In this dissertation, I focus on the development and application of nonparametric methods in econometrics. First, a constrained nonparametric regression method is developed to estimate a function and its derivatives subject to shape restrictions implied by economic theory. The constrained estimators can be viewed as a set of empirical likelihood-based reweighted local polynomial estimators. They are shown to be weakly consistent and have the same first order asymptotic distribution as the unconstrained estimators. When the shape restrictions are correctly specified, the constrained estimators can achieve a large degree of finite sample bias reduction and thus outperform the unconstrained estimators. The constrained nonparametric regression method is applied on the estimation of daily option pricing function and state-price density function. Second, a modified Cumulative Sum of Squares (CUSQ) test is proposed to test structural changes in the unconditional volatility in a time-varying coefficient model. The proposed test is based on nonparametric residuals from local linear estimation of the time-varying coefficients. Asymptotic theory is provided to show that the new CUSQ test has standard null distribution and diverges at standard rate under the alternatives. Compared with a test based on least squares residuals, the new test enjoys correct size and good power properties. This is because, by estimating the model nonparametrically, one can circumvent the size distortion from potential structural changes in the mean. Empirical results from both simulation experiments and real data applications are presented to demonstrate the test's size and power properties. Third, an empirical study of testing the Purchasing Power Parity (PPP) hypothesis is conducted in a functional-coefficient cointegration model, which is consistent with equilibrium models of exchange rate determination with the presence of trans- actions costs in international trade. Supporting evidence of PPP is found in the recent float exchange rate era. The cointegration relation of nominal exchange rate and price levels varies conditioning on the real exchange rate volatility. The cointegration coefficients are more stable and numerically near the value implied by PPP theory when the real exchange rate volatility is relatively lower.

Stocks, Bonds, and Long-Run Consumption Risks. Bansal and Yaron (2004) show that long-run consumption risks and time-varying economic uncertainty in conjunction with recursive preferences can account for important features of equity markets. I bring the model to the term structure of interest rates and show that a calibrated version of the model can simultaneously explain properties of bonds and equities. Specifically, the model accounts for deviations from the expectations hypothesis, the upward sloping nominal yield curve, and the predictive power of the nominal yield spread. However, an estimation of the model using Simulated Method of Moments yields less convincing results and illustrates the difficulty of precisely estimating parameters of the model. Real (nominal) interest rates in the model are positively (negatively) correlated with consumption growth and real stock returns move inversely with inflation. The cyclicality of nominal interest rates and yield spreads is shown to depend on the relative values of the elasticity of intertemporal substitution and the correlation between real consumption growth and inflation. The “Fed-model” and the Changing Correlation of Stock and Bond Returns: An Equilibrium Approach. This paper presents an equilibrium model that provides a rational explanation for two features of data that have been considered puzzling: The positive relation between US dividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of consumption growth, inflation, and dividend growth in conjunction with Epstein-Zin and Weil recursive preferences. Historically in the US, inflation has signaled low future consumption growth. The representative agent therefore dislikes positive inflation shocks and demands a positive risk premium for holding assets that are poor inflation hedges, such as equity and nominal bonds. As a result, risk premiums on equity and nominal bonds comove positively through their exposure to macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove strongly. The subsequent moderation in aggregate economic risk has brought correlations lower. The model is able to produce correlations that can switch sign by including the covariances between consumption growth, inflation, and dividend growth as state variables. International Bond Risk Premia. We extend Cochrane and Piazzesi (2005, CP) to international bond markets by constructing forecasting factors for bond excess returns across different countries. While the international evidence for predictability is weak using Fama and Bliss (1987) regressions, we document that local CP factors have significant predictive power. We also construct a global CP factor and provide evidence that it predicts bond returns with high R2 across countries. The local and global factors are jointly significant when included as regressors, which suggests that variation in bond excess returns are driven by country-specific factors and a common global factor. Shocks to US bond risk premia seem to be particularly important determinants for international bond premia. Motivated by these results, we estimate a parsimonious no-arbitrage affine term structure model in which risk premia are driven by one local and one global CP factor. We find that international bond risk premia are driven by a local slope factor and a world interest rate level factor.

