針對金融時序資料變異數不齊一的性質，隨機波動模型除了提供於ARCH族外的另一選擇；且由於其設定隱含波動本身亦為一個隨機波動函數，藉由設定隨時間改變且自我相關的條件變異數，使得隨機波動模型較ARCH族來得有彈性且符合實際。傳統上處理隨機波動模型的參數估計往往需要面對到複雜的多維積分，此問題可藉由貝氏分析裡的馬可夫鏈蒙地卡羅法解決。本文主要的探討標的，即在於利用馬可夫鏈蒙地卡羅法估計美元/新台幣匯率隨機波動模型參數。除原始模型之外，模型的擴充分為三部分：其一為隱含波動的二階自我回歸模型；其二則為藉由基本模型的修改，檢測匯率市場上的槓桿效果；最後，我們嘗試藉由加入scale mixture的方式以驗證金融時序資料中常見的厚尾分配。

Le concept d’automate, central en théorie des langages, est l’outil d’appréhension naturel et efficace de nombreux problèmes concrets. L’usage intensif des automates finis dans un cadre algorithmique s ’illustre par de nombreux travaux de recherche. La correction et l’ évaluation sont les deux questions fondamentales de l’algorithmique. Une méthode classique d’ évaluation s’appuie sur la génération aléatoire contrôlée d’instances d’entrée. Les travaux d´écrits dans cette thèse s’inscrivent dans ce cadre et plus particulièrement dans le domaine de la génération aléatoire uniforme d’automates finis.L’exposé qui suit propose d’abord la construction d’un générateur aléatoire d’automates à pile déterministes, real time. Cette construction s’appuie sur la méthode symbolique. Des résultats théoriques et une étude expérimentale sont exposés.Un générateur aléatoire d’automates non-déterministes illustre ensuite la souplesse d’utilisation de la méthode de Monte-Carlo par Chaînes de Markov (MCMC) ainsi que la mise en œuvre de l’algorithme de Metropolis - Hastings pour l’ échantillonnage à isomorphisme près. Un résultat sur le temps de mélange est donné dans le cadre général .L’ échantillonnage par méthode MCMC pose le problème de l’évaluation du temps de mélange dans la chaîne. En s’inspirant de travaux antérieurs pour construire un générateur d’automates partiellement ordonnés, on montre comment différents outils statistiques permettent de s’attaquer à ce problème. / The concept of automata, central to language theory, is the natural and efficient tool to apprehendvarious practical problems.The intensive use of finite automata in an algorithmic framework is illustrated by numerous researchworks.The correctness and the evaluation of performance are the two fundamental issues of algorithmics.A classic method to evaluate an algorithm is based on the controlled random generation of inputs.The work described in this thesis lies within this context and more specifically in the field of theuniform random generation of finite automata.The following presentation first proposes to design a deterministic, real time, pushdown automatagenerator. This design builds on the symbolic method. Theoretical results and an experimental studyare given.This design builds on the symbolic method. Theoretical results and an experimental study are given.A random generator of non deterministic automata then illustrates the flexibility of the Markov ChainMonte Carlo methods (MCMC) as well as the implementation of the Metropolis-Hastings algorithm tosample up to isomorphism. A result about the mixing time in the general framework is given.The MCMC sampling methods raise the problem of the mixing time in the chain. By drawing on worksalready completed to design a random generator of partially ordered automata, this work shows howvarious statistical tools can form a basis to address this issue.

