Dissertations / Theses on the topic 'VARMA model'

Chen, Donoho a Saunders (1998) studují problematiku hledání řídké reprezentace vektorů (signálů) s použitím speciálních přeurčených systémů vektorů vyplňujících prostor signálu. Takovéto systémy (někdy jsou také nazývány frejmy) jsou typicky vytvořeny buď rozšířením existující báze, nebo sloučením různých bazí. Narozdíl od vektorů, které tvoří konečně rozměrné prostory, může být problém formulován i obecněji v rámci nekonečně rozměrných separabilních Hilbertových prostorů (Veselý, 2002b; Christensen, 2003). Tento funkcionální přístup nám umožňuje nacházet v těchto prostorech přesnější reprezentace objektů, které, na rozdíl od vektorů, nejsou diskrétní. V této disertační práci se zabývám hledáním řídkých representací v přeurčených modelech časových řad náhodných veličin s konečnými druhými momenty. Numerická studie zachycuje výhody a omezení tohoto přístupu aplikovaného na zobecněné lineární modely a na vícerozměrné ARMA modely. Analýzou mnoha numerických simulací i modelů reálných procesů můžeme říci, že tyto metody spolehlivě identifikují parametry blízké nule, a tak nám umožňují redukovat původně špatně podmíněný přeparametrizovaný model. Tímto významně redukují počet odhadovaných parametrů. V konečném důsledku se tak nemusíme starat o řády modelů, jejichž zjišťování je většinou předběžným krokem standardních technik. Pro kratší časové řady (100 a méně vzorků) řídké odhady dávají lepší predikce v porovnání s těmi, které jsou založené na standardních metodách (např. maximální věrohodnosti v MATLABu - MATLAB System Identification Toolbox (IDENT)). Pro delší časové řady (500 a více) obě techniky dávají v podstatě stejně přesné predikce. Na druhou stranu řešení těchto problémů je náročnější, a to i časově, nicméně výpočetní doba je stále přijatelná.

In China in particular, large, planned special events (e.g., the Olympic Games, etc.) are viewed as great opportunities for economic development. Large numbers of visitors from other countries and provinces may be expected to attend such events, bringing in significant tourism dollars. However, as a direct result of such events, the transportation system is likely to face great challenges as travel demand increases beyond its original design capacity. Special events in central business districts (CBD) in particular will further exacerbate traffic congestion on surrounding freeway segments near event locations. To manage the transportation system, it is necessary to plan and prepare for such special events, which requires prediction of traffic conditions during the events. This dissertation presents a set of novel prototype models to forecast traffic volumes along freeway segments during special events. Almost all research to date has focused solely on traffic management techniques under special event conditions. These studies, at most, provided a qualitative analysis and there was a lack of an easy-to-implement method for quantitative analyses. This dissertation presents a systematic approach, based separately on univariate time series model with intervention analysis and multivariate time series model with intervention analysis for forecasting traffic volumes on freeway segments near an event location. A case study was carried out, which involved analyzing and modelling the historical time series data collected from loop-detector traffic monitoring stations on the Second and Third Ring Roads near Beijing Workers Stadium. The proposed time series models, with expected intervention, are found to provide reasonably accurate forecasts of traffic pattern changes efficiently. They may be used to support transportation planning and management for special events.

Subsea processing can make production from otherwise unprofitable fields profitable. In subsea processing controlled cooling of the process fluid will often be required. Robust and simple solutions are desirable in subsea processing. Coolers that rely on natural convection from the surrounding seawater are therefore interesting, but control of the process fluid outlet temperature is hard to obtain in such coolers. In this study a calculation model for subsea coolers has been developed. The commercial software MATLAB has been used for developing a program. Heat transfer and frictional pressure drop correlations have been studied and recommendations are made for the model. The model is based on tubes in parallel, and the tubes can be oriented vertically or horizontally. The program allows for open, semi-open and closed arrangements on the waterside, and both natural and forced convection is implemented. The program has been tested through simulations of two test cases and found to be performing as desired.

SINTEF and NTNU are planning to build a 150 kWth Chemical Looping Combustion (CLC) reactor system. This is new technology and the CLC reactor system is going to be one of the largest of its kind in the world. The technology is promising for CO2 capture in terms of energy efficiency and economics. To verify the design a Cold Flow Model, CFM, has been built. In the CFM no reactions take place, but it simulates the hydrodynamics of the 150 kWth CLC reactor system. The reactor system consists of two reactors exchanging solids in a loop. The two reactors are one air reactor, AR, and one fuel reactor, FR. Air is injected at different locations in the CFM to fluidize the solids and achieve the proper mass flows. The Cold Flow Model has been commissioned and an experimental campaign was executed. A series of experiments running each reactor singularly were performed. The rig seems to be functioning satisfactory and a minimum of plugging in the pipes were observed. The Cold Flow model has two cyclones that showed collection efficiencies at approximately 99 %. This is important to avoid emissions of solids from the future CLC reactor system, both for economic and environmental reasons. An investigation and mapping of the operating area of the reactors singularly and coupled was the target of the experiments. Correlations between operating velocity, total solid inventory, air distribution and flux were found. Appropriate flow regimes, meant to give good gas solid contact efficiency, and mass flow’s entrainments were achieved. The targets of a solid circulation rate of 2 kg/s in the AR and 1 kg/s in the FR were also achieved. Air is injected in the bottom of the reactors to fluidize the particles. This air is distributed through primary and secondary nozzles. The highest primary air percentage tested in the FR, 75%, gave the highest flux. In the AR 100% was tested, but 70% gave the highest flux. The last result is in contradiction with other experimental work in the area which says that 100% primary air should give the highest flux. After the mapping of the operating area of the single reactors it was possible to try to run the two reactors coupled. The divided loop seal was tested but led to a pressure short circuit and a large amount of the total solid inventory was lost out of the cyclones in a short time. The operation of a divided loop seal is probably possible, but seems difficult. The internal part of the loop seals were sealed to make the operation easier. The loop seals could then be operated as traditional loop seals. A challenge was the mass balance between the fuel reactor and air reactor. The mass flows of particles from both reactors must be equal to have a mass balance. Otherwise all the particles eventually ends up in one reactor. Results from the single reactor experiments were used to know approximately which operating conditions gave a mass balance between the reactors. The Cold Flow Model seemed to a certain degree be self regulating for achieving a mass balance if initial operating conditions were reasonable. Two experiments with coupled reactors and mass exchange only through the loop seals were done. A global solid circulation rate of 0.7 kg/s and 1 kg/s was achieved. Both AR and FR had the proper flow regimes. Proper flow regimes in the reactors are turbulent or fast fluidization. A third experiment utilized a lifter to enhance the solid transport between the reactors. A lifter is a additional transporter of solids from one reactor to another. The lifter worked successfully. The experiment had a global solid circulation rate of 1.4 kg/s. The mass flows were 1.4 kg/s from the AR loop seal and 1 kg/s from the FR loop seal. The remaining part 0.4 kg/s from the FR to the AR was transported with the lifter. Both reactors had proper flow regimes. A fourth experiment trying to achieve a global solid circulation rate of 2 kg/s failed. The bottleneck seems to be the AR loop seal. Solids accumulated and the loop seal was not able to handle this rate of solid flow. A new operation philosophy and design of the loop seal has been proposed. The new design of the loop seal and operation philosophy reduces the air flow needed in the loop seal, but it may not necessarily solve the solid circulation limit in the AR loop seal. Further investigation is needed. Manipulating the pressure in the AR may contribute to enhance the rate of solid flow through the loop seal. The successful experiments were presented at the 1st International Conference on Chemical Looping, IFP-Lyon, France, 17 - 19 March 2010. After the experimental campaign was finished the experiments were simulated with the fluidization software ERGUN developed by Compiegne University of Technology. ERGUN applies different mathematical models. For the simulations performed Horio’s and Berruti’s model were applied. The evaluation of the ERGUN simulations by means of the experiments shows that Horio’s and Berruti’s model should not be used for a detailed investigation of the flow structure in the CFM’s risers. However, despite its strongly empirical nature, a preliminary investigation of the riser’s behavior with Berruti’s model may be useful. Berruti’s model is a reasonable tool for modeling the upper part of the pressure profile in the AR and FR at the operating conditions tested. The operating conditions tested in the AR are total solid inventories of 35 and 45 kg, and superficial gas velocities from 0.9-1.9 m/s. The operating conditions tested in the FR are total solid inventories of 35 and 50 kg, and superficial gas velocities from 1.5-2.0 m/s. Berruti’s model is not capable of accounting for the dense bed in the lower part of the reactor as Horio’s model does. However, Horio’s model mismatched the experimental results too much. Horio’s model seems to be a provide a better match at larger total solid inventory and smaller operating velocities, hence flow regimes not relevant for the CLC reactor system.

Detta forskningsarbete lyfter den problematik somdebatterats kring proveniensprincipen och den ombildningdenna princip har mött sedan digitaliserings ankomst.Studiens avsikt var att påvisa vilken innebörd principen haridag i en modern informationsförvaltning och deninformationshantering som sker där. Syftet var även attundersöka hur informationsförvaltningen arbetar proaktivtmed att garantera proveniens i all sin informationshantering,samt belysa hur proveniens förstås i förhållande till valet avmetod kring informationshanteringen.Undersökningen var kvalitativ och utfördes på tiokommunarkiv i form av att varje kommuns kommunarkivariedjupintervjuades. I undersökningen har även planer kringinformationshantering en studerats. Studien konstaterar vilkaförenklingar som digitaliseringen inneburit kring att säkerställa proveniens, där automatiserad och utvecklad metadataskapat verklig proveniens som kan påvisa informationenssamband med den process och det sammanhang där den harbefunnit sig. Uppsatsen diskuterar även de bekymmer somuppstår då digitaliserad information ordnas på helt andra sättän tidigare och vilka konsekvenser detta får för hur vi skaförhålla oss till och förstå proveniens.Resultatet visar att informationsförvaltningarna kan borga föryttre proveniens vad gäller arkivmaterialet men inte helahandlingsbeståndet. Studien fastslår vidare att inreproveniens som en spegling av organisationens verksamhetmåste förstås utifrån hela handlingsbeståndet och desslogiska ordning, snarare än utifrån arkivmaterialets synliga.Undersökningen konstaterar även betydelsen av proaktivitetkring arbetet med att tydliggöra informationens processuellakontext, samt tidig metadataapplicering ochsystemutveckling som behåller metadata genom allaprocesser. Uppsatsen understryker slutligen att detta inte görsi den utsträckning som är nödvändig.
This essay describes the debate about the principle ofprovenance and its multiple forms, and the transformationsof these forms, due to the coming of electronic informations.The thesis intended to explain the definitions of the principlein a modern information management and there explore howthey operate proactively to assure provenance.The qualitative investigation was carried out at tenmunicipality final archives, where each municipalityarchivist was being interviewed. The study expounds in whatway the digitisation has simplified the methods to conductassured provenance, where automated metadata shows therelationships of the information to function and process. Theessay also debates the difficulties that appear when digitalinformation are being organized in different ways thananalogue information, and how this fact requires a newinterpretation of the principle of provenance.The researcher concludes that the investigated archives,ensure respect des fonds when it concerns the content of thearchives, but not when it comes to the whole content of theinformation management. The result of the study also showsthat the respect of original order as a reflection of theorganization, has to be understood throughout all content ofthe management and its logical order, rather than the visiblecontent that the archives embrace. Furthermore the thesisobserves the importance of proactivity, regarding theclarification of the relationships between the information andthe processes that produce and use them. This could beachieved with early application of metadata and developmentof systems that keep metadata trough all processes. Theconclusion of the essay is that this is not pursued in theextension that is required.

Dans cette thèse, nous étudions l’estimation de modèles autorégressif-moyenne mobile

vectoriels ou VARMA, `a coefficients dépendant du temps, et avec une matrice de covariance

des innovations dépendant du temps. Ces modèles sont appel´es tdVARMA. Les éléments

des matrices des coefficients et de la matrice de covariance sont des fonctions déterministes

du temps dépendant d’un petit nombre de paramètres. Une première partie de la thèse

est consacrée à l’étude des propriétés asymptotiques de l’estimateur du quasi-maximum

de vraisemblance gaussienne. La convergence presque sûre et la normalité asymptotique

de cet estimateur sont démontrées sous certaine hypothèses vérifiables, dans le cas o`u les

coefficients dépendent du temps t mais pas de la taille des séries n. Avant cela nous considérons les propriétés asymptotiques des estimateurs de modèles non-stationnaires assez

généraux, pour une fonction de pénalité générale. Nous passons ensuite à l’application de

ces théorèmes en considérant que la fonction de pénalité est la fonction de vraisemblance

gaussienne (Chapitre 2). L’étude du comportement asymptotique de l’estimateur lorsque

les coefficients du modèle dépendent du temps t et aussi de n fait l’objet du Chapitre 3.

Dans ce cas, nous utilisons une loi faible des grands nombres et un théorème central limite

pour des tableaux de différences de martingales. Ensuite, nous présentons des conditions

qui assurent la consistance faible et la normalité asymptotique. Les principaux

résultats asymptotiques sont illustrés par des expériences de simulation et des exemples

dans la littérature. La deuxième partie de cette thèse est consacrée à un algorithme qui nous

permet d’évaluer la fonction de vraisemblance exacte d’un processus tdVARMA d’ordre (p, q) gaussien. Notre algorithme est basé sur la factorisation de Cholesky d’une matrice

bande partitionnée. Le point de départ est une généralisation au cas multivarié de Mélard

(1982) pour évaluer la fonction de vraisemblance exacte d’un modèle ARMA(p, q) univarié. Aussi, nous utilisons quelques résultats de Jonasson et Ferrando (2008) ainsi que les programmes Matlab de Jonasson (2008) dans le cadre d’une fonction de vraisemblance

gaussienne de modèles VARMA à coefficients constants. Par ailleurs, nous déduisons que

le nombre d’opérations requis pour l’évaluation de la fonction de vraisemblance en fonction de p, q et n est approximativement le double par rapport à un modèle VARMA à coefficients

constants. L’implémentation de cet algorithme a été testée en comparant ses résultats avec

d’autres programmes et logiciels très connus. L’utilisation des modèles VARMA à coefficients

dépendant du temps apparaît particulièrement adaptée pour la dynamique de quelques

séries financières en mettant en évidence l’existence de la dépendance des paramètres en

fonction du temps.

