Nesta dissertação de mestrado, vamos apresentar uma prova para os grandes desvios para variáveis aleatórias independentes e identicamente distribuídas com todos os momentos finitos e para a medida empírica de cadeias de Markov com espaço de estados finito e tempo discreto. Além disso, abordaremos os teoremas de Sanov e Gärtner-Ellis. / In this master thesis it is presented a proof of the large deviations for independent and identically distributed random variables with all finite moments and for the empirical measure of Markov chains with finite state space and with discrete time. Moreover, we address the theorems of Sanov and of Gartner-Ellis.

Nesta dissertação de mestrado, vamos apresentar uma prova para os grandes desvios para variáveis aleatórias independentes e identicamente distribuídas com todos os momentos finitos e para a medida empírica de cadeias de Markov com espaço de estados finito e tempo discreto. Além disso, abordaremos os teoremas de Sanov e Gärtner-Ellis. / In this master thesis it is presented a proof of the large deviations for independent and identically distributed random variables with all finite moments and for the empirical measure of Markov chains with finite state space and with discrete time. Moreover, we address the theorems of Sanov and of Gartner-Ellis.

This work addresses two primary topics related to vibrations in structures. The first topic is the use of a spatially distributed sensor network for localization of vibration events. I use a received signal strength (RSS) framework that presumes exponential energy decay with distance to the source. I derive the Cramér-Rao bound (CRB) for this parameter estimation problem, with the unknown parameters being source location, source intensity, and the energy dissipation rate. In this framework, I show that the CRB matches the variance of maximum likelihood estimators (MLEs) in more computationally expensive Monte Carlo trials. I also compare the CRB to the results of physical experiments to test the power of the CRB to predict spatial areas where MLEs show practical evidence of being ill-conditioned. Supported by this evidence, I recommend the CRB as a simple measure of localization accuracy, which may be used to optimize sensor layouts before installation. I demonstrate how this numerical optimization may be performed for some regions of interest with simple geometries. The second topic investigates modal vibrations of multi-body structures built from simple one-dimensional elements, with networks of elastic strings as the primary example. I introduce a method of using a nonlinear eigenvalue problem (NLEVP) to express boundary conditions of the vibrating elements so that the (infinitely many) eigenvalues of the full structure are the eigenvalues of the finite-dimensional NLEVP. The mode shapes of the structure can then be recovered in analytic form (not as a discretization) from the corresponding eigenvectors of the NLEVP. I show some advantages of this method over dynamic stiffness matrices, which is another NLEVP framework for modal analysis. In numerical experiments, I test several contour integration solvers for NLEVPs on sample problems generated from string networks. / Doctor of Philosophy / This work deals with two primary topics related to vibrations in structures. The first topic is the use of vibration sensors to detect movement or impact and to estimate the location of the detected event. Sensors that are close to the event will record a larger amount of energy than the sensors that are farther away, so comparing the signals of several sensors can approximately establish the event location. In this way, vibration sensors might be used to monitor activity in a building without the use of intrusive cameras. The accuracy of location estimates can be greatly affected by the relative positions of the sensors and the event. Generally, location estimates tend to be most accurate if the sensors closely surround the event, and less accurate if the event is outside of the sensor zone. These principles are useful, but not precise. Given a framework for how event energy and noise are picked up by the sensors, the Cramér-Rao bound (CRB) is a formula for the achievable accuracy of location estimates. I demonstrate that the CRB is usefully similar to the location estimate accuracy from experimental data collected from a volunteer walking through a sensor-rigged hallway. I then show how CRB computations may be used to find an optimal arrangement of sensors. The match between the CRB and the accuracy of the experiments suggests that the sensor layout that optimizes the CRB will also provide accurate location estimates in a real building. The other main topic is how the vibrations of a structure can be understood through the structure's natural vibration frequencies and corresponding vibration shapes, called the "modes" of the structure. I connect vibration modes to the abstract framework of "nonlinear eigenvalue problems" (NLEVPs). An NLEVP is a square matrix-valued function for which one wants to find the inputs that make the matrix singular. But these singular matrices are usually isolated---% distributed among the infinitely many matrices of the NLEVP in places that are difficult to predict. After discussing NLEVPs in general and some methods for solving them, I show how the vibration modes of certain structures can be represented by the solutions of NLEVPs. The structures I analyze are multi-body structures that are made of simple interconnected pieces, such as elastic strings strung together into a spider web. Once a multi-body structure has been cast into the NLEVP form, an NLEVP solver can be used to find the vibration modes. Finally, I demonstrate that this method can be computationally faster than many traditional modal analysis techniques.

