Estudos de correlação entre variações de preços de ações e variação de índices de mercado são importantes na compreensão da relação entre o retorno e o risco envolvido na alocação de recursos (investimentos). De acordo com o risco envolvido, deve haver um adequado retorno. Esta questão é abordada pelo modelo CAPM Capital Asset Pricing Model , que parte da premissa de que o risco sistemático de um ativo pode ser mensurado pela sua sensibilidade aos movimentos do mercado, e para isso se supõe que os retornos dos títulos são linearmente relacionados às flutuações de um índice de mercado amplo com um grau conhecido de sensibilidade. No entanto, pode haver relações não lineares entre os retornos dos títulos e as flutuações do índice de mercado. Sendo assim, o presente trabalho analisa uma medida de correlação global vinda da teoria da informação, que mensura qualquer tipo de relação entre duas variáveis, isto é, lineares e não lineares. O objetivo é mostrar a presença de correlações não lineares no mercado de capitais brasileiro. Demonstra-se que a correlação global é expressiva e maior ou igual à correlação linear em toda a amostra constituída de todas as ações que se mantiveram no Índice da Bolsa de Valores de São Paulo (IBOVESPA) de maio de 2001 a abril de 2008, totalizando 84 meses (7 anos). / Correlations among stock price variations and stock market indices variations are important in understanding the relationship between return and risk involved in the allocation of resources (investments). According to the risk involved there exists an appropriate return. This issue is addressed by the CAPM Capital Asset Pricing Model , based on the premise that the systematic risk of an asset can be measured by its sensitivity to market movements and it is assumed that the returns are linearly related to the fluctuations of a market index with a known degree of sensitivity. However, nonlinear relationships may occur. Thus, the present study analyzes a global measure of correlation of information coming from theory, which measures any type of relationship between two variables, i.e. linear and nonlinear. The goal here is to show the presence of nonlinear correlations in the Brazilian capital market. The overall correlation obtained is expressive and greater than the linear correlation across the sample of 33 stock assets from the theoretical portfolio of São Paulo Exchange Index (IBOVESPA), from May 2001 to April 2008, totaling 84 months (7 years).

Thesis (MBA.) -- University of Limpopo, 2016 / Project systems allow project managers to carry out work in a professional and well organised manner. These systems are created and maintained to advance project performance. Eskom spends a lot of resources on the creation and maintenance of project systems. The literature on project systems shows that, in spite of advancement in project managements processes, systems and tools, project success has not significantly improved. This problem raises questions about the value and effectiveness of project systems. Therefore this paper reports about the correlation between the degree of project manager’s compliance to project systems and project performance in Eskom Distribution Limpopo Operating Unit. The study looked at the performance of 10 projects and used empirical data on designers, planners, managers and project managers working in Eskom Distribution LOU to measure the compliance level of employees to project systems when carrying out the 10 chosen projects or any other projects not listed. A total of 45 completed questionnaires were analysed. Correlation analysis tests found a negative correlation between project manager’s project systems compliance level and project performance in terms of schedule and cost. The conclusion found was that as the compliance level on project systems increases, project performance decreases. Meaning there is an inversely proportional relationship between project system compliance level and project performance. Additionally, a lower level of knowledge than expected on the project managers, designers, and planners was found. Keywords: Project performance, Project systems, Correlation, Adherence,

The dynamic conditional correlation (DCC) model and its variants have been widely used in modeling the volatility of multivariate time series, with applications in portfolio construction and risk management. While popular for its simplicity, the DCC uses only two parameters to model the correlation dynamics, regardless of the number of assets. The flexible dynamic conditional correlation (FDCC) model attempts to remedy this by grouping the stocks into various clusters, each with its own set of parameters. However, it assumes the grouping is known apriori. In this thesis we develop a systematic method to determine the number of groups to use as well as how to allocate the assets to groups. We show through simulation that the method does well in identifying the groups, and apply the method to real data, showing its performance. We also develop and apply a Bayesian approach to this same problem. Furthermore, we propose an instantaneous measure of correlation that can be used in many volatility models, and in fact show that it outperforms the popular sample Pearson's correlation coefficient for small sample sizes, thus opening the door to applications in fields other than finance.

Telemetry units can be used to gauge inventory levels at customers. These readings can help prevent both stockouts and unnecessary deliveries. The research problem we address is where to place a limited number of telemetry units in order to reduce routing costs. Modeling this problem involves the consideration of both inventory theory as well as vehicle routing concepts. We model this problem with an integer program but solve with heuristics. Our results demonstrate that significant savings can be found with limited numbers of telemetry units. We then extend our results to consider the impact of correlation of customer usage on the placement of telemetry units and show even greater savings can be obtained. We also present a model that can be used for locomotive fuel planning. It decides where fuel trucks should be located as well as the volume of the fuel that should be delivered to each locomotive.

