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Beattie, Valerie L. "Hidden Markov Model state-based noise compensation". Thesis, University of Cambridge, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.259519.
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Bai, Jiongjun. "Adaptive hidden Markov noise modelling for speech enhancement". Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/11158.
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A robust and reliable noise estimation algorithm is required in many speech enhancement systems. The aim of this thesis is to propose and evaluate a robust noise estimation algorithm for highly non-stationary noisy environments. In this work, we model the non-stationary noise using a set of discrete states with each state representing a distinct noise power spectrum. In this approach, the state sequence over time is conveniently represented by a Hidden Markov Model (HMM). In this thesis, we first present an online HMM re-estimation framework that models time-varying noise using a Hidden Markov Model and tracks changes in noise characteristics by a sequential model update procedure that tracks the noise characteristics during the absence of speech. In addition the algorithm will when necessary create new model states to represent novel noise spectra and will merge existing states that have similar characteristics. We then extend our work in robust noise estimation during speech activity by incorporating a speech model into our existing noise model. The noise characteristics within each state are updated based on a speech presence probability which is derived from a modified Minima controlled recursive averaging method. We have demonstrated the effectiveness of our noise HMM in tracking both stationary and highly non-stationary noise, and shown that it gives improved performance over other conventional noise estimation methods when it is incorporated into a standard speech enhancement algorithm.
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Gales, Mark John Francis. "Model-based techniques for noise robust speech recognition". Thesis, University of Cambridge, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.319311.
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Paranchych, David W. "Markov modelling of digital symbol synchronizers in noise and interference". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq20576.pdf.
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Whalen, Nicholas J. "The capacity-cost function of channels with additive Markov noise". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/tape15/PQDD_0028/MQ31270.pdf.
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Skeen, Matthew E. (Matthew Edward). "Maximum likelihood estimation of fractional Brownian motion and Markov noise parameters". Thesis, Massachusetts Institute of Technology, 1991. http://hdl.handle.net/1721.1/42527.
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CALVIA, ALESSANDRO. "Optimal control of pure jump Markov processes with noise-free partial observation". Doctoral thesis, Università degli Studi di Milano-Bicocca, 2018. http://hdl.handle.net/10281/199013.
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La presente tesi tratta un problema di controllo ottimo su orizzonte temporale infinito per un processo di puro salto Markoviano e con osservazione parziale di tipo noise-free. È definita una coppia di processi stocastici, detti processo non osservato o segnale e processo osservato o dei dati. Il segnale è un processo di puro salto Markoviano a tempo continuo, a valori in uno spazio metrico completo e separabile, di cui è nota la misura controllata dei tassi di transizione. Il processo osservato prende valori in un ulteriore spazio metrico completo e separabile ed è di tipo noise-free. Con questa espressione si intende che i suoi valori a ogni tempo t sono funzione dei corrispondenti valori al tempo t del processo non osservato. Si fa l’ipotesi che tale funzione sia un’applicazione deterministica e, senza perdita di generalità, suriettiva tra gli spazi di stato dei processi non osservato e osservato. L’obiettivo è controllare la dinamica del processo non osservato, ossia la sua misura controllata dei tassi di transizione, attraverso un processo di controllo, il quale prende valori nell’insieme delle misure di probabilità di Borel su uno spazio metrico compatto, detto spazio delle azioni di controllo. I controlli ammissibili per il nostro problema sono i processi appena descritti che siano anche prevedibili rispetto alla filtrazione naturale del processo osservato. Il processo di controllo è scelto in questa classe al fine di minimizzare un funzionale costo con fattore di sconto su orizzonte temporale infinito. L’estremo inferiore di tale funzionale costo tra tutti i controlli ammissibili è la funzione valore.
Per studiare la funzione valore è necessario un passo preliminare. Il problema di controllo ottimo a osservazione parziale deve essere espresso come problema a osservazione completa. Ciò è possibile grazie allo studio del processo di filtraggio, un processo a valori in misure che fornisce a ogni istante t la legge condizionale del processo non osservato data l’osservazione disponibile fino al tempo t (rappresentata dalla filtrazione naturale del processo osservato al tempo t). Si dimostra che il processo di filtraggio soddisfa un’equazione differenziale stocastica esplicita e si caratterizza tale processo come Piecewise Deterministic Markov Process, nel senso di Davis.