Estimating parameters is the problem of finding their values from measurements and modelling. Parameters describe properties of a system; material, for instance, are defined by mechanical, electrical, and chemical parameters. Fisher information is an information measure, giving information about how changes in the parameter effect the estimation. The Fisher information includes the physical model of the problem and the statistical model of noise. The Cramér-Rao bound is the inverse of the Fisher information and gives the best possible variance for any unbiased estimator. This thesis considers aspects of sensitivity analysis in two applied material parameter estimation problems. Sensitivity analysis with the Fisher information and the Cramér-Rao bound is used as a tool for evaluation of measurement feasibilities, comparison of measurement set-ups, and as a quantitative measure of the trade-off between accuracy and resolution in inverse imaging. The first application is with estimation of the wood grain angle parameter in trees and logs. The grain angle is the angle between the direction of the wood fibres and the direction of growth; a large grain angle strongly correlates to twist in sawn timber. In the thesis, measurements with microwaves are argued as a fast and robust measurement technique and electromagnetic modelling is applied, exploiting the anisotropic properties of wood. Both two-dimensional and three-dimensional modelling is considered. Mathematical modelling is essential, lowering the complexity and speeding up the computations. According to a sensitivity analysis with the Cramér-Rao bound, estimation of the wood grain angle with microwaves is feasible. The second application is electrical impedance tomography, where the conductivity of an object is estimated from surface measurements. Electrical impedance tomography has applications in, for example, medical imaging, geological surveillance, and wood evaluation. Different configurations and noise models are evaluated with sensitivity analysis for a two-dimensional electrical impedance tomography problem. The relation between the accuracy and resolution is also analysed using the Fisher information. To conclude, sensitivity analysis is employed in this thesis, as a method to enhance material parameter estimation. The sensitivity analysis methods are general and applicable also on other parameter estimation problems. / Estimering av parametrar är att finna deras värde utifrån mätningar och modellering. Parametrar beskriver egenskaper hos system och till exempel material kan definieras med mekaniska, elektriska och kemiska parametrar. Fisherinformation är ett informationsmått som ger information om hur ändringar i en parameter påverkar estimeringen. Fisherinformationen ges av en fysikalisk modell av problemet och en statistisk modell av mätbruset. Cramér-Rao-gränsen är inversen av Fisherinformationen och ger den bästa möjliga variansen för alla väntevärdesriktiga estimatorer.Den här avhandlingen behandlar aspekter av känslighetsanalys i två tillämpade estimeringsproblem för materialparametrar. Känslighetsanalys med Fisherinformation och Cramér-Rao-gränsen används som ett redskap för utvärdering av möjligheten att mäta och för jämförelser av mätuppställningar, samt som ett kvantitativt mått på avvägningen mellan noggrannhet och upplösning för inversa bilder. Den första tillämpningen är estimering av fibervinkeln hos träd och stockar. Fibervinkeln är vinkeln mellan växtriktningen och riktningen hos träfibern och en stor fibervinkel är relaterad till problem med formstabilitet i färdiga brädor. Mikrovågsmätningar av fibervinkeln presenteras som en snabb och robust mätteknik. I avhandlingen beskrivs två- och tredimensionella elektromagnetiska modeller som utnyttjar anisotropin hos trä. Eftersom matematisk modellering minskar komplexiteten och beräkningstiden är det en viktig del i estimeringen. Enligt känslighetsanalys med Cramér-Rao-gränsen är estimering av fibervinkeln hos trä möjlig. Den andra tillämpningen är elektrisk impedanstomografi, där ledningsförmågan hos objekt bestäms genom mätningar på ytan. Elektrisk impedanstomografi har tillämpningar inom till exempel medicinska bilder, geologisk övervakning och trämätningar. Olika mätkonfigurationer och brusmodeller utvärderas med känslighetsanalys för ett tvådimensionellt exempel på elektrisk impedanstomografi. Relationen mellan noggrannhet och upplösning analyseras med Fisher information. För att sammanfatta beskrivs känslighetsanalys som en metod för att förbättra estimeringen av materialparametrar. Metoderna för känslighetsanalys är generella och kan tillämpas också på andra estimeringsproblem för parametrar.

