In den vergangenen Jahrzehnten wurden extreme Ereignisse, die nicht durch Gauß-Verteilungen beschrieben werden können, in einer Vielzahl an physikalischen Systemen beobachtet. Während statistische Methoden eine zuverlässige Identifikation von extremen Ereignissen ermöglichen, ist deren Entstehungsmechanismus nicht vollständig geklärt. Das Auftreten von extremen Ereignissen ist nicht vollkommen verstanden, da sie nur selten beobachtet werden können und häufig unter schwer reproduzierbaren Bedingungen auftreten. Deshalb ist es erstrebenswert Experimente zu entwickeln, die eine einfache Beobachtung von extremen Ereignissen erlauben. In dieser Dissertation werden extreme Ereignisse untersucht, die bei Multi-Filamentation von Femtosekundenlaserimpulsen entstehen. In den Experimenten, die in dieser Dissertation vorgestellt werden, werden Multi-Filamente durch Hochgeschwindigkeitskameras analysiert. Die Untersuchung der raum-zeitlichen Dynamik der Multi-Filamente zeigt eine L-förmige Wahrscheinlichkeitsverteilung, Diese Beobachtung impliziert das Auftreten von extremen Ereignissen. Lineare Analyse liefert Hinweise auf die physikalischen Prozesse, die zur Entstehung der extremen Ereignisse führen und nicht-lineare Zeitreihen-Analyse charakterisiert die Dynamik des Systems. Die Analyse der Multi-Filamente wird außerdem auf extreme Ereignisse in Wellen-Messungen und optische Superkontinua angewandt. Die durchgeführten Analysen zeigen Unterschiede in den physikalischen Prozessen, die zur Entstehung von extremen Ereignissen führen. Extreme Ereignisse in optischen Fasern werden durch stochastische Fluktuationen von verstärktem Quantenrauschen dominiert. In Multi-Filamenten und Ozeanwellen resultieren extreme Ereignisse dagegen aus klassischer mechanischer Turbulenz, was deren Vorhersagbarkeit impliziert. In dieser Arbeit wird anhand der von Multi-Filament-Zeitreihen die Vorhersagbarkeit in einem kurzen Zeitfenster vor Auftreten des extremen Ereignisses bewiesen. / In the last decades, extreme events, i.e., high-magnitude phenomena that cannot be described within the realm of Gaussian probability distributions have been observed in a multitude of physical systems. While statistical methods allow for a reliable identification of extreme event systems, the underlying mechanism behind extreme events is not understood. Extreme events are not well understood due to their rare occurrence and their onset under conditions that are difficult to reproduce. Thus, it is desirable to identify extreme event scenarios that can serve as a test bed. Optical systems exhibiting extreme events have been discovered to be ideal for such tests, and it is now desired to find more different examples to improve the understanding of extreme events. In this thesis, multifilamentation formed by femtosecond laser pulses is analyzed. Observation of the spatio-temporal dynamics of multifilamentation shows a heavy-tailed fluence probability distribution. This finding implies the onset of extreme events during multifilamentation. Linear analysis gives hints on the processes that drive the formation of extreme events. The multifilaments are also analyzed by nonlinear time series analysis, which provides information on determinism and chaos in the system. The analysis of the multifilament s is compared to an analysis of extreme event time series from ocean wave measurements and the supercontinuum output of an optical fiber. The analysis performed in this work shows fundamental differences in the extreme event mechnaism. While the extreme events in the optical fiber system are ruled by the stochastic changes of amplified quantum noise, in the multifilament and the ocean system extreme events appear as a result of the classical mechanical process of turbulence. This implies the predictability of extreme events. In this work, the predictability of extreme events is proven to be possible in a brief time window before the onset of the extreme event.