Made available in DSpace on 2016-06-02T20:06:07Z (GMT). No. of bitstreams: 1 4453.pdf: 2980949 bytes, checksum: a5e49490266d2a0b649d487d8bf298d5 (MD5) Previous issue date: 2012-03-23 / Financiadora de Estudos e Projetos / In ecology, understanding the species-area relationship (SARs) are extremely important to determine species diversity. SARs are fundamental to assess the impact due to the destruction of natural habitats, creation of biodiversity maps, to determine the minimum area to preserve. In this study, the number of species is observed in different area sizes. These studies are referred in the literature through nonlinear models without assuming any distribution for the data. In this situation, it only makes sense to consider areas in which the counts of species are greater than zero. As the dependent variable is a count data, we assume that this variable comes from a known distribution for discrete data positive. In this paper, we used the zero truncated Poisson distribution (ZTP) and zero truncated Negative Binomial (ZTNB) to represent the probability distribution of the random variable species diversity number. To describe the relationship between species diversity and habitat, we consider nonlinear models with asymptotic behavior: Exponencial Negativo, Weibull, Logístico, Chapman-Richards, Gompertz e Beta. In this paper, we take a Bayesian approach to fit models. With the purpose of obtain the conditional distributions, we propose the use of latent variables to implement the Gibbs sampler. Introducing a comparative study through simulated data and will consider an application to a real data set. / Em ecologia, a compreensão da relação espécie-área (SARs) é de extrema importância para a determinação da diversidade de espécies e avaliar o impacto devido à destruição de habitats naturais. Neste estudo, observa-se o número de espécies em diferentes tamanhos de área. Estes estudos são abordados na literatura através de modelos não lineares sem assumir alguma distribuição para os dados. Nesta situação, só faz sentido considerar áreas nas quais as contagens das espécies são maiores do que zero. Como a variável dependente é um dado de contagem, assumiremos que esta variável provém de alguma distribuição conhecida para dados discretos positivos. Neste trabalho, utilizamos as distribuições de Poisson zero-truncada (PZT) e Binomial Negativa zero-truncada (BNZT) para representar a distribuição do número de espécies. Para descrever a relação espécie-área, consideramos os modelos não lineares com comportamento assintótico: Exponencial Negativo, Weibull, Logístico, Chapman-Richards, Gompertz e Beta. Neste trabalho os modelos foram ajustados através do método de verossimilhança, sendo proposto uma abordagem Bayesiana com a utilização de variáveis latentes auxiliares para a implementação do Amostrador de Gibbs.

A device that is accompanied by an irreversible chemical reaction or physical destruction and could no longer function properly after performing its intended function is referred to as a one-shot device. One-shot device test data differ from typical data obtained by measuring lifetimes in standard life-tests. Due to the very nature of one-shot devices, actual lifetimes of one-shot devices under test cannot be observed, and they are either left- or right-censored. In addition, a one-shot device often has multiple components that could cause the failure of the device. The components are coupled together in the manufacturing process or assembly, resulting in the failure modes possessing latent heterogeneity and dependence. Frailty models enable us to describe the influence of common, but unobservable covariates, on the hazard function as a random effect in a model and also provide an easily understandable interpretation. In this thesis, we develop some inferential results for one-shot device testing data with gamma frailty model. We first develop an efficient expectation-maximization (EM) algorithm for determining the maximum likelihood estimates of model parameters of a gamma frailty model with exponential lifetime distributions for components based on one-shot device test data with multiple failure modes, wherein the data are obtained from a constant-stress accelerated life-test. The maximum likelihood estimate of the mean lifetime of $k$-out-of-$M$ structured one-shot devices under normal operating conditions is also presented. In addition, the asymptotic variance–covariance matrix of the maximum likelihood estimates is derived, which is then used to construct asymptotic confidence intervals for the model parameters. The performance of the proposed inferential methods is finally evaluated through Monte Carlo simulations and then illustrated with a numerical example. A gamma frailty model with Weibull baseline hazards is considered next for fitting one-shot device testing data. The Weibull baseline hazards enable us to analyze time-varying failure rates more accurately, allowing for a deeper understanding of the dynamic nature of system's reliability. We develop an EM algorithm for estimating