Um dos principais problemas em testes de hipóteses para a homogeneidade de curvas de sobrevivência ocorre quando as taxas de falha (ou funções de intensidade) não são proporcionais. Apesar do teste de Log-rank ser o teste não paramétrico mais utilizado para se comparar duas ou mais populações sujeitas a dados censurados, este teste apresentada duas restrições. Primeiro, toda a teoria assintótica envolvida com o teste de Log-rank, tem como hipótese o fato das populações envolvidas terem distribuições contínuas ou no máximo mistas. Segundo, o teste de Log-rank não apresenta bom comportamento quando as funções intensidade cruzam. O ponto inicial para análise consiste em assumir que os dados são contínuos e neste caso processos Gaussianos apropriados podem ser utilizados para testar a hipótese de homogeneidade. Aqui, citamos o teste de Renyi e Cramér-von Mises para dados contínuos (CCVM), ver Klein e Moeschberger (1997) [15]. Apesar destes testes não paramétricos apresentar bons resultados para dados contínuos, esses podem ter problemas para dados discretos ou arredondados. Neste trabalho, fazemos um estudo simulação da estatística de Cramér von-Mises (CVM) proposto por Leão e Ohashi [16], que nos permite detectar taxas de falha não proporcionais (cruzamento das taxas de falha) sujeitas a censuras arbitrárias para dados discretos ou arredondados. Propomos também, uma modificação no teste de Log-rank clássico para dados dispostos em uma tabela de contingência. Ao aplicarmos as estatísticas propostas neste trabalho para dados discretos ou arredondados, o teste desenvolvido apresenta uma função poder melhor do que os testes usuais / One of the main problems in hypothesis testing for homogeneity of survival curves occurs when the failure rate (or intensity functions) are nonproportional. Although the Log-rank test is a nonparametric test most commonly used to compare two or more populations subject to censored data, this test presented two constraints. First, all the asymptotic theory involved with the Log-rank test, is the hypothesis that individuals and populations involved have continuous distributions or at best mixed. Second, the log-rank test does not show well when the intensity functions intersect. The starting point for the analysis is to assume that the data is continuous and in this case suitable Gaussian processes may be used to test the assumption of homogeneity. Here, we cite the Renyi test and Cramér-von Mises for continuous data (CCVM), and Moeschberger see Klein (1997) [15]. Despite these non-parametric tests show good results for continuous data, these may have trouble discrete data or rounded. In this work, we perform a simulation study of statistic Cramér-von Mises (CVM) proposed by Leão and Ohashi [16], which allows us to detect failure rates are nonproportional (crossing of failure rates) subject to censure for arbitrary data discrete or rounded. We also propose a modification of the test log-rank classic data arranged in a contingency table. By applying the statistics proposed in this paper for discrete or rounded data, developed the test shows a power function better than the usual testing

This dissertation studies several aspects of the interface between information theory and signal processing. Several new and existing results in information theory are researched from the perspective of signal processing. Similarly, some fundamental results in signal processing and statistics are studied from the information theoretic viewpoint. The first part of this dissertation focuses on illustrating the equivalence between Stein's identity and De Bruijn's identity, and providing two extensions of De Bruijn's identity. First, it is shown that Stein's identity is equivalent to De Bruijn's identity in additive noise channels with specific conditions. Second, for arbitrary but fixed input and noise distributions, and an additive noise channel model, the first derivative of the differential entropy is expressed as a function of the posterior mean, and the second derivative of the differential entropy is expressed in terms of a function of Fisher information. Several applications over a number of fields, such as statistical estimation theory, signal processing and information theory, are presented to support the usefulness of the results developed in Section 2. The second part of this dissertation focuses on three contributions. First, a connection between the result, proposed by Stoica and Babu, and the recent information theoretic results, the worst additive noise lemma and the isoperimetric inequality for entropies, is illustrated. Second, information theoretic and estimation theoretic justifications for the fact that the Gaussian assumption leads to the largest Cramer-Rao