In quality control applications, Time-Between-Events (TBE) type observations may be monitored by using Exponentially Weighted Moving Average (EWMA) control charts. A widely accepted model for the TBE processes is the exponential distribution, and hence TBE EWMA charts are designed under this assumption. Nevertheless, practical applications do not always conform to the theory and it is common that the observations do not fit the exponential model. Therefore, control charts that are robust to departures from the assumed distribution are desirable in practice. In this thesis, robustness of the lower-sided TBE EWMA charts to the assumption of exponentially distributed observations has been investigated. Weibull and lognormal distributions are considered in order to represent the departures from the assumed exponential model and Markov Chain approach is utilized for evaluating the performance of the chart. By analyzing the performance results, design settings are suggested in order to achieve robust lower-sided TBE EWMA charts.

<p>In this master's thesis, hidden Markov models (HMM) are evaluated as a tool for forecasting movements in a currency cross. With an ever increasing electronic market, making way for more automated trading, or so called algorithmic trading, there is constantly a need for new trading strategies trying to find alpha, the excess return, in the market.</p><p>HMMs are based on the well-known theories of Markov chains, but where the states are assumed hidden, governing some observable output. HMMs have mainly been used for speech recognition and communication systems, but have lately also been utilized on financial time series with encouraging results. Both discrete and continuous versions of the model will be tested, as well as single- and multivariate input data.</p><p>In addition to the basic framework, two extensions are implemented in the belief that they will further improve the prediction capabilities of the HMM. The first is a Gaussian mixture model (GMM), where one for each state assign a set of single Gaussians that are weighted together to replicate the density function of the stochastic process. This opens up for modeling non-normal distributions, which is often assumed for foreign exchange data. The second is an exponentially weighted expectation maximization (EWEM) algorithm, which takes time attenuation in consideration when re-estimating the parameters of the model. This allows for keeping old trends in mind while more recent patterns at the same time are given more attention.</p><p>Empirical results shows that the HMM using continuous emission probabilities can, for some model settings, generate acceptable returns with Sharpe ratios well over one, whilst the discrete in general performs poorly. The GMM therefore seems to be an highly needed complement to the HMM for functionality. The EWEM however does not improve results as one might have expected. Our general impression is that the predictor using HMMs that we have developed and tested is too unstable to be taken in as a trading tool on foreign exchange data, with too many factors influencing the results. More research and development is called for.</p>

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of expo-nential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases, this leads to a reduction in VaR and thus to lower own funds requirements for credit institutions. However, in the ex-ponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated when using exponential weighting and the VaR may be un-derestimated. To prevent this, credit institutions or Alternative Investment Fund Managers are not completely free to choose a weighting (decay) factor. This article describes the legal requirements and deals with the calculation of the permissible weighting factor. As an example we use the exchange rate between Euro and Polish zloty to estimate the Value-at-Risk. We show the calculation of the weighting factor with two different approaches. This article also discusses exceptions to the general legal requirements.

This dissertation investigates the effects of autocorrelation on the performances of various sampling plans for control charts in detecting special causes that may produce sustained or transient shifts in the process mean and/or variance. Observations from the process are modeled as a first-order autoregressive process plus a random error. Combinations of two Shewhart control charts and combinations of two exponentially weighted moving average (EWMA) control charts based on both the original observations and on the process residuals are considered. Three types of sampling plans are investigated: samples of n = 1, samples of n > 1 observations taken together at one sampling point, or samples of n > 1 observations taken at different times. In comparing these sampling plans it is assumed that the sampling rate in terms of the number of observations per unit time is fixed, so taking samples of n = 1 allows more frequent plotting. The best overall performance of sampling plans for control charts in detecting both sustained and transient shifts in the process is obtained by taking samples of n = 1 and using an EWMA chart combination with a observations chart for mean and a residuals chart for variance. The Shewhart chart combination with the best overall performance, though inferior to the EWMA chart combination, is based on samples of n > 1 taken at different times and with a observations chart for mean and a residuals chart for variance. / Ph. D.