This thesis studies the use of nonparametric econometric methods to reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of models that can prevent misspecification of agents’ utility functions or the distribution of asset returns. Evidence for potential nonlinearity is seen in the presence of non-Gaussian distributions and excessive volatility of stock returns, or non-monotonic stochastic discount factors in option prices. More robust model specifications are therefore likely to contribute to risk management and return predictability, and lend credibility to economists’ assertions. Each of the chapters in this thesis relaxes certain functional form assumptions that seem most important for understanding certain asset price data. Chapter 1 focuses on the state-price density in option prices, which confounds the nonlinearity in both the preferences and the beliefs of investors. To understand both sources of nonlinearity in equity prices, Chapter 2 introduces a semiparametric generalization of the standard representative agent consumption-based asset pricing model. Chapter 3 returns to option prices to understand the relative importance of changes in the distribution of returns and in the shape of the pricing kernel. More specifically, Chapter 1 studies the use of noisy high-frequency data to estimate the time-varying state-price density implicit in European option prices. A dynamic kernel estimator of the conditional pricing function and its derivatives is proposed that can be used for model-free risk measurement. Infill asymptotic theory is derived that applies when the pricing function is either smoothly varying or driven by diffusive state variables. Trading times and moneyness levels are modelled by marked point processes to capture intraday trading patterns. A simulation study investigates the performance of the estimator using an iterated plug-in bandwidth in various scenarios. Empirical results using S&P 500 E-mini European option quotes finds significant time-variation at intraday frequencies. An application towards delta- and minimum variance-hedging further illustrates the use of the estimator. Chapter 2 proposes a semiparametric asset pricing model to measure how consumption and dividend policies depend on unobserved state variables, such as economic uncertainty and risk aversion. Under a flexible specification of the stochastic discount factor, the state variables are recovered from cross-sections of asset prices and volatility proxies, and the shape of the policy functions is identified from the pricing functions. The model leads to closed-form price-dividend ratios under polynomial approximations of the unknown functions and affine state variable dynamics. In the empirical application uncertainty and risk aversion are separately identified from size-sorted stock portfolios exploiting the heterogeneous impact of uncertainty on dividend policy across small and large firms. I find an asymmetric and convex response in consumption (-) and dividend growth (+) towards uncertainty shocks, which together with moderate uncertainty aversion, can generate large leverage effects and divergence between macroeconomic and stock market volatility. Chapter 3 studies the nonparametric identification and estimation of projected pricing kernels implicit in the pricing of options, the underlying asset, and a riskfree bond. The sieve minimum-distance estimator based on conditional moment restrictions avoids the need to compute ratios of estimated risk-neutral and physical densities, and leads to stable estimates even in regions with low probability mass. The conditional empirical likelihood (CEL) variant of the estimator is used to extract implied densities that satisfy the pricing restrictions while incorporating the forwardlooking information from option prices. Moreover, I introduce density combinations in the CEL framework to measure the relative importance of changes in the physical return distribution and in the pricing kernel. The nonlinear dynamic pricing kernels can be used to understand return predictability, and provide model-free quantities that can be compared against those implied by structural asset pricing models.

To identify extreme changes in the dynamics of the Indian Summer Monsoon (ISM) in the past, I propose a new approach based on the quantification of fluctuations of a nonlinear similarity measure, to identify regimes of distinct dynamical complexity in short time series. I provide an analytical derivation for the relationship of the new measure with the dynamical invariants such as dimension and Lyapunov exponents of the underlying system. A statistical test is also developed to estimate the significance of the identified transitions. Our method is justified by uncovering bifurcation structures in several paradigmatic models, providing more complex transitions compared with traditional Lyapunov exponents. In a real world situation, we apply the method to identify millennial-scale dynamical transitions in Pleistocene proxy records of the south Asian summer monsoon system. We infer that many of these transitions are induced by the external