Malgré la multiplicité des méthodes d'estimation de la VaR, elles souffrent d'une faiblesse fondamentale. En effet, elles ne font aucune distinction entre l'information captée à basse fréquence et celle captée à haute fréquence. Ce qui revient à  supposer de façon implicite que l'information contenue dans les données historiques a la même importance quel que soit l'horizon temporel de l'investisseur c'est-à-dire sa fréquence de trading (intra-journalière, journalière, hebdomadaire, mensuelle,..). Mais, accepter une telle hypothèse revient à supposer que les marchés financiers sont homogènes. Ce qui est contraire à la réalité empirique. En effet, les marchés financiers sont caractérisés par une grande hétérogénéité d'acteurs. L'objet de notre thèse est d'apporter une contribution à l'estimation de la VaR basée sur la décomposition de la volatilité dans le domaine des fréquences. Ce qui nous permet de mette en évidence l'influence de l'hétérogénéité des horizons temporels des acteurs des marchés financiers sur l'estimation de la Value at Risk. Pour cela,nous faisons appel à un outil statistique susceptible de nous procurer de l'information temporelle sur la volatilité et de l'information fréquentielle sur la fréquence de trading des différents acteurs des marchés financiers: l'approche temps-fréquence de la transformée en ondelettes. / Although multiplicity of VaR estimate approaches,they suffer from a fundamental weakness.They don't make any distiction between informations captured in a high frequency and in a low frequency manner.It is an implicit assumption of homogeneity of fiancial markets in contrast to empirical facts. In our thesis, we try to construct a VaR model based on volatility decomposition in the frequency domain.It enables us to show how the time horizons heterogeneity of financial markets participants could influence value at risk estimates.We use a statistical tool able to give us temporal information about volatility and frequencial information about trading frequencies of market participants:the time frequency approach of wavelet transform.

Most drill wear monitoring research found in the literature is based on conventional vibration technologies. However, these conventional approaches still have not attracted real interest from manufacturers for multiples of reasons: some of these techniques are not practical and use complicated Tool Condition Monitoring (TCM) systems with less value in industry. In addition, they are also prone to give spurious drill deterioration warnings in industrial environments. Therefore, drills are normally replaced at estimated preset intervals, sometimes long before they are worn or by expertise judgment. Two of the great problems in the implementation of these systems in drilling are: the poor signal-to-noise ratio and the lack of system-made sensors for drilling, as is prevalent in machining operations with straight edge cutters. In order to overcome the noise problems, many researchers recommend advanced and sophisticated signal processing while the work of Rehorn et al. (2005) advises the following possibilities to deal with the lack of commercial system-made sensors:  Some research should be directed towards developing some form of instrumented tool for drill operations.  Since the use of custom-made sensors is being ignored in drilling operations, effort should be focused on intelligent or innovative use of available sensor technology. It is expected that the latter could minimize implementation problems and allows an optimal drill utilization rate by means of modern and smart sensors. In addition to the accelerometer sensor commonly used in conventional methods, this work has considered two other sensor-based methods to monitor the drill wear indirectly. These methods entail the use of an instrumented drill with strain gauges to measure the torque and the use of an encoder to measure the Instantaneous Angular Speed (IAS). The signals from these sensors were analyzed using signal processing techniques such as, statistical parameters, Fast Fourier Transform (FFT), and a ii preliminary Time-Frequency (TF) analysis. A preliminary investigation has revealed that the use of a Regression Analysis (RA) based on a higher order polynomial function can very well follow and give prognosis of the development of the monitored parameters. The experimental investigation has revealed that all the above monitoring systems are sensitive to the deterioration of the drill condition. This work is however particularly concerned with the use of IAS on the spindle of the drill, compared to conventional monitoring systems for drill condition monitoring. This comparison reveals that the IAS approach can generate diagnostic information similar to vibration and torque measurements, without some of the instrumentation complications. This similitude seems to be logical, as it is well known that the increase of friction between the drill and workpiece due to wear increase the torque and consequently it should reduce or at least affect the spindle rotational speed. However, the use of a drill instrumented with a strain gauge is not practical, because of the inconvenience it causes on production machines. By contrast, the IAS could be measured quite easily by means of an encoder, a tachometer or some other smart rotational speed sensors. Thus, one could take advantage of advanced techniques in digital time interval analysis applied to a carrier signal from a multiple pulse per revolution encoder on the rotating shaft, to improve the analysis of chain pulses. As it will be shown in this dissertation, the encoder resolution does not sensibly affect the analysis. Therefore, one can easily replace encoders by any smart transducers that have become more popular in rotating machinery. Consequently, a non-contact transducer for example could effectively be used in on-line drill condition monitoring such as the use of lasers or time passage encoder-based systems. This work has gained from previous research performed in Tool