the model parameters utilizing the complete likelihood function. A detailed simulation study evaluates the performance of the Weibull baseline hazard model with that of the exponential baseline hazard model. The introduction of shape parameters in the component's lifetime distribution within the Weibull baseline hazard model offers enhanced flexibility in model fitting. Finally, Bayesian inference is then developed for the gamma frailty model with exponential baseline hazard for one-shot device testing data. We introduce the Bayesian estimation procedure using Markov chain Monte Carlo (MCMC) technique for estimating the model parameters as well as for developing credible intervals for those parameters. The performance of the proposed method is evaluated in a simulation study. Model comparison between independence model and the frailty model is made using Bayesian model selection criterion. / Thesis / Candidate in Philosophy

<div>In this thesis, the role of location-specific microstructural features in the fatigue performance of the safety-critical aerospace components made of Nickel (Ni)-base superalloys and linear friction welded (LFW) Titanium (Ti) alloys has been studied using crystal plasticity finite element (CPFE) simulations, energy dispersive X-ray diffraction (EDD), backscatter electron (BSE) images and digital image correlation (DIC).</div><div><br></div><div>In order to develop a microstructure-sensitive fatigue life prediction framework, first, it is essential to build trust in the quantitative prediction from CPFE analysis by quantifying uncertainties in the mechanical response from CPFE simulations. Second, it is necessary to construct a unified fatigue life prediction metric, applicable to multiple material systems; and a calibration strategy of the unified fatigue life model parameter accounting for uncertainties originating from CPFE simulations and inherent in the experimental calibration dataset. To achieve the first task, a genetic algorithm framework is used to obtain the statistical distributions of the crystal plasticity (CP) parameters. Subsequently, these distributions are used in a first-order, second-moment method to compute the mean and the standard deviation for the stress along the loading direction (σ_load), plastic strain accumulation (PSA), and stored plastic strain energy density (SPSED). The results suggest that an ~10% variability in σ_load and 20%-25% variability in the PSA and SPSED values may exist due to the uncertainty in the CP parameter estimation. Further, the contribution of a specific CP parameter to the overall uncertainty is path-dependent and varies based on the load step under consideration. To accomplish the second goal, in this thesis, it is postulated that a critical value of the SPSED is associated with fatigue failure in metals and independent of the applied load. Unlike the classical approach of estimating the (homogenized) SPSED as the cumulative area enclosed within the macroscopic stress-strain hysteresis loops, CPFE simulations are used to compute the (local) SPSED at each material point within polycrystalline aggregates of 718Plus, an additively manufactured Ni-base superalloy. A Bayesian inference method is utilized to calibrate the critical SPSED, which is subsequently used to predict fatigue lives at nine different strain ranges, including strain ratios of 0.05 and -1, using nine statistically equivalent microstructures. For each strain range, the predicted lives from all simulated microstructures follow a log-normal distribution; for a given strain ratio, the predicted scatter is seen to be increasing with decreasing strain amplitude and are indicative of the scatter observed in the fatigue experiments. Further, the log-normal mean lives at each strain range are in good agreement with the experimental evidence. Since the critical SPSED captures the experimental data with reasonable accuracy across various loading regimes, it is hypothesized to be a material property and sufficient to predict the fatigue life.</div><div><br></div><div>Inclusions are unavoidable in Ni-base superalloys, which lead to two competing failure modes, namely inclusion- and matrix-driven failures. Each factor related to the inclusion, which may contribute to crack initiation, is isolated and systematically investigated within RR1000, a powder metallurgy produced Ni-base superalloy, using CPFE simulations. Specifically, the role of the inclusion stiffness, loading regime, loading direction, a debonded region in the inclusion-matrix interface, microstructural variability around the inclusion, inclusion size, dissimilar coefficient of thermal expansion (CTE), temperature, residual stress, and distance of the inclusion from the free surface are studied in the emergence of two failure modes. The CPFE analysis indicates that the emergence of a failure mode is an outcome of the complex interaction between the aforementioned factors. However, the possibility of a higher probability of failure due to inclusions is observed with increasing temperature, if the CTE of the