lower bound (CRLB) is presented. Third, a slight extension of this result to the more general framework of correlated observations is shown. The third part of this dissertation concentrates on deriving an alternative proof for an extremal entropy inequality (EEI), originally proposed by Liu and Viswanath. Compared with the proofs, presented by Liu and Viswanath, the proposed alternative proof is simpler, more direct, and more information-theoretic. An additional application for the extremal inequality is also provided. Moreover, this section illustrates not only the usefulness of the EEI but also a novel method to approach applications such as the capacity of the vector Gaussian broadcast channel, the lower bound of the achievable rate for distributed source coding with a single quadratic distortion constraint, and the secrecy capacity of the Gaussian wire-tap channel. Finally, a unifying variational and novel approach for proving fundamental information theoretic inequalities is proposed. Fundamental information theory results such as the maximization of differential entropy, minimization of Fisher information (Cramer-Rao inequality), worst additive noise lemma, entropy power inequality (EPI), and EEI are interpreted as functional problems and proved within the framework of calculus of variations. Several extensions and applications of the proposed results are briefly mentioned.

In this work we describe the basic facts of non-life insurance and then explain risk processes. In particular, we will explain in detail the asymptotic behavior of the probability that an insurance product may end up in ruin during its lifetime. As expected, the behavior of such asymptotic probability will be highly dependent on the tail distribution of each claim. / En este artículo describimos los conceptos básicos relacionados a seguros que no sean de vida y luego explicamos procesos de riesgo. En particular, tratamos al detalle el comportamiento asintótico de la probabilidad de que un producto sea declarado en ruina. Como es suponible, el comportamiento en el horizonte depende de la cola de la distribución de las primas.

Ce travail de recherche traite le problème inverse d’estimation de la distribution de tailles de particules (DTP) à partir des données de la diffusion dynamique de lumière (DLS). Les méthodes actuelles d’estimation souffrent de la mauvaise répétabilité des résultats d’estimation et de la faible capacité à séparer les composantes d’un échantillon multimodal de particules. L’objectif de cette thèse est de développer de nouvelles méthodes plus performantes basées sur les techniques d’inférence bayésienne et cela en exploitant la diversité angulaire des données de la DLS. Nous avons proposé tout d’abord une méthode non paramétrique utilisant un modèle « free-form » mais qui nécessite une connaissance a priori du support de la DTP. Pour éviter ce problème, nous avons ensuite proposé une méthode paramétrique fondée sur la modélisation de la DTP en utilisant un modèle de mélange de distributions gaussiennes. Les deux méthodes bayésiennes proposées utilisent des algorithmes de simulation de Monte-Carlo par chaînes de Markov. Les résultats d’analyse de données simulées et réelles montrent la capacité des méthodes proposées à estimer des DTPs multimodales avec une haute résolution et une très bonne répétabilité. Nous avons aussi calculé les bornes de Cramér-Rao du modèle de mélange de distributions gaussiennes. Les résultats montrent qu’il existe des valeurs d’angles privilégiées garantissant des erreurs minimales sur l’estimation de la DTP. / This research work treats the inverse problem of particle size distribution (PSD) estimation from dynamic light scattering (DLS) data. The current DLS data analysis methods have bad estimation results repeatability and poor ability to separate the components (resolution) of a multimodal sample of particles. This thesis aims to develop new and more efficient estimation methods based on Bayesian inference techniques by taking advantage of the angular diversity of the DLS data. First, we proposed a non-parametric method based on a free-form model with the disadvantage of requiring a priori knowledge of the PSD support. To avoid this problem, we then proposed a parametric method based on modelling the PSD using a Gaussian mixture model. The two proposed Bayesian methods use Markov chain Monte Carlo simulation algorithms. The obtained results, on simulated and real DLS data, show the capability of the proposed methods to estimate multimodal PSDs with high resolution and better repeatability. We also computed the Cramér-Rao bounds of the Gaussian mixture model. The results show that there are preferred angle values ensuring minimum error on the PSD estimation.

