as die vêrveld patrone van die antenna te bereken. ’n Wysiging van ’n eksponensiële TEM horing antenna word voorgestel en simulasies toon dat die veranderings suksesvol is om ’n ronde stralingspatroon oor ’n wye bandwydte te skep. Die verander eksponensiële TEM horing het ’n konvekse driehoekige boog aan die einde van elke antenna plaat en is gebou vir meting. Weens beperkte konstruksie vermoëns, toon die metings ’n afwyking van die gesimuleerde resultate, maar dui nogsteeds die potensiaal aan van die struktuur om ’n ronde stralingspatroon te lewer oor ’n wye bandwydte.

Enterprise risk management (ERM) has emerged as a distinct model for managing a sophisticated portfolio of corporate risks. The purpose of this study was to determine the impact of ERM on firm value for companies on the Johannesburg Securities Exchange. The sample comprised forty-five firms from different industries over the period 2000-2016. Most studies used five or ten-year periods, using data derived from only one industry. Tobin’s Q was used as a proxy for firm value. Multivariate regression analysis was employed to determine statistical relationships. The findings indicate a significant correlation between ERM and Tobin’s Q, indicating that ERM significantly contributes to firm value. These findings may be used to develop and shape ERM policy frameworks for firms and countries. The study provides new insights, from an African emerging market context on the value effects of ERM. Larger and international samples may improve future studies. / Business Management / M. Com. (Business Management)

A pesquisa realizada tratou do estudo de modelos de estimação da relação ar-combustível e de identificação do tipo de combustível usando o sinal da pressão no cilindro em um motor quatro tempos automotivo, alimentado com gasolina brasileira tipo C, etanol e misturas destes combustíveis. Foi montada uma bancada dinamométrica para realização de testes em um motor originalmente projetado para operar com etanol e que possui relação de compressão de 13,44:1. Durante os testes do motor foram coletados dados referentes às variáveis de desempenho e emissões de gases de exaustão. Os dados coletados em plena carga foram analisados utilizando parâmetros estatísticos e confrontados com os resultados esperados segundo a literatura. As variáveis independentes disponibilizadas nos testes do motor foram utilizadas em conjunto com a aplicação do método dos momentos e da razão de pressões no sinal da pressão no cilindro para o desenvolvimento de novos modelos de estimação da relação ar-combustível e de identificação do tipo de combustível. Os modelos obtidos na presente pesquisa mostraram-se capazes de estimar a relação ar-combustível, sendo sensíveis à variação da composição do combustível nesta estimativa, e de identificar o tipo de combustível utilizado no motor. / This research addressed the study of models for estimating the air-fuel ratio and identifying the type of fuel by in-cylinder pressure signal in a four stroke automotive engine fueled with Brazilian gasoline C type, ethanol, and blends of these fuels. A dynamometer was assembled for tests in an engine originally designed to operate with ethanol and with a 13.44:1 compression ratio. During the engine tests, data were collected related to the performance and exhaustion gas emission variables. Data collected at full load were analyzed using statistical parameters and compared with the expected results according to the literature. The independent variables provided by the engine tests were used together with application of the method of moments and the pressure ratio for in-cylinder pressure in order to develop new models for estimating the air-fuel ratio and to identify the fuel type. The models obtained in this research proved to be capable of estimating the air-fuel ratio, being sensitive to the variation in the type of fuel used in such estimations, and of identifying the type of fuel used in the engine.

Made available in DSpace on 2016-03-15T19:31:17Z (GMT). No. of bitstreams: 1 Andre Fernandes Lima.pdf: 717720 bytes, checksum: e1002c943e6cd65b97220bcb149117a4 (MD5) Previous issue date: 2009-02-04 / Fundo Mackenzie de Pesquisa / This dissertation aims to investigate the existence of a causal relationship between levels of organizational slack, the risk of the company and its performance. The point of departure is the conjecture that the magnitude of the organizational slack is a determinant factor of the risk as well as the performance of the company. The importance of this piece of research lies on the empirical fact that owners of a company are willing to take risks based on the prospect of returns. In order to test the causal relationship, it proceeds as follows. First, it collects data from 218 manufacturing companies in the period 2001-2007 and combines part of it through factor analysis so as to compose the three types of organizational slack: available, recoverable and potential ones. Second, the data is arranged in the form of a panel and is next assessed by the generalized method of moments (GMM). The results support the validity of the two proposed models: the first takes risk as the dependent variable, while the second takes future performance. The findings corroborate the hypothesis that the organizational slack has a nonlinear influence on risk and performance. In addition, they shed light on the increased robustness of the second model relative to the first one. This is regarded as the second contribution of the dissertation provided that most literature emphasizes the influence of the organizational slack over risk neglecting its role in performance. We go on to claim that the little attention paid to performance contributes to the available inconclusive empirical results within the literature. / O objetivo do trabalho é investigar a existência de uma relação causal entre os níveis organizacionais de folga, o risco da empresa e seu desempenho. O ponto de partida é a conjectura de que a magnitude da folga organizacional é fator determinante do risco representado pela empresa, bem como de seu desempenho. A importância desta pesquisa recai sobre o fato empírico de que os proprietários da empresa estão dispostos a se expor a riscos com base na perspectiva de retorno. Para testar esta relação causal são considerados dados de 218 empresas manufatureiras no período 2001-2007, sendo parte destes dados agrupados através de análise fatorial, de forma a compor os três tipos de folga organizacional considerados: disponível, recuperável e potencial. Em seguida, os dados são dispostos na forma de painel e, então, analisados através do método dos momentos generalizados (GMM), o que constitui uma contribuição original. Os resultados obtidos suportam a validade de dois modelos propostos, o primeiro em que o risco é variável dependente, e o segundo em que a variável dependente é o desempenho futuro, corroborando a hipótese de que a folga organizacional exerce influência não linear sobre o risco e o desempenho. Adicionalmente, verifica-se que o modelo de desempenho futuro é mais robusto, sendo esta a segunda contribuição da pesquisa. Isso decorre do fato de que grande parte da literatura enfatiza a influência da folga organizacional sobre o risco, negligenciando sua significância sobre o desempenho. Argumenta-se aqui que tais práticas implicaram em resultados empíricos não conclusivos na literatura.