Orientador: Humberto Tonhati / Resumo: No primeiro capítulo foi proposto um estudo de associação das informações genômicas com características de tipo, a fim de identificar regiões cromossômicas e genes possivelmente relacionados à altura, peso, crescimento e fatores de conformação corporal. Utilizou-se um painel de 49.010 marcadores SNPs (322 animais) conjuntamente com informações de pedigree (674 animais). As analises foram processadas através do programa Blup.f90, utilizando-se a metodologia de single-step (ssGBLUP). Somente as janelas com 10 SNPs adjacentes e que explicavam acima de 1,5% de variância genética aditiva, foram considerados. Os genes SYT10, GKAP1, C9orf64 e PHLPP1 foram identificados para a característica altura da cernelha (ALTC) e apresentam influência para crescimento, altura e desenvolvimento ósseo. Também foi reportado um QTL para ALTC influenciando crescimento e fertilidade. Foram encontrados SNPs localizados em regiões cromossômicas que ainda não foram previamente descritos com QTL para as características em estudo em búfalos. No segundo capítulo, foram estimados os parâmetros genéticos/genômicos para as características produção de leite acumulada aos 305 dias (PLDC) e caracteristicas de tipo altura da cernelha (ALTC), altura da garupa (ALTG), comprimento do corpo (COMPC), comprimento da garupa (COMPG), Largura entre os íleos (LILE), Largura entre os ísquios (LISQ) e perímetro torácico (PERTOR) em búfalos da raça Murrah utilizando modelos bicaracterísticos. As estimativas de herdabilidade f... (Resumo completo, clicar acesso eletrônico abaixo) / Abstract: In the first chapter we proposed a study of the association of genomic information with type characteristics, in order to identify chromosomal regions and genes possibly related to height, weight, growth and body conformation factors. Were used one panel of 49,010 SNPs markers (322 animals) together with pedigree information (674 animals). The analyzes were processed through the Blupf90 program, using the singlestep methodology (ssGBLUP). Only the windows with 10 adjacent SNPs and, that explained above 1.5% of additive genetic variance, were considered. The genes SYT10, GKAP1, C9orf64 and PHLPP1 were identified for the characteristic height of the withers (ALTC) and presented influence on growth height and bone development. It has also been reported a QTL for ALTC influencing growth and fertility. SNPs were found located in chromosomal regions which have not previously been described with QTL for the characteristics under study in buffaloes. In the second chapter, were estimated the genetic / genomic parameters for the characteristics accumulated milk production at 305 days (AMP) and characteristics of the withers height (WH), croup height (CH), body length (BL), croup length (CL), Width between hip bones (WBHB), Width between pin bones (WBPB) and thoracic perimeter (TP) in Murrah buffaloes using characteristic models. Genetic correlations were 0.603 between AMP and WH, 0.898 between WBHB and BL, 0.867 betwwen AMP and CL, 0.887 between AMP and TP, 0.774 between WBHB and WBPB,... (Complete abstract click electronic access below) / Mestre

For autonomous navigation, robots and vehicles must have accurate estimates of their current state (i.e. location and orientation) within an inertial coordinate frame. If a map is given a priori, the process of determining this state is known as localization. When operating in the outdoors, localization is often assumed to be a solved problem when GPS measurements are available. However, in urban canyons and other areas where GPS accuracy is decreased, additional techniques with other sensors and filtering are required. This thesis aims to provide one such technique based on monocular vision. First, the system requires a map be generated, which consists of a set of geo-referenced video images. This map is generated offline before autonomous navigation is required. When an autonomous vehicle is later deployed, it will be equipped with an on-board camera. As the vehicle moves and obtains images, it will be able to compare its current images with images from the pre-generated map. To conduct this comparison, a method known as image correlation, developed at Johns Hopkins University by Rob Thompson, Daniel Gianola and Christopher Eberl, is used. The output from this comparison is used within a particle filter to provide an estimate of vehicle location. Experimentation demonstrates the particle filter's ability to successfully localize the vehicle within a small map that consists of a short section of road. Notably, no initial assumption of vehicle location within this map is required.

A test for independence and identical distribution of functional observations is proposed in this thesis. To reduce dimension, curves are projected on the most important functional principal components. Then a test statistic based on lagged cross--covariances of the resulting vectors is constructed. We show that this dimension reduction step introduces asymptotically negligible terms, i.e. the projections behave asymptotically as iid vector--valued observations. A complete asymptotic theory based on correlations of random matrices, functional principal component expansions, and Hilbert space techniques is developed. The test statistic has chi-square asymptotic null distribution. Two inferential tests for error correlation in the functional linear model are put forward. To construct them, finite dimensional residuals are computed in two different ways, and then their autocorrelations are suitably defined. From these autocorrelation matrices, two quadratic forms are constructed whose limiting distributions are chi--squared with known numbers of degrees of freedom (different for the two forms). A test for detecting a change point in the mean of functional observations is developed. The null distribution of the test statistic is asymptotically pivotal with a well-known asymptotic distribution. A comprehensive asymptotic theory for the estimation of a change--point in the mean function of functional observations is developed. The procedures developed in this thesis can be readily computed using the R package fda. All theoretical insights obtained in this thesis are confirmed by simulations and illustrated by real life-data examples.

