Master of Science / Department of Statistics / James W. Neill

Doctor en Ciencias de la Ingeniería, Mención Modelación Matemática / Este trabajo de tesis contiene dos cap\'itulos principales, donde se estudian dos problemas independientes de Modelaci\'on Matem\'atica. En el Cap\'titulo 1 se estudia la existencia y unicidad de distribuciones quasi estacionarias para un movimiento Browniano con drift extinguido en cero, para el caso que infinito es Frontera de Entrada y cero frontera de salida de acuerdo a la clasificaci\'on de Feller. El trabajo est\'a relacionado con la publicaci\'on pionera \cite, donde algunas condiciones suficientes son establecidas para demostrar la existencia y unicidad de QSD en el contexto de una familia de Modelos de Din\'amica de Poblaciones y difusiones de Feller. El trabajo generaliza los teoremas m\'as importantes de \cite , ya que no se imponen condiciones extras para obtener los resultados de existencia y unicidad de QSD y la existencia del l\'imite de Yaglom. La parte t\'ecnica est\'a basada en la teor\'ia del problema de Sturm Liouville sobre la semirecta positiva. Espec\'ificamente, se demuestra que bajo las principales hip\'otesis existe espectro discreto si y solo si infinito es frontera de entrada y todas las eigenfunciones son simples e integrables respecto a la medida de rapidez del proceso.\\ En el cap\'itulo 2, se estudia el problema de obtener cotas optimales sobre el Hamiltoniano para el Modelo de Ising de largo alcance, con t\'ermino de interacci\'on decayendo de acuerdo a $d^{\alpha-2}$, $\alpha \in [0,1)$. El trabajo est\'a basado en el art\'iculo publicado en 2005 \cite{Paper1}, donde cotas optimales son obtenidas para el caso $\alpha \in [0,\frac{log{3}}{\log{2}}-1)$ en t\'erminos de estructuras jer\'arquicas llamadas tri\'angulos y contornos. Los teoremas principales de este trabajo pueden ser resumidos como (i) No existe una cota optimal para el Hamiltoniano en t\'erminos de tri\'angulos para $\alpha \in [\frac-1,1)$. (ii) Existe una cota optimal para el Hamiltoniano en t\'erminos de Contornos para $\alpha \in [0,1)$, resultados que son demostrado en los Teoremas \ref{XYZ} y \ref{Teo1} respectivamente. Ambos generalizan los resultados existentes, y constituyen la principal contribuci\'on de este trabajo. Para demostrar el Teorema \ref, se construye expl\'icitamente una familia de contraejemplos. La parte t\'ecnica est\'a fuertemente basada en la teor\'ia de Fractales sobre Conjuntos Discretos. Para demostrar teorema \ref{Teo1} , se usa el argumento se agrupar y sumar sobre contornos con la misma masa. Las demostraciones para ambos resultados son muy t\'ecnicas y requieren una gran cantidad de c\'alculos , los cuales son entregados en detalle. Por otra parte, los teoremas principales tienen importantes implicancias en \'esta clase de Modelos. La m\'as importante y directa es la existencia de una fase de transici\'on para bajas temperaturas basada en el argumento de Peierls. Dicha demostraci\'un, es tambi\'en entregada en este trabajo.

This paper focuses on the issue of sampling directly from the stationary distribution of Vervaat perpetuities. It improves upon an algorithm for perfect sampling first presented by Fill & Huber by implementing both a faster multigamma coupler and a moving value of Xmax to increase the chance of unification. For beta = 1 we are able to reduce the expected steps for a sample by 22%, and at just beta = 3 we lower the expected time by over 80%. These improvements allow us to sample in reasonable time from perpetuities with much higher values of beta than was previously possible.

Due essentially to the difficulties associated with obtaining explicit forms of stationary marginal distributions of non-linear stationary processes, appropriate characterizations of such processes are worked upon little. After discussing an elaborate motivation behind this thesis and presenting preliminaries in Chapter 1, we characterize, in Chapter 2, the stationary marginal distributions of certain non-linear multivariate stationary processes. To do so, we show that the stationary marginal distributions of these processes belong to specific skew-distribution families, and for a given skew-distribution from the corresponding family, a process, with stationary marginal distribution identical to that given skew-distribution, can be found. While conventional time series analysis greatly depends on the assumption of stationarity, measurements taken from many physical systems, which consist of both periodicity and randomness, often exhibit cyclostationarity (i.e., a periodic structure in their first- and second-order moments). Identifying the hourly global horizontal irradiances (GHIs), collected at a solar monitoring station of Saudi Arabia, as a cyclostationary process and considering the significant impact of that on the energy production in Saudi Arabia, Chapter 3 provides a temporal model of GHIs. Chapter 4 extends the analysis to a spatio-temporal cyclostationary modeling of 45 different solar monitoring stations of the Kingdom. Both the proposed models are shown to produce better forecasts, more realistic simulations, and reliable photovoltaic power estimates in comparison to a classical model that fails to recognize the GHI data as cyclostationary. Chapter 5 extends the notion of cyclostationarity to a novel and flexible class of processes, coined evolving period and amplitude cyclostationary (EPACS) processes, that allows periods and amplitudes of the mean and covariance functions to evolve and, therefore, accommodates a much larger class of processes than the cyclostationary processes. Thereafter, we investigate its properties, provide methodologies for statistical inference, and illustrate the presented methods using a simulation study and a real data example, from the heavens, of the magnitudes of the light emitted from the variable star R Hydrae. Finally, Chapter 6 summarizes the findings of the thesis and discusses its significance and possible future extensions.