inclusion is higher than the matrix, and vice versa. Any overall correlation between the inclusion size and its propensity for damage is not found, based on inclusion that is of the order of the mean grain size. Further, the CPFE simulations indicate that the surface inclusions are more damaging than the interior inclusions for similar surrounding microstructures. These observations are utilized to instantiate twenty realistic statistically equivalent microstructures of RR1000 – ten containing inclusions and remaining ten without inclusions. Using CPFE simulations with these microstructures at four different temperatures and three strain ranges for each temperature, the critical SPSED is calibrated as a function of temperature for RR1000. The results suggest that critical SPSED decreases almost linearly with increasing temperature and is appropriate to predict the realistic emergence of the competing failure modes as a function of applied strain range and temperature.</div><div><br></div><div>LFW process leads to the development of significant residual stress in the components, and the role of residual stress in the fatigue performance of materials cannot be overstated. Hence, to ensure fatigue performance of the LFW Ti alloys, residual strains in LFW of similar (Ti-6Al-4V welded to Ti-6Al-4V or Ti64-Ti64) and dissimilar (Ti-6Al-4V welded to Ti-5Al-5V-5Mo-3Cr or Ti64-Ti5553) Ti alloys have been characterized using EDD. For each type of LFW, one sample is chosen in the as-welded (AW) condition and another sample is selected after a post-weld heat treatment (HT). Residual strains have been separately studied in the alpha and beta phases of the material, and five components (three axial and two shear) have been reported in each case. In-plane axial components of the residual strains show a smooth and symmetric behavior about the weld center for the Ti64-Ti64 LFW samples in the AW condition, whereas these components in the Ti64-Ti5553 LFW sample show a symmetric trend with jump discontinuities. Such jump discontinuities, observed in both the AW and HT conditions of the Ti64-Ti5553 samples, suggest different strain-free lattice parameters in the weld region and the parent material. In contrast, the results from the Ti64-Ti64 LFW samples in both AW and HT conditions suggest nearly uniform strain-free lattice parameters throughout the weld region. The observed trends in the in-plane axial residual strain components have been rationalized by the corresponding microstructural changes and variations across the weld region via BSE images. </div><div><br></div><div>In the literature, fatigue crack initiation in the LFW Ti-6Al-4V specimens does not usually take place in the seemingly weakest location, i.e., the weld region. From the BSE images, Ti-6Al-4V microstructure, at a distance from the weld-center, which is typically associated with crack initiation in the literature, are identified in both AW and HT samples and found to be identical, specifically, equiaxed alpha grains with beta phases present at the alpha grain boundaries and triple points. Hence, subsequent fatigue performance in LFW Ti-6Al-4V is analyzed considering the equiaxed alpha microstructure.</div><div><br></div><div>The LFW components made of Ti-6Al-4V are often designed for high cycle fatigue performance under high mean stress or high R ratios. In engineering practice, mean stress corrections are employed to assess the fatigue performance of a material or structure; albeit this is problematic for Ti-6Al-4V, which experiences anomalous behavior at high R ratios. To address this problem, high cycle fatigue analyses are performed on two Ti-6Al-4V specimens with equiaxed alpha microstructures at a high R ratio. In one specimen, two micro-textured regions (MTRs) having their c-axes near-parallel and perpendicular to the loading direction are identified. High-resolution DIC is performed in the MTRs to study grain-level strain localization. In the other specimen, DIC is performed on a larger area, and crack initiation is observed in a random-textured region. To accompany the experiments, CPFE simulations are performed to investigate the mechanistic aspects of crack initiation, and the relative activity of different families of slip systems as a function of R ratio. A critical soft-hard-soft grain combination is associated with crack initiation indicating possible dwell effect at high R ratios, which could be attributed to the high-applied mean stress and high creep sensitivity of Ti-6Al-4V at room temperature. Further, simulations indicated more heterogeneous deformation, specifically the activation of multiple families of slip systems with fewer grains being plasticized, at higher R ratios. Such behavior is exacerbated within MTRs, especially the MTR composed of grains with their c-axes near parallel to the loading direction. These features of micro-plasticity make the high R ratio regime more vulnerable to fatigue damage accumulation and justify the anomalous mean stress behavior experienced by Ti-6Al-4V at high R ratios.</div><div><br></div>