"In this work an innovative wavelet packet based sifting process for signal decomposition has been developed and its application for health monitoring of time-varying structures is presented. With the proposed sifting process, a signal can be decomposed into its mono-frequency components by examining the energy content in the wavelet packet components of a signal, and imposing certain decomposition criteria. The method is illustrated for simulation data of a linear three degree-of-freedom spring-mass-damper system and the results are compared with those obtained using the empirical mode decomposition (EMD) method. Both methods provide good approximations, as compared with the exact solution for modal responses from a conventional modal analysis. Incorporated with the classical Hilbert transform, the proposed sifting process may be effectively used for structural health monitoring by monitoring instantaneous modal parameters of the structure for both, cases of abrupt structural stiffness loss and progressive stiffness degradation. The effectiveness of this method for practical application is evaluated by applying the methodology for experimental data and the results obtained matched with the field observations. The proposed methodology has shown better results in a comparison study which is done to evaluate performance of the proposed approach with other available SHM techniques, namely EMD technique and Continuous Wavelet Transform (CWT) method, for cases characterized by different damage scenarios and noise conditions."

Neste trabalho foram utilizadas cópulas bivariadas variantes no tempo para modelar a dependência entre séries de retornos financeiros. O objetivo deste trabalho é apresentar uma abordagem de estimação semi-paramétrica de cópulas variantes no tempo a partir de uma função de cópula paramétrica na qual o parâmetro varia no tempo. A função do parâmetro desconhecido será estimada pela aproximação de ondaleta Haar, polinômio de Taylor e Kernel. O desempenho dos três métodos de aproximação será comparado via estudos de simulação. Uma aplicação aos dados reais será apresentada para ilustrar a metodologia estudada. / In this work the bivariate Time-varying copula models have been used to model the dependence between payback. The aim of this work is to present an approach of semiparametric estimation of Time-varying copula models from a parametric copula function in which the parameter varies with the time. The function of the unknown parameter will be estimated by Haar wavelet approach, Taylor series and smoothing Kernel approximation. The measured performance of the three estimation method will be compared by simulation study. An application of the data will be presented to illustrate the studied methodology.

In survival analysis interest often lies in the relationship between the survival function and a certain number of covariates. It usually happens that for some individuals we cannot observe the event of interest, due to the presence of right censoring and/or left truncation. A typical example is given by a retrospective medical study, in which one is interested in the time interval between birth and death due to a certain disease. Patients who die of the disease at early age will rarely have entered the study before death and are therefore left truncated. On the other hand, for patients who are alive at the end of the study, only a lower bound of the true survival time is known and these patients are hence right censored. In the case of censored and/or truncated responses, lots of models exist in the literature that describe the relationship between the survival function and the covariates (proportional hazards model or Cox model, log-logistic model, accelerated failure time model, additive risks model, etc.). In these models, the regression coefficients are usually supposed to be constant over time. In practice, the structure of the data might however be more complex, and it might therefore be better to consider coefficients that can vary over time. In the previous examples, certain covariates (e.g. age at diagnosis, type of surgery, extension of tumor, etc.) can have a relatively high impact on early age survival, but a lower influence at higher age. This motivated a number of authors to extend the Cox model to allow for time-dependent coefficients or consider other type of time-dependent coefficients models like the additive hazards model. In practice it is of great use to have at hand a method to check the validity of the above mentioned models. First we consider a very general model, which includes as special cases the above mentioned models (Cox model, additive model, log-logistic model, linear transformation models, etc.) with time-dependent coefficients and study the parameter estimation by means of a least squares approach. The response is allowed to be subject to right censoring and/or left truncation. Secondly we propose an omnibus goodness-of-fit test that will test if the general time-dependent model considered above fits the data. A bootstrap version, to approximate the critical values of the test is also proposed. In this dissertation, for each proposed method, the finite sample performance is evaluated in a simulation study and then applied to a real data set.