forcing of solar insolation and are also affected by internal forcing on Monsoonal dynamics, i.e., the glaciation cycles of the Northern Hemisphere and the onset of the tropical Walker circulation. Although this new method has general applicability, it is particularly useful in analysing short palaeo-climate records. Rainfall during the ISM over the Indian subcontinent occurs in form of enormously complex spatiotemporal patterns due to the underlying dynamics of atmospheric circulation and varying topography. I present a detailed analysis of summer monsoon rainfall over the Indian peninsular using Event Synchronization (ES), a measure of nonlinear correlation for point processes such as rainfall. First, using hierarchical clustering I identify principle regions where the dynamics of monsoonal rainfall is more coherent or homogenous. I also provide a method to reconstruct the time delay patterns of rain events. Moreover, further analysis is carried out employing the tools of complex network theory. This study provides valuable insights into the spatial organization, scales, and structure of the 90th and 94th percentile rainfall events during the ISM (June to September). I furthermore analyse the influence of different critical synoptic atmospheric systems and the impact of the steep Himalayan topography on rainfall patterns. The presented method not only helps in visualising the structure of the extremeevent rainfall fields, but also identifies the water vapor pathways and decadal-scale moisture sinks over the region. Furthermore a simple scheme based on complex networks is presented to decipher the spatial intricacies and temporal evolution of monsoonal rainfall patterns over the last six decades. Some supplementary results on the evolution of monsoonal rainfall extremes over the last sixty years are also presented. / Um Extremereignisse in der Dynamik des indischen Sommermonsuns (ISM) in der geologischen Vergangenheit zu identifizieren, schlage ich einen neuartigen Ansatz basierend auf der Quantifikation von Fluktuationen in einem nichtlinearen Ähnlichkeitsmaß vor. Dieser reagiert empfindlich auf Zeitabschnitte mit deutlichen Veränderungen in der dynamischen Komplexität kurzer Zeitreihen. Ein mathematischer Zusammenhang zwischen dem neuen Maß und dynamischen Invarianten des zugrundeliegenden Systems wie fraktalen Dimensionen und Lyapunovexponenten wird analytisch hergeleitet. Weiterhin entwickle ich einen statistischen Test zur Schätzung der Signifikanz der so identifizierten dynamischen Übergänge. Die Stärken der Methode werden durch die Aufdeckung von Bifurkationsstrukturen in paradigmatischen Modellsystemen nachgewiesen, wobei im Vergleich zu den traditionellen Lyapunovexponenten eine Identifikation komplexerer dynamischer Übergänge möglich ist. Wir wenden die neu entwickelte Methode zur Analyse realer Messdaten an, um ausgeprägte dynamische Veränderungen auf Zeitskalen von Jahrtausenden in Klimaproxydaten des südasiatischen Sommermonsunsystems während des Pleistozäns aufzuspüren. Dabei zeigt sich, dass viele dieser Übergänge durch den externen Einfluss der veränderlichen Sonneneinstrahlung, sowie durch dem Klimasystem interne Einflussfaktoren auf das Monsunsystem (Eiszeitzyklen der nördlichen Hemisphäre und Einsatz der tropischenWalkerzirkulation) induziert werden. Trotz seiner Anwendbarkeit auf allgemeine Zeitreihen ist der diskutierte Ansatz besonders zur Untersuchung von kurzen Paläoklimazeitreihen geeignet. Die während des ISM über dem indischen Subkontinent fallenden Niederschläge treten, bedingt durch die zugrundeliegende Dynamik der atmosphärischen Zirkulation und topographische Einflüsse, in äußerst komplexen, raumzeitlichen Mustern auf. Ich stelle eine detaillierte Analyse der Sommermonsunniederschläge über der indischen Halbinsel vor, die auf Ereignissynchronisation (ES) beruht, einem Maß für die nichtlineare Korrelation von Punktprozessen wie Niederschlagsereignissen. Mit hierarchischen Clusteringalgorithmen identifiziere ich zunächst Regionen mit besonders kohärenten oder homogenen Monsunniederschlägen. Dabei können auch die Zeitverzögerungsmuster von Regenereignissen rekonstruiert werden. Darüber hinaus führe ich weitere Analysen auf Basis der Theorie komplexer Netzwerke durch. Diese Studien ermöglichen wertvolle Einsichten in räumliche Organisation, Skalen und Strukturen von starken Niederschlagsereignissen oberhalb der 90% und 94% Perzentilen während des ISM (Juni bis September). Weiterhin untersuche ich den Einfluss von verschiedenen, kritischen synoptischen Systemen der Atmosphäre sowie der steilen Topographie des Himalayas auf diese Niederschlagsmuster. Die vorgestellte Methode ist nicht nur geeignet, die Struktur extremer Niederschlagsereignisse zu visualisieren, sondern kann darüber hinaus über der Region atmosphärische Transportwege von Wasserdampf und Feuchtigkeitssenken auf dekadischen Skalen identifizieren.Weiterhin wird ein einfaches, auf komplexen Netzwerken basierendes Verfahren zur Entschlüsselung der räumlichen Feinstruktur und Zeitentwicklung von Monsunniederschlagsextremen während der vergangenen 60 Jahre vorgestellt.

