published_or_final_version / Architecture / Master / Master of Architecture

published_or_final_version / Architecture / Master / Master of Architecture

published_or_final_version / Architecture / Master / Master of Architecture

Microfiche and maps (numbered 1-7) in pocket / Includes bibliography (6 unnumbered leaves) / 109, [84] leaves (some folded) : ill., maps (some col.) ; 30 cm. / Title page, contents and abstract only. The complete thesis in print form is available from the University Library. / Thesis (Ph.D.)--University of Adelaide, Dept. of Economic Geology, 1984

[pt] Valor em Risco -VaR- já é parte das ferramentas habituais que um analista financeiro utiliza para estimar o risco de mercado. Na implementação do VaR é necessário que seja estimados quantis de baixa probabilidade para a distribuição condicional dos retornos dos portfólios. A metodologia tradicional para o cálculo do VaR requer a estimação de um modelo tipo GARCH com distribuição normal. Entretanto, a hipótese de normalidade condicional nem sempre é adequada, principalmente quando se deseja estimar o VaR em períodos atípicos, caracterizados pela ocorrência de eventos extremos. Nesta situações a distribuição condicional deve apresentar excesso de curtose. O uso de distribuições derivadas do Teorema do Valor Extremos -TVE-, conhecidas coletivamente como GEV,associadas aos modelos tipo GARCH, tornou possível o cálculo do VaR nestas situações.Um parâmetro chave nas distribuições da família GEV é o índice de cauda, o qual pode ser estimado através do estimador de Hill. Entretanto este estimador apresenta muita sensibilidade em termos de variância e viés com respeito à fração amostral utilizada na sua estimação. O objetivo principal desta dissertação foi fazer uma comparação entre três métodos de escolha da fração amostral, recentemente sugeridos na literatura: o método bootstrap duplo Danielsson, de Haan, Peng e de Vries 1999, o método threshold Guillou e Hall 2001 e o Hill plot alternativo Drees, de Haan e Resnick 2000. A avaliação dos métodos foi feita através do teste de cobertura condicional de Christoffersen 1998, o qual foi aplicado às séries de retornos dos índices: NASDAQ, NIKKEY,MERVAL e IBOVESPA. Os nossos resultados indicam que os três métodos apresentam aproximadamente o mesmo desempenho, com uma ligeira vantagem dos métodos bootstrap duplo e o threshold sobre o Hill plot alternativo, porque este ultimo tem um componente normativo na determinação do índice de cauda ótimo. / [en] Value at Risk -VaR- is already part of the toolkit of financial analysts assessing market risk. In order to implement VaR it is needed to estimate low quantiles of the portfolio returns distribution. Traditional methodologies combine a normal conditional distribution together with ARCH type models to accomplish this goal. Albeit well succeed in evaluating risk for typical periods, this methodology has not been able to accommodate events that occur with very low probabilities. For these situations one needs conditional distributions with excess of kurtosis. The use of distributions derived from the Extreme Value Theory -EVT-, collectively known as Generalized Extreme Value distribution -GEV-, together with ARCH type models have made it possible to address this problem in a proper framework. A key parameter in the GEV distribution is the tail index, which can be estimated by Hill`s estimator. Hill`s estimator is very sensible, in terms of bias and RMSE, to the sample fraction that is used in its estimation. The objective of this dissertation is to compare three recently suggested methods presented in the statistical literature: the double bootstrap method Danielsson, de Haan, Peng and de Vries 1999,the threshold method Guillou and Hall 2001 and the alternative Hill plot Drees, de Haan and Resnick 2000. The methods have been evaluated with respect to the conditional coverage test of Christoffersen 1998, which has been applied to the following returns series : NASDAQ, NIKKEY, MERVAL e IBOVESPA. Our empirical findings suggests that, overall the three methods have the same performance, with some advantage of the bootstrap and threshold methods over the alternative Hill plot, which has a normative component in the determination of the optimal tail index.