The role of risk management has gained momentum in recent years most notably after the recent financial crisis. This thesis uses a quantitative approach to evaluate the theory of value at risk which is considered a benchmark to measure financial risk. The thesis makes use of both parametric and non parametric approaches to evaluate the effectiveness of VAR as a standard tool in measuring risk of stock portfolio. This study uses the normal distribution, student t-distribution, historical simulation and the exponential weighted moving average at 95% and 99% confidence levels on the stock returns of Sonny Ericsson, Three Months Swedish Treasury bill (STB3M) and Nordea Bank. The evaluations of the VAR models are based on the Kupiec (1995) Test. From a general perspective, the results of the study indicate that VAR as a proxy of risk measurement has some imprecision in its estimates. However, this imprecision is not all the same for all the approaches. The results indicate that models which assume normality of return distribution display poor performance at both confidence levels than models which assume fatter tails or have leptokurtic characteristics. Another finding from the study which may be interesting is the fact that during the period of high volatility such as the financial crisis of 2008, the imprecision of VAR estimates increases. For the parametric approaches, the t-distribution VAR estimates were accurate at 95% confidence level, while normal distribution approach produced inaccurate estimates at 95% confidence level. However both approaches were unable to provide accurate estimates at 99% confidence level. For the non parametric approaches the exponentially weighted moving average outperformed the historical simulation approach at 95% confidence level, while at the 99% confidence level both approaches tend to perform equally. The results of this study thus question the reliability on VAR as a standard tool in measuring risk on stock portfolio. It also suggest that more research should be done to improve on the accuracy of VAR approaches, given that the role of risk management in today’s business environment is increasing ever than before. The study suggest VAR should be complemented with other risk measures such as Extreme value theory and stress testing, and that more than one back testing techniques should be used to test the accuracy of VAR.

Taiwan Security Market is a typical order-driven market. The electronic trading system of Taiwan Security Market launched in 1998 significantly reduces the trade matching time (the current matching time is around 20 seconds) and promptly provides updated online trading information to traders. In this study, we establish an online transaction simulation system which can be applied to predict trade prices and study market efficiency. Models are established for the times and volumes of the newly added bid/ask orders on the match list. Exponentially weighted moving average (EWMA) method is adopted to update the model parameters. Match prices are predicted dynamically based on the EWMA updated models. Further, high frequency bid/ask order data are used to find the supply and demand curves as well as the equilibrium prices. Differences between the transaction prices and the equilibrium prices are used to investigate the efficiency of Taiwan Security Market. Finally, EWMA and cusum control charts are used to monitor the market efficiency. In empirical study, we analyze the intra-daily (April, 2005) high frequency match data of Uni-president Enterprises Corporation and Formosa Plastics Corporation.

