The aim of this thesis is to estimate the volatility function of continuoustime stochastic models. The estimation of the volatility of the following wellknown international stock market indexes is presented as an application: Dow Jones Industrial Average, Standard and Poor’s 500, NIKKEI 225, CAC 40, DAX 30, FTSE 100 and IBEX 35. This estimation is studied from two different perspectives: a) assuming that the volatility of the stock market indexes displays shortrange dependence (SRD), and b) extending the previous model for processes with longrange dependence (LRD), intermediaterange dependence (IRD) or SRD. Under the efficient market hypothesis (EMH), the compatibility of the Vasicek, the CIR, the Anh and Gao, and the CKLS models with the stock market indexes is being tested. Nonparametric techniques are presented to test the affinity of these parametric volatility functions with the volatility observed from the data. Under the assumption of possible statistical patterns in the volatility process, a new estimation procedure based on the Whittle estimation is proposed. This procedure is theoretically and empirically proven. In addition, its application to the stock market indexes provides interesting results.

A percussion performance by a skilled musician will often extend beyond a written score in terms of expressiveness. This assertion is clearly evident when comparing a human performance with one that has been rendered by some form of automaton that expressly follows a transcription. Although music notation enforces a significant set of constraints, it is the responsibility of the performer to interpret the piece and “bring it to life” in the context of the composition, style, and perhaps with a historical perspective. In this sense, the sheet music serves as a general guideline upon which to build a credible performance that can carry with it a myriad of subtle nuances. Variations in such attributes as timing, dynamics, and timbre all contribute to the quality of the performance that will make it unique within a population of musicians. The ultimate goal of this research is to gain a greater understanding of these subtle nuances, while simultaneously developing a set of stochastic motion models that can similarly approximate minute variations in multiple dimensions on a purpose-built robot. Live or recorded motion data, and algorithmic models will drive an articulated robust multi-axis mechatronic system that can render a unique and audibly pleasing performance that is comparable to its human counterpart using the same percussion instruments. By utilizing a non-invasive and flexible design, the robot can use any type of drum along with different types of striking implements to achieve an acoustic richness that would be hard if not impossible to capture by sampling or sound synthesis. The flow of this thesis will follow the course of this research by introducing high-level topics and providing an overview of related work. Next, a systematic method for gesture acquisition of a set of well-defined percussion scores will be introduced, followed by an analysis that will be used to derive a set of requirements for motion control and its associated electromechanical subsystems. A detailed multidiscipline engineering effort will be described that culminates in a robotic platform design within which the stochastic motion models can be utilized. An analysis will be performed to evaluate the characteristics of the robotic renderings when compared to human reference performances. Finally, this thesis will conclude by highlighting a set of contributions as well as topics that can be pursued in the future to advance percussion robotics. / Graduate / 2019-12-10

For elderly Canadians, the prevalence of vision impairment caused by degenerative retinal pathologies, such as age-related macular degeneration and retinitis pigmentosa, is at an occurrence rate of 14 percent, and on the rise. It has been shown that visual function can be restored by electrically stimulating intact retinal tissue with an array of micro-electrodes with suitable signals. Commercial retinal implants carrying such a micro-electrode array achieve this, but to date must receive power and data over copper wire cable passing through a permanent surgical incision in the eye wall (sclera). This project is defined by a collaboration with iBIONICS, who are developing retinal implants for treatment of such conditions. iBIONICS has developed the Diamond Eye retinal implant, along with several technology sub-systems to form a comprehensive and viable medical solution. Notably, the Diamond Eye system can be powered wirelessly, with no need for a permanent surgical incision. The thesis work is focused on the formulation, simulation and hardware demonstration of a powering system, mounted on glasses frame, for a retinal implant. The system includes a Micro-Electro-Mechanical System (MEMS) mirror that directs a laser beam to the implant through the pupil opening. The work presented here is built on two main components: an iterative predictor-corrector algorithm (Kalman filter) that estimates pupil coordinates from measurements provided by an image-based eye tracking algorithm; and an misalignment compensation algorithm that maps eye pupil coordinates into mirror coordinates, and compensates for misalignment caused by rigid body motions of the glasses lens mirror and the MEMS mirror with respect to the eye. Pupil tracker and misalignment compensation control performance are illustrated through simulated scenarios. The project also involves the development of a hardware prototype that is used to test algorithms and related software.

