Existing estimations of implicit inflation target are primarily based on the assumption of parameter stability over time horizon. This work relaxes this assumption and proposes alternative framework based on time-varying parameter model. We aim on behaviour of European Central Bank in order to compare its official proclamations of price stability levels with our implicit estimations. We will also examine how two pillar strategy of European Central Bank is practically used.

The dependence structures in financial markets count among the most frequently discussed topics in the recent literature. However, no general consensus on modeling of the cross-market linkages has been reached. This thesis analyses the dependence structure and contagion in the financial markets in Central and Eastern Europe. Tail dependence, symmetry and dynamics of the dependence structure are examined. A conditional copula framework extended by recently developed dynamic generalized autoregressive score (GAS) model is used to capture the conditional time-varying joint distribution of stock market returns. Considering the Czech, Croatian, Hungarian, Austrian and Polish stock market indices over the 2005-2012 period, we find that time-varying Student's t GAS copula provides the best fit. The results show, that the degree of dependence increases substantially during the global financial crisis, having a direct impact on portfolio optimization.

Submitted by PPG Engenharia El?trica (engenharia.pg.eletrica@pucrs.br) on 2018-03-26T18:49:00Z No. of bitstreams: 1 MATHEUS_SENNA_OLIVEIRA_DIS.pdf: 2367932 bytes, checksum: 927039b4746ebdc5d7da25318435b24a (MD5) / Approved for entry into archive by Tatiana Lopes (tatiana.lopes@pucrs.br) on 2018-04-06T17:26:05Z (GMT) No. of bitstreams: 1 MATHEUS_SENNA_OLIVEIRA_DIS.pdf: 2367932 bytes, checksum: 927039b4746ebdc5d7da25318435b24a (MD5) / Made available in DSpace on 2018-04-06T17:38:56Z (GMT). No. of bitstreams: 1 MATHEUS_SENNA_OLIVEIRA_DIS.pdf: 2367932 bytes, checksum: 927039b4746ebdc5d7da25318435b24a (MD5) Previous issue date: 2018-01-31 / Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior - CAPES / Este documento apresenta um trabalho de disserta??o sobre o estudo de estrat?gias de controle para o seguimento eficiente de padr?es espirais. Estes padr?es podem ser aplicados em muitas ?reas, como por exemplo, a Microscopia de For?a At?mica, onde padr?es de referenciais r?pidos e suaves s?o requeridos. Para realizar com sucesso o seguimento destas refer?ncias, que s?o compostas de sinais senoidais de amplitude e frequ?ncia vari?vel, estrat?gias de controle avan?adas foram investigadas. O Princ?pio do Modelo Interno ? uma abordagem tradicional para o seguimento de sinais, mas ele n?o pode ser aplicado diretamente em sinais com frequ?ncia variante. Logo, o presente trabalho prop?s uma estrat?gia de controle robusto onde o Princ?pio do Modelo Interno foi aplicado como um Controlador Ressonante em uma estrutura aumentada e variante no tempo. O sistema aumentado e os valores da frequ?ncia foram organizados usando uma representa??o polit?pica e estruturados como um problema de otimiza??o sujeito a restri??es na forma de Desigualdades Matriciais Lineares. Esta s?ntese foi avaliada atrav?s de um conjunto de simula??es, usando um modelo num?rico de um Microsc?pio de For?a At?mica e um novo padr?o de refer?ncia para escaneamento apropriado. Al?m disso, usando a premissa que estes sinais de refer?ncia s?o aplicados m?ltiplas vezes, um Controle por Aprendizagem Iterativa tamb?m foi projetado para melhorar o desempenho do seguimento da estrat?gia principal proposta. Resultados num?ricos demonstraram que o controlador projetado atingiu resultados satisfat?rios, em compara??o com o controlador tradicional dispon?vel na ?rea. / This document presents a dissertation work regarding the study of control strategies for the efficient tracking of spiral patterns. Such patterns arise in many areas, as for example the Atomic Force Microscopy, where fast and smooth reference signals are required. In order to successfully track the above mentioned references, which are composed of amplitude and frequency-varying sinusoidal signals, advanced control strategies were investigated. The Internal Model Principle is a traditional approach to track reference signals, but it cannot be directly applied in frequency-varying signals. Therefore, the present work proposed a robust control strategy where the Internal Model Principle was applied as a Resonant Control in an augmented time-varying structure. The augmented system and the reference frequency values were organized using a polytopic representation and structured as an optimization problem subject to constraints in the form of Linear Matrix Inequalities. This synthesis was evaluated through a set of simulations, using a numerical model of an Atomic Force Microscope and a new suitable scanning reference pattern. Moreover, using the premise that the same reference signals are tracked multiple times, an Iterative Learning Controller was also designed in order to improve the tracking performance of the proposed main strategy. Numerical results demonstrated that the designed controller achieved satisfactory results, in comparison to the traditional controller available in the area.