Doctorat en Sciences
info:eu-repo/semantics/nonPublished

This study investigates the behaviour of a vertically distributed source of buoyancy on the vertical stratification in a ventilated space, an important factor for determining indoor comfort when using displacement ventilation. A new theory describing the behaviour of this buoyancy source in a ventilated space was presented previous to this work, but experimental results were required in order to validate the theoretical and numerical modelling. The behaviour of this source of buoyancy on the stratification in a ventilated space is studied for a mechanically ventilated at steady-state and for a linearly stratified environment using salt water in a water scale model. The stratifications were measured using a traversing conductivity probe and then compared to theoretical predictions by numerically solving the plume equations for the new theory in Fortran. High quality measurements were produced, showing excellent repeatability for stratification measurements at steady-state with deviations of less than 1 %. Moreover, the linear stratifications had linear best fits up to R2 = 0.999 by using the double-bucket method. The theoretical predictions of the influence of the vertically distributed source correlate quantitatively with the mechanically ventilated experiments, showing good agreement to the strength of the ambient stratification, the position of the first front and the ventilation flow rate. The experimental results for the determination of the height of a horizontal intrusion of fluid into the linearly stratified environment were severely affected by the occurrence of gravity current at the ceiling of the ventilated space and comparisons to the new theory was not successful because of this. A two-layer stratification is observed where the upper layer had a weakly stratified density profile, instead of the multi-layer stratification predicted by previous researchers in their theoretical model. This discrepancy is due to smoothing and vertical turbulent mixing in the water scale model. It is recommended that the characteristic of the membrane that is used in the water scale model is investigated in relation to the gravity currents for future research.

SIMPLE, SIMPLER, SIMPLEC and IDEAL are solution procedures originally developed for incompressible flows and staggered grids. For SIMPLE, SIMPLER and SIMPLEC, extensions for collocated grids and for treatment of flows at all speeds have already been proposed. For IDEAL, only an extension for collocated grids has been found, and an extension for treatment of flows at all speeds is proposed here. Extended versions of SIMPLE and SIMPLER are implemented in Brilliant, a multiphysics CFD-program developed by Petrell AS. These implemented algorithms are compared to the existing solution procedure in Brilliant, an extended version of the SIMPLEC algorithm. As expected, SIMPLE and SIMPLEC gave almost identical solutions for all the three presented test cases. The values given by the SIMPLER algorithm differed slightly from the values given by the two other algorithms. When simulating a shock tube, all three algorithms showed large deviations from the quasi-analytical solution in some regions of the shock tube. The SIMPLER algorithm spent the least CPU time for this simulation example, while SIMPLE and SIMPLEC spent less CPU time than SIMPLER when simulating methane flow in a pipe. Even though the CPU time was not registered for the last simulation example, a pressure relief pipe, it was noticed that the time consumption was much greater for the SIMPLER algorithm than for SIMPLE and SIMPLEC.

Bruk av bioenergi og andre energikilder som gir lavt utslipp av CO2 får stadig større aktualitet både i Norge og internasjonalt. Det er i denne sammenheng et behov for verktøy som på en rasjonell måte kan beregne sentrale data for varmesentraler for vannbåren varme som benytter ulike teknologier for generering av varme. Hovedmålet med denne oppgaven er å utvikle en ”komplett” databasert beregningsmodell for å beregne aktuelle indikatorer for energiytelse, samt varmekostnad/varmepris for lokale varmesentraler for vannbåren varme med gitt forbruksmønster og for de mest vanlige former for generering av varme. Beregningsresultatene fra modellen skal kunne brukes til vurdering av bygging av lokale varmesentraler, eller for å beregne energiytelse og alternativpris ved for eksempel tilknytning til et fjernvarmeanlegg eller ved levering av fjernvarme til en bygning. Oppgaven er en videreføring av prosjektarbeidet ”Modell for beregning av optimale, lokale varmesentraler med tanke på varmekostnad/varmepris for lokale varmesentraler med gitt forbruksmønster.” Kjernen i den utviklede beregningsmodellen er en driftssimulator som simulerer driften av en lokal varmesentral på timebasis gjennom et normalår for en gitt konfigurasjon av varmeproduserende enheter, som defineres av brukeren. Varmesentralen kan forsyne enkeltbygg eller en gruppe av bygninger med varme, og lastkurver for varmebehovet for bygningene genereres av beregningsmodellen. Modellen kan simulere ulike kombinasjoner av maksimalt tre varmegeneratorer i varmesentralen, og det kan velges mellom fire ulike typer varmegeneratorer. Dette er kjeler fyrt med bioenergi, el – kjeler, oljekjeler og varmepumpe. Modellen gir muligheter for en detaljert beskrivelse av virkningsgradskarakteristikkene for kjelene, og skiller mellom av/på -, trinn- og modulerende regulering. Primærenergikonseptet brukes for beregning av indikatorer for energiytelse. Modellen beregner behov for levert energi, primærenergibehov og CO2 – utslipp for varmesentralen. Beregningen av indikatorene følger beregningsmetoder definert i de standarder som er utarbeidet ved realisering av Direktiv om energiytelsen for bygninger. For å vise funksjonaliteten til beregningsmodellen er det gjennomført beregninger på et tenkt utbyggingsområde beliggende i Trondheim. Dette området består av en gitt sammensetning av bygninger fra ulike bygningskategorier, og to mulige scenario med tanke på varmeforsyning er studert. I det ene scenario forsynes alle byggene i utbyggingsområdet med varme fra sin egen varmesentral. I det andre scenario forsynes samtlige bygg med varme fra en felles varmesentral via et fjernvarmenett. Formålet med disse beregningene er å studere hvordan disse to scenario slår ut med tanke på varmekostnad, behov for levert energi, primærenergibehov og CO2 – utslipp for hele utbyggingsområdet. Det forutsettes at det benyttes bioenergi som grunnlast, olje som spisslast og el – kjel til å dekke tappevannsbehov i sommersesongen for samtlige varmesentraler. Resultatene viser at ved å forsyne alle byggene i utbyggingsområdet fra en felles varmesentral vil behovet for levert energi bli større enn hvis alle byggene forsynes med varme fra sin egen varmesentral. Det viser seg at behovet for levert energi for varmesentralen blir en prosentandel større for den felles varmesentral som tilsvarer tapene ved produksjon av varme i den felles varmesentralen. Tapene i fjernvarmenettet vil dekkes opp av den gevinsten som oppnås i hvert enkelt bygg ved å erstatte kjelanlegget med en kundesentral, siden tapene i en kundesentral er langt lavere enn i et kjelanlegg. Siden behovet for levert energi blir større for den felles varmesentral medfører dette at primærenergibehovet og CO2 – utslippet også blir større. Disse vil øke med samme andel som behovet for levert energi, med unntak av følgende forhold. Siden fordelingen av det årlige energibehov mellom de ulike energivarer kan bli noe annerledes enn for varmesentraler i enkeltbygg, kan dette medføre at primærenergibehovet og CO2 – utslippet blir noe lavere eller høyere avhengig av fordelingen mellom energivarene og primærenergi- og CO2 – faktorene. Varmekostnaden for den felles varmesentralen blir betydelig lavere enn med varmesentraler i hvert enkelt bygg. Dette selv om kostnader til fjernvarmenett og kundesentraler inkluderes. Dette skyldes at rimeligere energikilder kan benyttes som grunnlast i den felles varmesentral. Det er gjennomført en rekke følsomhetsberegninger for å kartlegge de mest sentrale inngangsdata i modellen, og for å vise hvordan disse påvirker beregningsresultatet. Beregningene er gjennomført for varmesentralen som forsyner alle bygg i utbyggingsområdet. Resultatene viser at energiprisen for grunnlasten er den parameter som påvirker varmekostnaden i størst grad. En lav energipris for grunnlasten er dermed den viktigste parameter for å oppnå en lavest mulig varmekostnad i et nærvarmeanlegg. Videre er investeringskostnad i varmesentral, kalkulasjonsrente og investeringskostnad i fjernvarmenett de parametre som påvirker varmekostnaden i størst grad. For alle de studerte varmesentraler i denne oppgaven er elektrisitet den helt klart største bidragsyteren til forbruk av ikke – fornybar primærenergi og CO2 – utslipp. I tillegg bidrar elektrisitet i stor grad til å øke varmesentralens totale primærenergibehov. Dette er beregnet med primærenergi – og CO2 – faktorer for elektrisitet miks UCPTE i henhold til NS – EN 15603. Den beste løsning for å redusere utslippet av CO2 og primærenergibehovet i varmesentralene er dermed å ikke benytte seg av elektrisitet som energikilde.

Den egna rösten kräver att vi ska våga visa vårt äkta och sårbara jag. Att våga ta plats handlar om att våga be om att bli sedd, vilket är en sårbar position. Skammen hindrar den egna rösten, hindar en från att våga ta plats. Vad som behövs är att vi ser vår sårbarhet som något värdefullt. Som något som gör oss mänskliga och kreativa. Genom medkänsla med oss själva och tillit till omvärlden, kan vi våga visa de sidorna och därmed bli modiga. Modiga fegisar som vågar erkänn att de är rädda. Kanske kan vi då bli något så oväntat som "lyckliga konstnärer". Och fånga alla de magiska ögonblick som är värda att fånga.
Svarta speglar - magisterutbildningen i konstnärlig självreflektion

Tidigare forskning har visat att individer tenderar se sig själva mindre sårbara än genomsnittet, vilket gör att man utsätter sig själv för ett stort risktagande. Syftet med studien var att undersöka om de individer som ser sig mindre sårbara än andra är de som påverkas av reklam och manipulation. I undersökningen deltog 183 studenter, 122 kvinnor och 61 män. Tre olika mätinstrument kombinerades i en enkät. En reklamannons med tillhörande frågor, utarbetad i samarbete med en reklambyrå, ett instrument som mätte en individs Need for Cognition samt ett tredje för att mäta hur sårbar personen såg sig i jämförelse med genomsnittet. Våra hypoteser fick inte stöd men vi lyckades påvisa att det förekom en illusion av osårbarhet och en tredjepersoneffekt bland deltagarna. Förhoppningen är att framtida forskning lyckas ta fram ett mer effektivt mätinstrument som kan visa att illusionen av osårbarhet kan öka en individs manipulationsrisk.

En esta tesis doctoral se deriva un procedimiento de contraste localmente óptimo para la hipótesis nula de cointegración en modelos ARIMA multivariantes. Si existen combinaciones lineales estacionarias entre las variables integradas que componen el sistema objeto de análisis, la diferenciación simultánea de las mismas introduce una estructura MA(1) adicional no invertible en el modelo VARIMA que sigue el vector de series. El procedimiento de análisis que se propone en esta tesis, por tanto, consiste en ajustar un modelo VARIMA al vector de series y detectar la presencia de cointegración contrastando la no invertibilidad del polinomio media móvil. Para ello se deriva la extensión multivariante de los contrastes de no invertibilidad tanto para el modelo básico VIMA(1,1) como para el modelo general VARIMA(p,1,q+1). En este último caso, se propone una corrección paramétrica basada en los residuos exactos del modelo, alternativa a las correcciones no paramétricas habituales en la literatura.
In this doctoral thesis a locally optimal testing procedure for the null of cointegration in multivariate ARIMA models is derived. If there are linear combinations of integrated variables that are stationary, simultaneously differencing them introduces an additional noninvertible MA(1) structure to the VARIMA model that describes the vector of time series. The procedure of analysis proposed in this thesis consists of fitting a VARIMA model to the vector of series and detecting the presence of cointegration testing the noninvertibility of the moving average polynomial. To this aim, the multivariate extension of the noninvertibility tests in the basic model VIMA(1,1) and in the general VARIMA(p,1,q+1) model are derived. In the latter case, a parametric correction based on the exact residuals of the model is proposed, alternative to the non parametric corrections common in the literature.

Återhämtning hos unga är en pågående process, likställd den fysiologiska utvecklingen. Begreppet har olika innebörd utifrån ålder och mognadsgrad. Studiens syfte var att utifrån den unga människans perspektiv, belysa innebörden av återhämtning. Den teoretiska referensramen bygger på Phil Barkers teori Tidvattenmodellen. Datainsamlingen genomfördes i individuella intervjuer, semistrukturerade med en hermeneutisk ansats. Intervjuerna spelades in, transkriberades och analyserades med utgångspunkt i Lindseth och Norbergs metod. Tre huvudteman trädde fram - att bli medveten om hur kaos påverkar, att förstå behov av återhämtning för att må bra samt att reflektera över hur återhämtning kan ske. Resultatet visar att själv bemästra förmågan att återhämta sig, är en viktig del för att främja sin psykiska hälsa, men också ett viktigt verktyg för att lära sig hantera sin psykiska ohälsa. Återhämtningens kraft, är av betydelse vid psykisk ohälsa. Hur ungdomar återhämtar sig är individuellt och sker ofta utan att de själva är medvetna att och när det händer. Ungdomarna vittnar i sina livsberättelser om att det existerar ett stigma kring återhämtning i samhället, där en ständig tillgänglighet tidigt lärs in - behov att vara själv för att slappna av och stänga ute vardagens ständiga brus lyftes fram som särskilt betydande för individens liv.
Recovery in young people is an ongoing process, equated to physiological development. The term has different meanings based on age and maturity. The purpose of the study was to highlight the meaning of recovery, based on the young person's perspective. The theoretical reference frame is based on Phil Barker's theory of tidal model. The data collection was conducted in individual interviews, semistructured with a hermeneutic approach. The interviews were recorded, transcribed and analyzed on the basis of Lindseth and Norberg's method. Three main themes emerged - to become aware of how chaos affect, to understand the need for recovery to feel good, and to reflect on how recovery can take place. The result shows that self-mastering ability to recover is an important part of promoting mental health, but also an important tool for learning how to handle mental illness. The recovery's power is important in mental ill health. How youth recovers is individual and happens often without being conscious and when it happens. The youngsters testify in their life stories that there is a stigma about community recovery, where constant availability is learned early - need to be self to relax and shut out the constant noise of everyday life is highlighted as particularly important to the individual's life.