[pt] Esta dissertação visa propor e analisar, no contexto de modelos dinâmicos estocásticos de equilíbrio geral com rigidez de preços, possíveis explicações para o fato estilizado de que o juro no Brasil é excessivamente alto. As implicações de diferentes hipóteses aplicadas aos modelos serão analisadas através de funções de resposta a impulso (FRIs). Será analisada, quando possível, a evidência empírica disponível na literatura a favor ou contra cada hipótese, e as FRIs mostrarão o comportamento dinâmico da economia calibrada sob cada hipótese. São compatíveis com um juro real básico mais alto por um período prolongado as seguintes hipóteses: alta taxa subjetiva de desconto intertemporal, alta indexação de preços, baixa potência da política monetária, e diminuição da credibilidade do Banco Central frente o crescimento da dívida pública (um caso de dominância fiscal). / [en] This work proposes and analyses, in the context of dynamic stochastic general equilibrium models with price rigidities, possible explanations for the stylized fact that interest rates in Brazil are exceedingly high. The implications of different hypothesis applied to the model are analyzed through impulse response functions (IRFs). Whenever possible, empirical evidence available in the literature for or against each hypothesis is analyzed, and the IRFs show the dynamical behavior of the economy calibrated accordingly. The following are consistent with a higher basic interest rate for an extended period: high subjective intertemporal discount rate, high price indexation, low monetary policy power, and decreasing Central Bank s credibility caused by public debt growth (an example of fiscal dominance).

Harmonic propagation studies of public distribution networks require accurate models of aggregate residential customers (groups of customers) that simulate the harmonic emission of the multitude of household appliances in the network. Most of the present models were developed with the component-based approach, where models of individual household appliances are combined to build the model of multiple customers. This approach requires high amount of input data, like models of individual household appliances and detail information of customer behavior and device composition, which is usually not easy to acquire. However, with the increasing number of PQ-analyzers in the networks, the measurement-based approach is now more and more considered for the modeling of aggregate customers. The measurement-based approach uses measurements of the network in combination with top-down methodologies to obtain models of the aggregate customers. Compared to the component-based approach it has several advantages, like inherent consideration of the real operating changes of the individual household appliances, variation of customer behavior, effect of line impedances, cancellation and attenuation effects, etc. This thesis presents the development of a time-series stochastic model of the low-order harmonic emission of aggregate residential customers based on a top-down measurement-based approach. The model represents the daily variation of the harmonic magnitudes and phase angles. Besides, the model includes the representation of the harmonic unbalances, which is of great importance for the proper analysis of harmonic propagation in medium-voltage networks. The model is parametrized for German networks, but the methodology can be applied to find the models of other regions or countries.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The matter about the changes in land use and coverage patterns, connected to present time concerns on development sustainability and the adequate balance between social, economic and environmental questions involved in it, stimulate the research in the field of scenery simulation at several different regions of the world. In this context, the present research intends to simulate the land use and coverage evolution tendency at Quarta Colônia, RS, for the year 2018, from physical variables, analyzing the change on the land use and coverage in the period of 1988 to 2002 and 2008, spacing and quantifying them. To do so, the land use and coverage patterns were classified using images from the satellites LANDSAT 5 and LANDSAT 7 relative to the years 1988, 2002 and 2008, being the last two maps used for modeling. After performing the crossing of land use and coverage patterns (forest, field, agricultural soil and water) between each other, in a LEGAL analysis, we created maps containing the specific evolutionary changes of each class, including the individual tendencies from the simulation made for the year 2018. It was observe that there wasn t any big change. The maps of land use and coverage from 2002 and 2008 processed in the Dinamica EGO modeling platform enabled the definition of the Markov model global transition probabilities and, local transition probabilities were defined using the empiric probabilistic method weight of evidence, based on Bayes conditional probability theorem. The change probabilities to land use and coverage obtained allowed the formation of a cell automata model based on stochastic transition algorithm where the physical variables demonstrated to be collaborator in this process of land use and coverage changes over time. The simulation results were validated specially due to a knowledge of the statistical procedure, the fuzzy method, demonstrating satisfactory results of the simulation. / As questões de mudanças nos padrões de uso e cobertura da terra, ligadas às preocupações atuais da sustentabilidade do desenvolvimento e ao balanço adequado entre as questões sociais, econômicas e ambientais envolvidas, motivam pesquisas no campo da simulação de cenários em diversas regiões do mundo. Nesse contexto, a presente pesquisa pretende simular as tendências de evolução do uso e cobertura da terra da Quarta Colônia/RS, para o ano de 2018, a partir de variáveis físicas; analisando as mudanças nos padrões de uso e cobertura da terra de 1988 a 2002 e de 2002 a 2008, espacializando-as e quantificando-as. Para tanto, foram classificados os padrões de uso e cobertura da terra em imagens dos satélites LANDSAT 5 e LANDSAT 7, referentes aos anos de 1988, 2002 e 2008, sendo os dois últimos mapas utilizados para a modelagem. A partir do cruzamento dos padrões de uso e cobertura da terra (floresta, campo, solo agrícola e água) entre si, em análise LEGAL, foram gerados mapas contendo as informações das mudanças evolutivas específicas de cada classe, inclusive das tendências individuais da simulação gerada para 2018, observando-se que não houve grandes mudanças. Os mapas de uso e cobertura da terra de 2002 e 2008 no Dinamica EGO possibilitaram a definição das probabilidades globais de transição do modelo markoviano, e as probabilidades locais de transição foram definidas pelo método probabilístico empírico pesos de evidência, baseado no teorema da probabilidade condicional de Bayes. As probabilidades de mudança de uso e cobertura da terra obtida permitiram a constituição de um modelo de autômatos celulares, baseado em algoritmos de transição estocásticos, sendo que as variáveis físicas se mostraram ser colaboradoras desse processo de mudança de uso e cobertura da terra ao longo do tempo. Os resultados da simulação foram validados espacialmente em função de um embasamento do procedimento estatístico, baseado em lógica fuzzy, apresentando resultados satisfatórios da simulação.