Made available in DSpace on 2017-07-10T17:40:55Z (GMT). No. of bitstreams: 1 Deisinara Giane Schulz.pdf: 1843429 bytes, checksum: 3701106cd1118653678baf4a26281b6d (MD5) Previous issue date: 2015-05-05 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The formation of the changes is a phase of extreme importance for the success of any forest stand, for a change malformed, weakened, threaten the overall development, causing loss of production, and therefore any production process aimed at higher quality seedlings produced. Fertilization and acclimation to the end of the production cycle, are extremely important to promote morphological and physiological changes that enhance the growth and minimize stress damage after field planting. This study aimed to evaluate nitrogen fertilization during the production of whips-horse seedlings (Luehea divaricata Mart.) and eucalyptus (Eucalyptus grandis Hill ex Maiden) and quantify changes in morphogenesis after the application of ethylene in plants during hardening. The experiment was conducted in a greenhouse at the State University of Paraná West - UNIOESTE, campus Marechal Cândido Rondon-PR, latitude 24 ° 33 'S, longitude 54 ° 04' W. The work was carried out in a randomized block design in factorial with Additional Witness (3 x 4+1), being used three forms of fertilization (100 mg L-1 conventional N x 100 mg L-1 exponential N x N zero) applied for three months (nine applications) and five treatments with different application rates ethylene, with 6 replicates of five plants per plot. The measured variables were increase of height (IH) and stem diameter (DC), leaf area (LA), dry weight of shoots (MSA), dry weight of roots (MSR), Dickson quality index (IQD) and the activity of peroxidase and lignin content. The results were submitted to analysis of variance and Tukey test at 5% probability using the Genes program. The exponential and conventional fertilization sustain growth induction hypothesis L. divaricata seedlings and E. grandis for fertilization without nitrogen application in the growth phase, these same effects can be observed in the hardening phase with ethylene spray. The weekly sprays of ethylene induce changes in growth in the hardening phase in L. divaricata seedlings and E. grandis with two gas applications, mainly by reducing the aerial growth, reducing the leaf area and increasing stem size / A formação da muda é uma fase de extrema importância para o sucesso de qualquer povoamento florestal. Uma muda mal formada, debilitada, compromete o desenvolvimento, ocasionando perda da produção. Portanto, qualquer processo de produção visa utilizar mudas de boa qualidade. A fertilização e a rustificação ao final do ciclo de produção apresentam grande importância para promoção de alterações morfofisiológicas que potencializam o crescimento e minimizam os danos por estresse após o plantio a campo. Este trabalho objetivou avaliar a fertilização nitrogenada durante a produção de mudas de açoita-cavalo (Luehea divaricata Mart.) e eucalipto (Eucalyptus grandis Hill ex Maiden) e quantificar alterações na morfogênese após a aplicação de etileno durante a rustificação. O experimento foi conduzido em casa de vegetação na Universidade Estadual do Oeste do Paraná UNIOESTE, campus de Marechal Cândido Rondon-PR, latitude 24° 33‟ S, longitude 54° 04‟ O. O trabalho foi desenvolvido em delineamento de blocos casualizados em esquema fatorial com testemunha adicional (3 x 4 + 1), sendo utilizadas três formas de fertilização (ausência de N x 100 mg L-1 de N convencional x 100 mg L-1 de N exponencial) aplicadas durante três meses totalizando nove aplicações, adicionadas a um tratamento sem aplicação de etileno e quatro tratamentos de aplicações semanais de etileno na dose de 300 mg L-1 em mudas de L. divaricata e 1.000 mg L-1 em mudas de E. grandis, com 6 repetições de cinco mudas. As variáveis mensuradas foram os incrementos em altura (H) e em diâmetro de colo (DC), área foliar (AF), massa de matéria seca da parte aérea (MSA), massa de matéria seca da parte radicular (MSR), N, P, K, Índice de qualidade de Dickson (IQD), a atividade da enzima peroxidase e a concentração de lignina. Os resultados foram submetidos a análise de variância e as médias comparadas com o Teste Tukey a 5% de probabilidade de erro. As fertilizações exponencial e convencional sustentaram a hipótese de indução de crescimento em mudas de L. divaricata e E. grandis em relação a ausência da adição de nitrogênio na fase de crescimento. Aqueles mesmos efeitos poderam ser observados na rustificação com pulverização de etileno. As pulverizações semanais induziram alterações na fase de rustificação em mudas de L. divaricata e E. grandis submetidas a duas aplicações de etileno, principalmente reduzindo a área foliar e aumentando as dimensões caulinares