This thesis establishes an information system which combines three credit risk models through Service-Oriented Architecture (SOA). The system requires the bank user inputting finance-related data and selecting options to generate a series of credit risk related results, including the probabilities of default, the recovery rates, the expected market value of assets, the volatilities of the expected market value of assets, the default points, the default distances, and four indexes from principal components analyses. In addition to exhibiting the numerical results, graphical results are also available for the user. Three credit risk models joining this system are the Moody¡¦s KMV Model with Default Point Modified, the Risk-Neutral Probability Measure Model, and the Time-Varying Jointly Estimated Model. Several previous researches have demonstrated the validity of these credit risk models, hence the purpose of this study is not to examine the practicability of these models, but to see if these models are capable of connecting each other effectively and eventually establishing a process to evaluate the credit risk of enterprises and industries by the use of testing samples. Testing samples are data from Taiwan Small and Medium Enterprise Credit Guarantee Fund. The finance-related data includes the loan amounts, the book value of assets, the data used to calculate the default point threshold (such as the short-term debt and the long-term debt), and the financial ratios with regard to growth ability (such as the revenue growth rate and the profit growth rate before tax), operation ability (such as the accounts receivable turnover rate and the inventory turnover rate), liability-paying ability (such as the current ratio and the debt ratio), and profitability (such as the return on assets and the return on equity). In addition to inputting the finance-related data, the system also require the user selecting the industrial category, the default point threshold, the way data being weighted, the data period, and the borrowing rates from the option page for every enterprise in order to acquire the results. Among the computing process, user is required to select weighted average method, either weighted by loan amounts or weighted by market value of assets, to obtain ¡§the weighted average probability of default of the industry¡¨ and ¡§the weighted average recovery rate of the industry¡¨ which are both used by the Time-Varying Jointly Estimated Model. This study also makes use of quartiles to simulate the situation when the user is near the bottom and top of the business cycle. Furthermore, the ¡§Supremum Strategy¡¨ and the ¡§Infimum Strategy¡¨ are added to this study to let the user realize the best condition and the worse condition of the ¡§Time-Varying Industrial Marginal Probabilities of Default¡¨.

Supporting emerging mobile applications in densely populated environments requires connecting mobile users and their devices with the surrounding digital landscape. Specifically, the volume of digitally-available data in such computing spaces presents an imminent need for expressive mechanisms that enable humans and applications to share and search for relevant information within their digitally accessible physical surroundings. Device-to-device communications will play a critical role in facilitating transparent access to proximate digital resources. A wide variety of approaches exist that support device-to-device dissemination and query-driven data access. Very few, however, capitalize on the contextual history of the shared data itself to distribute additional data or to guide queries. This dissertation presents Gander, an application substrate and mobile middleware designed to ease the burden associated with creating applications that require support for sharing and searching of hyper-localized data in situ. Gander employs a novel trajectory-driven model of spatiotemporal provenance that enriches shared data with its contextual history -- annotations that capture data's geospatial and causal history across a lifetime of device-to-device propagation. We demonstrate the value of spatiotemporal data provenance as both a tool for improving ad hoc routing performance and for driving complex application behavior. This dissertation discusses the design and implementation of Gander's middleware model, which abstracts away tedious implementation details by enabling developers to write high-level rules that govern when, where, and how data is distributed and to execute expressive queries across proximate digital resources. We evaluate Gander within several simulated large-scale environments and one real-world deployment on the UT Austin campus. The goal of this research is to provide formal constructs realized within a software framework that ease the software engineering challenges encountered during the design and deployment of several applications in emerging mobile environments. / text

A practical procedure based on implicit time integration methods applied to the differential Lyapunov equations arising in the square root balanced truncation method is presented. The application of high order time integrators results in indefinite right-hand sides of the algebraic Lyapunov equations that have to be solved within every time step. Therefore, classical methods exploiting the inherent low-rank structure often observed for practical applications end up in complex data and arithmetic. Avoiding the additional effort treating complex quantities, a symmetric indefinite factorization of both the right-hand side and the solution of the differential Lyapunov equations is applied.