This study presents research about the virtual experience room, more specific theKarantänfestivalen Unplugged. The purpose of this study is to analyse how the virtualexperience room Karantänfestivalen Unplugged is built and also how committed consumersare during a virtual event. This will be answered by three research questions. The researchquestions affect inclusion of consumers at a distance, important factors from the physicalexperience room and also how consumers judge the virtual experience room in terms ofcomments.The research questions will be answered with help from the model The Virtual ExperienceRoom that is created by the authors of this study. The model is based on the two models TheExperience Room Model and The Four Realms of An Experience. Also the important factorsregarding the experience room from Mossberg and Bitner. The study is written from aqualitative approach where the collection of the data has been done through a case study. Thecase study was made from the virtual experience room Karantänfestivalen Unplugged througha document and video study. The documents and the video was analysed from a contentanalysis with help from the model that was mentioned above.The result shows that Karantänfestivalen Unplugged includes its consumers in a way that itmakes it possible for them to participate more spontaneously than if it was a physical event.And also that the consumers are able to ask questions to the artists and employees of theevent. The main factors in a virtual experience room are considered to be customerengagement, technology, object language and intangible artefacts, which is presented in themodel The Virtual Experience Room. Finally, it can be considered that consumers of a virtualevent will express their opinions through writing in a comment that they will publish on aplatform where the event is being observed.The study is written in Swedish.
I denna studie presenteras forskning kring det virtuella upplevelserummet Karantänfestivalen Unplugged. Syftet med studien är att analysera hur det virtuella upplevelserummet Karantänfestivalen Unplugged är uppbyggt samt hur engagerade konsumenter är under ett virtuellt evenemang. Detta besvaras genom tre forskningsfrågor. Forskningsfrågorna berörinkludering av konsumenter på distans, viktiga faktorer som kan appliceras från det fysiska upplevelserummet samt hur konsumenter bedömer det virtuella upplevelserummet i form av kommentarer. Forskningsfrågorna besvaras med hjälp av den egenskapade modellen Det Virtuella Upplevelserummet som baseras på modellerna The Experience Room Model och The Four Realms of An Experience, samt Mossberg och Bitners viktiga faktorer i ett upplevelserum. Studien är skriven utifrån en kvalitativ infallsvinkel där insamlingen av data har gjorts genomen fallstudie. Fallstudien gjordes på det virtuella upplevelserummet Karantänfestivalen Unplugged genom en dokument- och videostudie. Dokumenten och videon analyserades utifrån en innehållsanalys med hjälp av modellen som tidigare nämnts. Resultatet visar att Karantänfestivalen Unplugged inkluderar konsumenterna genom att spontant deltagande kan ske på ett annat sätt än vid fysiska evenemang samt att konsumenterna får ställa frågor till artisterna och personalen. Huvudfaktorerna i ett virtuellt upplevelserum anses vara kundengagemang, teknologi, object language och ogripbara artefakter, vilket visas i modellen Det Virtuella Upplevelserummet. Slutligen kan det konstateras att konsumenter av ett virtuellt evenemang uttrycker sina åsikter genom att skrivadet i en kommentar som de sedan publicerar på den plattform där de följer sändningen.

Med denna studie vill vi synliggöra vilka rutiner och arbetssätt som används på förskolan i arbete med barn i behov av särskilt stöd. Vidare tar vi reda på hur barns sociala och emotionella utveckling kan påverkas om de inte får det stöd de behöver. Vi har kombinerat semistrukturerade intervjuer med deltagande observationer. Teorierna vi har utgått från är Tomkins affektteori och Tillich ångestteori. Genom teorierna kan vi förstå att när barn ges delaktighet och inflytande stärks deras självkänsla. Studiens huvudsakliga slutsats är att samverkan mellan förskolepersonal, förskolechefer och specialpedagoger ska fungera för att öka möjligheterna till delaktighet och inflytande för barn som är i behov av särskilt stöd. Samarbetet mellan förskolepersonal, förskolechefer och specialpedagoger är förutsättningen för att skapa en förskola som präglas av positivitet som på sikt utvecklar barns sociala och emotionella utveckling.

A suite of real-time statistical forecast models of the Madden-Julian Oscillation (MJO), a large scale, quasi-periodic phenomenon and the dominant mode of variability in the tropics, is presented along with a novel approach to performing real-time intraseasonal data filtering. The study introduces the new technique of empirical mode decomposition (EMD) in a meteorological-climate forecasting context. It identifies empirical adjustments that can be made to the basic EMD method to produce a band-pass filter that is highly efficient at extracting a broad-band signal such as the Madden-Julian oscillation (MJO) with minimal end effects, such that it is suitable for use in realtime. This process is used to efficiently extract the MJO signal from gridded time series of outgoing longwave radiation (OLR) data. A range of statistical models were then tested for their suitability in forecasting the MJO signal in the OLR data, as isolated by the EMD. These were from the general classes of vector autoregressive moving average (VARMA) and neural network models. The models were developed using 17 years of OLR data from 1980 to 1996. Forecasts (hindcasts) were then made on the remaining independent data from 1998 to 2004. These were made in real-time, as only data up to the date the forecast was made were used. A VARMA (5,1) model was selected and its parameters determined by a maximum likelihood method. The median skill of forecasts was accurate (defined as an anomaly correlation above 0.6) at lead times up to 25 days. Four neural network models were created with a range of degrees of freedom in their forecasts. .These had their parameters determined using back propagation methods in a supervised learning manner. The neural network comparable to the VARMA (5,1) model in terms of forecast resolution also had accurate median forecast skill at lead times of 25 days, while the remaining neural network models had accurate median forecast skill at lead times ranging from 15-25 days but with greater spatial resolution. The statistical MJO forecasts developed here perform significantly better than any current· dynamical models and are at least as skillful as other statistical MJO forecasts. Operational model forecasts are available at http://envam1.env.uea.ac.uk/mjo_forecast.html.

Aim: The overall aim of the thesis was to describe the experiences of awake patients during surgery under regional anesthesia. In addition, the aim was to develop a model for intraoperative care that can support and enhance patients’ well-being during the intraoperative period.   Methods: Study I was a patient interview study guided by a reflective lifeworld approach. In study II a philosophical reflection of the findings from study I was carried out. In study III a hermeneutic approach inspired by Ricoeur and Gadamer was used in order to interpret video recorded material. In study IV a hermeneutic approach inspired by Gadamer was used to synthesize the findings in studies I-III transformed into an intraoperative caring model.  Overall main findings: The analysis shows that being awake during surgery can be compared with walking a tightrope because of ambiguous feelings. The proximity and presence of the nurse anesthetist (NA) anchors the patient in the present and strengthens the patient’s feeling of trust. The temporary disruption in the relationship between the body and the world due to regional anesthesia means that the patient’s being in the world is exposed to revolutionary experiences. Gaps between the patient’s experiences and the situation can be bridged over when the NA acts as the patient’s bodily extension and links the patient as a subject to the world in the intraoperative situation. From the patient’s perspective this calls for the NA’s proximity and genuine presence in the ‘intraoperative caring space’. When the NA’s performance of his/her professional duties clashes with the patient’s existential being in the intraoperative situation the need of present presence from the NA is crucial. Conclusions: The findings contribute to knowledge development about intraoperative care and raise awareness that care for the awake patient cannot be performed on formal routines that might disregard the uniqueness of each patient’s situation. The model can be used as a tool to encounter awake patients’ existential needs in the intraoperative situation and to further enlighten NAs about the possible impact of their proximity, interaction and communication behavior in the delivery of intraoperative nursing care.

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A crioterapia com nitrog?nio l?quido tem sido terapeuticamente utilizada em diferentes tipos de tecidos. Entretanto, ainda n?o h? registros na literatura referentes ? sua utiliza??o em canais radiculares. Assim, o objetivo deste trabalho foi elaborar um modelo experimental in vitro para conhecer o comportamento dos tecidos dent?rios na condu??o de temperatura com aplica??o de nitrog?nio l?quido intracanal e estabelecer um protocolo para a sua aplica??o. Termopares fixos ? superf?cie externa radicular nas regi?es apical, m?dia, cervical e no interior do canal foram utilizados como sensores para medidas das varia??es de temperaturas em um dente mantido em banho de calibra??o t?rmica. O agente crioter?pico utilizado foi nitrog?nio l?quido em sistema aberto na forma de spray intracanal na regi?o apical. Os sinais foram digitalizados e analisados em um software. Foram realizados 13 testes com 15 segundos de aplica??o divididos em 3 grupos conforme temperatura ambiente: 20?C, 25 ?C e 27 ?C. As m?dias de temperatura obtidas foram: intracanal, regi?o apical -45,23?C, superf?cie externa radicula r, regi?o apical -19,77?C, regi?o m?dia -17,46?C e regi?o cervical 4,15?C. Concluiu-se que o modelo experimental permite conhecer a condutividade das estruturas dent?rias quando aplicado um agente crioter?pico no interior do canal radicular. Tamb?m se verificou que a aplica??o de nitrog?nio l?quido por 15 segundos no modelo proposto atinge temperaturas capazes de causar morte celular em estruturas de sustenta??o dent?ria localizadas pr?ximas ao ?pice radicular

Den här studien sker mot bakgrund av uppgifter i nyhetsmedier där det berättats om de svårigheter som hemlösa möter om det är föräldrar till barn som inte delar deras situation i hemlöshet. Den sker också mot bakgrund av att Barnkonventionen inom kort inkorporeras i svensk lagstiftning. Studiens syfte är att undersöka hur det sociala problemet “att vara hemlös förälder i missbruk” konstrueras i vetenskapliga texter om två modeller för arbete med motverkan av hemlöshet i Sverige. Studiens syfte är också att skapa en djupare förståelse av om, och i så fall hur, nämnda modellers lösningar möjliggör för föräldern att tillgodose den rätt barnet enligt Barnkonventionen har till sina föräldrar, till bostad och till skydd, genom förälderns deltagande i respektive modell. Studiens metod är kvalitativ innehållsanalys och perspektivanalys utgör både teori och analysmetod utifrån socialkonstruktivistisk grund. De två problemperspektiv vi funnit har vi valt att kalla för ”behandling först – boende sedan” respektive ”boende först – behandling sedan”. De skiljer sig avsevärt från varandra beträffande hur det sociala problemets karaktär, orsak, konsekvenser, lösning och utveckling konstrueras. Det visar sig också finnas skillnader mellan hur problemperspektiven möjliggör tillgodoseendet av barnets rättigheter enligt Barnkonventionen. En viktig slutsats är avsaknaden av tydliga barnperspektiv i de bägge problemperspektiven. Studien finner även att ”behandling först – boende sedan” är ett problemperspektiv som bygger på en voluntaristisk orsaksförklaring medan ”boende först – behandling sedan” istället bygger på en deterministisk.

The aim of the study has been to gain an increased understanding of the sense of participation and influence that the enrolled nurses, working with home-help services within the purchaser – provider model, feel and how this participation and influence affect them. Five enrolled nurses in three of Stockholm's districts related their experiences of participation and influence at work in the qualitative interviews that were conducted. The result was then analyzed with the help of two theories, Karasek's and Theorell´s Demand- Control Model and Antonovsky's theory regarding ”a Sense of Coherence (SOC)”. The analyzes show that the enrolled nurses have a low sense of participation and influence regarding decisions relating to their work situation. Decisions that affect the enrolled nurses are made by politicians, directors, and care managers of the city districts (biståndshandläggare). On the other hand, the enrolled nurses felt strong support from their peers at work. They could socialize and discuss issues with them. The analyzes show that without their peer support, they would have a lower sense of participation and influence. Furthermore the analyzes show that the interview subjects possess knowledge and competence that they are unable to make use of in their work.

Avhandlingens övergripande syfte var att klarlägga sjuksköterskors erfarenheter av sjuksköterskeprofessionen avseende omvårdnad, handledning och utveckling. Avhand‐lingen innefattar två kvalitativa (I, II) och två kvantitativa (III, IV) studier. Femton sjuksköterskor intervjuades sex år efter examen (I, II). Sjuksköterskorna var bland de första i Sverige med treårig sjuksköterskeutbildning. Handledare till sjuksköterske‐studenter i verksamhetsförlagd utbildning besvarade ett frågeformulär om handledning före/efter införd handledningsmodell (III, IV). I handledningsstudierna deltog 113 sjuksköterskor år 2000 (III) och 109 (III) respektive 142 (IV) sjuksköterskor år 2006. Svarsfrekvensen motsvarade ca 71% (III, IV). Innehållsanalys (I, II) och statistiska beräk‐ningar (III, IV) utfördes. Analysen visade att sjuksköterskor med treårig sjuksköterskeutbildning och sex års erfarenhet hade hittat sin nisch (II). Ingen ångrade sitt yrkesval. Många var under‐stimulerade samtidigt som de balanserade mellan påfrestning och stimulans (I) hinder och möjligheter (II). Flertalet var tveksamma till om de skulle orka arbeta fram till pensionsåldern (I, II). Inrättandet av en handledningsmodell som gav stöd till både sjuksköterskestudenter och handledare visade sig vara ett bra sätt i att organisera samverkan mellan handledare och lärare (III). Flertalet handledare var nöjda med det stöd de fått och upplevde säkerhet i handledarrollen (III). Emellertid, sjuksköterskor med och utan specialistutbildning värderade sjuksköterskestudenter olika (IV). Behovet av ett fokuserat lärande visades som ett mönster genom resultaten (I, II, III, IV). Avhandlingen visar genom resultaten att sjuksköterskor verkar i en komplex pro‐fession där det krävs skickliga sjuksköterskor för att klara det arbete sjuksköterskan är satt att sköta. För framgång i omvårdnad, handledning och utveckling är den lärande miljön central. En miljö där teori, praktik, forskning och reflektion vävs samman och där stöd, samverkan och professionell utveckling är ledstjärnor. Avhandlingen visar att en ökad samverkan mellan vårdverksamhet och universitet/högskola är nödvändig för att sjuksköterskeutbildningen och omvårdnadsarbetet skall kunna anpassas till hälso‐ och sjukvårdens ökade krav. Avhandlingens resultat kan användas som grund för fortsatta diskussioner med hänsyn till omvårdnadsvetenskap och beslut kring sjuksköterskans arbete såväl i utbildningssammanhang som i vårdverksamhet.
The overall aim of this thesis was to elucidate Registered Nurses’ (RNs) experiences of the nursing profession regarding nursing, preceptoring and professional development. The thesis includes two qualitative studies (I, II) and two quantitative studies (III, IV). Fifteen RNs were interviewed six years after graduation (I, II). These nurses were among the first in Sweden to graduate from the 3‐year Bachelor programme in nursing. Preceptors for nursing students in clinical education answered a questionnaire regarding experiences of the preceptor role before/after the introduction of a preceptor model (III, IV). In the studies related to preceptoring 113 RNs participated in 2000 (III), and 109 (III) respectively 142 (IV) RNs participated in 2006, with similar response rates of roughly 71% (III, IV). A content analysis (I, II), and statistic analysis (III, IV) were performed. The analysis showed that RNs graduates from the Bachelor programme in nursing, with six years nursing experience, had found their niche (II). None regretted the choice of profession. Several were under stimulated at the same time as they oscillated between strain and stimulation (I) and between obstacles and opportunities (II). The majority thought that growing old in nursing could prove to be difficult (I, II). The introduction of the preceptor model, with its support to both nursing students and preceptors, showed how to organize co‐operation between preceptors and teachers (III) successfully. The majority of the preceptors were satisfied with the support they had received and experienced a feeling of confidence in their role as preceptor (III). However, specialist nurses and non‐specialist‐nurses valued nursing students differently (IV). The necessity of adopting focused learning emerged as a pattern (I, II, III, IV). The results of the thesis show that RNs work in a complex profession that demands skilled nurses to accomplish the tasks they are required to perform. To successful nursing, preceptoring and development the teaching environment is pre‐dominant. It is an environment where theory, practice, research, feedback and reflection are interwoven and where support, co‐operation and professional development are the guiding‐stars. The thesis shows an increased co‐operation between the healthcare organization and university is necessary in order to adapt the nursing education and profession to the ever increasing demands in health care. The results of the thesis are a contribution to continued discussions regarding nursing science and RN’s work from both educational and health care context.