Non-stationary signals, that is signals with time-varying (TV) statistical properties, are commonly encountered in engineering practice. The vibration responses of structures, such as traffic-excited bridges, robotic devices, rotating machinery, and so on, constitute typical examples of non-stationary signals. Structures characterized by properties that vary with time are generally referred as TV structures and their vibration-based identification under normal operating conditions is a significant and challenging problem. An important class of parametric methods for the solution of this problem is based on Functional Series Time-dependent AutoRegressive Moving Average (FS-TARMA) models. These models have parameters that explicitly depend on time, with the dependence described by deterministic functions belonging to specific functional sub-spaces. The focus of the present thesis is on the development of complete and advanced FS-TARMA methods that will offer important improvements in overcoming drawbacks of existent methods and will further foster practical use and application of FS-TARMA models in non-stationary vibration analysis. The specific objectives of the thesis are: a) The introduction of a novel class of Adaptable FS-TARMA (AFS-TARMA) models and the development of a method for their effective identification. AFS-TARMA models are adaptable in the sense that they are not based on basis functions of a fixed form, but instead, they use basis functions with a-priori unknown properties that may adapt to the specific random signal characteristics. b) The postulation of a vector FS-TARMA method for output-only structural identification and the development of effective tools for both model parameter estimation and model structure selection. c) The introduction of a statistical method for vibration-based fault diagnosis in TV structures. d) The presentation of a thorough review on FS-TARMA models covering both theoretical and practical aspects of the model parameter estimation and structure selection problems with special emphasis being placed on promising recent methods. The methods that are developed in each chapter of this thesis are validated through their application in both numerical and experimental case studies and comparisons with currently available non-stationary signal identification methods. The results of the study demonstrate the new methods' applicability, effectiveness, and high potential for parsimonious and accurate identification and dynamic analysis of TV structures. / Μη-στάσιμα σήματα, δηλαδή σήματα με χρονικά μεταβαλλόμενες (ΧΜ) στατιστικές ιδιότητες, απαντώνται συχνά στην επιστήμη του μηχανικού. Τυπικά παραδείγματα αποτελούν οι ταλαντωτικές αποκρίσεις κατασκευών, όπως γέφυρες με κινούμενα οχήματα, ρομποτικές διατάξεις, περιστρεφόμενες μηχανές και άλλες. Κατασκευές που χαρακτηρίζονται από ιδιότητες οι οποίες μεταβάλλονται με τον χρόνο αναφέρονται ως ΧΜ κατασκευές και η δυναμική αναγνώριση και ανάλυση τους επί τη βάση ταλαντωτικών σημάτων απόκρισης αποτελεί σημαντικό και ταυτόχρονα δύσκολο πρόβλημα. Μια σημαντική τάξη παραμετρικών μεθόδων για την επίλυση αυτού του προβλήματος βασίζεται στα συναρτησιακά χρονικά μεταβαλλόμενα μοντέλα αυτοπαλινδρόμησης κινητού μέσου όρου (FS-TARMA, Functional Series Time-Dependent Auto-Regressive Moving Average). Τα μοντέλα αυτά χαρακτηρίζονται απο ΧΜ παραμέτρους οι οποίες ακολουθούν καθοριστικό πρότυπο και κατά συνέπεια μπορούν να προβληθούν σε κατάλληλα επιλεγμένους συναρτησιακούς υποχώρους. Ως βασικός στόχος της παρούσας διατριβής ορίζεται η ανάπτυξη εξελιγμένων μεθόδων μοντελοποίησης FS-TARMA οι οποίες θα προσφέρουν σημαντικές βελτιώσεις στις υπάρχουσες προσεγγίσεις και θα βοηθήσουν στην αντιμετώπιση πρακτικών προβλημάτων που σχετίζονται τόσο με την αναγνώριση των δυναμικών χαρακτηριστικών όσο και την διάγνωση βλαβών σε ΧΜ κατασκευές. Οι συγκεκριμένοι στόχοι της διατριβής μπορούν να περιγραφούν ως ακολούθως: α) Εισαγωγή καινοτόμων προσαρμόσιμων μοντέλων FS-TARMA και ανάπτυξη κατάλληλης μεθόδου για την αποτελεσματική εκτίμηση τους. Τα νέα μοντέλα είναι προσαρμόσιμα υπό την έννοια ότι δεν βασίζονται σε προκαθορισμένες συναρτήσεις βάσης, αλλά αντιθέτως χρησιμοποιούν συναρτήσεις βάσης με εκ των προτέρων άγνωστες ιδιότητες οι οποίες μπορούν να προσαρμοστούν στα χαρακτηριστικά συγκεκριμένου σήματος. β) Ανάπτυξη διανυσματικής μεθόδου εκτίμησης μοντέλων FS-TARMA για την αναγνώριση κατασκευών μέσα από διανυσματικά σήματα ταλαντωτικής απόκρισης. Ανάπτυξη αποδοτικών εργαλείων