Minimizing electrical noise is an increasingly important topic. New systems and modulation techniques require a lower noise threshold. Therefore, the design of RF and microwave systems using low noise devices is a consideration that the circuit design engineer must take into account. Properly measuring noise for a given device is also vital for proper characterization and modeling of device noise. In the case of an oscillator, a vital part of a wireless receiver, the phase noise that it produces affects the overall noise of the system. Factors such as biasing, selectivity of the input and output networks, and selectivity of the active device (e.g. a transistor) affect the phase noise performance of the oscillator. Thus, properly selecting a device that produces low noise is vital to low noise design. In an oscillator, 1/f noise that is present in transistors at low frequencies is upconverted and added to the phase noise around the carrier signal. Hence, proper characterization of 1/f noise and its effects on phase noise is an important topic of research. This thesis focuses on the design of a microwave transistor 1/f noise (flicker noise) measurement system. Ultra-low noise operational amplifier circuits are constructed and used as part of a system designed to measure 1/f noise over a broad frequency range. The system directly measures the 1/f noise current sources generated by transistors with the use of a transimpedance (current) amplifier. Voltage amplifiers are used to provide the additional gain. The system was designed to provide a wide frequency response in order to determine corner frequencies for various devices. Problems such as biasing filter networks, and load resistances are examined as they have an effect on the measured data; and, solutions to these problems are provided. Proper representation of measured 1/f noise data is also presented. Measured and modeled data are compared in order to validate the accuracy of the measurements. As a result, 1/f noise modeling parameters extracted from the measured 1/f noise data are used to provide improved prediction of oscillator phase noise.

This thesis focuses on the characterization and optimization of microwave power transistors using a commercial on-wafer harmonic load pull system. Specific attention is paid to the output tuning of the second harmonic impedance presented to the device. The ability to quantify the level of accuracy in a load pull system is explored by using various calibration validation methods, including a method called Delta-Gt. In this work experiments and simulation comparisons are described for three different device technologies, namely GaAs pHEMT, GaAs HJFET and InGaP HBT. Externally supplied non-linear models were used for the simulations and these were exercised and compared against 2.45 GHz fundamental frequency measurements made as part of this work to first validate the models against IV, S-Parameter and fundamental load-pull data and finally to explore performance variations under 2nd harmonic impedance tuning. The measured harmonic load-pull data pointed to different guidance on how one would match the 2nd harmonic for best performance. With regard to the model validation/assessment work it was found that only in the case of the pHEMT did the available non-linear model provide a good fit to all the different types of measurement data, including 2nd harmonic tuning data. This model was then used to show that even though the 2nd harmonic tuning measurement had a limited maximum reflection coefficient of about 0.8. Simulated results showed that the worst case linearity condition occurred for the same reflection angle as that measured, but that the variation between worst-case and best case linearity under 2nd harmonic tuning grows considerably larger as the magnitude of the 2nd harmonic reflection coefficient approaches 1. A key aspect of the methodology presented in this work is that once a non-linear model is proved to be valid for harmonic tuning conditions it can be used to explore harmonic tuning-related design trade-offs under a much wider range of frequency and tuning conditions than can be practically explored with measurements alone.

Modern high-performance digital signal processing (DSP) applications face constantly increasing performance requirements and are becoming increasingly challenging to develop and work with. In DSP paradigm, many researchers see potential in achieving algorithm speed-up by employing Field Programmable Gate Arrays (FPGAs) – reconfigurable hardware with parallelism feature. However, developing applications for FPGAs incur particular challenges on the development flow. This work proposes a scalable hybrid DSP system for performing high-performance signal processing applications. The system employs hybrid CPU + FPGA architecture of commercially available, off-the-shelf (COTS) FPGAs and central processing units (CPU) of personal computers. In this work an example implementation of a multi-channel cross-correlator is investigated and delivered using a new development paradigm. The correlator is implemented on the XD1000 development system using a high-level FPGA programming tool – Impulse CoDeveloper. Analysis of DSP application development in a hybrid CPU+FPGA system employing the high-level programming tool Impulse C is presented. Potential of the selected tool to deliver algorithm speed-ups is investigated using reference multi-channel correlator software. Particular attention is devoted to input/output (I/O) implementation, which is considered one of the most challenging problems in FPGA design development. This work delivers an I/O framework based on PCI Express interface for the proposed high-performance scalable DSP system. Using Stratix II GX PCI Express Development Board from Altera Corporation, a scalable and flexible communication approach for the multi-channel correlator is delivered. This framework can be adapted to perform other high-performance streaming DSP applications. The outcomes of this work are a multi-channel correlator developed in a reconfigurable environment with new design methodology and I/O framework with software control application. The outcomes are used to demonstrate the potential of implementing DSP applications in hybrid CPU + FPGA architecture and to discuss existing challenges and suggest possible solutions.