L’étoile laser polychromatique (ELP) fournit la référence de phase à une optique adaptative (OA)pour corriger les surfaces d’onde turbulentes, y compris leur pente. L’ELP, générée dans la mésosphère parune excitation résonnante à deux photons du sodium, repose sur la déviation chromatique des images. Uneimagerie dans le visible devient possible, et est indispensable pour 80% des programmes astrophysiquesprioritaires de l'E-ELT.L’ELP requiert un écart-type des mesures de position 26 fois inférieur au cas classique. Cela m’a amené àétudier le projecteur laser interférométrique. J’ai mis au point un correcteur de base polychromatique pourégaliser la période des franges et un correcteur de phase pour compenser la réfraction atmosphérique. J’aiétudié l'optique de mesure des franges, et de séparation entre l'ELP et l’objet observé.La précision requise m’a conduit à étudier dans quelles conditions l’algorithme du maximum devraisemblance tend vers la borne de Cramér-Rao.J’ai également développé un modèle numérique de bout en bout pour simuler l’ELP depuis les lasersjusqu’à la mesure du rapport de Strehl. Je montre que pour un VLT, les rapports de Strehl sont supérieurs à40% à 500 nm sans étoile de référence, en prenant une OA qui aurait donné 50% instantané (Strehl depente : 80%). Une approche analytique valide ces résultats.Enfin, j’aborde l’application de l’ELP aux télécommunications interplanétaires et à la destruction des débrisorbitaux. / The polychromatic laser guide star (PLGS) provides adaptive optics (AO) with a phase referenceto correct corrugated wavefronts, including tip tilt. It relies on the chromatic dispersion of light returnedfrom the 2-photon resonant excitation of sodium in the mesosphere. Diffraction limited imaging in thevisible then becomes possible. This is mandatory for 80% of the prominent astrophysical cases for the EELT.A PLGS requires standard deviations of position measurements 26 times less than in classical cases. Thus Ihave studied the interferometric laser projector. I have designed a polychromatic base corrector to equalizethe fringe periods, a phase corrector to compensate atmospheric refraction and the optics for fringemeasurements and for keeping apart the PLGS from the science target images.The required accuracy leads me to study how the maximum likelihood algorithm approaches the Cramer-Rao bound.I have written an end-to-end code for numerical simulations of the PLGS, from the lasers to the Strehlmeasurement. I get for the VLT Strehl ratios larger than 40% at 500 nm if one uses an AO providing us a50% instantaneous Strehl (tip tilt Strehl : 80%). An analytical model validates these results.Finally I address the application of the PLGS to deep space communications and to space debris clearing.

Dans le premier chapitre, la notion d'évaluation des risques sismiques est définie et les caractéristiques sismotectoniques de la région d'étude sont brièvement présentés. Un examen rigoureux des modèles stochastiques, appliqués au domaine de la sismologie est fourni. Dans le chapitre 2, différents modèles semi-Markoviens sont développés pour étudier la sismicité des îles Ioniennes centrales ainsi que le Nord de la mer Egée (Grèce). Les quantités telles que le noyau semi-Markovien et les probabilités de destination sont évaluées, en considérant que les temps de séjour suivent les distributions géométrique, discrète Weibull et Pareto. Des résultats utiles sont obtenus pour l'estimation de la sismicité. Dans le troisième chapitre un nouvel algorithme de Viterbi pour les modèles semi-Markoviens cachés est construit, dont la complexité est une fonction linéaire du nombre d'observations et une fonction quadratique du nombre d'états cachés, la plus basse existante dans la littérature. Une extension de ce nouvel algorithme est développée pour le cas où une observation dépend de l'état caché correspondant, mais aussi de l'observation précédente (cas SM1-M1). Dans le chapitre 4 les modèles semi-Markoviens cachés sont appliquées pour étudier la sismicité du Nord et du Sud de la mer Égée. La séquence d'observation est constituée des magnitudes et des positions d’un tremblement de terre et le nouvel algorithme de Viterbi est mis en œuvre afin de décoder les niveaux des tensions cachés qui sont responsables pour la sismogenèse. Les phases précurseurs (variations des tensions cachées) ont été détectées en avertissant qu’un tremblement de terre pourrait se produire. Ce résultat est