A novel electromechanical brake (EMB) based on the eddy current principle is proposed for application in electrical vehicles. The proposed solution is a feasible replacement for the current conventional hydraulic brake (CHB) systems. Unlike CHBs eddy current brakes (ECBs) use eddy currents and their interaction with an externally applied magnetic field to generate braking torque. Due to their pure electrically controllable and contact free nature, ECBs have multiple advantages over the current CHB systems, such as faster response, reduced weight and number of components, ease of implementing various controllers (e.g., anti-lock braking), and reduced noise levels. However, the torque generated by a typical ECB at low speeds is insufficient to effectively and completely stop a moving vehicle. Therefore, an ECB is commonly used as an assistive brake to the CHB system in heavy vehicles, i.e. trains and trucks In order to overcome this shortcoming, the use of AC magnetic fields is proposed to realize a stand-alone ECB system in which sufficient braking torque can be generated at low speeds. To this end, eddy currents are modeled analytically using the governing Maxwell’s equations with the consideration of time varying field application. The analytical model was validated using finite element analysis. Results show that the braking torque increases with the application of a time varying field. Various forms of time varying fields have been studied. It was found that the frequency-modulated applied field in triangular waveform results in the highest braking torque. Next, the design was optimized to maximize the braking torque and an optimum configuration was obtained using multiple pole projection areas (PPAs). Optimization results show that the braking torque significantly increases with the introduction of additional PPAs to the configuration, and the braking torque generation for an optimum four-PPA ECB configuration exceeds the braking requirements for current passenger vehicles. For control purposes, a dynamic model for a novel stand-alone ECB system using AC fields for automotive applications has been successfully designed and evaluated. Also, a model-based predictive controller has been developed for the optimum ECB configuration. Finally an experimental test-bed has been designed for experimentation of both DC and AC field application on ECB. / Graduate

Combustion instability due to feedback coupling between unsteady heat release and natural acoustic modes can cause catastrophic failure in liquid rocket engines and to predict and prevent these instabilities the mechanisms that drive them must be further elucidated. With this goal in mind, the objective of this thesis was to develop techniques that improve the understanding of the specific underlying physical processes involved in these driving mechanisms. In particular, this work sought to develop a small-scale, optically accessible liquid rocket engine simulator and to apply modern, high-speed diagnostic techniques to characterize the reacting flow and acoustic field within the simulator. Specifically, high-speed (10 kHz), simultaneous data were acquired while the simulator was experiencing a 170 Hz combustion instability using particle image velocimetry, OH planar laser induced fluorescence, CH* chemiluminescence, and dynamic pressure measurements. In addition, this work sought to develop approaches to reduce the large quantities of data acquired, extracting key physical phenomena involved in the driving mechanisms. The initial data reduction approach was chosen based on the fact that the combustion instability problem is often simplified to the point that it can be characterized by an approximately linear constant coefficient system of equations. Consistent with this simplification, the experimental data were analyzed by the dynamic mode decomposition method. The developed approach to apply the dynamic mode decomposition to simultaneously acquired data located a coupled hydrodynamic/combustion/acoustic mode at 1017 Hz. On the other hand, the dynamic mode decomposition's assumed constant operator approach failed to locate any modes of interest near 170 Hz. This led to the development of two new data analysis techniques based on the dynamic mode decomposition and Floquet theory that assume that the experiment is governed by a linear, periodic system of equations. The new periodic-operator data analysis techniques, the Floquet decomposition and the ensemble Floquet decomposition, approximate, from experimental data, the largest moduli Floquet multipliers, which determine the stability of the periodic solution trajectory of the system. The unstable experiment dataset was analyzed with these techniques and the ensemble Floquet decomposition analysis found a large modulus Floquet multiplier and associated mode with a frequency of 169.6 Hz. Furthermore, the approximate Rayleigh criterion indicated that this mode was unstable with respect to combustion instability. Overall, based on the positive finding that the ensemble Floquet decomposition was able to locate an unstable combustion mode at 170 Hz when the operator's time period was set to 1 ms, suggests that the dynamic mode decomposition based 1017 Hz mode parametrically forces the 170 Hz mode, resulting in what could be characterized as a parametric combustion instability.