Einleitung & Problemstellung: Beschwerden nach Beschleunigungsverletzungen der Halswirbel-säule sind oft nur unzureichend einzuordnen und diagnostizierbar. Eine eindeutige Diagnostik ist jedoch für eine entsprechende Therapie wie auch möglicherweise entstehende versicherungsrechtliche Forderungen notwendig. Die Entwicklung eines geeigneten Diagnoseverfahrens liegt damit im Interesse von Betroffenen wie auch Kostenträgern. Neben Störungen der Weichteilgewebe ist fast immer die Funktion der Halsmuskulatur in Folge eines Traumas beeinträchtigt. Dabei wird vor allem die sensorische Funktion der HWS-Muskulatur, die an der Regulation des Gleichgewichts beteiligt ist, gestört. In Folge dessen kann angenommen werden, dass es zu einer Beeinträchtigung der Gleichgewichtsregulation kommt. Die Zielstellung der Arbeit lautete deshalb, die möglicherweise gestörte Gleichgewichtsregulation nach einem Trauma im HWS-Bereich apparativ zu erfassen, um so die Verletzung eindeutig diagnostizieren zu können. Methodik: Unter Verwendung eines posturographischen Messsystems mit Kraftmomentensensorik wurden bei 478 Probanden einer Vergleichsgruppe und bei 85 Probanden eines Patientenpools Kraftmomente unter der Fußsohle als Äußerung der posturalen Balanceregulation aufgezeichnet. Die gemessenen Balancezeitreihen wurden nichtlinear analysiert, um die hohe Variabilität der Gleichgewichtsregulation optimal zu beschreiben. Über die dabei gewonnenen Parameter kann überprüft werden, ob sich spezifische Unterschiede im Schwankungsverhalten anhand der plantaren Druckverteilung zwischen HWS-Traumatisierten und den Probanden der Kontrollgruppe klassifizieren lassen. Ergebnisse: Die beste Klassifizierung konnte dabei über Parameter erzielt werden, die das Schwankungsverhalten in Phasen beschreiben, in denen die Amplitudenschwankungen relativ gering ausgeprägt waren. Die Analysen ergaben signifikante Unterschiede im Balanceverhalten zwischen der Gruppe HWS-traumatisierter Probanden und der Vergleichsgruppe. Die höchsten Trennbarkeitsraten wurden dabei durch Messungen im ruhigen beidbeinigen Stand mit geschlossenen Augen erzielt. Diskussion: Das posturale Balanceverhalten wies jedoch in allen Messpositionen eine hohe individuelle Varianz auf, so dass kein allgemeingültiges Schwankungsmuster für eine Gruppen-gesamtheit klassifiziert werden konnte. Eine individuelle Vorhersage der Gruppenzugehörigkeit ist damit nicht möglich. Die verwendete Messtechnik und die angewandten Auswerteverfahren tragen somit zwar zu einem Erkenntnisgewinn und zur Beschreibung des Gleichgewichtsverhaltens nach HWS-Traumatisierung bei. Sie können jedoch zum derzeitigen Stand für den Einzelfall keinen Beitrag zu einer eindeutigen Bestimmung eines Schleudertraumas leisten. / Introduction & Problem definition: Disorders after acceleration injuries of the cervical spine can often be classified and diagnosed only inadequately. But an explicit diagnosis is necessary as a basis for an adequate therapy as well as for possibly arising demands pursuant to insurance law. The development of suitable diagnosis methods is in the interest of patients as well as the cost units. Apart from disorders of the soft tissues there are almost always impairments of the function of the neck musculature. Particularly the sensory function of the cervical spine musculature, which participates in the regulation of the equilibrium, is disturbed by that. As a result in can be assumed that the postural control is also disturbed. Therefore the aim of this study was to examine the possibly disturbed postural motor balance after a whiplash injury of the cervical spine with the help of apparatus-supported methods to be able to unambigiously diagnose. Methods: postural measuring system based on the force-moment sensortechnique was used to record the postural balance regulation of 478 test persons and 85 patients which had suffered a whiplash injury. Data analysis was accomplished by linear as well as by nonlinear time series methods in order to characterise the balance regulation in an optimal way. Thus it can be determined whether there can be classified specific differences in the plantar pressure distribution covering patients with a whiplash injury and the test persons of the control group. Results: The best classification could be achieved by parameters which describe the variation of the postural balance regulation in phases in which the differences of the amplitudes of the plantar pressure distribution were relatively small. The analyses showed significant differences in the postural motor balance between the group of patients with whiplash injuries and the control group. The most significant differences (highest discriminate rates) could be observed by measurements in both-legged position with closed eyes. Discussion: Although the results achieved support the hypothesis mentioned above, is must be conceded that the postural motor balance showed a high individual variation in all positions of measurement. Therefore no universal variation model could be classified for the entirety of either group. This way an individual forecast of the group membership is impossible. As a result the measurement technology being used and the nonlinear time series analyses can contribute to the gain of knowledge and to the description of the regulation of postural control after whiplash injury. But at present they cannot contribute to an explicit determination of a whiplash injury for a particular case.