Syftet med undersökningen är att arbeta fram en modell för hur företag bör arbeta innan, under och efter en kris för att bevara sitt varumärke. Studien baseras på en kvalitativ undersökning där primärdata insamlats via intervjuer med sex experter inom området kriskommunikation. Ett abduktivt tillvägagångssätt har används då fokus växlat mellan empiri och teori, men där största fokus legat på empirin. Teorin har insamlats via litteraturstudie där vetenskapliga artiklar hämtats från olika databaser, såsom google scholar och ABI/inform. Slutsatsen genererar i ett verktyg i form av en modell som ger riktlinjer på hur företag kan arbeta innan en kris för att förebygga och förbereda. Den visar även på hur företag arbetar under en kris för att minimera skadan av den samt hur de på bästa sätt kan återhämta sig från den. Modellens sista del beskriver även hur företag bör arbeta efter en kris för att ta lärdom av de misstag som gjorts och förebygga att de genomgår en liknande krissituation.
The purpose of this thesis is to develop a model for how businesses should work before, during and after a Crisis to maintain their brand. The study is based on a research where primary data has been collected through six interviews with experts within the area of crisis communication. An abductive method has been used since focus is shifting between empiri and theory, but where the focus mainly lies on the empirical study. Scientific articles have been collected for the theoretical framework and been gathered from databases such as google scholar and ABI/inform. The conclusion represents a tool as a model that will give companies guidelines in how to work before a crisis to detect, prevent and prepare the company. It also shows how companies should work during the crisis to minimize the effect and recover from it. The last part of the model shows how the company should work after the crisis to learn from it and prevent a similar crisis in the future.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico
Neste trabalho foi realizado um experimento numÃrico com o modelo BRAMS (Brazilian Regional Atmospheric Modeling System) com a finalidade de estudar as mudanÃas verificadas nas variÃveis de superfÃcie devido Ãs variaÃÃes dos parÃmetros de superfÃcie tais como, umidade do solo e a classe de vegetaÃÃo no Nordeste do Brasil que alimentam o BRAMS. Foram feitas trÃs simulaÃÃes, a primeira (simulaÃÃo controle) foi inicializadas com os arquivos padrÃes do prÃprio modelo, a segunda simulaÃÃo foi mantido a classe de vegetaÃÃo padrÃo (Deciduous shrub) alterando apenas a umidade do solo e a terceira simulaÃÃo altera a vegetaÃÃo para semi-deserto alÃm de reduzir a umidade do solo. TambÃm foi realizada uma validaÃÃo do modelo com uma umidade de solo calculada a partir de dados observados de precipitaÃÃo. Verifica-se que a umidade do solo e a vegetaÃÃo tÃm uma forte influÃncia sobre o clima da regiÃo Nordeste do Brasil, porÃm nÃo à muito significativa na previsÃo do tempo.
In this work a numeric experiment was accomplished with the model BRAMS (Brazilian Regional Atmospheric Modeling System) with the purpose of studying the changes in the surface variables due to the variations of the surface parameters as soil moisture and the vegetation class in the Northeast of Brazil which are input in BRAMS. They were made three simulations, the first (simulation control) it was initialized with the standard files of the own model, the second simulation was maintained the class of vegetation pattern (Deciduous shrub) and just altering the soil moisture and the third simulation alters the vegetation for semi-desert besides reducing the humidity of the soil. Also a validation of the model was accomplished with a soil humidity made calculations starting from observed data of precipitation. It is verified that the humidity of the soil and the vegetation have a strong influences on the climate of the Northeast area of Brazil; however it is not very significant in the weather forecast.

Arbetsplatsen är en betydelsefull arena för människor då en stor del av livet spenderas i arbetslivet och det medför att det är viktigt med hälsofrämjande och förebyggande arbete. Arbetslivet har under de senaste åren förändrats mycket på grund av informations- och kommunikationsteknikens utveckling vilket möjliggjort ett flexiblare arbetssätt och att en stor del av arbetet bedrivs med hjälp av teknik. Förändringen inom hur och när anställda utför sitt arbete motiverar studier som vill öka förståelsen för anställdas upplevelser av tillgänglighet i arbetslivet. Syftet med studien är att undersöka hur anställda upplever sin hälsa i relation till att vara tillgänglig i arbetet. En kvalitativ metod valdes med ett urval av fem personer verksamma inom konsult- och rådgivningsbranschen intervjuades. Intervjumaterialet analyserades med en manifest innehållsanalys. Resultatet visar att det upplevdes finnas både för- och nackdelar med att vara tillgänglig i arbetet. Tillgängligheten medför kontroll över anställdas arbete men det uppstår även en upplevelse av behov av att vara tillgänglig vilket medför en negativ påverkan på anställdas hälsa i form av stress. Det visar även på att arbetsgivaren har ett visst ansvar för att stötta sina anställda att hantera tillgängligheten för att arbeta mer hälsofrämjande med anställdas hälsa och en hälsofrämjande arbetsplats.
The workplace is an important arena for people since they spend a significant amount of their lifetime with work. This imposes that the workplace is an important arena for health promotion. The development of information and communication technology during the last decades has contributed to new ways of working in terms of flexibility and how work is performed. The change in how and when employees perform their work motivates further studies to increase the understanding of employees’ experience of the availability of work. The purpose of this study is to examine how employees perceive their health in relation to be available for work. A qualitative approach was selected in which five individuals working in consulting and advisory services industry were interviewed. The interviews were analyzed with a manifest content analysis. The result indicates that perceptions of availability for work comes with both advantages and disadvantages. Accessibility provides enhanced control over work tasks but there is also a perceived need to be available. Which can result in a negative impact on employees’ health in the form of stress. The study further indicates that the employer has a certain responsibility to support their employees to cope with the challenges that comes with availability to actively promote the health of employees.

Outsourcing är ett väletablerat begrepp som det har skrivits mycket om. När ett företag lägger ut delar av sin verksamhet till ett annat företag, så är det inte helt ovanligt att man utnyttjar en konsult för att hantera den praktiska processen. Den så kallade outsourcingprocessen. Konsulten (mellanhanden) marknadsför sig mot kunden (den outsourcande parten) som en motpol till de leverantörer (den part som verksamheten outsourcas till) som har stor erfarenhet av outsourcingprocessen och därmed ett övertag vid förhandlingar. Författarna vill i sin undersökning nå fram till en mer nyanserad bild av vilka fördelar respektive nackdelar det finns med att anlita en konsult av motsvarande slag. Den huvudsakliga frågeställningen i uppsatsen är följande: Under vilka förutsättningar borde ett företag kunna dra nytta av en mellanhand vid outsourcing. Syftet med detta är att ta fram en modell som anger under vilka förutsättningar som det kan anses motiverat att anlita en konsult för att hantera outsourcingprocessen. Uppgiften löses genom användandet av en kvalitativ metod; vilket i praktiken i detta fall innebär att resultatet från intervjuer och litteraturstudier tolkas. Uppsatsen inleds med en förstudie som baserar sig på intervju- och litteraturstudier. Resultaten från denna förstudie mynnar ut i ett utkast till en modell som är ämnad att korrespondera med vår frågeställning. Den empiri som bildar fyllningen i vår modell är upphängd över en ram som utgörs av en beslutsmodell. Efter att det första förslaget har tagits fram, testas den. I denna process låter vi en särskilt tillsatt grupp av experter granska modellen och avge kritik beträffande densamma. Vilket i sin tur ger den slutgiltiga modellen. Resultatet från undersökningen är en fantastiskt bra modell för den som är intresserad av att ta reda på under vilka förutsättningar ett företag kan dra nytta av en mellanhand i outsourcingprocessen.

Under år 2015 genomförde en forskargrupp vid Luleå tekniska universitet en landsomfattande undersökning av gymnasielärares arbetsvillkor. Undersökningen bestod av 57 kvantitativa- och två kvalitativa delfrågor (Parding, m. fl., 2018). Den här undersökningen baseras på kvalitativ tolkning av 1.443 gymnasielärares öppna svar på de två öppna kvalitativa del-frågorna. Studien avser att identifiera faktorer som de offentlig- och aktiebolagsanställda gymnasielärarna anser utgör såväl möjligheter som hinder och utmaningar i deras yrke avseende arbetsmiljö och arbetsvillkor. Studien avser även att studera huruvida det föreligger skillnader och/eller likheter mellan gymnasielärares uppfattningar utifrån huvudmannaskap och vilka faktorer som påverkar gymnasielärarnas beslut att stanna respektive lämna yrket. För att bättre förstå och förklara studiens resultat nyttjas Robert Karasek och Töres Theorells (1990) två- och tredimensionella modeller avseende psykosocial arbetsmiljö. Resultatet tyder på att det råder en utbredd samstämmighet kring flertalet uppfattningar om yrket bland såväl offentlig- som aktiebolagsanställda gymnasielärare. Av resultatet framgår att majoriteten av gymnasielärarna, oavsett huvuvdman, upplever kommunaliseringen, friskole-reformen, de högt ställda kraven, de administrativa arbetsuppgifterna och bristen på kring-personal i skolan som yrkets största hinder. Vidare framgår det att de flesta gymnasielärare anser att lönenivån, yrkets status och bristande socialt stöd från skolledare utgör hinder i deras arbete. De anser därtill att det är inom dessa områden som de viktigaste förbättringsmöjlig-heterna finns och faktorerna anges samtidigt som skäl till att lämna yrket. Gymnasielärarna efterfrågar dessutom mer kompetensutveckling och samverkan i allmänhet och inom det egna undervisningsämnet i synnerhet. Merparten av gymnasielärarna anser att undervisningen är det bästa med yrket och är anledningen till att de stannar kvar i yrket. Av resultatet kan inte tydliga skillnader skönjas mellan offentlig- och aktiebolagsanställda gymnasielärares upp-fattningar kring yrket. De skillnader som kan skönjas i resultatet kan snarare tolkas bero på den enskilde gymnasielärarens specifika arbetssituation än på huvudmannaskap. Resultatet stödjer Karasek och Theorells (1990) teorier om att den psykosociala arbetsmiljön påverkas av gymnasielärarnas upplevelse av krav och kontroll i det egna arbetet och socialt stöd från ledare och kollegor.
During the year of 2015, a research group at Luleå University of Technology conducted a nationwide survey of upper secondary school teachers' working conditions. The study consisted of 57 quantitative- and two qualitative sub-questions (Parding, et al., 2018). This study is based on qualitative interpretation of 1,443 upper secondary school teachers' open answers to the two open qualitative sub-questions. The study intends to identify factors that public- and private sector employed upper secondary school teachers consider to be opportunities, obstacles and challenges in their profession, in regards of work environment and working conditions. The study also intends to study whether there are differences and/or similarities between public- and private sector employed upper secondary school teachers' perceptions about their work situation. Moreover the study intends to study what factors affect the upper secondary school teachers' decision to stay or leave the profession. In order to better understand and explain the study's results, Robert Karasek and Töres Theorells (1990) two- and three dimensional models regarding psychosocial work environment are used. The result suggests that there is widespread consensus among the public- and the private sector employed upper secondary school teachers’ perceptions of the profession. The result shows that the majority of upper secondary school teachers experience the municipalization, the free-school reform, the high demands, the administrative tasks and the lack of staff in the school as the greatest obstacle to the profession. Furthermore, most of the upper secondary school teachers in this study consider that the salary level, the profession's status and lack of support from school leaders constitute obstacles in their work. They also consider that it is in these areas that the most important improvement opportunities exist, but also constitute reasons for leaving the profession. The upper secondary school teachers also demand more skill development and collaboration in general and within their own teaching subject in particular. Most of the upper secondary school teachers indicate that teaching is the part of the profession that is the profession's main merit and is the reason why they stay in the profession. In the result, no clear differences can be discerned between public and private sector upper secondary school teachers' perceptions of the profession. The differences that can be discerned in the result can rather be interpreted due to the specific work situation of the individual upper secondary school teacher than to the management. The result supports Karasek and Theorells (1990) theories that the psychosocial work environment is influenced by the upper secondary school teachers' experience of demand and control at work and social support from leaders and colleagues. During the year of 2015, a research group at Luleå University of Technology conducted a nationwide survey of upper secondary school teachers' working conditions. The study consisted of 57 quantitative- and two qualitative sub-questions (Parding, et al., 2018). This study is based on qualitative interpretation of 1,443 upper secondary school teachers' open answers to the two open qualitative sub-questions. The study intends to identify factors that public- and private sector employed upper secondary school teachers consider to be opportunities, obstacles and challenges in their profession, in regards of work environment and working conditions. The study also intends to study whether there are differences and/or similarities between public- and private sector employed upper secondary school teachers' perceptions about their work situation. Moreover the study intends to study what factors affect the upper secondary school teachers' decision to stay or leave the profession. In order to better understand and explain the study's results, Robert Karasek and Töres Theorells (1990) two- and three dimensional models regarding psychosocial work environment are used. The result suggests that there is widespread consensus among the public- and the private sector employed upper secondary school teachers’ perceptions of the profession. The result shows that the majority of upper secondary school teachers experience the municipalization, the free-school reform, the high demands, the administrative tasks and the lack of staff in the school as the greatest obstacle to the profession. Furthermore, most of the upper secondary school teachers in this study consider that the salary level, the profession's status and lack of support from school leaders constitute obstacles in their work. They also consider that it is in these areas that the most important improvement opportunities exist, but also constitute reasons for leaving the profession. The upper secondary school teachers also demand more skill development and collaboration in general and within their own teaching subject in particular. Most of the upper secondary school teachers indicate that teaching is the part of the profession that is the profession's main merit and is the reason why they stay in the profession. In the result, no clear differences can be discerned between public and private sector upper secondary school teachers' perceptions of the profession. The differences that can be discerned in the result can rather be interpreted due to the specific work situation of the individual upper secondary school teacher than to the management. The result supports Karasek and Theorells (1990) theories that the psychosocial work environment is influenced by the upper secondary school teachers' experience of demand and control at work and social support from leaders and colleagues.

Bakgrund

Svensk sjukvård har idag bland de bästa behandlingsresultaten i Europa, men trots det förs diskussionen om sjukvården ofta i negativa ordalag. I ett försök att förbättra synen på verksamheten och bli mer effektiva har sjukvården i Sverige ofta använt sig av kommersiella

modeller, modellerna har dock behövt anpassas för att fungera i sjukvårdens miljö. En av de senaste kommersiella modellerna som nu införs i den svenska sjukvården är Lean Healthcare,som är sjukvårdens version av Toyotas produktionsfilosofi Lean Production. En stor del av

tidigare forskning på området har behandlat Lean Production men lite finns att tillgå som handlar om Lean Healthcare. Den här studien är ett bidrag till att utöka kunskapen om Lean Healthcare i Sverige.

Syfte

Syftet med den här studien är att beskriva hur Lean-filosofin fungerar i den svenska sjukvården samt att göra en jämförelse mellan Lean Production och andra kommersiella modeller som tidigare har införts i den svenska sjukvården.