Condition Monitoring TCM, and presents a sensor that is already available in the arsenal of sensors and could be an open door for a practical and reliable sensor in automated drilling. iii In conclusion, this dissertation strives to answer the following question: Which one of these methods could challenge the need from manufacturers by monitoring and diagnosing drill condition in a practical and reliable manner? Past research has sufficiently proved the weakness of conventional technologies in industry despite good results in the laboratory. In addition, delayed diagnosis due to time-consuming data processing is not beneficial for automated drilling, especially when the drill wears rapidly at the end of its life. No advanced signal processing is required for the proposed technique, as satisfactory results are obtained using common time domain signal processing methods. The recommended monitoring choice will definitely depend on the sensor that is practical and reliable in industry. / Dissertation (MEng)--University of Pretoria, 2012. / gm2013 / Mechanical and Aeronautical Engineering / MEng / Unrestricted

L’analyse du champ d’ondes est un prérequis essentiel à l’étude de la propagation des ondes sismiques qui permet à son tour d’améliorer notre compréhension des processus physiques liés à la nature de la source et notre connaissance des milieux de propagation. L’objectif de cette thèse est de développer des techniques de traitement du signal afin d’améliorer l’exploitation des informations apportées par les stations et les antennes 3 composantes dans le but de caractériser le champ d’ondes sismiques. Elle se concentre sur les analyses de polarisation, leur extension aux antennes 3 composantes et leur utilisation conjointe avec des traitements d’antenne classiques. La thèse revient sur les approches existantes qui tentent d’étendre le traitement d’antenne aux 3 composantes. Ces méthodes existantes se montrent complexes et leur utilisation reste limitée, la thèse suggère deux méthodes alternatives associant successivement traitement d’antenne et polarisation. Afin d’exploiter au mieux les analyses de polarisation, un système standardisé de paramètres décrivant la polarisation est développé et associé à une solution de visualisation permettant de regrouper l’ensemble des paramètres essentiels à l’interprétation sur une figure unique. Finalement, une étude de polarisation sur l’antenne 3 composantes du LSBB (Laboratoire Souterrain Bas Bruit) démontre la possibilité d’utiliser la cohérence spatiale de la polarisation comme aide pour l’interprétation des sismogrammes / The analysis of the seismic wavefield is an essential pre-requisite to the study of seismic wave propagation which in turns helps improving our understanding of the physical processes behind the sources and our knowledge of the propagation medium. The objective of this thesis is to further develop signal processing techniques to more fully exploit the information brought by the 3 component stations and arrays in order to characterize the seismic wavefield. The thesis work focuses on polarization analysis, its extension to 3-component arrays and its joint use with classical array processing. A review of the existing methods that attempt to extend array processing to the 3-components leads to the observation that these methods are complex and their use is limited. Therefore, two alternative methods that associate array processing and polarization sequentially are suggested. In order to best exploit the polarization analyses, a standardized parametrization system describing the polarization is developed and associated with a visualization solution regrouping all the parameters necessary for the interpretation on one figure. Finally, a polarization analysis performed on data from the LSBB 3-component array demonstrates the possibility to use spatial coherency to assist with the interpretation of seismograms

[EN] Fiber grating sensors and devices have demonstrated outstanding capabilities in both telecommunications and sensing areas, due to their well-known advantageous characteristics. Therefore, one of the most important motivations lies in the potential of customized fiber gratings to be suitably employed for improving the interrogation process of optical fiber sensors and systems. This Ph.D. dissertation is focused on the study, design, fabrication and performance evaluation of customized fiber Bragg gratings (FBGs) and long period gratings (LPGs) with the double aim to present novel sensing technologies and to enhance the response of existing sensing systems. In this context, a technique based on time-frequency domain analysis has been studied and applied to interrogate different kind of FBGs-based sensors. The distribution of the central wavelength along the sensing structures has been demonstrated, based on a combination of frequency scanning of the interrogating optical pulse and optical time-domain reflectometry (OTDR), allowing the detection of spot events with good performance in terms of measurand resolution. Moreover, different customized FBGs have been interrogated using a technology inspired on the operation principle of microwave photonics (MWP) filters, enabling the detection of spot events using radio-frequency (RF) devices with modest bandwidth. The sensing capability of these technological platforms has been fruitfully employed for implementing a large scale quasi-distributed sensor, based on an array of cascaded FBGs. The potentiality of LPGs as fiber optic sensors has also been investigated in a new fashion, exploiting the potentials of MWP filtering techniques. Besides, a novel approach for simultaneous measurements based on a half-coated LPG has been proposed and demonstrated. Finally, the feasibility of FBGs as selective wavelength filters has been exploited in sensing applications; an alternative approach to improve the response and performance of Brillouin distributed fiber sensors has been studied and validated via experiments. The performance of the