<p> </p><p>The today quarry planning at Klinthagen is rough, which provides an opportunity to introduce new exciting methods to improve the quarry gain and efficiency. Nordkalk AB, active at Klinthagen, wishes to start a new quarry at a nearby location. To exploit future quarries in an efficient manner and ensure production quality, multivariate statistics may help gather important information.</p><p>In this thesis the possibilities of the multivariate statistical approaches of Principal Component Analysis (PCA) and Partial Least Squares (PLS) regression were evaluated on the Klinthagen bore data. PCA data were spatially interpolated by Kriging, which also was evaluated and compared to IDW interpolation.</p><p>Principal component analysis supplied an overview of the variables relations, but also visualised the problems involved when linking geophysical data to geochemical data and the inaccuracy introduced by lacking data quality.</p><p>The PLS regression further emphasised the geochemical-geophysical problems, but also showed good precision when applied to strictly geochemical data.</p><p>Spatial interpolation by Kriging did not result in significantly better approximations than the less complex control interpolation by IDW.</p><p>In order to improve the information content of the data when modelled by PCA, a more discrete sampling method would be advisable. The data quality may cause trouble, though with sample technique of today it was considered to be of less consequence.</p><p>Faced with a single geophysical component to be predicted from chemical variables further geophysical data need to complement existing data to achieve satisfying PLS models.</p><p>The stratified rock composure caused trouble when spatially interpolated. Further investigations should be performed to develop more suitable interpolation techniques.</p>

Diss. Stockholm : Handelshögskolan, 2006 S. 1-125 : 4 uppsatser

由於違約事件不斷發生以及在財務實證上顯示證券的報酬率有厚尾與高狹峰的現象，本文使用縮減式模型與Lévy過程來評價有信用風險下的可轉換公司債。在Lévy過程中，本研究假設股價服從NIG及VG模型，發現此兩種模型比傳統的GBM模型更符合厚尾現象。此外，在Lévy過程參數估計方面，本文使用最大概似法估計參數，在評價可轉換公司債方面，本研究採用最小平方蒙地卡羅法。本文之實證結果顯示，Lévy模型的績效比傳統GBM模型佳。 / Due to the reason that the default events occurred constantly and still continue taking place, empirical log return distributions exhibit fat tail and excess kurtosis, this paper evaluates convertible bonds under Lévy process with default risk using the reduced-form approach. Under the Lévy process, the underlying stock prices are set to be normal inverse Gaussian (NIG) and variance Gamma (VG) model to capture the jump components. In the empirical analysis, we use the maximum likelihood method to estimate the parameters of Lévy distributions, and apply the least squares Monte Carlo Simulation to price convertible bonds. Five examples are shown in pricing convertible bonds using the traditional model and Lévy model. The empirical results show that the performance of Lévy model is better than the traditional one.

The estimation of latent variable models with ordinal and continuous, or ranking variables is the research focus of this thesis. The existing estimation methods are discussed and a composite likelihood approach is developed. The main advantages of the new method are its low computational complexity which remains unchanged regardless of the model size, and that it yields an asymptotically unbiased, consistent, and normally distributed estimator. The thesis consists of four papers. The first one investigates the two main formulations of the unrestricted Thurstonian model for ranking data along with the corresponding identification constraints. It is found that the extra identifications constraints required in one of them lead to unreliable estimates unless the constraints coincide with the true values of the fixed parameters. In the second paper, a pairwise likelihood (PL) estimation is developed for factor analysis models with ordinal variables. The performance of PL is studied in terms of bias and mean squared error (MSE) and compared with that of the conventional estimation methods via a simulation study and through some real data examples. It is found that the PL estimates and standard errors have very small bias and MSE both decreasing with the sample size, and that the method is competitive to the conventional ones. The results of the first two papers lead to the next one where PL estimation is adjusted to the unrestricted Thurstonian ranking model. As before, the performance of the proposed approach is studied through a simulation study with respect to relative bias and relative MSE and in comparison with the conventional estimation methods. The conclusions are similar to those of the second paper. The last paper extends the PL estimation to the whole structural equation modeling framework where data may include both ordinal and continuous variables as well as covariates. The approach is demonstrated through an example run in R software. The code used has been incorporated in the R package lavaan (version 0.5-11).