Incluir a Universidade Federal dos Vales do Jequitinhonha e Mucuri (UFVJM) como ag?ncia financiadora. / Submitted by Jos? Henrique Henrique (jose.neves@ufvjm.edu.br) on 2017-12-14T16:46:41Z No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) patrick_aurelio_luiz_ribeiro.pdf: 6159348 bytes, checksum: 5978e3ca5ff417ce94712c998e8c5c8a (MD5) / Approved for entry into archive by Rodrigo Martins Cruz (rodrigo.cruz@ufvjm.edu.br) on 2018-01-03T12:20:58Z (GMT) No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) patrick_aurelio_luiz_ribeiro.pdf: 6159348 bytes, checksum: 5978e3ca5ff417ce94712c998e8c5c8a (MD5) / Made available in DSpace on 2018-01-03T12:20:58Z (GMT). No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) patrick_aurelio_luiz_ribeiro.pdf: 6159348 bytes, checksum: 5978e3ca5ff417ce94712c998e8c5c8a (MD5) Previous issue date: 2017 / Na modalidade de ensino a dist?ncia, os Ambientes Virtuais de Aprendizagem (AVAs) s?o elementos fundamentais no processo de ensino e aprendizagem, atrav?s da disponibiliza??o de conte?dos e ?reas de discuss?o e comunica??o entre os atores do processo. Entretanto, tais ambientes, na sua maioria, caracterizam-se pelo fato de serem est?ticos, abordando m?todos pedag?gicos gen?ricos atrav?s dos quais estudantes com caracter?sticas e Estilos de Aprendizagem (EAs) diferentes buscam o conhecimento. Dessa maneira, ? importante que sejam levados em considera??o os EAs de cada estudante como forma de tornar a aprendizagem mais eficaz. Question?rios psicom?tricos na maioria das vezes s?o utilizados para que as caracter?sticas de aprendizagem do estudante sejam identificadas, por?m nem sempre tais question?rios apresentam resultados precisos quanto ao EAs de determinado estudante. Assim, faz-se necess?ria a utiliza??o de outras t?cnicas de detec??o, haja vista que uma identifica??o precisa ? capaz de melhorar o processo de aprendizagem por meio de escolhas de estrat?gias pedag?gicas melhores. Diante disso, surge a necessidade de utiliza??o de sistemas inteligentes que se adaptem ?s caracter?sticas de aprendizagem do estudante, utilizando como pressupostos as experi?ncias vivenciadas por ele e as an?lises estat?sticas dessas experi?ncias. Isso pode ser feito atrav?s de avalia??es dos EAs apresentados pelo estudante, em que a partir dos resultados um novo modelo de aprendizagem do estudante ? definido para que o conte?do seja disponibilizado de acordo com esse modelo. Nesse intuito a presente abordagem objetivou identificar e corrigir os EAs do estudante por meio da utiliza??o do conceito de M?dia M?vel Exponencialmente Ponderada no processo de decis?o sobre a aplica??o do refor?o de maneira a ajustar o Modelo do Estudante (ME), de modo que os resultados obtidos, ap?s a realiza??o do teste estat?stico n?o-param?trico de Mann-Whitney, mostraram-se significativamente melhores do que os resultados apresentados por Dor?a (2012), cujo trabalho foi refer?ncia para o desenvolvimento desta proposta. / Disserta??o (Mestrado Profissional) ? Programa de P?s-Gradua??o em Educa??o, Universidade Federal dos Vales do Jequitinhonha e Mucuri, 2017. / In Distance Learning, Learning Management Systems (LMS) are extremely important elements in teaching and learning process, because they can offer content and spaces of discussion and comunication between people who are part of that process. However they are static and do not consider students? Learning Styles (LS) to show the content, they just use the same pedagogical methods for all learners. It is important to consider students? Learning Styles because this can make the learning process more efective. Most of the time people use Psychometric Instruments to detect students? preferences, but sometimes the outcomes of those methods are not precise. Because of this other techniques of detection of LS can be used to identify precisely the student?s LS and consequently to choose better pedagogical strategies than when are used manual techniques of detection of LS. For this reason intelligent systems which adapt to students? learning characteristics get importance since they use experiences and statistical analysis over these experiences to be adaptive. It can be done based on learner?s Learning Styles that are adjusted by a part of the system, then these new LS are used by another part of the system to select a pedagogical strategy which fit to student?s characteristics. Thus, this work presents an approach which aimed to identify and to correct the Learning Styles of the learner using for this the Exponentially Weighted Moving Average (EWMA) concept. This concept was used to decide if reinforcement signs have to be used to make the student?s modeling. This approach was tested and the outcomes were submitted to non parametric test Mann-Whitney which pointed they were significantly better than the results of Dor?a (2012), whose work was the base of the work presented here.