A modelagem da estrutura de dependência é de grande importância em todos os ramos da economia onde há incerteza. Ela é um elemento crucial na análise de risco e para a tomada de decisão sob incerteza. As cópulas oferecem aos agentes que se deparam com este problema um poderoso e flexível instrumento para modelar a estrutura de dependência entre variáveis aleatórias e que é preferível ao instrumento tradicional baseado na correlação linear. Neste estudo, nós analisamos a dinâmica temporal da estrutura de dependência entre índices de mercados financeiros internacionais e propomos um novo procedimento para capturar a estrutura de dependência ao longo do tempo. Adicionalmente, estudamos alguns fatos estilizados sobre índices de mercados financeiros como a relação entre volume-volatilidade e retorno-volatilidade. / Modelling dependence is of key importance to all economic fields in which uncertainty plays a large role. It is a crucial element of risk analysis and decision making under uncertainty. Copulas offer economic agents facing uncertainty a powerful and flexible tool to model dependence between random variables and often are preferable to the traditional, correlation-based approach. In this work we analyze the time dynamics of the dependence structure between broad stock market indices and propose a novel procedure to capture dependence structure over time. Additionally, we study some stylized facts about stock market indexes such as volume-volatility and return-volatility relations.

abstract: With improvements in technology, intensive longitudinal studies that permit the investigation of daily and weekly cycles in behavior have increased exponentially over the past few decades. Traditionally, when data have been collected on two variables over time, multivariate time series approaches that remove trends, cycles, and serial dependency have been used. These analyses permit the study of the relationship between random shocks (perturbations) in the presumed causal series and changes in the outcome series, but do not permit the study of the relationships between cycles. Liu and West (2016) proposed a multilevel approach that permitted the study of potential between subject relationships between features of the cycles in two series (e.g., amplitude). However, I show that the application of the Liu and West approach is restricted to a small set of features and types of relationships between the series. Several authors (e.g., Boker & Graham, 1998) proposed a connected mass-spring model that appears to permit modeling of more general cyclic relationships. I showed that the undamped connected mass-spring model is also limited and may be unidentified. To test the severity of the restrictions of the motion trajectories producible by the undamped connected mass-spring model I mathematically derived their connection to the force equations of the undamped connected mass-spring system. The mathematical solution describes the domain of the trajectory pairs that are producible by the undamped connected mass-spring model. The set of producible trajectory pairs is highly restricted, and this restriction sets major limitations on the application of the connected mass-spring model to psychological data. I used a simulation to demonstrate that even if a pair of psychological time-varying variables behaved exactly like two masses in an undamped connected mass-spring system, the connected mass-spring model would not yield adequate parameter estimates. My simulation probed the performance of the connected mass-spring model as a function of several aspects of data quality including number of subjects, series length, sampling rate relative to the cycle, and measurement error in the data. The findings can be extended to damped and nonlinear connected mass-spring systems. / Dissertation/Thesis / Masters Thesis Psychology 2019

In this study, we aim to develop new likelihood based method for estimating parameters of ordinary differential equations (ODEs) / delay differential equations (DDEs) models. Those models are important for modeling dynamical processes that are described in terms of their derivatives and are widely used in many fields of modern science, such as physics, chemistry, biology and social sciences. We use our new approach to study a distributed delay differential equation model, the statistical inference of which has been unexplored, to our knowledge. Estimating a distributed DDE model or ODE model with time varying coefficients results in a large number of parameters. We also apply regularization for efficient estimation of such models. We assess the performance of our new approaches using simulation and applied them to analyzing data from epidemiology and ecology.

