The lower St Johns River is a low-gradient coastal river with tidal hydrodynamics that remain active from the Atlantic Ocean through to the upstream end of Lake George (river km 200). Salinity in the lower St Johns River is spatially and temporally variable, whereby the salinity distribution is driven primarily by the combination of ocean processes of tides and storm surges and hydrological processes of watershed runoff. This study examines the probability distributions and modes of behavior of salinity for present-day conditions using data, numerical modeling and eigen-analysis. The hypothesis is that long-term changes (decadal scale) in the ocean processes will cause the probability distributions of salinity to adjust, and therefore there is a quantifiable non-stationarity of salinity in the lower St Johns River (shifts in the probability distribution of salinity, as representative of salinity increase) due to sea-level rise. The numerical modeling is validated against data, then the model is applied to generate synthetic salinity records for the main river stem and tributaries of the lower St. Johns based on present-day conditions. The synthetic salinity records are transformed into probability distribution functions (PDFs) and eigen-functions. The same analysis is performed on synthetic salinity records generated by the model when applied in forecast mode (i.e., sea-level rise). Comparisons of the forecasted PDFs and eigen-functions with those for present-day conditions quantify the non-stationarity (shifts in probability distributions and changes in eigen-structure) of the salinity in the lower St Johns River. The underlying physics of the cause (sea-level rise)-effect (non-stationarity of salinity) relationship are assessed in terms of coastal/river hydrodynamics.

Os sistemas relacionados à gestão e manejo dos recursos hídricos são concebidos e operados em todo o mundo considerando, dentre outras, a hipótese da estacionariedade da precipitação. Sob a hipótese da não estacionariedade, o possível aumento na magnitude e frequência de eventos extremos pode reduzir o nível de proteção das obras hidráulicas e acarretar em prejuízos econômicos, sociais e ambientais significativos. Em metrópoles como São Paulo, onde as bacias hidrográficas sofreram grandes transformações, o aumento da vulnerabilidade da infraestrutura hídrica, como os sistemas de drenagem, pode representar um risco ainda maior. Inserido neste contexto, esta pesquisa possui o objetivo de verificar se a precipitação na cidade de São Paulo apresenta um comportamento não estacionário e quais seriam as suas implicações sobre estudos hidrológicos, projetos de engenharia e custo de obras. Os testes não paramétricos de Mann-Kendall e Mann-Whitney foram aplicados para a detecção de mudanças graduais e abruptas respectivamente. A distribuição generalizada de valores extremos foi ajustada para identificação e quantificação das mudanças na magnitude e frequência da precipitação. A partir dos registros de precipitação em seis postos pluviométricos localizados na cidade de São Paulo, o comportamento não estacionário foi identificado em três séries de precipitação total anual e em duas séries de precipitação máxima diária anual. Para um aumento na precipitação de 9,5% entre 1997 e 2012, o aumento do escoamento superficial é superior a 28% para os tempos de retorno entre 10 e 100 anos. Esta mudança na precipitação pode acarretar em um aumento dos custos das obras de sistemas de micro e macrodrenagem entre 6% e 11%. / Water resources systems are planned and managed under rainfall stationarity hypothesis. Under non-stationarity, possible extreme precipitation magnitude and frequency increase may reduce water structures risk protection and cause several significant economic, social and environmental damage. In metropolises such as São Paulo, water infrastructure vulnerability increase may represent an even important risk, especially of flooding. In this context, this paper aims to verify in the city of São Paulo, if rainfall time series follow a non-stationary behavior and what would be its implications of hydrologic studies, engineering projects and work costs. Mann-Kendall and Mann-Whitney non-parametric tests were performed to detect changes gradually and in moments respectively. GEV distribution was fitted to identify and quantify changes in rainfall magnitude and frequency. From six rainfall series recorded in rain gauges in São Paulo city, non-stationarity was identified in three series of annual total and two of annual maximum daily precipitation. For an observed increase of total precipitation of 9.5% between 1997 and 2012, runoff increases in more than 28% for return periods between 10 and 100 years. This change of rainfall may increase work cost of minor and major drainage systems between 6% to 11%.