<p>The multivariate cumulative sum (MCUSUM) and the multivariate exponentially weighted moving average (MEWMA) control charts are the two leading methods to monitor a multivariate process. This thesis focuses on the MEWMA control chart. Specifically, using the Markov chain method, we study in detail several aspects of the run length distribution both for the on- and off- target cases. Regarding the on-target run length analysis, we express the probability mass function of the run length distribution, the average run length (ARL), the variance of run length (V RL) and higher moments of the run length distribution in mathematically closed forms. In previous studies, with respect to the off-target performance for the MEWMA control chart, the process mean shift was usually assumed to take place at the beginning of the process. We extend the classical off-target case and introduce a generalization of the probability mass function of the run length distribution, the ARL and the V RL. What Prabhu and Runger (1996) proposed can be derived from our new model. By evaluating the off-target ARL values for the MEWMA control chart, we determine the optimal smoothing parameters by using the partition method that provides an easy algorithm to find the optimal smoothing parameters and study how they respond as the process mean shift time changes. We compare the ARL performance of the MEWMA control chart with that of the multivariate Shewhart control chart to see whether the MEWMA chart is still effective in detecting a small mean shift as the process mean shift time changes. In order to apply the model to semiconductor manufacturing processes, we use a bivariate normal distribution to generate sample data and compare the MEWMA control chart with the multivariate Shewhart control chart to evaluate how the MEWMA control chart behaves when a delayed mean shift happens. We also apply the variation transmission model introduced by Lawless et al. (1999) to the semiconductor manufacturing process and show an extension of the model to make our application to semiconductor manufacturing processes more realistic. All the programming and calculations were done in R</p> / Master of Science (MS)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This Doctoral Thesis proposes a new methodology for transmission line protection tolerant to power swings. The algorithm developed has the ability to detect, classify and locate all fault types with and without power swings, including those that produce high values of fault resistance. In a first step, it is proposed a fault distance estimator based on the leastsquare curve fitting. The fault locator, for protection proposes, was modeled by a series R-L circuit and differential equations. In a second step, the main causes and consequences of power swings in transmission lines distance relays are introduced. Also in this context, techniques to minimize these effects are presented. Besides, computer simulations of power swings, with different fault scenarios, were carried out to realize comparative analyses between the methods. The results show that none of the methods is efficient in all scenarios. Hence, there is still some concern about the performance of the protection methods against power swings. In a third step, it was developed an algorithm for numerical protection in transmission lines immune to power swings. The detection and classification steps are based on Mathematical Morphology. In order to obtain a safer operation of the relay, especially in the boundaries of threshold set, a counting strategy was developed. The main innovation of the work is based on difference of behavior of the exponentially decaying component (dc component) during a fault and during a power swing. The dc component, obtained by means of morphological filter, is used as a tripping criterion. Finally, in order to evaluate the algorithm performance, tests with different fault and power swings scenarios were performed. The results show that the technique has the speed and safety required even during power swings due to the simplicity of the algorithm used in mathematical operations. / Neste trabalho propõe-se uma nova metodologia de proteção de linhas de transmissão, tolerante as oscilações de potência. O algoritmo desenvolvido tem a capacidade de detectar, classificar e localizar todos os tipos de faltas, com e sem a presença de oscilações de potência, inclusive aquelas que produzem altos valores de resistência de falta. Em uma primeira etapa com o emprego do método de ajuste de curvas por mínimos quadrados desenvolve-se um estimador para localizar a posição das faltas. Para fins de proteção, este é modelado por meio de um circuito R-L série representado por suas equações diferenciais. Em uma segunda etapa são apresentadas as principais causas das oscilações de potência, bem como suas consequências para os relés de distância de linhas de transmissão. Ainda neste contexto, são apresentadas, analisadas e comparadas algumas técnicas destinadas a minimizar estes efeitos. Essas técnicas foram testadas por meio de simulações computacionais, sob condições de oscilação de potência com e sem a presença de curtos-circuitos, considerando-se diversos valores de carregamento e frequências de oscilação. Os resultados mostraram que nenhum método é totalmente eficiente para todos os cenários. Desse modo, ainda há algumas incertezas sobre o desempenho das técnicas de proteção contra as oscilações de potência existentes. Em uma terceira etapa, foi desenvolvido um algoritmo para proteção numérica de linhas de transmissão imune as oscilações de potência. A metodologia faz uso da Morfologia Matemática nas etapas de detecção e classificação das faltas. De modo a se obter uma maior segurança na operação do relé, especialmente na região próxima ao limiar de operação, incorporou-se uma estratégia de contagem diferente das tradicionais. A principal contribuição do trabalho relaciona-se com a análise da diferença comportamental da componente exponencial decrescente (componente dc) para uma situação de falta e de oscilação de potência. Ou seja, a componente dc, obtida por meio de um filtro morfológico, é utilizada como critério de disparo do relé de distância. Para avaliar o desempenho do algoritmo desenvolvido, uma série de testes com diferentes cenários de faltas com e sem a presença de oscilações de potência foram realizadas. Devido à simplicidade das operações matemáticas utilizadas no algoritmo, a técnica apresenta segurança e velocidade na sua operação, mesmo durante oscilações de potência.

This paper presents parameters of evaluation of acoustic quality of the space. It is divided into parts presenting physical principle of the origin and movement of the acoustic signal, principles of its processing with current technology and properties of the acoustic field. This is followed by an analysis of the musical part and notes on psychoacoustics. The document contains a description of relevant parameters of acoustic spaces and way in which we can reach desired results, including material analysis. The paper mainly focuses on description of relevant parameters of three acoustic spaces which were measured. The last part of the work is a program for elementary acoustical measurement, which can be provided by means of commonly accessible equipment such as a notebook or a personal computer.