This dissertation consists of 3 essays In the first essay, A Simple Variable Selection Technique for Nonlinear Models, written in cooperation with Timo Teräsvirta and Rolf Tschernig, I propose a variable selection method based on a polynomial expansion of the unknown regression function and an appropriate model selection criterion. The hypothesis of linearity is tested by a Lagrange multiplier test based on this polynomial expansion. If rejected, a kth order general polynomial is used as a base for estimating all submodels by ordinary least squares. The combination of regressors leading to the lowest value of the model selection criterion is selected.  The second essay, Modelling and Forecasting Economic Time Series with Single Hidden-layer Feedforward Autoregressive Artificial Neural Networks, proposes an unified framework for artificial neural network modelling. Linearity is tested and the selection of regressors performed by the methodology developed in essay I. The number of hidden units is detected by a procedure based on a sequence of Lagrange multiplier (LM) tests. Serial correlation of errors and parameter constancy are checked by LM tests as well. A Monte-Carlo study, the two classical series of the lynx and the sunspots, and an application on the monthly S&amp;P 500 index return series are used to demonstrate the performance of the overall procedure. In the third essay, Forecasting with Artificial Neural Network Models (in cooperation with Marcelo Medeiros), the methodology developed in essay II, the most popular methods for artificial neural network estimation, and the linear autoregressive model are compared by forecasting performance on 30 time series from different subject areas. Early stopping, pruning, information criterion pruning, cross-validation pruning, weight decay, and Bayesian regularization are considered. The findings are that 1) the linear models very often outperform the neural network ones and 2) the modelling approach to neural networks developed in this thesis stands up well with in comparison when compared to the other neural network modelling methods considered here. / <p>Diss. Stockholm : Handelshögskolan, 2002. Spikblad saknas</p>

In reality, dynamic response of a structure supported on a compliant soil may vary significantly from the response of same structure when supported on a rigid base. A parametric study is conducted for the analysis of the variation in the global and the local deformation demands caused by the inertial soil-structure interaction effects. For the purposes of the study, nonlinear dynamic analyses are performed on 7 steel moment-resisting frame models, which are prepared by the virtue of fixed-base and flexible-base (interacting) conditions. Foundation is modeled with the Truncated Cone Model (Wolf, 1994) with the frequency independent coefficients. Free-field earthquake acceleration records are selected to conform to NEHRP equivalent Site Classes C and D. The study is limited to the structures founded on surface rigid mat foundations subjected to vertically propagating horizontally polarized coherent shear waves. Statistical analysis based on multiple linear regression procedure is performed to represent the variation in the response. Within the scope of the study, the wave parameter and the aspect ratio are observed to be directly proportional to the variation in the response, as a general trend. Maximum beneficial contribution of the SSI is found to be 6% in both global and local deformation demands. In addition, the contribution of inertial interaction effects is found to be in a decreasing trend for the increasing levels of ductility demands. Finally, upper limits of wave parameter for H/R=0.5, 1, 2 and 3 are calculated where the variation in the demands are capped at 1.0.