The dynamic modeling process is a useful tool for the knowledge of land use and occupation, creating methodological guidelines associated to ambient, social and economical issues. This work aims to establish a model to simulate the dynamic in the sandfication process and forest cover at South-west of Rio Grande do Sul, named micro regions of Campanha Ocidental and, based on this technics, make a future scenery projection. An image mosaic of LANDSAT 5 satellite was used, which recovers the studied region in the years of 1985, 1996, 2011 and LANDSAT 8 in 2013 year. SPRING was used to data base elaboration and data processing of digital images. After the image classification, the LEGAL program was used to develop the cross thematic maps, which will be used on simulations for the future sceneries by modeling with Dinamica EGO software. The expected results for 2026 indicate that forest cover will increase from 14.22% in 2011 to 15,03% in the year 2026 the total area of the Campanha Ocidental, showing that the expansion of forest cover is in the process of stabilization, focusing the areas in east, high altitudes and around drainage rivers. In the sand, this projection will retracts from 0.37% in 2011 to 0.33% in 2026, its concentration will be in the northeast, high altitudes and around the Ibicuí river drainage. / A modelagem dinâmica é uma ferramenta útil para o conhecimento do uso e ocupação da terra, gerando diretrizes metodológicas associadas às questões ambientais, sociais e econômicas. Este trabalho teve por objetivo aplicar um modelo para simular a dinâmica no processo de arenização e cobertura florestal do Sudoeste do Rio Grande do Sul, denominada microrregião da Campanha Ocidental e, com base nessas técnicas, efetuar a projeção de cenários futuros. Foi utilizado um mosaico de imagens do satélite LANDSAT 5 sensor TM, que recobre a região de estudo nos anos de 1985, 1996 e 2011 e LANDSAT 8 sensor OLI no ano de 2013. Para elaboração da base de dados e processamento digital das imagens, utilizou-se o aplicativo SPRING. Após a classificação das imagens, foi realizado o cruzamento dos mapas temáticos com auxílio da programação LEGAL, e posteriormente, empregado a simulação dos cenários futuros por meio da modelagem com o aplicativo Dinamica EGO. Os resultados previstos para 2026 indicam que a cobertura florestal irá se expandir de 14,22% em 2011 para 15,03% no ano de 2026 da área total da Campanha Ocidental, demonstrando que o aumento da cobertura florestal encontra-se em processo de estabilização, concentrando-se suas áreas na parte leste, altitudes elevadas e nas bordas da rede de drenagem. Nos areais, a projeção demonstrou que sua área sofrerá retração de 0,37% em 2011 para 0,33% da área total da região em 2026, e sua concentração estará presente na parte leste, em altitudes elevadas e em torno da drenagem do rio Ibicui.