τόσο για το πρόβλημα εκτίμησης των παραμέτρων όσο και της επιλογής της δομής του μοντέλου. γ) Εισαγωγή στατιστικής μεθόδου για την διάγνωση βλαβών σε ΧΜ κατασκευές μέσω μοντέλων FS-TAR. δ) Παρουσίαση μιας διεξοδικής επισκόπησης των μοντέλων FS-TARMA η οποία καλύπτει τόσο θεωρητικά όσο και πρακτικά ζητήματα των προβλημάτων εκτίμησης των παραμέτρων και επιλογής της δομής των μοντέλων. Η αποτελεσματικότητα των μοντέλων και των μεθόδων που αναπτύσσονται σε κάθε κεφάλαιο αυτής της διατριβής διερευνάται µέσω της εφαρµογής τους τόσο σε αριθµητικές όσο και πειραµατικές µελέτες και συγκρίσεις µε υπάρχουσες µη-στάσιµες µεθόδους αναγνώρισης σηµάτων. Τα αποτελέσματα της εργασίας αυτής επιδεικνύουν την ικανότητα των νέων μοντέλων να παρέχουν εξαιρετικά ακριβείς αναπαραστάσεις ΧΜ κατασκευών κατάλληλων τόσο για την δυναμική ανάλυση όσο και για την διάγνωση βλαβών σε αυτές.

Ce mémoire est dédié à l’étude de la synthèse de l’estimation d’état en temps fini par une approche algébrique (les techniques développées au sein de l’équipe ALIEN) pour les systèmes linéaires à paramètres invariant dans le temps (LTI) sujets à des perturbations extérieures inconnues, les systèmes linéaires à paramètres variant dans le temps (LTV) et les systèmes linéaires à commutation en temps continu (SLC). Pour les systèmes LTI et LTV, une expression formelle de l’état en fonction des intégrales itérées des sorties et de l’entrée a été donnée. Pour les systèmes linéaires à commutation, en combinant les résultats de l’estimation d’état pour les systèmes LTI et de la détection de l’instant de commutation en temps réel présentée dans le chapitre 4, nous donnons la démarche principale de l’estimation en temps réel du mode courant et l’état continu du système. Pour ce faire, on applique certains outils mathématiques : la transformation de Laplace, les outils issus du calcul opérationnel et la théorie des distributions / This PhD thesis is dedicated to the synthesis of the state estimation in a finite time by an algebraic approach (the techniques developed within the ALIEN group) for the linear time-invariant systems (LTI) subject to the external unknown disturbances, the linear time-varying systems (LTV) and the switched linear systems (SLC) in continuous time. For the LTI and LTV systems, a formal expression of state as a function of iterated integrals of the output and the input is obtained. For switched linear systems, combining the results of state estimation for LTI systems and switch instant detection presented in Chapter 4, we give the main approach of current mode estimation and the continuous state estimation in real time. To do this, one applies some mathematical tools: Laplace transforms, the operational calculus and the theory of distribution

Ce travail propose de nouvelles structures de contrôle pour la téléopération bilatérale à travers des réseaux de communication non dédiés. L’enjeu est donc de concevoir et calculer des structures de commande garantissant la stabilisation et un bon degré de performance en termes de synchronisation (suivi des positions et vitesse) et de transparence (ressenti des forces) sous les retards variables et asymétriques.Nous faisons tout d’abord un tour d’horizon des recherches récentes dans le domaine des systèmes de téléopération et de leurs caractéristiques. Puis, nous considérons des modèles linéaires à plusieurs retards variables pour lesquels nous proposons une approche d’analyse de stabilité par fonctionnelles de Lyapunov-Krasovskii et contrôle robuste H [infinity symbol . Ensuite, trois structures de téléopération seront proposées en temps continu, la comparaison de ces architectures montre que, pour un retard de réseau maximum donné ou calculé, toutes garantissent un suivi de position et vitesse. Les deux dernières, qui utilisent les forces mesurées ou estimées de l’opérateur humain et de l’environnement, garantissent de plus un suivi en force. Au final, la troisième structure (avec proxy) présente la meilleure performance, même si elle demande un peu plus de calcul. Puis, afin d’analyser et d’améliorer les performances de la troisième structure pour des modèles encore plus réalistes, une étude est menée en temps discret, mais aussi sur un modèle non linéaire ou non stationnaire sous perturbations bornées en norme. L’implantation sur la plate-forme est décrite dans un quatrième et dernier chapitre, et puis l’analyse des résultats expérimentaux est alors menée / This PhD thesis is dedicated to the control scheme