This dissertation designs linear transceivers for the multiuser downlink in multiple-input multiple-output (MIMO) systems. The designs rely on an uplink/downlink duality for the mean squared error (MSE) of each individual data stream. We first consider the design of transceivers assuming channel state information (CSI) at the transmitter. We consider minimization of the sum-MSE over all users subject to a sum power constraint on each transmission. Using MSE duality, we solve a computationally simpler convex problem in a virtual uplink. The transformation back to the downlink is simplified by our demonstrating the equality of the optimal power allocations in the uplink and downlink. Our second set of designs maximize the sum throughput for all users. We establish a series of relationships linking MSE to the signal-to-interference-plus-noise ratios of individual data streams and the information theoretic channel capacity under linear minimum MSE decoding. We show that minimizing the product of MSE matrix determinants is equivalent to sum-rate maximization, but we demonstrate that this problem does not admit a computationally efficient solution. We simplify the problem by minimizing the product of mean squared errors (PMSE) and propose an iterative algorithm based on alternating optimization with near-optimal performance. The remainder of the thesis considers the more practical case of imperfections in CSI. First, we consider the impact of delay and limited-rate feedback. We propose a system which employs Kalman prediction to mitigate delay; feedback rate is limited by employing adaptive delta modulation. Next, we consider the robust design of the sum-MSE and PMSE minimizing precoders with delay-free but imperfect estimates of the CSI. We extend the MSE duality to the case of imperfect CSI, and consider a new optimization problem which jointly optimizes the energy allocations for training and data stages along with the sum-MSE/PMSE minimizing transceivers. We prove the separability of these two problems when all users have equal estimation error variances, and propose several techniques to address the more challenging case of unequal estimation errors.

This dissertation designs linear transceivers for the multiuser downlink in multiple-input multiple-output (MIMO) systems. The designs rely on an uplink/downlink duality for the mean squared error (MSE) of each individual data stream. We first consider the design of transceivers assuming channel state information (CSI) at the transmitter. We consider minimization of the sum-MSE over all users subject to a sum power constraint on each transmission. Using MSE duality, we solve a computationally simpler convex problem in a virtual uplink. The transformation back to the downlink is simplified by our demonstrating the equality of the optimal power allocations in the uplink and downlink. Our second set of designs maximize the sum throughput for all users. We establish a series of relationships linking MSE to the signal-to-interference-plus-noise ratios of individual data streams and the information theoretic channel capacity under linear minimum MSE decoding. We show that minimizing the product of MSE matrix determinants is equivalent to sum-rate maximization, but we demonstrate that this problem does not admit a computationally efficient solution. We simplify the problem by minimizing the product of mean squared errors (PMSE) and propose an iterative algorithm based on alternating optimization with near-optimal performance. The remainder of the thesis considers the more practical case of imperfections in CSI. First, we consider the impact of delay and limited-rate feedback. We propose a system which employs Kalman prediction to mitigate delay; feedback rate is limited by employing adaptive delta modulation. Next, we consider the robust design of the sum-MSE and PMSE minimizing precoders with delay-free but imperfect estimates of the CSI. We extend the MSE duality to the case of imperfect CSI, and consider a new optimization problem which jointly optimizes the energy allocations for training and data stages along with the sum-MSE/PMSE minimizing transceivers. We prove the separability of these two problems when all users have equal estimation error variances, and propose several techniques to address the more challenging case of unequal estimation errors.

This project investigates a laser radar system. The system is based on the principles of time-correlated single photon counting, and by measuring the times-of-flight of reflected photons it can find range profiles and perform three-dimensional imaging of scenes. Because of the photon counting technique the resolution and precision that the system can achieve is very high compared to analog systems. These properties make the system interesting for many military applications. For example, the system can be used to interrogate non-cooperative targets at a safe distance in order to gather intelligence. However, signal processing is needed in order to extract the information from the data acquired by the system. This project focuses on the analysis of different signal processing methods. The Wiener filter and the Richardson-Lucy algorithm are used to deconvolve the data acquired by the photon counting system. In order to find the positions of potential targets different approaches of non-linear least squares methods are tested, as well as a more unconventional method called ESPRIT. The methods are evaluated based on their ability to resolve two targets separated by some known distance and the accuracy with which they calculate the position of a single target, as well as their robustness to noise and their computational burden. Results show that fitting a curve made of a linear combination of asymmetric super-Gaussians to the data by a method of non-linear least squares manages to accurately resolve targets separated by 1.75 cm, which is the best result of all the methods tested. The accuracy for finding the position of a single target is similar between the methods but ESPRIT has a much faster computation time.