Genomförande

Med hjälp av intervjuer på tre svenska sjukvårdsenheter har en fallstudie med fokus på Lean Production och Lean Healthcare genomförts.

Resultat

Resultatet av studien visar att Lean Healthcare, i likhet med tidigare modeller, har krävt anpassningar för att fungera i sjukvårdens kontext. Det har bland annat visat sig i att de undersökta enheterna endast har infört vissa delar av filosofin.

Background

Swedish healthcare has today among the best treatment results in Europe, despite that the discussion about healthcare in Sweden is often pursued in negative terms. In an attempt to enhance the opinion about the organization and try to become more efficient, Swedish

healthcare has often used commercial models, however, the models has needed adjustments to function in the healthcare environment. One of the latest models that now are implemented in Swedish healthcare is Lean Healthcare which is the healthcare version of Toyota´s production

philosophy Lean Production. Much of the previous research has focused on Lean Production but little is to be found about Lean Healthcare. This study is a contribution to extend the knowledge about Lean Healthcare in Sweden.

Aim

The aim with this study is to describe how the Lean philosophy functions in Swedish healthcare and to compare Lean Production with other commercial models that earlier have been implemented in Swedish healthcare.

Completion

Through interviews on three healthcare units in Sweden a case study has been conducted with focus on Lean Production and Lean Healthcare.

Findings

The findings of this study show that Lean Healthcare, in resemblance with earlier commercial models, has needed adjustments to function in the healthcare context. It has also shown that the examined units only have implemented some of the parts of the philosophy.

Background: One of the biggest threat of our time is the environmental impact caused by humans, for example thru emissions of greenhouse gases. The manufacturing industry, of which the automotive industry is a part, stands for a big part of these emissions, and today companies have to face big challenges regarding measuring and reducing of their carbon footprint. To work in a successful way with the environmental impact of a manufacturing industry, process mapping and identification of environmental parameters need to be done. Purpose: The purpose of this study is to do a situation analysis by identify what parameters in a logistic flew between the activities unloading goods and assembly at Scania Oskarshamn. Furthermore, the report supposed to create and develop a model for calculation of the environmental impact of a logistic flew based on environmental parameters. Methodology: This report is a case study that have been performed at the Scania site in Oskarshamn. The report aim to create and develop a calculation model for calculation of the environmental impact of a logistic flew. Empirical material has been collected thru both interviews and by searching in Scania ́s own database. In order to create the model, a situation analysis was made by performing a process map and then environmental parameters was identified. Employers at Scania tested the calculation model, which is the result of this study, in order to secure the function of the model. Conclusions: A specific flew of goods between the activities unloading goods and assembly was identified and several environmental parameters was detected and grouped in the three categories; energy use, resource consumptions and waste. Calculations are performed in CO2 equivalents according to the global warming potential named by UN in the Kyoto protocol. This in order to enable comparisons between the different environmental parameters. The model is performed as an Excel model because this is the program that the company use for this types of calculations, and according to the author Excel is a program suitable for the kind of model making performed in this study.
Bakgrund: Ett av vår tids största hot är den miljöpåverkan som människan ger upphov till, bland annat genom utsläpp av växthusgaser i form av koldioxid. Den industriella industrin, av vilken fordonsindustrin är en del, står för en stor andel av dessa och enorma utmaningar ställs idag på företag att kunna mäta och reducera de klimatavtryck som verksamhet gör. För att på ett framgångsrikt sätt kunna arbeta med en verksamhets klimatavtryck behöver en kartläggning av dess processer och identifierande av miljöpåverkande parametrar göras. Syfte: Rapportens syfte är att utifrån en nulägesbeskrivning identifiera miljöpåverkande parametrar i logistikflödet mellan lossning och monteringslinorna i monteringsverkstaden hos Scania i Oskarshamn. Vidare ämnar rapporten att presentera en beräkningsmodell för miljöpåverkan i det utvalda logistikflödet hos Scania i Oskarshamn, med relevanta nyckeltal som baserats på identifierade miljöpåverkande parametrar. Genomförande: Denna rapport är en fallstudie som genomförts på Scanias avdelning för hyttillverkning i Oskarshamn. Målet med arbetet har varit att konstruera en modell för beräkning av den miljöpåverkan som ett logistikflöde ger upphov till. Empiriskt material har inhämtats både genom intervjuer och data sökning i Scanias egna databaser avseende emballage. För att kunna konstruera en modell har en processkartläggning genomförts, sedan miljöpåverkande parametrar identifierats för att till sist möjliggjort utvecklandet av en modell för miljöberäkning. Denna modell har sedan testats på en pilotgrupp bestående av anställda på fallföretaget samt andra examensarbetare som genomfört andra fallstudier på företaget. Slutsats: Ett specifikt flöde mellan lossning av gods och montering har identifierats och avgränsats i studien där ett flertal miljöpåverkande parametrar identifierats i studerat logistikflöde och dessa har delats in i tre grundtyper: Energiutnyttjande, resursförbrukning och avfall. Miljöberäkningar genomförs i CO2-ekvivalenter i enlighet med FN:s global warming potential för att möjliggöra jämförelser mellan de olika miljöpåverkande parametrarna. Modellen presenteras i Excell-format då detta dels är det verktyg som fallföretaget anser är det mest använda men också för att programmet i sig lämpar sig utmärkt för den typ av modellbyggande som förekommit i detta arbete.

The purpose of this thesis is to develop a model that will guide a company towards a decision of whether to

change the current due date of work orders or not. The model will help the company to reveal the technical and

financial factors that will be affected and how these factors can be assessed. After accomplishing a thorough

literature review, we found no existing practical models in this specific area. We developed a model to cover this

gap in the existing theories. A case study approach was used to test the developed model on our case company

Elitfönster in Lenhovda who manufactures windows. We applied our model at the processing department and the

change concerned going from a weekly to a daily due date of work orders. The technical factors that would be

affected by the change of the due date are; setup times, lead time and output of components. The financial

factors that will be affected are the tied-up capital and the manning. We found that a change could not be carried

through without a purchase of an extra plane. The model also showed that the financial benefits that the change

generated could not surpass the costs that an extra plane would cause. Thereby, our recommendations to the

case company are to keep the current due date of work orders until the rest of the company can handle the extra

components that can be produced after the change.

Syftet med denna uppsats är att utveckla en modell som ska vägleda ett företag mot ett beslut om man ska

ändra den nuvarande tidpunkt när en arbetsorder ska vara färdigställd, eller inte. Modellen kommer att hjälpa

företaget att påvisa de tekniska och finansiella faktorer som kommer att påverkas och hur dessa kan bedömas.

Efter att ha gjort en grundlig litteraturstudie kunde vi inte hitta några existerande modeller inom detta specifika

område. Vi utvecklade en modell för att täcka denna brist i den existerande teorin. Vi använde oss av en

fallstudie för att testa vår utvecklade modell på Elitfönster i Lenhovda som tillverkar fönster. Vi applicerade vår

modell på maskinverkstaden och förändringen handlade om att gå från att färdigställa arbetsorder på en vecka

till att färdigställa dem på en dag. De tekniska faktorer som skulle påverkas av en förändring är; ställtiderna,

ledtiden och mängden producerade komponenter. De finansiella faktorerna som kommer att påverkas är

mängden bundet kapital samt bemanningen. Vi kom fram till att en förändring inte kunde genomföras utan att

köpa in en extra hyvel. Modellen visade också att de finansiella fördelarna som en förändring skulle generera

inte skulle motsvara de kostnader som den extra hyveln skulle orsaka. Våra rekommendationer till företaget är

således att fortsätta med den nuvarande tidpunkt när en arbetsorder ska vara färdigställd tills resten av företaget

kan hantera de extra komponenter som skulle kunna bli producerade efter förändringen.

This is a comparative study of how the concept of democracy is presented in textbooks for Civics education used in basic adult education and secondary school. The method used in the study is a qualitative text analysis and the theoretical framework is based on the democratic ideal models electoral, participatory, and deliberative democracy. The analysed material consists of four textbooks: two books used in adult education and two used in secondary school. The study shows that electoral aspects of democracy are clearly dominant in the textbooks used in adult education, while both electoral and participatory aspects are more salient in textbooks used in secondary school. Deliberative aspects are the least common in all textbooks.

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The maintenance and evolution of software systems have become a critical task over the last years due to the diversity and high demand of features, devices and users. The ability to understand and analyze how newly introduced changes impact the quality attributes of the architecture of those software systems is an essential prerequisite for avoiding the deterioration of the engineering quality of them during their evolution. This thesis proposes an automated approach for the deviation analysis of the quality attribute of performance in terms of execution time (response time). It is implemented by a framework that adopts dynamic analysis and mining software repository techniques to provide an automated way to revel potential sources - commits and issues - of performance deviation in scenarios of an evolving software system. The approach defines four phases: (i) preparation - choosing the scenarios and preparing the target releases; (ii) dynamic analysis - determining the performance of scenarios and methods by calculating their execution time; (iii) deviation analysis - processing and comparing the results of the dynamic analysis for different releases; and (iv) repository mining - identifying development issues and commits associated with performance deviation. Several empirical studies have been developed to assess the approach from different perspectives. An initial study shows the feasibility of the approach to support traceability of quality attributes with static analysis. An exploratory study analyzed the usefulness and domain independence of the proposal in automatically identifying source code assets with performance deviation and the changes that have affected them during an evolution. This study was performed using three systems: (i) SIGAA - a web academic management system; (ii) ArgoUML - an UML modeling tool; and (iii) Netty - a network application framework. A third study has performed an evolutionary analysis of applying the approach to multiple releases of Netty, and the web frameworks Wicket and Jetty. It has analyzed twenty-one releases (seven releases of each system) and addressed a total of 57 scenarios. Overall, we have found 14 scenarios with significant performance deviation for Netty, 13 for Wicket, and 9 for Jetty. In addition, the feedback obtained from an online survey with eight developers of Netty, Wicket and Jetty is also discussed. Finally, in our last study, we built a performance regression model in order to indicate the properties of code changes that are more likely to cause performance degradation. We mined a total of 997 commits, of which 103 were retrieved from degraded code assets, 19 from optimized, while 875 had no impact on execution time. Number of days before release and day of week were the most relevant variables of commits that cause performance degradation in our model. The receiver operating characteristic (ROC) area of our regression model is 60%, which means that deciding if a commit will cause performance degradation or not by using the model is 10% better than a random guess.
A manuten??o e evolu??o de sistemas de software tornou-se uma tarefa bastante cr?tica ao longo dos ?ltimos anos devido ? diversidade e alta demanda de funcionalidades, dispositivos e usu?rios. Entender e analisar como novas mudan?as impactam os atributos de qualidade da arquitetura de tais sistemas ? um pr?-requisito essencial para evitar a deteriora??o de sua qualidade durante sua evolu??o. Esta tese prop?e uma abordagem automatizada para a an?lise de varia??o do atributo de qualidade de desempenho em termos de tempo de execu??o (tempo de resposta). Ela ? implementada por um framework que adota t?cnicas de an?lise din?mica e minera??o de reposit?rio de software para fornecer uma forma automatizada de revelar fontes potenciais ? commits e issues ? de varia??o de desempenho em cen?rios durante a evolu??o de sistemas de software. A abordagem define quatro fases: (i) prepara??o ? escolher os cen?rios e preparar os releases alvos? (ii) an?lise din?mica ? determinar o desempenho de cen?rios e m?todos calculando seus tempos de execu??o? (iii) an?lise de varia??o ? processar e comparar os resultados da an?lise din?mica para releases diferentes? e (iv) minera??o de reposit?rio ? identificar issues e commits associados com a varia??o de desempenho detectada. Estudos emp?ricos foram realizados para avaliar a abordagem de diferentes perspectivas. Um estudo explorat?rio analisou a viabilidade de se aplicar a abordagem em sistemas de diferentes dom?nios para identificar automaticamente elementos de c?digo fonte com varia??o de desempenho e as mudan?as que afetaram tais elementos durante uma evolu??o. Esse estudo analisou tr?s sistemas: (i) SIGAA ? um sistema web para ger?ncia acad?mica? (ii) ArgoUML ? uma ferramenta de modelagem UML? e (iii) Netty ? um framework para aplica??es de rede. Outro estudo realizou uma an?lise evolucion?ria ao aplicar a abordagem em m?ltiplos releases do Netty, e dos frameworks web Wicket e Jetty. Nesse estudo foram analisados 21 releases (sete de cada sistema), totalizando 57 cen?rios. Em resumo, foram encontrados 14 cen?rios com varia??o significante de desempenho para Netty, 13 para Wicket e 9 para Jetty. Adicionalmente, foi obtido feedback de oito desenvolvedores desses sistemas atrav?s de um formul?rio online. Finalmente, no ?ltimo estudo, um modelo de regress?o para desempenho foi desenvolvido visando indicar propriedades de commits que s?o mais prov?veis a causar degrada??o de desempenho. No geral, 997 commits foram minerados, sendo 103 recuperados de elementos de c?digo fonte degradados e 19 de otimizados, enquanto 875 n?o tiveram impacto no tempo de execu??o. O n?mero de dias antes de disponibilizar o release e o dia da semana se mostraram como as vari?veis mais relevantes dos commits que degradam desempenho no nosso modelo. A ?rea de caracter?stica de opera??o do receptor (ROC ? Receiver Operating Characteristic) do modelo de regress?o ? 60%, o que significa que usar o modelo para decidir se um commit causar? degrada??o ou n?o ? 10% melhor do que uma decis?o aleat?ria.