Os sistemas relacionados à gestão e manejo dos recursos hídricos são concebidos e operados em todo o mundo considerando, dentre outras, a hipótese da estacionariedade da precipitação. Sob a hipótese da não estacionariedade, o possível aumento na magnitude e frequência de eventos extremos pode reduzir o nível de proteção das obras hidráulicas e acarretar em prejuízos econômicos, sociais e ambientais significativos. Em metrópoles como São Paulo, onde as bacias hidrográficas sofreram grandes transformações, o aumento da vulnerabilidade da infraestrutura hídrica, como os sistemas de drenagem, pode representar um risco ainda maior. Inserido neste contexto, esta pesquisa possui o objetivo de verificar se a precipitação na cidade de São Paulo apresenta um comportamento não estacionário e quais seriam as suas implicações sobre estudos hidrológicos, projetos de engenharia e custo de obras. Os testes não paramétricos de Mann-Kendall e Mann-Whitney foram aplicados para a detecção de mudanças graduais e abruptas respectivamente. A distribuição generalizada de valores extremos foi ajustada para identificação e quantificação das mudanças na magnitude e frequência da precipitação. A partir dos registros de precipitação em seis postos pluviométricos localizados na cidade de São Paulo, o comportamento não estacionário foi identificado em três séries de precipitação total anual e em duas séries de precipitação máxima diária anual. Para um aumento na precipitação de 9,5% entre 1997 e 2012, o aumento do escoamento superficial é superior a 28% para os tempos de retorno entre 10 e 100 anos. Esta mudança na precipitação pode acarretar em um aumento dos custos das obras de sistemas de micro e macrodrenagem entre 6% e 11%. / Water resources systems are planned and managed under rainfall stationarity hypothesis. Under non-stationarity, possible extreme precipitation magnitude and frequency increase may reduce water structures risk protection and cause several significant economic, social and environmental damage. In metropolises such as São Paulo, water infrastructure vulnerability increase may represent an even important risk, especially of flooding. In this context, this paper aims to verify in the city of São Paulo, if rainfall time series follow a non-stationary behavior and what would be its implications of hydrologic studies, engineering projects and work costs. Mann-Kendall and Mann-Whitney non-parametric tests were performed to detect changes gradually and in moments respectively. GEV distribution was fitted to identify and quantify changes in rainfall magnitude and frequency. From six rainfall series recorded in rain gauges in São Paulo city, non-stationarity was identified in three series of annual total and two of annual maximum daily precipitation. For an observed increase of total precipitation of 9.5% between 1997 and 2012, runoff increases in more than 28% for return periods between 10 and 100 years. This change of rainfall may increase work cost of minor and major drainage systems between 6% to 11%.

Este trabalho tem como objetivo a avaliação de três estimadores do parâmetro de integração fracionária d e de um teste para memória longa compartilhada. Os estimadores a serem avaliados são: o estimador de Geweke e Porter-Hudak, o estimador usando o periodograma suavizado e o estimador semiparamétrico truncado de Whittle. A avaliação dos estimadores será no contexto de processos ARFIMA+ARMA, e em relação a variações nos termos autoregressivos e de médias móveis, tanto do termo de memória curta quanto do termo de memória longa. Além disso, serão introduzidos o conceito de modelos com memória longa compartilhada e um método de identificação através da análise de correlação canônica para séries temporais multivariadas proposto, por Ray e Tsay (1997). Por fim, serão apresentadas três aplicações sobre dados reais dos tópicos estudados: uma para a velocidade do vento em São Paulo e Piracicaba e outras duas para séries das bolsas de valores de Hong Kong, Nova Zelândia, Singapura, Brasil e Reino Unido / The goal of this project is the evaluation of three long memory parameter estimators and a common long range dependence test. The estimators evaluated are: the Geweke and Porter-Hudak, the smoothed periodogram and the semiparametric truncated Whittle estimators. The evaluation is in the context of processes ARFIMA+ARMA, and related to variations in the autoregressive and moving average coefficients, both in the short and long memory terms. Furthermore, we describe common long range dependence processes and an identification approach (Ray and Tsay, 1997) for them, using the canonical correlation analysis. Finally, three applications to real data are presented: the first one to the wind\'s speed in the Brazilian cities of São Paulo and Piracicaba, and the other ones to financial time series of the stock markets of Hong Kong, New Zealand, Singapore, Brazil and the United Kingdom.

Este trabalho tem como objetivo a avaliação de três estimadores do parâmetro de integração fracionária d e de um teste para memória longa compartilhada. Os estimadores a serem avaliados são: o estimador de Geweke e Porter-Hudak, o estimador usando o periodograma suavizado e o estimador semiparamétrico truncado de Whittle. A avaliação dos estimadores será no contexto de processos ARFIMA+ARMA, e em relação a variações nos termos autoregressivos e de médias móveis, tanto do termo de memória curta quanto do termo de memória longa. Além disso, serão introduzidos o conceito de modelos com memória longa compartilhada e um método de identificação através da análise de correlação canônica para séries temporais multivariadas proposto, por Ray e Tsay (1997). Por fim, serão apresentadas três aplicações sobre dados reais dos tópicos estudados: uma para a velocidade do vento em São Paulo e Piracicaba e outras duas para séries das bolsas de valores de Hong Kong, Nova Zelândia, Singapura, Brasil e Reino Unido / The goal of this project is the evaluation of three long memory parameter estimators and a common long range dependence test. The estimators evaluated are: the Geweke and Porter-Hudak, the smoothed periodogram and the semiparametric truncated Whittle estimators. The evaluation is in the context of processes ARFIMA+ARMA, and related to variations in the autoregressive and moving average coefficients, both in the short and long memory terms. Furthermore, we describe common long range dependence processes and an identification approach (Ray and Tsay, 1997) for them, using the canonical correlation analysis. Finally, three applications to real data are presented: the first one to the wind\'s speed in the Brazilian cities of São Paulo and Piracicaba, and the other ones to financial time series of the stock markets of Hong Kong, New Zealand, Singapore, Brazil and the United Kingdom.