The today quarry planning at Klinthagen is rough, which provides an opportunity to introduce new exciting methods to improve the quarry gain and efficiency. Nordkalk AB, active at Klinthagen, wishes to start a new quarry at a nearby location. To exploit future quarries in an efficient manner and ensure production quality, multivariate statistics may help gather important information. In this thesis the possibilities of the multivariate statistical approaches of Principal Component Analysis (PCA) and Partial Least Squares (PLS) regression were evaluated on the Klinthagen bore data. PCA data were spatially interpolated by Kriging, which also was evaluated and compared to IDW interpolation. Principal component analysis supplied an overview of the variables relations, but also visualised the problems involved when linking geophysical data to geochemical data and the inaccuracy introduced by lacking data quality. The PLS regression further emphasised the geochemical-geophysical problems, but also showed good precision when applied to strictly geochemical data. Spatial interpolation by Kriging did not result in significantly better approximations than the less complex control interpolation by IDW. In order to improve the information content of the data when modelled by PCA, a more discrete sampling method would be advisable. The data quality may cause trouble, though with sample technique of today it was considered to be of less consequence. Faced with a single geophysical component to be predicted from chemical variables further geophysical data need to complement existing data to achieve satisfying PLS models. The stratified rock composure caused trouble when spatially interpolated. Further investigations should be performed to develop more suitable interpolation techniques.

A three dimensional, Navier-Stokes finite volume flow solver which uses Roe&rsquo / s upwind flux differencing scheme for spatial and Runge-Kutta explicit multi-stage time stepping scheme and implicit Lower-Upper Symmetric Gauss Seidel (LU-SGS) iteration scheme for temporal discretization on unstructured and hybrid meshes is developed for steady rocket internal viscous flow applications. The spatial accuracy of the solver can be selected as first or second order. Second order accuracy is achieved by piecewise linear reconstruction. Gradients of flow variables required for piecewise linear reconstruction are calculated with both Green-Gauss and Least-Squares approaches. The solver developed is first verified against the three-dimensional viscous laminar flow over flat plate. Then the implicit time stepping algorithms are compared against two rocket motor internal flow problems. Although the solver is intended for internal flows, a test case involving flow over an airfoil is also given. As the last test case, supersonic vortex flow between concentric circular arcs is selected.

In this research, it was mainly aimed to develop an acceptance model for processes, namely the process acceptance model (PAM). For this purpose, a questionnaire, comprising 3-part and 81-question, was developed to collect quantitative and qualitative data from people having relationships with certain process-focused models and/or standards (CMMI, ISO 15504, ISO 9001, ISO 27001, AQAP-160, AQAP-2110, and/or AS 9100). To revise and refine the questionnaire, expert reviews were ensured, and a pilot study was conducted with 60 usable responses. After reviews, refinements and piloting, the questionnaire was deployed to collect data and in-total 368 usable responses were collected from the people. Here, collected data were screened concerning incorrectly entered data, missing data, outliers and normality, and reliability and validity of the questionnaire were ensured. Partial least squares structural equation modeling (PLS SEM) was applied to develop the PAM. In this context, exploratory and confirmatory factor analyses were applied, and the initial model was estimated and evaluated. The initial model was modified as required by PLS SEM, and confirmatory factor analysis was repeated, and the modified final model was estimated and evaluated. Consequently, the PAM, with 18 factors and their statistically significant relationships, was developed. Furthermore, descriptive statistics and t-tests were applied to discover some interesting, meaningful, and important points to be taken into account regarding the acceptance of processes. Moreover, collected quantitative data were analyzed, and three additional factors were discovered regarding the acceptance of processes. Besides, a checklist to test and/or promote the acceptance of processes was established.