Hydraulic lock structures have been used for hundreds of years to control and maintain water levels in waterways. The most common are gated water regulation structures used to catch and divert water, and form an essential and critical part of many flood control and agricultural schemes. Although there are clear economic advantages to building the structures, they can contribute to major water quality problems for the waterways they influence (i.e. increased residence times and a change in mixing ability). Further, in most cases, the methods previously used to assess how the structures and their operations influence the flow regimes between the two connected systems were limited, thus hydraulic designers rely on simple formulations, existing literature and experience. Consequently, the objectives of this thesis were to undertake a detailed field study and develop a methodology and computer simulation tool to calculate the flow through a hydraulic structure connecting two water bodies so that future designs can be undertaken based upon sound knowledge. To demonstrate the outcomes of this thesis, the methodology and model were applied to an existing hydraulic structure (referred to as Structure C). Structure C is used to connect and exchange water between the tidally dominated section of the Nerang River estuary and an artificial lake system (Burleigh Lakes) on the Gold Coast, Australia. The gates of this structure open four times each day (once during each semi-diurnal tidal phase) and remain open for a period of 2 hours, allowing alternative and partial exchange between the two water bodies. To gain a better understanding of the dynamics of each waterbody under the influence of the structure, a series of detailed field experiments were initially undertaken to understand and quantify the exchange of water and its mixing ability. Tide gauges deployed within the lake indicated a water level change during each opening of up to 22 cm, equating to 413,600 m3 of water entering the lake over the 2 hour discharge period. Salinity profiles showed that the structure permitted the exchange of saline and freshwater between the two systems, during each tidal cycle, in turn maintaining the lake system as a saline (brackish environment). However, the field study also revealed that the controlled exchange of water between the systems perpetuated a permanently stratified environment on both sides of the structure. To simulate the flow dynamics influenced by Structure C, new routines were incorporated into an existing hydrodynamic model (BFHYDRO) within the model's grid and computational code, as part of this thesis. To achieve this, the flow in and out of the hydraulic structure cell (used to represent the hydraulic structure's location within the model grid) was calculated entirely from the local water level gradients on either side of the structure at each time-step, and not prescribed. This was found to be essential for complex tidally-dominated systems, such as the Nerang River. Routines were also developed to replicate the opening and closing times of the gates. Following the development of the methodology, the hydraulic structure cells were tested and applied to simulate the flow through Structure C and the complex exchange between the estuary and lake, in 2 and 3-dimensions. Tests indicated that the opening and closing times of the gates and the calibration of the discharge coefficient (which forms part of the broad-crested weir formula) were the most sensitive parameters to ensure the correct volume of water exchange between the two systems. Statistically, the model-predicted results compared very well with available surface elevation data within the estuary and lake, and thus, quantified the ability of the hydraulic structure cells to simulate the flux between the estuary and lake for each opening. Following the model validation process, results from the existing configuration were compared with hypothetical design alternatives and are documented herein. Further, part of the thesis also explored a practical and effective computer based learning strategy to introduce and teach hydrodynamic and water quality modelling, to the next generation of undergraduate engineering students. To enhance technology transfer a computer based instructional (CBI) aid was specifically developed to assist with the setup, execution and the analysis of models' output, in small easy steps. The CBI aid comprised of a HTML module with links to recorded Lotus Screen cam movie clips. The strategy proved to be a useful and effective approach in assisting the students to complete the project with minimum supervision, and acquire a basic understanding of water quality modelling. Finally, it is anticipated that this new modelling capability and the findings detailed herein will provide managers with a valuable tool to assess the influence of these structures on water circulation for present and future operations within the region. This model can also be set up at other sites to pre-assess various design configurations by predicting changes in current flows, mixing and flushing dynamics that a particular design might achieve, and assist with the selection process before the final selection and construction.

<p>Dynamiken för en starkt accelerande robot har modellerats. Modellen linjäriseras så att roboten beskrivs som ett linjärt tidsvariabelt system. Denna representation beskriver roboten väl då robotens anblåsningsvinkel, vilket är vinkeln mellan robotkroppen och robotens hastighet, är liten. Eftersom det ej är möjligt att mäta alla robotens tillstånd har en observatör tagits fram i form av ett Kalmanfilter. Problematik vid framtagandet av observatören diskuteras i rapporten. Den linjära tidsvariabla modellen har använts till att ta fram två regulatorer. En LQ-regulator och en H_∞-regulator. Hur dessa tas fram och vilka problem som finns diskuteras i rapporten. För att kunna se fördelar och nackdelar beträffande prestanda och robusthet har en mängd tester gjort. Testerna visar på olika fördelar hos de olika reglersystemen. Till exempel är det lättare att få bra prestanda med LQ-regulatorn än H_∞-regulatorn om systemet som styrs stämmer bra överens med systemet som använts vid reglerdesignen. H_∞-regulatorn har bättre förmåga att anpassa sig till modellförändringar givet att observatören gör bra skattningar. Det är dock svårt att utnämna en generell vinnare.</p>

Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to explain asset-pricing anomalies like book-to-market and momentum. We test this conjecture empirically by directly estimating conditional alphas and betas from short-window regressions (avoiding the need to specify conditioning information). The tests show, consistent with our analytical results, that the conditional CAPM performs nearly as poorly as the unconditional CAP

The purpose of this thesis is to derive and analyze the theoretical limits for estimatingthe symboltiming delayof Multiple-Input Multiple-Output (MIMO)systems. Two main N X M system models are considered, where N represents the number of transmit antennas and M denotes the number of receive antennas, the 2 X 2 system used by S.-A. Yangand J. Wu and the 4 X 4system used by Y.-C. Wu and E. Serpedin. The second model has been extended to take into account the symbol time-varying fading. The theoretical estimation limits are shown by several bounds: modified Cramer-Rao bound (MCRB), Cramer-Rao bound (CRB) and Barankin bound (BB). BB will be exploited to obtain accurate information regarding the necessary length of data to obtain good estimation. Two scenarios for synchronization are presented: data-aided (DA) and non-data-aided (NDA). Two models for the fading process are considered: block fading and symbol time-varying fading, respectively, the second case being assumed to be Rayleigh distributed. The asymptotic Cramer-Rao bounds for low signal-to-noise ratio (low-SNR) and for high-SNR are derived and the performance of several estimators is presented. The performance variation of bounds and estimators is studied byvarying different parameters, such as the number of antennas, the length of data taken into consideration during the estimation process, the SNR, the oversampling factor, the power and the Doppler frequency shift of the fading.