vérifié pour 70 sur 88 cas (le score optimal). Les temps de séjour du processus caché étaient supposés suivre les distributions Poisson, logarithmique ou binomiale négative, tandis que les niveaux de tensions cachés ont été classés en 2, 3 ou 4 états. Les modèles de Markov caché ont également été adaptés sans présenter des résultats intéressants concernant les phases précurseurs. Dans le chapitre 5 un algorithme de Viterbi généralisé pour les modèles semi-Markoviens cachés, est construit dans le sens que les transitions au même état caché sont autorisées et peuvent également être décodées. De plus, une extension de cet algorithme généralisé dans le contexte SM1-M1 est présentée. Dans le chapitre 6 nous modifions de manière convenable le modèle Cramér-Lundberg y compris des sinistres négatifs et positifs, afin de décrire l'évolution avec le temps des changements de contraintes de Coulomb (valeurs ΔCFF) calculées pour sept épicentres (M ≥ 6) du Nord de la mer Egée. Formules pour les probabilités de ruine sont définies sous une forme générale. Corollaires sont également formulés pour la distribution exponentielle et Pareto. L'objectif est de mettre en lumière la question suivante qui pose la problématique dans la Sismologie: Au cours d'une année pourquoi un tremblement de terre s’est produit dans une position précise et pas dans une autre position, aux régions sismotectoniquement homogènes ayant valeurs ΔCFF positives. Les résultats montrent que les nouvelles formules de probabilité peuvent contribuer à répondre au problème susmentionné. / In the first chapter the definition of the seismic hazard assessment is provided, the seismotectonic features of the study areas are briefly presented and the already existing mathematical models applied in the field of Seismology are thoroughly reviewed. In chapter 2, different semi-Markov models are developed for studying the seismicity of the areas of the central Ionian Islands and the North Aegean Sea (Greece). Quantities such as the kernel and the destination probabilities are evaluated, considering geometric, discrete-Weibull and Pareto distributed sojourn times. Useful results are obtained for forecasting purposes. In the third chapter a new Viterbi algorithm for hidden semi-Markov models is developed, whose complexity is a linear function of the number of observations and a quadratic function of the number of hidden states, the lowest existing in the literature. Furthermore, an extension of this new algorithm is introduced for the case that an observation depends on the corresponding hidden state but also on the previous observation (SM1-M1 case). In chapter 4, different hidden semi-Markov models (HSMMs) are applied for the study of the North and South Aegean Sea. The earthquake magnitudes and locations comprise the observation sequence and the new Viterbi algorithm is implemented in order to decode the hidden stress field associated with seismogenesis. Precursory phases (variations of the hidden stress field) were detected warning for an anticipated earthquake occurrence for 70 out of 88 cases (the optimal model’s score). The sojourn times of the hidden process were assumed to follow Poisson, logarithmic or negative binomial distributions, whereas the hidden stress levels were classified into 2, 3 or 4 states. HMMs were also adapted without presenting significant results as for the precursory phases. In chapter 5 a generalized Viterbi algorithm for HSMMs is constructed in the sense that now transitions to the same hidden state are allowed and can also be decoded. Furthermore, an extension of this generalized algorithm in the SM1-M1 context is given. In chapter 6 we modify adequately the Cramér-Lundberg model considering negative and positive claims, in order to describe the evolution in time of the Coulomb failure function changes (ΔCFF values) computed at the locations of seven strong (M ≥ 6) earthquakes of the North Aegean Sea. Ruin probability formulas are derived and proved in a general form. Corollaries are also formulated for the exponential and the Pareto distribution. The aim is to shed light to the following problem posed by the seismologists: During a specific year why did an earthquake occur at a specific location and not at another location in seismotectonically homogeneous areas with positive ΔCFF values (stress enhanced areas). The results demonstrate that the new probability formulas can contribute in answering the aforementioned question.