Au cours des dernières années, des changements importants dans le domaine des assurances et des finances attirent de plus en plus l’attention sur la nécessité d’élaborer un cadre normalisé pour la mesure des risques. Récemment, il y a eu un intérêt croissant de la part des experts en assurance sur l’utilisation de l’espérance conditionnelle des pertes (CTE) parce qu’elle partage des propriétés considérées comme souhaitables et applicables dans diverses situations. En particulier, il répond aux exigences d’une mesure de risque “cohérente”, selon Artzner [2]. Cette thèse représente des contributions à l’inférence statistique en développant des outils, basés sur la convergence des intégrales fonctionnelles, pour l’estimation de la CTE qui présentent un intérêt considérable pour la science actuarielle. Tout d’abord, nous développons un outil permettant l’estimation de la moyenne conditionnelle E[X|X > x], ensuite nous construisons des estimateurs de la CTE, développons la théorie asymptotique nécessaire pour ces estimateurs, puis utilisons la théorie pour construire des intervalles de confiance. Pour la première fois, l’approche de bootstrap non paramétrique est explorée dans cette thèse en développant des nouveaux résultats applicables à la valeur à risque (VaR) et à la CTE. Des études de simulation illustrent la performance de la technique de bootstrap.

No description available.

Three-dimensional (3D) turbulent boundary layers (TBLs) play a crucial role in determining the aerodynamic properties of most aero-mechanical devices. However, accurately predicting these flows remains a challenge due to the complex nonlinear and nonlocal physics involved, which makes it difficult to develop universally applicable models. This limitation is particularly significant as the industry increasingly relies on simulations to make decisions in high-consequence environments, such as the certification or aircraft, and high-fidelity simulation methods that don't rely on modeling are prohibitively expensive. To address this challenge, it is essential to gain a better understanding of the physics underlying 3D TBLs. This research aims to improve the predictive accuracy of turbulence models in 3D TBLs by examining the impact of model assumptions underpinning turbulent constitutive relations, which are fundamental building blocks of every turbulence model. Specifically, the study focuses on the relevance and necessity of nonlinear and nonlocal model assumptions for accurately predicting 3D TBLs. The study considers the attached 3D boundary layer flow over the textbf{Be}nchmark textbf{V}alidation textbf{E}xperiment for textbf{R}ANS/textbf{L}ES textbf{I}nvestiagtions (BeVERLI) Hill as a test case and corresponding particle image velocimetry data for the investigation. In a first step, the BeVERLI Hill experiment is comprehensively described, and the important characteristics of the flow over the BeVERLI Hill are elucidated, including complex symmetry breaking characteristics of this flow. Reynolds-averaged Navier-Stokes simulations of the case using standard eddy viscosity models are then presented to establish the baseline behavior of local and linear constitutive relations, i.e., the standard Boussinesq approximation. The tested eddy viscosity models fail in the highly accelerated hill top region of the BeVERLI hill and near separation. In a further step, several nonlinear and nonlocal turbulent constitutive relations, including the QCR model, the model by Gatski and Speziale, and the difference-quotient model by Egolf are used as metrics to gauge the impact of nonlinearities and nonlocalities for the modeling of 3D TBLs. It is shown that nonlinear and nonlocal approaches are essential for effective 3D TBL modeling. However, simplified reduced-order models could accurately predict 3D TBLs without high computational costs. A constitutive relation with local second-order nonlinear mean strain relations and simplified nonlocal terms may provide such a minimal model. In a final step, the structure and response of non-equilibrium turbulence to continuous straining are studied to reveal new scaling laws and structural models. / Doctor of Philosophy / Airplanes and other flying objects rely on the way air flows around them to generate lift and stay in the sky. This airflow can be very complex, especially close to the surface of the object, where it is affected by friction with the object. This friction generates a layer of air called a boundary layer, which can become turbulent and lead to complex patterns of airflow. The boundary layer is generated by the friction between the air and the surface of the object, which causes the air molecules to "stick" to the surface. This sticking creates a layer of slow-moving air that slows down the flow of air around the object. This loss of momentum creates drag, which is one of the main factors that resist the motion of objects in the air. The slowing of the air flow in the boundary layer is due to the viscosity of the air, which is a measure of how resistant the air is to deformation. The molecules in the air have a tendency to stick together, making it difficult for them to move past each other. This resistance causes the momentum of the air to be lost as it flows over the surface of the object because air molecules close to the surface "pull" on the ones farther away. Understanding how turbulent boundary layers (TBLs) work is essential to accurately predict the airflow around these objects using computer simulations. However, it's challenging because TBLs involve complex physics that are difficult to model accurately. This research focuses on a specific type of TBL called a three-dimensional (3D) TBL. This study looks at how different assumptions affect the accuracy of computer simulations that predict this type of airflow. It is found that using more complex models that take into account nonlinear and nonlocal physics can help predict 3D TBLs more accurately. However, these models are computationally expensive, and it is also found that simpler models can work well enough and are cheaper. This research further establishes important physical relations of the mechanisms pertaining 3D TBLs that could support the advancement of current models.

No description available.