Avec les avancements de la technologie de l'information, les données temporelles économiques et financières sont de plus en plus disponibles. Par contre, si les techniques standard de l'analyse des séries temporelles sont utilisées, une grande quantité d'information est accompagnée du problème de dimensionnalité. Puisque la majorité des séries d'intérêt sont hautement corrélées, leur dimension peut être réduite en utilisant l'analyse factorielle. Cette technique est de plus en plus populaire en sciences économiques depuis les années 90. Étant donnée la disponibilité des données et des avancements computationnels, plusieurs nouvelles questions se posent. Quels sont les effets et la transmission des chocs structurels dans un environnement riche en données? Est-ce que l'information contenue dans un grand ensemble d'indicateurs économiques peut aider à mieux identifier les chocs de politique monétaire, à l'égard des problèmes rencontrés dans les applications utilisant des modèles standards? Peut-on identifier les chocs financiers et mesurer leurs effets sur l'économie réelle? Peut-on améliorer la méthode factorielle existante et y incorporer une autre technique de réduction de dimension comme l'analyse VARMA? Est-ce que cela produit de meilleures prévisions des grands agrégats macroéconomiques et aide au niveau de l'analyse par fonctions de réponse impulsionnelles? Finalement, est-ce qu'on peut appliquer l'analyse factorielle au niveau des paramètres aléatoires? Par exemple, est-ce qu'il existe seulement un petit nombre de sources de l'instabilité temporelle des coefficients dans les modèles macroéconomiques empiriques? Ma thèse, en utilisant l'analyse factorielle structurelle et la modélisation VARMA, répond à ces questions à travers cinq articles. Les deux premiers chapitres étudient les effets des chocs monétaire et financier dans un environnement riche en données. Le troisième article propose une nouvelle méthode en combinant les modèles à facteurs et VARMA. Cette approche est appliquée dans le quatrième article pour mesurer les effets des chocs de crédit au Canada. La contribution du dernier chapitre est d'imposer la structure à facteurs sur les paramètres variant dans le temps et de montrer qu'il existe un petit nombre de sources de cette instabilité. Le premier article analyse la transmission de la politique monétaire au Canada en utilisant le modèle vectoriel autorégressif augmenté par facteurs (FAVAR). Les études antérieures basées sur les modèles VAR ont trouvé plusieurs anomalies empiriques suite à un choc de la politique monétaire. Nous estimons le modèle FAVAR en utilisant un grand nombre de séries macroéconomiques mensuelles et trimestrielles. Nous trouvons que l'information contenue dans les facteurs est importante pour bien identifier la transmission de la politique monétaire et elle aide à corriger les anomalies empiriques standards. Finalement, le cadre d'analyse FAVAR permet d'obtenir les fonctions de réponse impulsionnelles pour tous les indicateurs dans l'ensemble de données, produisant ainsi l'analyse la plus complète à ce jour des effets de la politique monétaire au Canada. Motivée par la dernière crise économique, la recherche sur le rôle du secteur financier a repris de l'importance. Dans le deuxième article nous examinons les effets et la propagation des chocs de crédit sur l'économie réelle en utilisant un grand ensemble d'indicateurs économiques et financiers dans le cadre d'un modèle à facteurs structurel. Nous trouvons qu'un choc de crédit augmente immédiatement les diffusions de crédit (credit spreads), diminue la valeur des bons de Trésor et cause une récession. Ces chocs ont un effet important sur des mesures d'activité réelle, indices de prix, indicateurs avancés et financiers. Contrairement aux autres études, notre procédure d'identification du choc structurel ne requiert pas de restrictions temporelles entre facteurs financiers et macroéconomiques. De plus, elle donne une interprétation des facteurs sans restreindre l'estimation de ceux-ci. Dans le troisième article nous étudions la relation entre les représentations VARMA et factorielle des processus vectoriels stochastiques, et proposons une nouvelle classe de modèles VARMA augmentés par facteurs (FAVARMA). Notre point de départ est de constater qu'en général les séries multivariées et facteurs associés ne peuvent simultanément suivre un processus VAR d'ordre fini. Nous montrons que le processus dynamique des facteurs, extraits comme combinaison linéaire des variables observées, est en général un VARMA et non pas un VAR comme c'est supposé ailleurs dans la littérature. Deuxièmement, nous montrons que même si les facteurs suivent un VAR d'ordre fini, cela implique une représentation VARMA pour les séries observées. Alors, nous proposons le cadre d'analyse FAVARMA combinant ces deux méthodes de réduction du nombre de paramètres. Le modèle est appliqué dans deux exercices de prévision en utilisant des données américaines et canadiennes de Boivin, Giannoni et Stevanovic (2010, 2009) respectivement. Les résultats montrent que la partie VARMA aide à mieux prévoir les importants agrégats macroéconomiques relativement aux modèles standards. Finalement, nous estimons les effets de choc monétaire en utilisant les données et le schéma d'identification de Bernanke, Boivin et Eliasz (2005). Notre modèle FAVARMA(2,1) avec six facteurs donne les résultats cohérents et précis des effets et de la transmission monétaire aux États-Unis. Contrairement au modèle FAVAR employé dans l'étude ultérieure où 510 coefficients VAR devaient être estimés, nous produisons les résultats semblables avec seulement 84 paramètres du processus dynamique des facteurs. L'objectif du quatrième article est d'identifier et mesurer les effets des chocs de crédit au Canada dans un environnement riche en données et en utilisant le modèle FAVARMA structurel. Dans le cadre théorique de l'accélérateur financier développé par Bernanke, Gertler et Gilchrist (1999), nous approximons la prime de financement extérieur par les credit spreads. D'un côté, nous trouvons qu'une augmentation non-anticipée de la prime de financement extérieur aux États-Unis génère une récession significative et persistante au Canada, accompagnée d'une hausse immédiate des credit spreads et taux d'intérêt canadiens. La composante commune semble capturer les dimensions importantes des fluctuations cycliques de l'économie canadienne. L'analyse par décomposition de la variance révèle que ce choc de crédit a un effet important sur différents secteurs d'activité réelle, indices de prix, indicateurs avancés et credit spreads. De l'autre côté, une hausse inattendue de la prime canadienne de financement extérieur ne cause pas d'effet significatif au Canada. Nous montrons que les effets des chocs de crédit au Canada sont essentiellement causés par les conditions globales, approximées ici par le marché américain. Finalement, étant donnée la procédure d'identification des chocs structurels, nous trouvons des facteurs interprétables économiquement. Le comportement des agents et de l'environnement économiques peut varier à travers le temps (ex. changements de stratégies de la politique monétaire, volatilité de chocs) induisant de l'instabilité des paramètres dans les modèles en forme réduite. Les modèles à paramètres variant dans le temps (TVP) standards supposent traditionnellement les processus stochastiques indépendants pour tous les TVPs. Dans cet article nous montrons que le nombre de sources de variabilité temporelle des coefficients est probablement très petit, et nous produisons la première évidence empirique connue dans les modèles macroéconomiques empiriques. L'approche Factor-TVP, proposée dans Stevanovic (2010), est appliquée dans le cadre d'un modèle VAR standard avec coefficients aléatoires (TVP-VAR). Nous trouvons qu'un seul facteur explique la majorité de la variabilité des coefficients VAR, tandis que les paramètres de la volatilité des chocs varient d'une façon indépendante. Le facteur commun est positivement corrélé avec le taux de chômage. La même analyse est faite avec les données incluant la récente crise financière. La procédure suggère maintenant deux facteurs et le comportement des coefficients présente un changement important depuis 2007. Finalement, la méthode est appliquée à un modèle TVP-FAVAR. Nous trouvons que seulement 5 facteurs dynamiques gouvernent l'instabilité temporelle dans presque 700 coefficients.
As information technology improves, the availability of economic and finance time series grows in terms of both time and cross-section sizes. However, a large amount of information can lead to the curse of dimensionality problem when standard time series tools are used. Since most of these series are highly correlated, at least within some categories, their co-variability pattern and informational content can be approximated by a smaller number of (constructed) variables. A popular way to address this issue is the factor analysis. This framework has received a lot of attention since late 90's and is known today as the large dimensional approximate factor analysis. Given the availability of data and computational improvements, a number of empirical and theoretical questions arises. What are the effects and transmission of structural shocks in a data-rich environment? Does the information from a large number of economic indicators help in properly identifying the monetary policy shocks with respect to a number of empirical puzzles found using traditional small-scale models? Motivated by the recent financial turmoil, can we identify the financial market shocks and measure their effect on real economy? Can we improve the existing method and incorporate another reduction dimension approach such as the VARMA modeling? Does it help in forecasting macroeconomic aggregates and impulse response analysis? Finally, can we apply the same factor analysis reasoning to the time varying parameters? Is there only a small number of common sources of time instability in the coefficients of empirical macroeconomic models? This thesis concentrates on the structural factor analysis and VARMA modeling and answers these questions through five articles. The first two articles study the effects of monetary policy and credit shocks in a data-rich environment. The third article proposes a new framework that combines the factor analysis and VARMA modeling, while the fourth article applies this method to measure the effects of credit shocks in Canada. The contribution of the final chapter is to impose the factor structure on the time varying parameters in popular macroeconomic models, and show that there are few sources of this time instability. The first article analyzes the monetary transmission mechanism in Canada using a factor-augmented vector autoregression (FAVAR) model. For small open economies like Canada, uncovering the transmission mechanism of monetary policy using VARs has proven to be an especially challenging task. Such studies on Canadian data have often documented the presence of anomalies such as a price, exchange rate, delayed overshooting and uncovered interest rate parity puzzles. We estimate a FAVAR model using large sets of monthly and quarterly macroeconomic time series. We find that the information summarized by the factors is important to properly identify the monetary transmission mechanism and contributes to mitigate the puzzles mentioned above, suggesting that more information does help. Finally, the FAVAR framework allows us to check impulse responses for all series in the informational data set, and thus provides the most comprehensive picture to date of the effect of Canadian monetary policy. As the recent financial crisis and the ensuing global economic have illustrated, the financial sector plays an important role in generating and propagating shocks to the real economy. Financial variables thus contain information that can predict future economic conditions. In this paper we examine the dynamic effects and the propagation of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. Identified credit shocks, interpreted as unexpected deteriorations of the credit market conditions, immediately increase credit spreads, decrease rates on Treasury securities and cause large and persistent downturns in the activity of many economic sectors. Such shocks are found to have important effects on real activity measures, aggregate prices, leading indicators and credit spreads. In contrast to other recent papers, our structural shock identification procedure does not require any timing restrictions between the financial and macroeconomic factors, and yields an interpretation of the estimated factors without relying on a constructed measure of credit market conditions from a large set of individual bond prices and financial series. In third article, we study the relationship between VARMA and factor representations of a vector stochastic process, and propose a new class of factor-augmented VARMA (FAVARMA) models. We start by observing that in general multivariate series and associated factors do not both follow a finite order VAR process. Indeed, we show that when the factors are obtained as linear combinations of observable series, their dynamic process is generally a VARMA and not a finite-order VAR as usually assumed in the literature. Second, we show that even if the factors follow a finite-order VAR process, this implies a VARMA representation for the observable series. As result, we propose the FAVARMA framework that combines two parsimonious methods to represent the dynamic interactions between a large number of time series: factor analysis and VARMA modeling. We apply our approach in two pseudo-out-of-sample forecasting exercises using large U.S. and Canadian monthly panels taken from Boivin, Giannoni and Stevanovic (2010, 2009) respectively. The results show that VARMA factors help in predicting several key macroeconomic aggregates relative to standard factor forecasting models. Finally, we estimate the effect of monetary policy using the data and the identification scheme as in Bernanke, Boivin and Eliasz (2005). We find that impulse responses from a parsimonious 6-factor FAVARMA(2,1) model give an accurate and comprehensive picture of the effect and the transmission of monetary policy in U.S.. To get similar responses from a standard FAVAR model, Akaike information criterion estimates the lag order of 14. Hence, only 84 coefficients governing the factors dynamics need to be estimated in the FAVARMA framework, compared to FAVAR model with 510 VAR parameters. In fourth article we are interested in identifying and measuring the effects of credit shocks in Canada in a data-rich environment. In order to incorporate information from a large number of economic and financial indicators, we use the structural factor-augmented VARMA model. In the theoretical framework of the financial accelerator, we approximate the external finance premium by credit spreads. On one hand, we find that an unanticipated increase in US external finance premium generates a significant and persistent economic slowdown in Canada; the Canadian external finance premium rises immediately while interest rates and credit measures decline. From the variance decomposition analysis, we observe that the credit shock has an important effect on several real activity measures, price indicators, leading indicators, and credit spreads. On the other hand, an unexpected increase in Canadian external finance premium shows no significant effect in Canada. Indeed, our results suggest that the effects of credit shocks in Canada are essentially caused by the unexpected changes in foreign credit market conditions. Finally, given the identification procedure, we find that our structural factors do have an economic interpretation. The behavior of economic agents and environment may vary over time (monetary policy strategy shifts, stochastic volatility) implying parameters' instability in reduced-form models. Standard time varying parameter (TVP) models usually assume independent stochastic processes for all TVPs. In the final article, I show that the number of underlying sources of parameters' time variation is likely to be small, and provide empirical evidence on factor structure among TVPs of popular macroeconomic models. To test for the presence of, and estimate low dimension sources of time variation in parameters, I apply the factor time varying parameter (Factor-TVP) model, proposed by Stevanovic (2010), to a standard monetary TVP-VAR model. I find that one factor explains most of the variability in VAR coefficients, while the stochastic volatility parameters vary in the idiosyncratic way. The common factor is highly and positively correlated to the unemployment rate. To incorporate the recent financial crisis, the same exercise is conducted with data updated to 2010Q3. The VAR parameters present an important change after 2007, and the procedure suggests two factors. When applied to a large-dimensional structural factor model, I find that four dynamic factors govern the time instability in almost 700 coefficients.