In the dissertation there is investigated a class of Markov chains defined by iterations of a function possessing a property of asymptotical homogeneity. Two problems are solved: 1) there are established rather general conditions under which the chain has unique stationary distribution; 2) for the chains evolving in a real line there are established conditions under which the stationary distribution of the chain is heavy-tailed. / Disertacijoje tirta Markovo grandinių klasė, kurios iteracijos nusakomos atsitiktinėmis asimptotiškai homogeninėmis funkcijomis, ir išspręsti du uždaviniai: 1) surastos bendros sąlygos, kurios garantuoja vienintelio stacionaraus skirstinio egzistavimą; 2) vienmatėms grandinėms surastos sąlygos, kurioms esant stacionarus skirstinys turi "sunkias" uodegas.

Disertacijoje tirta Markovo grandinių klasė, kurios iteracijos nusakomos atsitiktinėmis asimptotiškai homogeninėmis funkcijomis, ir išspręsti du uždaviniai: 1) surastos bendros sąlygos, kurios garantuoja vienintelio stacionaraus skirstinio egzistavimą; 1) vienmatėms grandinėms surastos sąlygos, kurioms esant stacionarus skirstinys turi "sunkias" uodegas. / In the dissertation there is investigated a class of Markov chains defined by iterations of a function possessing a property of asymptotical homogeneity. Two problems are solved: 1) there are established rather general conditions under which the chain has unique stationary distribution; 2) for the chains evolving in a real line there are established conditions under which the stationary distribution of the chain is heavy-tailed.

Šiame darbe nagrinėta tam tikra asimptotiškai homogeninė Markovo grandinė ir rasta jos stacionaraus skirstinio uodegos asimptotika. Nagrinėta grandinė negali būti ištirta šiuo metu žinomais metodais, todėl darbas turi praktinę reikšmę. Spręstas uždavinys aktualus sunkių uodegų analizėje. / In this work we have investigated some asymptotically homogeneous Markov chain and found asymptotics of the stationary distribution tail. To our best knowledge, considered chain cannot be investigated by means of existing methods, hence obtained results have practical value. Solved problem is relevant in heavy tail analysis.

Grande parte do sucesso do Google provêm do algoritmo Page Rank, que avalia quantitativamente a importância de cada página na web. Esta ordenação é obtida através do vetor estacionário de uma matriz estocástica específica, utilizando o Método das Potências. A velocidade de convergência deste método será avaliada em detalhe, já que se trata de uma resposta imediata da pesquisa do usuário. Afim de entender as diferentes situações que o modelo pode enfrentar, diversas simulações são apresentadas neste trabalho. Em particular, estamos interessados nos fatores que influenciam a velocidade de convergência. Para tanto, o número de páginas total e de cada conjunto fechado, bem como o número de conjuntos fechados e de nós pendentes foram estudados. / Great part of Google\'s success comes from the Page Rank algorithm, wich quantitatively evaluates the importance of each page on the web. This sort is achieved through a specific stochastic matrix stationary vector, using the Power Method. The convergency speed of this method will be evaluated in details, since this is a imediate response for the user search. In order to understand the diferent situations the model can confront, several simulations are shown in this work. In particular, we are interested in the factors which influences the convergency speed. For that, the total and inside each closed set number of pages and also the closed sets and dangling nodes numbers were studied.

Grande parte do sucesso do Google provêm do algoritmo Page Rank, que avalia quantitativamente a importância de cada página na web. Esta ordenação é obtida através do vetor estacionário de uma matriz estocástica específica, utilizando o Método das Potências. A velocidade de convergência deste método será avaliada em detalhe, já que se trata de uma resposta imediata da pesquisa do usuário. Afim de entender as diferentes situações que o modelo pode enfrentar, diversas simulações são apresentadas neste trabalho. Em particular, estamos interessados nos fatores que influenciam a velocidade de convergência. Para tanto, o número de páginas total e de cada conjunto fechado, bem como o número de conjuntos fechados e de nós pendentes foram estudados. / Great part of Google\'s success comes from the Page Rank algorithm, wich quantitatively evaluates the importance of each page on the web. This sort is achieved through a specific stochastic matrix stationary vector, using the Power Method. The convergency speed of this method will be evaluated in details, since this is a imediate response for the user search. In order to understand the diferent situations the model can confront, several simulations are shown in this work. In particular, we are interested in the factors which influences the convergency speed. For that, the total and inside each closed set number of pages and also the closed sets and dangling nodes numbers were studied.

In this thesis we study the asymptotic behaviour of the solution of a discrete time renewal equation depending on a small perturbation parameter. In particular, we construct asymptotic expansions for the solution of the renewal equation and related quantities. The results are applied to studies of quasi-stationary phenomena for regenerative processes and asymptotics of ruin probabilities for a discrete time analogue of the Cramér-Lundberg risk model.