design of the bilateral teleoperation under asymmetric communication channels: the stabilization and a high-level performance under asymmetric time-varying delays and the perturbations of the human operator and environment. After a review of the recent researches and their features in the field of teleoperation system, a less conservative Lyapunov-Krasovskii functional together with H [infinity symbol] control theory has been applied to linear time delay systems, and then the LMI theorems have been obtained in order to calculate the controllers in the control schemes.Firstly, three novel teleoperation control schemes have been presented. Comparing three architectures, all of them guaranteed the stability and the position tracking thanks to the position/velocity information. Force-reflecting control scheme without or with proxy, in addition, ensured the force tracking by using the estimated/measured force of the human operator and the environment. Here, the control scheme with the proxy got a better performance. Secondly, a discrete-time approach has been developed to analyze the force-reflecting control scheme with proxy and obtain a better system performance. Besides, more general systems with time-varying uncertainties (the polytopic-type uncertainties and the norm-bounded model uncertainties) have been considered. Finally, the experimental test-bench and the real system implementation have been designed, which involved the identification and linearizing control of the subsystems (the master/slave robots). The experimental results have illustrated the effectiveness of the approaches proposed in this thesis

[pt] Diversos estudos envolvendo modelos de fatores para apreçamento de ativos contestam a validade do CAPM. Ao longo do tempo, para explicar as chamadas anomalias dos retornos das ações, os trabalhos se voltaram tanto para a busca de novos fatores de risco – os modelos multifatores – bem como para o tratamento dinâmico das sensibilidades relacionadas aos fatores de risco – os modelos condicionais de apreçamento de ativos. Os modelos condicionais, de um ou mais fatores, explicitam o valor esperado do retorno de um ativo de forma condicional a um conjunto de informação disponível no período anterior. As sensibilidades aos fatores de risco, os betas, são estimados como parâmetros dinâmicos a partir de diferentes abordagens na literatura. Nesta tese, o objetivo é o estudo de modelos condicionais na forma espaço-estado, em que os betas seguem processos estocásticos e são estimados a partir do filtro de Kalman, de forma a verificar o ganho na capacidade explicativa dos modelos. Dois estudos empíricos são realizados, um para o CAPM condicional no mercado brasileiro e outro para o modelo de três fatores condicional de Fama e French no mercado norte-americano. De modo geral, os resultados ao se considerar a variação temporal das sensibilidades aos fatores são melhores do que os obtidos a partir dos modelos incondicionais correspondentes, tanto no que se refere ao ajuste aos dados quanto à redução proporcionada nos erros de apreçamento. / [en] The validity of CAPM is contested by several studies based on factor models. During the last decades, aiming to explain the known financial anomalies of stock returns, two major lines of research emerged: the use of asset pricing models that allow for multiple sources of risk – the multifactor models – as well as the dynamic approach to model the sensitivities of returns in respect to the risk factors – the conditional models. The conditional models, based on one or more risk factors, explicit the expected return conditional to the information set available in the previous period. The factor sensitivities, or the betas, are estimated as dynamic parameters according to different approaches in the literature. The main objective in this thesis is to study conditional pricing models based on state-space approach. The betas dynamics are described as stochastic processes and estimated through the Kalman filter in order to verify the models ability to explain the returns and related financial anomalies, such as size and value effects. Two empirical applications are presented: one for Conditional CAPM in the Brazilian stock market and another for Conditional Fama and French (1993) three-factor model in the American stock market. In both cases, time-varying sensitivities treatment provides better model adjustment as well as smaller pricing errors compared to correspondent unconditional models.