reported sensing platforms have been analyzed and evaluated so as to characterize their impact on the fiber sensing field and to ultimately identify the use of the most suitable technology depending on the processing task to be carried out and on the final goal to reach. / [ES] Los sensores y dispositivos en fibra basados en redes de difracción han mostrado excepcionales capacidades en el ámbito de las telecomunicaciones y del sensado, gracias a sus excelentes propiedades. Entre las motivaciones más estimulantes destaca la posibilidad de fabricar redes de difracción ad-hoc para implementar y/o mejorar las prestaciones de los sensores fotónicos. Esta tesis doctoral se ha enfocado en el estudio, diseño, fabricación y evaluación de las prestaciones de redes de difracción de Bragg (FBGs) y de redes de difracción de periodo largo (LPGs) personalizadas con el fin de desarrollar nuevas plataformas de detección y a la vez mejorar la respuesta y las prestaciones de los sensores fotónicos ya existentes. En este contexto, una técnica basada en el análisis tiempofrecuencia se ha estudiado e implementado para la interrogación de sensores en fibra basados en varios tipos y modelos de FBGs. Se ha analizado la distribución de la longitud de onda central a lo largo de la estructura de sensado, gracias a una metodología que conlleva el escaneo en frecuencia del pulso óptico incidente y la técnica conocida como reflectometria óptica en el dominio del tiempo (OTDR). De esta manera se ha llevado a cabo la detección de eventos puntuales, alcanzando muy buenas prestaciones en términos de resolución de la magnitud a medir. Además, se han interrogado varias FBGs a través de una técnica basada en el principio de operación de los filtros de fotónica de microondas (MWP), logrando así la detección de eventos puntuales usando dispositivos de radio-frecuencia (RF) caracterizados por un moderado ancho de banda. La capacidad de sensado de estas plataformas tecnológicas ha sido aprovechada para la realización de un sensor quasi-distribuido de gran alcance, formado por una estructura en cascada de muchas FBGs. Por otro lado, se han puesto a prueba las capacidades de las LPGs como sensores ópticos según un enfoque novedoso; para ello se han aprovechados las potencialidades de los filtros de MWP. Asimismo, se ha estudiado y demostrado un nuevo método para medidas simultáneas de dos parámetros, basado en una LPG parcialmente recubierta por una película polimérica. Finalmente, se ha explotado la viabilidad de las FBGs en cuanto al filtrado selectivo en longitud de onda para aplicaciones de sensado; para ello se ha propuesto un sistema alternativo para la mejora de la respuesta y de las prestaciones de sensores ópticos distribuidos basados en el scattering de Brillouin. En conclusión, se han analizado y evaluado las prestaciones de las plataformas de sensado propuestas para caracterizar su impacto en el ámbito de los sistemas de detección por fibra y además identificar el uso de la tecnología más adecuada dependiendo de la tarea a desarrollar y del objetivo a alcanzar. / [CA] Els sensors i dispositius en fibra basats en xarxes de difracció han mostrat excepcionals capacitats en l'àmbit de les telecomunicacions i del sensat, gràcies a les seus excel¿lents propietats. Entre les motivacions més estimulants destaca la possibilitat de fabricar xarxes de difracció ad-hoc per a implementar i/o millorar les prestacions de sensors fotònics. Esta tesi doctoral s'ha enfocat en l'estudi, disseny, fabricació i avaluació de les prestacions de xarxes de difracció de Bragg (FBGs) i de xarxes de difracció de període llarg (LPGs) personalitzades per tal de desenvolupar noves plataformes de detecció i al mateix temps millorar la resposta i les prestacions dels sensors fotònics ja existents. En este context, una tècnica basada en l'anàlisi temps-freqüència s'ha estudiat i implementat per a la interrogació de sensors en fibra basats en diversos tipus i models de FBGs. S'ha analitzat la distribució de la longitud d'ona central al llarg de l'estructura de sensat, gràcies a una metodologia que comporta l'escaneig en freqüència del pols òptic incident i la tècnica coneguda com reflectometria òptica en el domini del temps (OTDR). D'esta manera s'ha dut a terme la detecció d'esdeveniments puntuals, aconseguint molt bones prestacions en termes de resolució de la magnitud a mesurar. A més, s'han interrogat diverses FBGs a través d'una tècnica basada en el principi d'operació dels filtres de fotònica de microones (MWP), aconseguint així la detecció d'esdeveniments puntuals utilitzant dispositius de ràdio-freqüència (RF) caracteritzats per un moderat ample de banda. La capacitat de sensat d'aquestes plataformes tecnològiques ha sigut aprofitada per a la realització d'un sensor quasi-distribuït a llarga escala, format per una estructura en cascada de moltes FBGs. D'altra banda, s'han posat a prova les capacitats de les LPGs com a sensors òptics segons un enfocament nou; per a això s'han aprofitat les potencialitats dels filtres de MWP. Així mateix, s'ha estudiat i demostrat un nou mètode per a mesures simultànies de dos paràmetres, basat en una LPG parcialment recoberta per una pel¿lícula polimèrica. Finalment, s'ha explotat la viabilitat de les FBGs pel que fa al filtrat selectiu en longitud d'ona per a aplicacions de sensat; per això s'ha proposat un sistema alternatiu per a la millora de la resposta i de les prestacions de sensors òptics distribuïts basats en el scattering de Brillouin. S'han analitzat i avaluat les prestacions de les plataformes de sensat propostes per a caracteritzar el seu impacte en l'àmbit dels sistemes de detecció per fibra i a més identificar l'ús de la tecnologia més adequada depenent de la tasca a desenvolupar i de l'objectiu a assolir. / Ricchiuti, AL. (2016). Design and fabrication of customized fiber gratings to improve the interrogation of optical fiber sensors [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/66343 / TESIS / Premios Extraordinarios de tesis doctorales