Prior to this study, to our best knowledge, no cast-in-place, older-type RC building has ever been subjected to near-field strong ground motions from three major earthquakes. This happened in an indirect way in Turkey over a time span of eleven years. Three identical buildings belonging to Ministry of Public Works and Resettlement (MPWR) that had been built to the same design templates, experienced March 13th 1992 Erzincan earthquake in Erzincan, November 12th 1999 D&uuml / zce earthquake in Bolu and May 1st 2003 Bing&ouml / l earthquake in Bing&ouml / l, respectively. The ground motion sensor stations were fortuitously nearby in an adjacent single-story building in Bolu and Bing&ouml / l. The station in Erzincan was in a single-story building about 2 km away from the case study building but we assume that the record applies to the building there. These three data represent characteristics of near-field ground motions and the distance of the sensor stations to the nearest fault trace was less than 10 km. The buildings sustained varying degrees of damage during the earthquakes and their damage survey was employed through site investigations. Given that the damage information, input motions, design drawings and material properties of the buildings are all known, this provided an opportunity to predict the structural damage to these buildings by proper modeling using the tools of current computational performance assessment procedures. In this circumstance, three dimensional (3D) analytical models of the MPWR buildings have been performed. Bi-directional excitations have been applied to the models by nonlinear time history analyses (NTHA). The results illustrate that NTHA are capable of indicating the occurrence of shear failure in captive columns / however, they overestimate the global damage level for all buildings. The overestimation is more significant in Erzincan case where the building sustained a pulse-type motion without significant distress.

Although performance based assessment procedures are mainly developed for reinforced concrete and steel buildings, URM buildings occupy significant portion of building stock in earthquake prone areas of the world as well as in Turkey. Variability of material properties, non-engineered nature of the construction and difficulties in structural analysis of perforated walls make analysis of URM buildings challenging. Despite sophisticated finite element models satisfy the modeling requirements, extensive experimental data for definition of material behavior and high computational resources are needed. Recently, nonlinear equivalent frame models which are developed assigning lumped plastic hinges to isotropic and homogenous equivalent frame elements are used for nonlinear modeling of URM buildings. The work presented in this thesis is about performance assessment of unreinforced brick masonry buildings in Turkey through nonlinear equivalent frame modeling technique. Reliability of the proposed model is tested with a reversed cyclic experiment conducted on a full scale, two-story URM building at the University of Pavia and a dynamic shake table test on a half scale, two story URM building at the Ismes Laboratory at Bergamo. Good agreement between numerical and experimental results is found. Finally, pushover and nonlinear time history analyses of three unreinforced brick masonry buildings which are damaged in 1995 earthquake of Dinar is conducted using the proposed three dimensional nonlinear equivalent model. After displacement demands of the buildings are determined utilizing Turkish Earthquake Code 2007, performance based assessment of the buildings are done.

There is a great amount of building stock built in earthquake regions where earthquakes frequently occur. It is very probable that such buildings experience earthquakes more than once throughout their economic life. The motivation of this thesis arose from the lack of procedures to determine the change in building capacity as a result of prior earthquake damage. This study focuses on establishing a method that can be employed to determine the loss in the building capacity after experiencing an earthquake. In order to achieve this goal a number of frames were analyzed under several randomly selected earthquakes. Nonlinear time-history analyses and nonlinear static analyses were conducted to assess the prior and subsequent capacities of the frames under consideration. The structural analysis programs DRAIN-2DX and SAP2000 were employed for this purpose. The capacity curves obtained by these methods were investigated to propose a procedure by which the capacity of previously damaged structures can be determined. For time-history analyses the prior earthquake damage can be taken into account by applying the ground motion histories successively to the structure under consideration. In the case of nonlinear static analyses this was achieved by modifying the elements of the damaged structure in relation to the plastic deformation they experience. Finally a simple approximate procedure was developed using the regression analysis of the results. This procedure relies on the modification of the structure stiffness in proportion to the ductility demand the former earthquake imposes. The proposed procedures were applied to an existing 3D building to validate their applicability.

Diss. Stockholm : Handelshögskolan, 2002.