[pt] Este trabalho apresenta uma análise detalhada de uma recente proposta de combinação da transmissão em blocos com portadora única e a técnica CDMA, referida como CS-CDMA (Chip Spread CDMA). Uma característica marcante desta técnica de transmissão é que diferentemente do que ocorre nos sistemas DS-CDMA, a ortogonalidade entre os códigos dos diferentes usuários é mantida mesmo quando a transmissão é feita através de um canal multipercurso seletivo em frequência, suposto invariante no tempo, permitindo assim que os usuários possam ser identicamente desacoplados na recepção. Além desta vantagem, resultados de desempenho indicaram uma significativa superioridade deste sistema sobre o tradicional DS-CDMA. Entretanto comparações existentes, consideraram apenas o up-link, do sistema e adotaram algumas premissas, que incluem, a utilização de códigos ortogonais pelos diversos usuários e a suposição de canais de transmissão invariantes no tempo. O presente trabalho apresenta uma análise detalhada da técnica (CS-CDMA e uma análise comparativa dos sistemas em condições menos favoráveis. Os sistemas operam em ambientes invariante e variante no tempo, com códigos ortogonais e não ortogonais e em dois cenários diferentes, down- link e up-link. Os resultados consideram recepção com equalização no domínio da frequência utilizando equalizadores do tipo ZF (Zero Forcing) e MMSE (Minimum Mean Squared Error). Simulações foram realizadas no intuito de se avaliar o desempenho dos dois sistemas considerados. Curvas de probabilidade de erro foram obtidas e ilustram e comparam tais desempenhos em diferentes situações e cenários de interesse. / [en] This dissertation proposes detailed analysis of a recent combined mechanism for transmission in blocks with a single carrier and CDMA technique known as Chip Spread CDMA (CS-CDMA). An important feature of this transmission technique is that unlike what happens in Direct Sequence (DS-CDMA) systems, the orthogonality between codes of different users is maintained even when the transmission, considered time-invariant, is made through a selective multipath channel frequency, which ideally allows users to be uncoupled in reception. However, existing comparisons only consider the up-link transmission and adopt certain assumptions, which include orthogonal codes for different users and time invariant channels. This technique have shown a significant superiority as compared with the traditional DS-CDMA. A comparison of (CS-CDMA systems in more realistic conditions are presented in this work. Various environments were tested in the presence of BPSK modulation systems, as well as invariant and time-varying transmission. Comparison between scenarios down-link and up-link are also presented. The results consider equalized reception in the frequency domain using the ZF (Zero Forcing) equalizers and MMSE (Minimum Mean Squared Error). Simulations were carried out in order to evaluate the performance of the two systems considered. Error probability curves were obtained to illustrate and compare the performances in different situations and scenarios.