Many geological deposits contain nonlinear anisotropic features such as veins, channels, folds or local changes in orientation; numerical property modeling must account for these features to be reliable and predictive. This work incorporates locally varying anisotropy into inverse distance estimation, kriging and sequential Gaussian simulation. The methodology is applicable to a range of fields including (1) mining-mineral grade modeling (2) petroleum-porosity, permeability, saturation and facies modeling (3) environmental-contaminate concentration modeling. An exhaustive vector field defines the direction and magnitude of anisotropy and must be specified prior to modeling. Techniques explored for obtaining this field include: manual; moment of inertia of local covariance maps; direct estimation and; automatic feature interpolation. The methodology for integrating locally varying anisotropy into numerical modeling is based on modifying the distance/covariance between locations in space. Normally, the straight line path determines distance but in the presence of nonlinear features the appropriate path between locations traces along the features. These paths are calculated with the Dijkstra algorithm and may be nonlinear in the presence of locally varying anisotropy. Nonlinear paths do not ensure positive definiteness of the required system of equations when used with kriging or sequential Gaussian simulation. Classical multidimensional scaling is applied to ensure positive definiteness but is found to be computationally infeasible for large models, thus, landmark points are used for efficiency with acceptable losses in precision. The methodology is demonstrated on two data sets (1) net thickness of the McMurray formation in northern Alberta and (2) gold grade in a porphyry copper deposit. Integrating LVA into numerical modeling increases local accuracy and improves leave-one-out cross validation analysis results in both case studies. / Mining Engineering

This thesis focuses on stochastic processes and some of their properties are investigated which are necessary to determine the tools, the extremal index and the extremogram. Both mathematical tools measure extremal dependency within random time series. Two different models are introduced and related properties are discussed. The probability function of the Agent based model is surveyed explicitly and strong stationarity is proven. Data sets for both processes are simulated and clustering of the data is investigated with two different methods. Finally an estimation of the extremogram is used to interpret dependency of extremes within the data.

Stationarity is an essential property to portfolio return in the past statistical arbitrage strategy, this article uses Neo-75 rule, momentum effect, properties as independent and identically distribution and stationarity in error term, in one asset and in the very short holding period. The result in out sample period owning positive cumulative return. The finding suggests individual investors use this strategy in higher efficiency market to avoid invalidation in our model. This article surveyed CAC40, DJI, HangSeng, NASDAQ, Nikkei225, Shanghai and TWII indices. All the excess returns in out sample periods indicate they are exclude weak form of efficient market.

The hydrology of the Canadian Prairies has been well described in the scientific literature. 20th C observations show that snowmelt over frozen soils accounted for over 80% of the annual runoff, and streamflow hydrographs peaked in April and ceased in May due to a lack of runoff or groundwater contributions. Since then, the region has undergone rapid changes in land use and climate, both which affect streamflow generating processes. This study evaluates the detailed hydrological impact of regional changes to climate on an instrumented research catchment, the Smith Creek Research Basin (SCRB); an unregulated, wetland and agriculture dominated prairie catchment in south-eastern Saskatchewan. Wetlands have been drained for decades, reducing wetland extent by 58% and maximum storage volume by 79%, and increasing drainage channels lengths by 780%. Long term meteorological records show that there have been gradual changes to the climate: though there are no trends in annual precipitation amount, increasing temperatures since 1942 have brought on a gradual increase in the rainfall fraction of precipitation and an earlier snowmelt by two weeks. In the summer months, the number of multiple day rainfall events has increased by 5 events per year, which may make rainfall-runoff generation mechanisms more efficient. Streamflow records show that annual streamflow volume and runoff ratios have increased 14-fold and 12-fold, respectively since 1975, with major shifts in 1994 and 2010. Streamflow contributions from rainfall-runoff and mixed-runoff regimes increased substantially. Snowmelt runoff declined from 86% of annual discharge volume in the 1970’s to 47% recently while rainfall runoff increased from 7% to 34%. Annual peak discharge tripled over the period from 1975 to 2014, with a major shift in 1994, while the duration of flow doubled in length to 147 days after a changepoint in 1990. Recent flooding in the SCRB has produced abnormally large streamflow volumes, and flooding in June 2012 and 2014 was caused solely by rainfall, something never before recorded at the basin. Although the observed changes in climate and wetland drainage are substantial, it is unlikely that a single change can explain the dramatic shifts in the surface hydrology of the SCRB. Further investigation using process hydrology simulations is needed to help explain the observed regime changes.

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