Cette thèse tente d'évaluer l'intégration des marchés émergents dans une perspective régionale et intra-régionale. Elle contribue à la littérature existante en développant un modèle dynamique d’évaluation des actifs financiers à l’international (ICAPM) avec changement de régime. Spécifiquement, les rentabilités attendues peuvent passer du régime de segmentation parfaite au régime d’intégration parfaite ou inversement en fonction d’un certain nombre de facteurs nationaux, régionaux et internationaux qui sont susceptibles d’influencer le processus d’intégration financière. Le champ d’étude s’étend aux pays de l’Asie de Sud-est, d’Europe Sud-est, de l’Amérique Latine et du Moyen Orient sur la période 1996-2008. Nous développons le modèle de Bekaert et Harvey (1995) où la PPA n’est pas vérifiée, et les variances et covariances conditionnelles sont modélisées grâce à un processus GARCH multivarié. Cette approche permet de déterminer simultanément le niveau d’intégration au cours du temps de toutes les zones dans le marché mondial et le niveau d’intégration intra-régionale dans chaque région. Il permet aussi d’analyser la formation de la prime de risque totale. Nos résultats empiriques montrent que les marchés émergents restent encore très segmentés du marché mondial et des marchés régionaux. Ces résultats suggèrent que l’inclusion des actifs des marchés émergents continue à générer des gains de diversification substantiels, et que les règles d’évaluation devraient être conformes à un état d’intégration partielle. / The purpose of this thesis is to study the dynamics of the global integration process of four emerging market regions into the world and the regional market, while taking into account the importance of exchange rate and local market risk. An international capital asset pricing model suitable for partially integrated markets and departure from purchasing power parity was developed in the spirit of Bekaert and Harvey (1995)’s regime-switching model in order to explain the time-variations in expected returns on regional emerging market indices. In its fully functional form, the model allows the market integration measure as well as the global and local risk premiums to vary through time. We mainly find that the integration degree in emerging market regions (Latin America, Asia, Southeastern Europe, and the Middle East) varied widely through time over the period 1996-2008 and is satisfactorily explained by global, regional and national factors. Even though it reaches fairly high values during several periods, and exhibit an upward trend towards the end of the estimation period, the emerging market regions under consideration still remain segmented from the world and regional market. These results thus suggest that diversification into emerging market assets continue to produce substantial profits and that the asset pricing rules should reflect a state of partial integration. Our investigation, which addresses the evolution and formation of total risk premiums, confirm this empirically.

Submitted by Joshua spierts (spierts_joshua@msn.com) on 2018-02-05T13:06:36Z No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 377288 bytes, checksum: 63f6a61517939667b90055195c227c37 (MD5) / Rejected by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br), reason: Dear Hubertus, Please, correct just 2 things in your thesis: Page 2: Please, put the full name of your adviser; Page 5: The text of resumo needs to be justify, it is untidy on 2018-02-05T18:56:26Z (GMT) / Submitted by Joshua spierts (spierts_joshua@msn.com) on 2018-02-06T12:09:03Z No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 377628 bytes, checksum: e0b66926412c6787392f57e3b5d60e44 (MD5) / Rejected by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br), reason: Joshua, I will send an email. on 2018-02-06T12:23:03Z (GMT) / Submitted by Joshua spierts (spierts_joshua@msn.com) on 2018-02-06T12:27:01Z No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 378305 bytes, checksum: c0cad61d2c11c1f94697ddaf8dd37791 (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2018-02-06T12:29:21Z (GMT) No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 378305 bytes, checksum: c0cad61d2c11c1f94697ddaf8dd37791 (MD5) / Made available in DSpace on 2018-02-06T12:33:54Z (GMT). No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 378305 bytes, checksum: c0cad61d2c11c1f94697ddaf8dd37791 (MD5) Previous issue date: 2018-01-16 / This paper will follow Pettengill et al.’s (1995) approach to examine the unconditional and conditional relationship between beta and returns from January 1995 to May 2017 in a well globally diversified sample of 22 emerging markets and 23 developed markets. Additionally, Pettengill et al.’s (1995) methodology is adjusted to take into account 1-year time-varying beta values to supplement and check the robustness of the initial results. The empirical results for the full sample as well as both sub-samples indicate that there is no significant unconditional relationship between beta and returns, however, when differentiating between up- and down-markets a significant conditional relationship is found. This paper adds to the existing literature by examining and comparing a large sample of both developed and emerging markets, as well as, confirming the results according to Pettengill et al.’s methodology with timevarying betas. / Este artigo seguirá a abordagem de Pettengill et al. (1995) para examinar a relação incondicional e condicional entre beta e retornos de janeiro de 1995 a maio de 2017 em uma amostra globalmente diversificada de 22 mercados emergentes e 23 mercados desenvolvidos. Além disso, a metodologia de Pettengill et al. (1995) é ajustada para levar em conta valores beta de variação do tempo de 1 ano para complementar e verificar a robustez dos resultados iniciais. Os resultados empíricos para a amostra completa, bem como as duas sub-amostras, indicam que não existe uma relação incondicional significativa entre beta e retorno, no entanto, quando se diferencia entre os mercados ascendentes e descendentes, é encontrada uma relação condicional significativa. Este artigo acrescenta-se à literatura existente, examinando e comparando uma grande amostra de mercados desenvolvidos e emergentes, bem como, confirmando os resultados de acordo com a metodologia de Pettengill et al., Com betas variáveis no tempo.