Made available in DSpace on 2014-12-17T14:56:17Z (GMT). No. of bitstreams: 1 EdsonAMRB_DISSERT.pdf: 7502344 bytes, checksum: 78d70443ae2fd9033fe78b23c5cbd811 (MD5) Previous issue date: 2013-07-30 / Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior / Complex network analysis is a powerful tool into research of complex systems like brain networks. This work aims to describe the topological changes in neural functional connectivity networks of neocortex and hippocampus during slow-wave sleep (SWS) in animals submited to a novel experience exposure. Slow-wave sleep is an important sleep stage where occurs reverberations of electrical activities patterns of wakeness, playing a fundamental role in memory consolidation. Although its importance there s a lack of studies that characterize the topological dynamical of functional connectivity networks during that sleep stage. There s no studies that describe the topological modifications that novel exposure leads to this networks. We have observed that several topological properties have been modified after novel exposure and this modification remains for a long time. Major part of this changes in topological properties by novel exposure are related to fault tolerance / A an?lise da topologia de redes ? uma poderosa ferramenta no estudo de sistemas complexos tal como as redes cerebrais. Este trabalho procura descrever as mudan?as na topologia de redes de conex?o funcional em neur?nios do c?rtex sensorial e do hipocampo durante o sono de ondas lentas (SWS) em animais expostos ? novidade. O sono de ondas lentas ? um importante estado do sono onde h? reverbera??o de padr?es de atividade el?trica ocorridos na vig?lia, tendo com isso papel fundamental na consolida??o de mem?ria. Apesar de sua import?ncia ainda n?o h? estudos que caracterizam a din?mica da topologia de redes de conex?o funcional durante este estado. Tampouco h? estudos que descrevem as modifica??es topol?gicas que a exposi??o ? novidade traz a essas redes. Observamos que v?rias propriedades topol?gicas s?o modificadas ap?s a exposi??o ? novidade e que tais modifica??es se mant?m por um longo per?odo de tempo. A maior parte das propriedades modificadas pela exposi??o ? novidade est? relacionada ? toler?ncia ? falha

Made available in DSpace on 2016-03-15T19:37:44Z (GMT). No. of bitstreams: 1 Diego Gadens dos Santos.pdf: 2663525 bytes, checksum: 46be86494cd52896593a08e979b2a0ce (MD5) Previous issue date: 2012-09-14 / Fundo Mackenzie de Pesquisa / Current technologies have made it possible to generate and store data in high volumes. To process and collect information in large databases is not always as easy as creating them. Therefore, this gap has stimulated the search for efficient techniques capable of extracting useful and non-trivial knowledge, which are intrinsic to these large data sets. The goal of this work is to propose a bioinspired algorithm, based on the Boids artificial life model, which will be used to group data in dynamic environments, i.e. in databases updated over time. The Bo-ids algorithm was originally created to illustrate the simulation of the coordinated movement observed in a flock of birds and other animals. Thus, to use this algorithm for data clustering, some modifications must be applied. These changes will be implemented in the classical rules of cohesion, separation and alignment of the Boids model in order to consider the distance (similarity/dissimilarity) among objects. Thus, it creates objects that stand and move around the space, representing the natural groups within the data, and it is expected that similar ob-jects tend to form dynamic clusters (groups) of Boids in the environment, while dissimilar objects tend to keep a larger distance between them. The results presented attest the robust-ness of the algorithm for clustering time-varying data under the light of different evaluation measures and in various databases from the literature. / A capacidade de geração e armazenamento de dados proporcionada pelas tecnologias atuais levou ao surgimento de bases de dados com uma grande variedade de tipos e tamanhos. Extra-ir conhecimentos não triviais e úteis a partir de grandes bases de dados, entretanto, é uma tare-fa muito mais difícil do que a criação das mesmas. Esta lacuna tem estimulado a busca por técnicas eficientes de extração de conhecimentos intrínsecos a estes grandes conjuntos de da-dos, capazes de permitir tomadas estratégicas de decisão. Dentre