La plupart des modèles en statistique classique repose sur une hypothèse sur la distribution des données ou sur une distribution sous-jacente aux données. La validité de cette hypothèse permet de faire de l’inférence, de construire des intervalles de confiance ou encore de tester la fiabilité du modèle. La problématique des tests d’ajustement vise à s’assurer de la conformité ou de la cohérence de l’hypothèse avec les données disponibles. Dans la présente thèse, nous proposons des tests d’ajustement à la loi normale dans le cadre des séries chronologiques univariées et vectorielles. Nous nous sommes limités à une classe de séries chronologiques linéaires, à savoir les modèles autorégressifs à moyenne mobile (ARMA ou VARMA dans le cas vectoriel). Dans un premier temps, au cas univarié, nous proposons une généralisation du travail de Ducharme et Lafaye de Micheaux (2004) dans le cas où la moyenne est inconnue et estimée. Nous avons estimé les paramètres par une méthode rarement utilisée dans la littérature et pourtant asymptotiquement efficace. En effet, nous avons rigoureusement montré que l’estimateur proposé par Brockwell et Davis (1991, section 10.8) converge presque sûrement vers la vraie valeur inconnue du paramètre. De plus, nous fournissons une preuve rigoureuse de l’inversibilité de la matrice des variances et des covariances de la statistique de test à partir de certaines propriétés d’algèbre linéaire. Le résultat s’applique aussi au cas où la moyenne est supposée connue et égale à zéro. Enfin, nous proposons une méthode de sélection de la dimension de la famille d’alternatives de type AIC, et nous étudions les propriétés asymptotiques de cette méthode. L’outil proposé ici est basé sur une famille spécifique de polynômes orthogonaux, à savoir les polynômes de Legendre. Dans un second temps, dans le cas vectoriel, nous proposons un test d’ajustement pour les modèles autorégressifs à moyenne mobile avec une paramétrisation structurée. La paramétrisation structurée permet de réduire le nombre élevé de paramètres dans ces modèles ou encore de tenir compte de certaines contraintes particulières. Ce projet inclut le cas standard d’absence de paramétrisation. Le test que nous proposons s’applique à une famille quelconque de fonctions orthogonales. Nous illustrons cela dans le cas particulier des polynômes de Legendre et d’Hermite. Dans le cas particulier des polynômes d’Hermite, nous montrons que le test obtenu est invariant aux transformations affines et qu’il est en fait une généralisation de nombreux tests existants dans la littérature. Ce projet peut être vu comme une généralisation du premier dans trois directions, notamment le passage de l’univarié au multivarié ; le choix d’une famille quelconque de fonctions orthogonales ; et enfin la possibilité de spécifier des relations ou des contraintes dans la formulation VARMA. Nous avons procédé dans chacun des projets à une étude de simulation afin d’évaluer le niveau et la puissance des tests proposés ainsi que de les comparer aux tests existants. De plus des applications aux données réelles sont fournies. Nous avons appliqué les tests à la prévision de la température moyenne annuelle du globe terrestre (univarié), ainsi qu’aux données relatives au marché du travail canadien (bivarié). Ces travaux ont été exposés à plusieurs congrès (voir par exemple Tagne, Duchesne et Lafaye de Micheaux (2013a, 2013b, 2014) pour plus de détails). Un article basé sur le premier projet est également soumis dans une revue avec comité de lecture (Voir Duchesne, Lafaye de Micheaux et Tagne (2016)).
Several phenomena from natural and social sciences rely on distribution’s assumption among which the normal distribution is the most popular. The validity of that assumption is useful to setting up forecast intervals or for checking model adequacy of the underlying model. The goodness-of-fit procedures are tools to assess the adequacy of the data’s underlying assumptions. Autoregressive and moving average time series models are often used to find the mathematical behavior of these phenomena from natural and social sciences, and especially in the finance area. These models are based on some assumptions including normality distribution for the innovations. Normality assumption may be helpful for some testing procedures. Furthermore, stronger conclusions can be drawn from the adjusted model if the white noise can be assumed Gaussian. In this work, goodness-of-fit tests for checking normality for the innovations from autoregressive moving average time series models are proposed for both univariate and multivariate cases (ARMA and VARMA models). In our first project, a smooth test of normality for ARMA time series models with unknown mean based on a least square type estimator is proposed. We derive the asymptotic null distribution of the test statistic. The result here is an extension of the paper of Ducharme et Lafaye de Micheaux (2004), where they supposed the mean known and equal to zero. We use the least square type estimator proposed by Brockwell et Davis (1991, section 10.8) and we provide a rigorous proof that it is almost surely convergent. We show that the covariance matrix of the test is nonsingular regardless if the mean is known. We have also studied a data driven approach for the choice of the dimension of the family and we gave a finite sample approximation of the null distribution. Finally, the finite and asymptotic sample properties of the proposed test statistic are studied via a small simulation study. In the second project, goodness-of-fit tests for checking multivariate normality for the innovations from vector autoregressive moving average time series models are proposed. Since these time series models may rely on a large number of parameters, structured parameterization of the functional form is allowed. The methodology also relies on the smooth test paradigm and on families of orthonormal functions with respect to the multivariate normal density. It is shown that the smooth tests converge to convenient chi-square distributions asymptotically. An important special case makes use of Hermite polynomials, and in that situation we demonstrate that the tests are invariant under linear transformations. We observed that the test is not invariant under linear transformations with Legendre polynomials. A consistent data driven method is discussed to choose the family order from the data. In a simulation study, exact levels are studied and the empirical powers of the smooth tests are compared to those of other methods. Finally, an application to real data is provided, specifically on Canadian labour market data and annual global temperature. These works were exposed at several meeting (see for example Tagne, Duchesne and Lafaye de Micheaux (2013a, 2013b, 2014) for more details). A paper based on the first project is submitted in a refereed journal (see Duchesne, Lafaye de Micheaux et Tagne (2016)).

碩士
銘傳管理學院
金融研究所
84
This article compared prediction performance of ARIMA model, VARMA model and s tate space model and hedging payoff between the modified selective hedging str ategy with forecasting models and two hedging strategies without forecasting m odel for the U.K. pound and German deutsche mark on spot exchange rates and fo reign currency futures price. Additionally, hedging is not costless. Based o n Vukina (1992), a modified Working (1962) selective hedging strategy is utili zed.All three models which are ARIMA model, VARMA model and state space model are initially estimated with the in-sample period, and forecasts are generated with the out-of-sample period. The prediction performance of three time seri es forecasting approaches were measured by MSE, MAE and MAPE statistics. The results indicate the forecast of state space model is best. And, the forecast of VARMA model is better than ARIMA model.Supposed the hedger who is short in the cash market faces three options: (1) to remain unhedging strategy; (2) fu ll hedging strategy; (3) hedge selectively using the modified selective hedgin g strategy with forecasting. The simulation result didn''t strong support the hedging payoff of the modified selective hedging strategy with forecasting mod els is better than two hedging strategies without forecasting model.Among the three models, the evidence showed the hedging payoff of state space model is b est, because the model exploits dynamic relationship of cash and futures price s, and uses the Kalman filter providing the forecast error to update the state space. The payoff of VARMA model is better than ARIMA model, because the VAR MA model also is the way to construct forecasts using dynamic relationship of cash and futures prices. In conclusion, the hedging strategy with superior fo recasting can effectively make hedgers increase profits or decrease losses fro m hedging.

This thesis addresses the identification of stochastic systems operating under different conditions, based on data records corresponding to a sample of such operating conditions. This topic is very important, as systems operating under different, though constant conditions at different occasions (time intervals) are often encountered in practice. Typical examples include mechanical, aerospace or civil structures that operate under different environmental conditions (temperature or humidity, for instance) on different occasions (period of day, and so on). Such different operating conditions may affect the system characteristics, and therefore its dynamics. Given a set of data records corresponding to distinct operating conditions, it is most desirable to establish a single global model capable of describing the system throughout the entire range of admissible operating conditions. In the present thesis this problem is treated via a novel stochastic Functional Pooling (FP) identification framework which introduces functional dependencies (in terms of the operating condition) in the postulated model structure. The FP framework offers significant advantages over other methods providing global models by interpolating a set of conventional models (one for each operating condition), as it: (i) treats data records corresponding to different operating conditions simultaneously, and fully takes cross-dependencies into account thus yielding models with optimal statistical accuracy, (ii) uses a highly parsimonious representation which provides precise information about the system dynamics at any specified operating condition without resorting to customary interpolation schemes, (iii) allows for the determination of modeling uncertainty at any specified operating condition via formal interval estimates. To date, all research efforts on the FP framework have concentrated in identifying univariate (single excitation-single response) stochastic models. The present thesis aims at (i) properly formulating and extending the FP framework to the case of multivariate stochastic systems operating under multiple operating conditions, and (ii) introducing an approach based on multivariate FP modeling and statistical hypothesis testing for damage detection under different operating conditions. The case of multivariate modeling is more challenging compared to its univariate counterpart as the couplings between the corresponding signals lead to more complicated model structures, whereas their nontrivial parametrization raises issues on model identifiability. The main focus of this thesis is on models of the Functionally Pooled Vector AutoRegressive with eXogenous excitation (FP-VARX) form, and Vector AutoRegressive Moving Average (FP-VARMA) form. These models may be thought of as generalizations of their conventional VARX/VARMA counterparts with the important distinction being that the model parameters are explicit functions of the operating condition. Initially, the identification of FP-VARX models is addressed. Least Squares (LS) and conditional Maximum Likelihood (ML) type estimators are formulated, and their consistency along with their asymptotic normality is established. Conditions ensuring FP-VARX identifiability are postulated, whereas model structure specification is based upon proper forms of information criteria. The performance characteristics of the identification approach are assessed via Monte Carlo studies, which also demonstrate the effectiveness of the proposed framework and its advantages over conventional identification approaches based on VARX modeling. Subsequently, an experimental study aiming at identifying the temperature effects on the dynamics of a smart composite beam via conventional model and novel global model approaches is presented. The conventional model approaches are based on non-parametric and parametric VARX representations, whereas the global model approaches are based on parametric Constant Coefficient Pooled (CCP) and Functionally Pooled (FP) VARX representations. Although the obtained conventional model and global representations are in rough overall agreement, the latter simultaneously use all available data records and offer improved accuracy and compactness. The CCP-VARX representations provide an ``averaged'' description of the structural dynamics over temperature, whereas their FP-VARX counterparts allow for the explicit, analytical modeling of temperature dependence, and attain improved estimation accuracy. In addition, the identification of FP-VARMA models is addressed. Two-Stage Least Squares (2SLS) and conditional ML type estimators are formulated, and their consistency and asymptotic normality are established. Furthermore, an effective method for 2SLS model estimation featuring a simplified procedure for obtaining residuals in the first stage is introduced. Conditions ensuring FP-VARMA model identifiability are also postulated. Model structure specification is based upon a novel two-step approach using Canonical Correlation Analysis (CCA) and proper forms of information criteria, thus avoiding the use of exhaustive search procedures. The performance characteristics of the identification approach are assessed via a Monte Carlo study, which also demonstrates the effectiveness of the proposed framework over conventional identification approaches based on VARMA modeling. An approach based on the novel FP models and statistical hypothesis testing for damage detection under different operating conditions is also proposed. It includes two versions: the first version is based upon the obtained modal parameters, whereas the second version is based upon the discrete-time model parameters. In an effort to streamline damage detection, procedures for compressing the information carried by the modal or the discrete-time model parameters via Principal Component Analysis (PCA) are also employed. The effectiveness of the proposed damage detection approach is assessed on a smart composite beam with hundreds of experiments corresponding to different temperatures. In its present form, the approach relies upon response (output-only) vibration data, although excitation-response data may be also used. FP-VAR modeling is used identify the temperature dependent structural dynamics, whereas a new scheme for model structure selection is introduced which avoids the use of exhaustive search procedures. The experimental results verify the capability of both versions of the approach to infer reliable damage detection under different temperatures. Furthermore, alternative methods attempting removal of the temperature effects from the damage sensitive features are also employed, allowing for a detailed and concise comparison. Finally, some special topics on global VARX modeling are treated. The focus is on the identification of the Pooled (P) and Constant Coefficient Pooled (CCP) VARX model classes. Although both model classes are of limited scope, they are useful tools for global model identification. In analogy to the FP-VARX/VARMA model case, the LS and conditional ML type estimators are studied for both model classes, whereas conditions ensuring model identifiability are also postulated. The relationships interconnecting the P-VARX and CCP-VARX models to the FP-VARX models in terms of compactness and achievable accuracy are studied, whereas their association to the conventional VARX models is also addressed. The effectiveness and performance characteristics of the novel global modeling approaches are finally assessed via Monte Carlo studies.
Η παρούσα διατριβή πραγματεύεται την αναγνώριση πολυμεταβλητών στοχαστικών συστημάτων που παρουσιάζουν πολλαπλές συνθήκες λειτουργίας, βασιζόμενοι σε δεδομένα που αντιστοιχούν σε ένα δείγμα ενδεικτικών συνθηκών λειτουργίας. Η σπουδαιότητα του προβλήματος είναι μεγάλη, καθώς στην πράξη συναντώνται πολύ συχνά συστήματα όπου οι επιμέρους συνθήκες λειτουργίας παραμένουν σταθερές ανά χρονικά διαστήματα. Τυπικά παραδείγματα περιλαμβάνουν μηχανολογικές, αεροναυτικές και δομικές κατασκευές που λειτουργούν κάτω από διαφορετικές συνθήκες (π.χ. θερμοκρασίας και/ή υγρασίας) σε διαφορετικές συνθήκες (π.χ. περίοδος της ημέρας). Οι διαφορετικές συνθήκες λειτουργίας ενδέχεται να επηρεάσουν ένα σύστημα και ως εκ τούτου τα δυναμικά χαρακτηριστικά του. Λαμβάνοντας υπόψη ένα σύνολο δεδομένων που αντιστοιχούν σε διαφορετικές συνθήκες λειτουργίας, είναι επιθυμητή η εύρεση ενός "γενικευμένου" μοντέλου ικανού να περιγράψει το σύστημα σε όλο το φάσμα των αποδεκτών συνθηκών λειτουργίας. Στην παρούσα διατριβή το πρόβλημα αυτό αντιμετωπίζεται μέσω ενός καινοτόμου πλαισίου αναγνώρισης στοχαστικών μοντέλων Συναρτησιακής Σώρευσης (stochastic Functional Pooling Framework), το οποίο εισάγει συναρτησιακές εξαρτήσεις (αναφορικά με την κατάσταση λειτουργίας) στην δομή του μοντέλου. Το συγκεκριμένο πλαίσιο Συναρτησιακής Σώρευσης προσφέρει σημαντικά πλεονεκτήματα σε σχέση με άλλες μεθόδους εύρεσης γενικευμένων μοντέλων που χρησιμοποιούν μεθόδους παρεμβολής (interpolation) σε ένα σύνολο συμβατικών μοντέλων (ένα για κάθε συνθήκη λειτουργίας), όπως: (i) Η ταυτόχρονη διαχείριση δεδομένων που αντιστοιχούν σε διαφορετικές συνθήκες λειτουργίας, καθώς και η διευθέτηση των αλληλοεξαρτήσεων μεταξύ δεδομένων που ανήκουν σε διαφορετικές συνθήκες λειτουργίας παρέχοντας με τον τρόπο αυτό μοντέλα με βέλτιστη στατιστική ακρίβεια, (ii) η χρήση συμπτυγμένων μοντέλων τα οποία περιγράφουν με ακρίβεια τα δυναμικά χαρακτηριστικά του συστήματος σε κάθε κατάσταση λειτουργίας, αποφεύγοντας έτσι την χρήση συμβατικών μεθόδων παρεμβολής, (iii) ο προσδιορισμός των αβεβαιοτήτων στη μοντελοποίηση κάθε κατάστασης λειτουργίας μέσω εκτίμησης κατάλληλων διαστημάτων εμπιστοσύνης. Μέχρι στιγμής, η έρευνα πάνω στο πλαίσιο Συναρτησιακής Σώρευσης έχει επικεντρωθεί στα βαθμωτά στοχαστικά μοντέλα. Η παρούσα διατριβή σαν στόχο έχει (i) την κατάλληλη διαμόρφωση και επέκταση του πλαισίου Συναρτησιακής Σώρευσης για την περίπτωση πολυμεταβλητών στοχαστικών συστημάτων που λειτουργούν με πολλαπλές συνθήκες λειτουργίας , και (ii) την εισαγωγή μιας καινοτόμου μεθοδολογίας ανίχνευσης βλαβών για συστήματα που παρουσιάζουν πολλαπλές συνθήκες λειτουργίας βασιζόμενη σε πολυμεταβλητά μοντέλα Συναρτησιακής Σώρευσης και στον στατιστικό έλεγχο υποθέσεων. Η περίπτωση των πολυμεταβλητών μοντέλων παρουσιάζει τεχνικές δυσκολίες που δεν συναντώνται στα βαθμωτά μοντέλα, καθώς η δομή των μοντέλων είναι πιο περίπλοκη ενώ η παραμετροποίησή τους είναι μη-τετριμμένη θέτοντας έτσι ζητήματα αναγνωρισιμότητας (model identifiability). Η παρούσα διατριβή εστιάζει σε Συναρτησιακά Σωρευμένα Διανυσματικά μοντέλα ΑυτοΠαλινδρόμησης με εΞωγενή είσοδο (Functionally Pooled Vector AutoRegressive with eXogenous excitation; FP-VARX), και σε Διανυσματικά μοντέλα ΑυτοΠαλινδρόμησης με Κινητό Μέσο Όρο (Functionally Pooled AutoRegressive with Moving Average; FP-VARMA). Τα μοντέλα αυτά μπορεί να θεωρηθούν ως γενικεύσεις των συμβατικών μοντέλων VARX/VARMA με την σημαντική διαφοροποίηση ότι οι παράμετροι του μοντέλου είναι συναρτήσεις της συνθήκης λειτουργίας. Το πρώτο κεφάλαιο της διατριβής επικεντρώνεται στην αναγνώριση μοντέλων FP-VARX. Αναπτύσσονται εκτιμήτριες βασισμένες στις μεθόδους των Ελαχίστων Τετραγώνων (Least Squares; LS) και της Μέγιστης Πιθανοφάνειας (Maximum Likelihood; ML), ενώ στη συνέχεια μελετώνται η συνέπεια (consistency) και η ασυμπτωτική κατανομή (asymptotic distribution)τους. Επιπλέον, καθορίζονται συνθήκες που εξασφαλίζουν την αναγνωρισιμότητα (identifiability) των FP-VARX μοντέλων, ενώ ο προσδιορισμός της δομής τους βασίζεται σε κατάλληλα τροποποιημένα κριτήρια πληροφορίας (information criteria). Η αποτίμηση της μοντελοποίησης με FP-VARX, καθώς επίσης και η αποτελεσματικότητά τους έναντι των συμβατικών μοντέλων VARX εξακριβώνεται μέσω προσομοιώσεων Monte Carlo. Στο δεύτερο κεφάλαιο διερευνάται η αναγνώριση των θερμοκρασιακών επιρροών στα δυναμικά χαρακτηριστικά μιας ευφυούς δοκού από σύνθετο υλικό. Το πρόβλημα μελετάται χρησιμοποιώντας συμβατικά μοντέλα καθώς και "γενικευμένα" μοντέλα. Η συμβατική μοντελοποίηση περιλαμβάνει μη-παραμετρικές παραστάσεις που βασίζονται στην μέθοδο Welch (ανάλυση στο πεδίο συχνοτήτων), καθώς και παραμετρικές παραστάσεις βασισμένες στα μοντέλα VARX (ανάλυση στο πεδίο χρόνου). H "γενικευμένη" μοντελοποίηση περιλαμβάνει παραστάσεις Σώρευσης με Σταθερές Παραμέτρους (Constant Coefficient Pooled VARX; CCP-VARX), καθώς και VARX παραστάσεις Συναρτησιακής Σώρευσης (Functionally Pooled VARX; FP-VARX). Η ανάλυση υποδεικνύει ότι τα χαρακτηριστικά των "γενικευμένων" και των συμβατικών μοντέλων βρίσκονται σε γενική συμφωνία μεταξύ τους. Ωστόσο, τα "γενικευμένα" μοντέλα περιγράφουν τα δυναμικά χαρακτηριστικά του συστήματος με μικρότερο αριθμό παραμέτρων, γεγονός που προσδίδει μεγαλύτερη ακρίβεια στην εκτίμησή τους. Το μοντέλο CCP-VARX τείνει να σταθμίσει τα δυναμικά χαρακτηριστικά του συστήματος σε κάποιον "μέσο όρο" με σχετική ακρίβεια. Απεναντίας το μοντέλο FP-VARX υπερέχει σε ακρίβεια, καθώς επιδεικνύει μια εξομαλυμένη καθοριστική εξάρτηση των δυναμικών χαρακτηριστικών του συστήματος με την θερμοκρασία, γεγονός που είναι συμβατό με την φυσική του προβλήματος. Το τρίτο κεφάλαιο επικεντρώνεται στην αναγνώριση μοντέλων FP-VARMA. Αναπτύσσονται εκτιμήτριες βασισμένες στις μεθόδους των Ελαχίστων Τετραγώνων Δύο Σταδίων (Two Stage Least Squares; 2SLS) και της Μέγιστης Πιθανοφάνειας (Maximum Likelihood; ML), ενώ στην συνέχεια μελετώνται η συνέπεια και η ασυμπτωτική κατανομή τους. Επιπλέον, εισάγεται μια νέα μέθοδος για την εκτίμηση 2SLS που απλοποιεί σημαντικά την διαδικασία εξαγωγής υπολοίπων (residuals) από το πρώτο στάδιο. Επίσης, καθορίζονται οι συνθήκες που εξασφαλίζουν αναγνωρισιμότητα στα μοντέλα FP-VARMA. Ο προσδιορισμός της δομής των μοντέλων FP-VARMA πραγματοποιείται χάρη σε μια μεθοδολογία δύο σταδίων που βασίζεται στην Ανάλυση Κανονικοποιημένων Συσχετίσεων (Canonical Correlation Analysis; CCA) και κριτηρίων πληροφορίας, αποφεύγοντας έτσι την εκτεταμένη χρήση αλγορίθμων αναζήτησης. Η αποτίμηση της μοντελοποίησης με FP-VARMA, καθώς επίσης και η αποτελεσματικότητά τους έναντι των συμβατικών VARMA εξακριβώνεται μέσω προσομοιώσεων Monte Carlo. Το τέταρτο κεφάλαιο πραγματεύεται την ανίχνευση βλαβών σε συστήματα που παρουσιάζουν πολλαπλές συνθήκες λειτουργίας. Προτείνεται μια νέα μεθοδολογία που βασίζεται σε καινοτόμα μοντέλα Συναρτησιακής Σώρευσης και στον στατιστικό έλεγχο υποθέσεων. Παρουσιάζονται δυο εκδόσεις της μεθοδολογίας: η πρώτη βασίζεται στα μορφικά χαρακτηριστικά του μοντέλου ενώ η δεύτερη στις παραμέτρους του μοντέλου. Επιπλέον, χρησιμοποιούνται μέθοδοι συμπίεσης της πληροφορίας που περιέχουν τα μορφικά χαρακτηριστικά ή οι παράμετροι του μοντέλου μέσω της Ανάλυσης Κύριων Συνιστωσών (Principal Component Analysis; PCA) σε μια προσπάθεια απλοποίησης της διαδικασίας ανίχνευσης βλαβών. Η αποτελεσματικότητα της μεθοδολογίας επαληθεύεται πειραματικά σε μια "ευφυή" δοκό από σύνθετο υλικό, η οποία ταλαντώνεται σε διαφορετικές θερμοκρασίες. Στην παρούσα μορφή της η μεθοδολογία χρησιμοποιεί δεδομένα απόκρισης ταλάντωσης, ωστόσο δεδομένα διέγερσης-απόκρισης μπορούν να χρησιμοποιηθούν εφόσον κριθεί σκόπιμο. Η εξάρτηση των δυναμικών χαρακτηριστικών της δοκού με την θερμοκρασία περιγράφεται με τη χρήση μοντέλων FP-VAR, ενώ εισάγεται μια νέα μέθοδος καθορισμού της δομής του μοντέλου που αποφεύγει την χρήση αλγορίθμων αναζήτησης. Πλήθος πειραμάτων που καλύπτουν ένα ευρύ θερμοκρασιακό πεδίο, καθώς και συγκρίσεις με άλλες μεθοδολογίες ανίχνευσης βλαβών, πιστοποιούν την ικανότητα της προτεινόμενης μεθοδολογίας να διαγνώσει την κατάσταση της δοκού σε διάφορες θερμοκρασίες. Το πέμπτο κεφάλαιο ασχολείται με ειδικά θέματα μοντελοποίησης των "γενικευμένων" VARX . Ιδιαίτερη προσοχή δίνεται στην μελέτη Σωρευμένων VARX (P-VARX) και CCP-VARX μοντέλων. Σε αντιστοιχία με τα μοντέλα FP, αναπτύσσονται εκτιμήτριες LS και ML, ενώ στην συνέχεια μελετώνται οι ιδιότητές τους. Επιπλέον, καθορίζονται οι συνθήκες που εξασφαλίζουν την αναγνωρισιμότητα των μοντέλων P-VARX και CCP-VARX. Μελετώνται επίσης και οι σχέσεις που συνδέουν τις δομές των μοντέλων P-VARX και CCP-VARX με τα FP-VARX ως προς την παραμετροποίησή τους και την ακρίβεια που επιτυγχάνουν. Επιπλέον, μελετάται και η σχέση των παραπάνω μοντέλων με τα συμβατικά VARX. Η αποτίμηση των γενικευμένων μοντέλων VARX αναφορικά με το πλήθος των εκτιμώμενων παραμέτρων και την ακρίβεια που επιτυγχάνουν εξακριβώνεται μέσω προσομοιώσεων Monte Carlo.