Kyoto University (京都大学) / 0048 / 新制・課程博士 / 博士(工学) / 甲第14919号 / 工博第3146号 / 新制||工||1472(附属図書館) / 27357 / UT51-2009-M833 / 京都大学大学院工学研究科都市社会工学専攻 / (主査)教授 小林 潔司, 教授 大津 宏康, 教授 河野 広隆 / 学位規則第4条第1項該当

Dans cette thèse, on étudie un système de particules en interaction qui généralise un processus de contact, évoluant en environnement aléatoire. Le processus de contact peut être interprété comme un modèle de propagation d'une population ou d'une infection. La motivation de ce modèle provient de la biologie évolutive et de l'écologie comportementale via la technique du mâle stérile, il s'agit de contrôler une population d'insectes en y introduisant des individus stérilisés de la même espèce: la progéniture d'une femelle et d'un individu stérile n'atteignant pas de maturité sexuelle, la population se voit réduite jusqu'à potentiellement s'éteindre. Pour comprendre ce phénomène, on construit un modèle stochastique spatial sur un réseau dans lequel la population suit un processus de contact dont le taux de croissance est ralenti en présence d'individus stériles, qui forment un environnement aléatoire dynamique. Une première partie de ce document explore la construction et les propriétés du processus sur le réseau Z^d. On obtient des conditions de monotonie afin d'étudier la survie ou la mort du processus. On exhibe l'existence et l'unicité d'une transition de phase en fonction du taux d'introduction des individus stériles. D'autre part, lorsque d=1 et cette fois en fixant l'environnement aléatoire initialement, on exhibe de nouvelles conditions de survie et de mort du processus qui permettent d'expliciter des bornes numériques pour la transition de phase. Une seconde partie concerne le comportement macroscopique du processus en étudiant sa limite hydrodynamique lorsque l'évolution microscopique est plus complexe. On ajoute aux naissances et aux morts des déplacements de particules. Dans un premier temps sur le tore de dimension d, on obtient à la limite un système d'équations de réaction-diffusion. Dans un second temps, on étudie le système en volume infini sur Z^d, et en volume fini, dans un cylindre dont le bord est en contact avec des réservoirs stochastiques de densités différentes. Ceci modélise des phénomènes migratoires avec l'extérieur du domaine que l'on superpose à l'évolution. À la limite on obtient un système d'équations de réaction-diffusion, auquel s'ajoutent des conditions de Dirichlet aux bords en présence de réservoirs. / In this thesis, we study an interacting particle system that generalizes a contact process, evolving in a random environment. The contact process can be interpreted as a spread of a population or an infection. The motivation of this model arises from behavioural ecology and evolutionary biology via the sterile insect technique ; its aim is to control a population by releasing sterile individuals of the same species: the progeny of a female and a sterile male does not reach sexual maturity, so that the population is reduced or potentially dies out. To understand this phenomenon, we construct a stochastic spatial model on a lattice in which the evolution of the population is governed by a contact process whose growth rate is slowed down in presence of sterile individuals, shaping a dynamic random environment. A first part of this document investigates the construction and the properties of the process on the lattice Z^d. One obtains monotonicity conditions in order to study the survival or the extinction of the process. We exhibit the existence and uniqueness of a phase transition with respect to the release rate. On the other hand, when d=1 and now fixing initially the random environment, we get further survival and extinction conditions which yield explicit numerical bounds on the phase transition. A second part concerns the macroscopic behaviour of the process by studying its hydrodynamic limit when the microscopic evolution is more intricate. We add movements of particles to births and deaths. First on the d-dimensional torus, we derive a system of reaction-diffusion equations as a limit. Then, we study the system in infinite volume in Z^d, and in a bounded cylinder whose boundaries are in contact with stochastic reservoirs at different densities. As a limit, we obtain a non-linear system, with additionally Dirichlet boundary conditions in bounded domain.

Harmonic propagation studies of public distribution networks require accurate models of aggregate residential customers (groups of customers) that simulate the harmonic emission of the multitude of household appliances in the network. Most of the present models were developed with the component-based approach, where models of individual household appliances are combined to build the model of multiple customers. This approach requires high amount of input data, like models of individual household appliances and detail information of customer behavior and device composition, which is usually not easy to acquire. However, with the increasing number of PQ-analyzers in the networks, the measurement-based approach is now more and more considered for the modeling of aggregate customers. The measurement-based approach uses measurements of the network in combination with top-down methodologies to obtain models of the aggregate customers. Compared to the component-based approach it has several advantages, like inherent consideration of the real operating changes of the individual household appliances, variation of customer behavior, effect of line impedances, cancellation and attenuation effects, etc. This thesis presents the development of a time-series stochastic model of the low-order harmonic emission of aggregate residential customers based on a top-down measurement-based approach. The model represents the daily variation of the harmonic magnitudes and phase angles. Besides, the model includes the representation of the harmonic unbalances, which is of great importance for the proper analysis of harmonic propagation in medium-voltage networks. The model is parametrized for German networks, but the methodology can be applied to find the models of other regions or countries.