as muitas tarefas da extração de conhecimentos a partir de dados, tem-se o agrupamento, que consiste na segmentação da base em grupos cujos objetos são mais parecidos entre si do que a objetos pertencentes a ou-tros grupos. Apesar de a área ser bastante ativa, pouco tem sido feito no sentido de desenvol-ver e investigar algoritmos de agrupamento para dados variantes no tempo, por exemplo, tran-sações financeiras, dados climáticos, informações e mensagens postadas em redes sociais e muitos outros. Tendo em vista a relevância prática desse tipo de análise e o crescente interesse pelos algoritmos inspirados na biologia, este trabalho tem como objetivo propor um algoritmo bioinspirado, baseado no modelo de vida artificial de Boids, para realizar o agrupamento de dados variantes no tempo. O algoritmo de Boids foi inicialmente criado para demonstrar ape-nas a simulação da movimentação coordenada observada em uma revoada de pássaros. A fim de utilizar este algoritmo para a tarefa de agrupamento de dados, algumas modificações tive-ram de ser propostas nas regras clássicas de coesão, separação e alinhamento dos Boids. Desta forma, foram criados objetos que se posicionam e se movimentam no espaço, de maneira a representar os grupos naturais existentes nos dados. A característica dinâmica intrínseca dos Boids tornou o algoritmo proposto, denominado dcBoids (dynamic clustering Boids), um can-didato natural para a resolução de problemas de agrupamento de dados variantes no tempo. Os resultados obtidos atestaram a robustez do método em seu contexto de aplicação, sob a pers-pectiva de diferentes medidas de avaliação de desempenho e quando aplicado a várias bases de dados da literatura com dinâmicas inseridas artificialmente.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2017-04-19T17:59:14Z No. of bitstreams: 1 carloshenriquenascimentomartins.pdf: 4613305 bytes, checksum: 54c109a7e2d55a96f74c2f40d23c074b (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2017-04-20T12:29:45Z (GMT) No. of bitstreams: 1 carloshenriquenascimentomartins.pdf: 4613305 bytes, checksum: 54c109a7e2d55a96f74c2f40d23c074b (MD5) / Made available in DSpace on 2017-04-20T12:29:45Z (GMT). No. of bitstreams: 1 carloshenriquenascimentomartins.pdf: 4613305 bytes, checksum: 54c109a7e2d55a96f74c2f40d23c074b (MD5) Previous issue date: 2011-04-08 / Este trabalho tem por objetivo principal apresentar o desenvolvimento de plataformas eletrônicas de processamento de sinais de alto desempenho para monitoramento do sistema elétricos de potência. No trabalho são discutidas arquiteturas de hardware para três aplicações em sistemas de potência: analisador fasorial (Phasor Measurement Unit - PMU), analisador de qualidade de energia elétrica (QEE) e analisador de harmônicos variantes no tempo (AHVT). Além disso são todos os conceitos de eletrônica digital e analógica envolvidos na concepção deste projeto, tomando como base equipamentos de mercado, a literatura pertinente e as normas reguladoras para dispositivos de análise de parâmetros elétricos. No projeto é abordado principalmente a implementação de hardware, que envolve implementação de estruturas de conversão Analógico Digital, filtro anti-aliasing, condicionamento de sinais, processamento e gerenciamento de dados e finalmente meios de comunicação. O hardware foi testado utilizando algoritmos básicos de processamento de sinais sendo apresentado casos reais de monitoramento dos parâmetros do sinal elétrico e uma versão inicial do AHVT. / This work has the aim to present the development of electronic platforms for signal processing for high performance electric power monitoring system. At this work are discussed hardware architectures for three power systems applications: phasor measurement unit (PMU), Power Quality Analyzer (PQ) and Time Varying Harmonic Analyzer (TVHA). Also are explained all features of analog and digital electronics involved in the design of this project, based on commercial devices, the literature and regulatory standards for electrical parameters devices. The project is addressed principally to hardware implementation, which involves implementation of structures such as the Analog to Digital conversion, anti-aliasing filter, signal conditioning, processing and data management and communication. The hardware is tested using basic digital signal algorithms and real cases of parameters monitoring are presented. Furthermore prototype version of the TVHA is presented.