Lors de la validation des modèles de séries chronologiques, une hypothèse qui peut s'avérer importante porte sur la loi des données. L'approche préconisée dans ce mémoire utilise les tests lisses d'ajustement. Ce mémoire apporte des développements théoriques et empiriques des tests lisses pour les modèles autorégressifs moyennes mobiles (ARMA) vectoriels. Dans des travaux précédents, Ducharme et Lafaye de Micheaux (2004) ont développé des tests lisses d'ajustement reposant sur les résidus des modèles ARMA univariés. Tagne Tatsinkou (2016) a généralisé les travaux dans le cadre des modèles ARMA vectoriels (VARMA), qui s'avèrent potentiellement utiles dans les applications avec données réelles. Des considérations particulières au cas multivarié, telles que les paramétrisations structurées dans les modèles VARMA sont abordées. Les travaux de Tagne Tatsinkou (2016) sont complétés selon les angles théoriques et des études de simulations additionnelles sont considérées. Les nouveaux tests lisses reposent sur des familles de polynômes orthogonaux. Dans cette étude, une attention particulière est accordée aux familles de Legendre et d'Hermite. La contribution théorique majeure est une preuve complète que la statistique de test est invariante aux transformations linéaires affines lorsque la famille d'Hermite est adoptée. Les résultats de Tagne Tatsinkou (2016) représentent une première étape importante, mais ils sont incomplets quant à l'utilisation des résidus du modèle. Les tests proposés reposent sur une famille de densités sous les hypothèses alternatives d'ordre k. La sélection automatique de l'ordre maximal, basée sur les résultats de Ledwina (1994), est discutée. La sélection automatique est également implantée dans nos études de simulations. Nos études de simulations incluent des modèles bivariés et un modèle trivarié. Dans une étude de niveaux, on constate la bonne performance des tests lisses. Dans une étude de puissance, plusieurs compétiteurs ont été considérés. Il est trouvé que les tests lisses affichent des propriétés intéressantes de puissance lorsque les données proviennent de modèles VARMA avec des innovations dans la classe de lois normales contaminées.
When validating time series models, the distribution of the observations represents a potentially important assumption. In this Master's Thesis, the advocated approach uses smooth goodness-of-fit test statistics. This research provides theoretical and empirical developments of the smooth goodness of fit tests for vector autoregressive moving average models (VARMA). In previous work, Ducharme and Lafaye de Micheaux (2004) developed smooth goodness-of-fit tests designed for the residuals of univariate ARMA models. Later, Tagne Tatsinkou (2016) generalized the work within the framework of vector ARMA (VARMA) models, which prove to be potentially useful in real applications. Structured parameterizations, which are considerations specific to the multivariate case, are discussed. The works of Tagne Tatsinkou (2016) are completed, according to theoretical angles, and additional simulation studies are also considered. The new smooth tests are based on families of orthogonal polynomials. In this study, special attention is given to Legendre's family and Hermite's family. The major theoretical contribution in this work is a complete proof that the test statistic is invariant to linear affine transformations when the Hermite family is adopted. The results of Tagne Tatsinkou (2016) represent an important first step, but they were incomplete with respect to the use of the model residuals. The proposed tests are based on a family of densities under alternative hypotheses of order k. A data driven method to choose the maximal order, based on the results of Ledwina (1994), is discussed. In our simulation studies, the automatic selection is also implemented. Our simulation studies include bivariate models and a trivariate model. In the level study, we can appreciate the good performance of the smooth tests. In the power study, several competitors were considered. We found that the smooth tests displayed interesting power properties when the data came from VARMA models with innovations in the class of contaminated normal distributions.

碩士
國立中興大學
企業管理學系所
100
In many literatures, reaserchers focus on the causation between stock market and exchange market. Some studies find that stock market affects exchange market, some find that exchange market affects stock market, some find that no relationship between stock market and exchange market, it still don’t have a certain conclusion. Many studies use EGARCH model for the volatility relationship between stock market and exchange market and focus on countrys. This study uses the day data for the returns of stock market and foreign exchange market from 1999/01/05 to 2011/10/31, including Taiwan Stock Exchange Index, Taiwan Stock of Electronic Index, United States Dollar, Europe Dollar, Japanese Yen, Renminbi, Korean Won, and then takes Bivariate Symmetric and Asymmetric VARMA GARCH models to explore the symmetric and asymmetric volatility relationship between stock market and exchange market. Bivariate Symmetric and Asymmetric VARMA GARCH models don’t be applied to stock market and exchange market in Taiwan, this paper adds a research to this issue. The results show: (1) In Bivariate Symmetric and Asymmetric VARMA GARCH models, Taiwan Stock Exchange Index returns and exchange returns have the positive volatility with Europe Dollar and the negative volatility with Japanese Yen, United States Dollar, Renminbi, Korean Won; (2) In Bivariate Symmetric VARMA GARCH model, Taiwan Stock of Electronic Index returns and exchange returns have the negative volatility with United States Dollar, Europe Dollar, Japanese Yen, Renminbi, Korean Won. In Bivariate Asymmetric VARMA GARCH model, Taiwan Stock of Electronic Index returns and exchange returns have the positive volatility with Japanese Yen, Korean Won and the negative volatility with Renminbi, Europe Dollar, United States Dollar; (3) Taiwan Stock Exchange Index returns and exchange returns, Taiwan Stock of Electronic Index returns and exchange returns have bilateral asymmetric effects.

碩士
中華大學
應用數學學系(所)
97
Monetary policy is the policy of money supply which is operated by the Central Blank of the Republic of China (Taiwan). Monetary policy has an effect on the fluctuation of income, expenditure, investment and unemployment rate. Therefore, national income, unemployment rate and money supply are important indicators for national economic development. In this dissertation, 100 quarterly data from the 1st quarter of 1982 to the 4th quarter of 2006 are collected from the website of the National Statistics of the Republic of China (Taiwan). The univariate ARIMA model and the multivariate VARMA model are used to build forecast models, to do model diagnostic checking and to do model selection. Model selection can based on some criteria and forecast errors. Exploring the trend of national income, unemployment rate and money supply would provide much help for the monetary policy making of the government. The results show that the multivariate ARIMA model provides a better forecast than the univariate VARMA model because, from the cross-correlation analysis, there are no high correlations between national income, unemployment rate and money supply.