Allo scopo di trattare il processo di filtraggio come variabile di stato, si studia un problema di controllo separato. Questo è definito come problema a tempo discreto e si mostra che è equivalente a quello originario, nel senso che le rispettive funzioni valore sono legate da una formula esplicita. Si dimostra, inoltre, che i controlli ammissibili per il problema originario e le strategie ammissibili di quello separato hanno una ben precisa struttura ed esiste una specifica relazione tra di essi.
Si caratterizza, quindi, la funzione valore del problema di controllo separato (dunque, indirettamente, la funzione valore del problema originario) come unico punto fisso di un operatore di contrazione, il quale agisce dallo spazio delle funzioni continue e limitate sullo spazio di stato del processo di filtraggio in sé. Di conseguenza, si dimostra che la funzione valore è continua e limitata.
Si studia anche il caso di un processo non osservato dato da una catena di Markov a stati finiti. In questo contesto, si mostra che la funzione valore del problema di controllo separato è uniformemente continua sullo spazio di stato del processo di filtraggio e che è l’unica soluzione viscosa vincolata (nel senso di Soner) di un’equazione di Hamilton-Jacobi-Bellman. Si dimostra, inoltre, che esiste un controllo ottimo ordinario, ossia un processo di controllo che prende valori nell’insieme delle azioni di controllo, e che tale processo è un piecewise open-loop control nel senso di Vermes.This thesis is concerned with an infinite horizon optimal control problem for a pure jump Markov process with noise-free partial observation. We are given a pair of stochastic processes, named unobserved or signal process and observed or data process. The signal process is a continuous-time pure jump Markov process, taking values in a complete and separable metric space, whose controlled rate transition measure is known. The observed process takes values in another complete and separable metric space and is of noise-free type. With this we mean that its values at each time t are given as a function of the corresponding values at time t of the unobserved process. We assume that this function is a deterministic and, without loss of generality, surjective map between the state spaces of the signal and data processes. The aim is to control the dynamics of the unobserved process, i.e. its controlled rate transition measure, through a control process, taking values in the set of Borel probability measures on a compact metric space, named set of control actions. We take as admissible controls for our problem all the processes of this kind that are also predictable with respect to the natural filtration of the data process. The control process is chosen in this class to minimize a discounted cost functional on infinite time horizon. The infimum of this cost functional among all admissible controls is the value function. In order to study the value function a preliminary step is required. We need to recast our optimal control problem with partial observation into a problem with complete observation. This is done studying the filtering process, a measure-valued stochastic process providing at each time t the conditional law of the unobserved process given the available observations up to time t (represented by the natural filtration of the data process at time t). We show that the filtering process satisfies an explicit stochastic differential equation and we characterize it as a Piecewise Deterministic Markov Process, in the sense of Davis. To treat the filtering process as a state variable, we study a separated optimal control problem. We introduce it as a discrete-time one and we show that it is equivalent to the original one, i.e. their respective value functions are linked by an explicit formula. We also show that admissible controls of the original problem and admissible policies of the separated one have a specific structure and there is a precise relationship between them. Next, we characterize the value function of the separated control problem (hence, indirectly, the value function of the original control problem) as the unique fixed point of a contraction mapping, acting from the space of bounded continuous function on the state space of the filtering process into itself. Therefore, we prove that the value function is bounded and continuous. The special case of a signal process given by a finite-state Markov chain is also studied. In this setting, we show that the value function of the separated control problem is uniformly continuous on the state space of the filtering process and that it is the unique constrained viscosity solution (in the sense of Soner) of a Hamilton-Jacobi-Bellman equation. We also prove that an optimal ordinary control exists, i.e. a control process taking values in the set of control actions, and that this process is a piecewise open-loop control in the sense of Vermes.
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Kuckländer, Nina. "Synchronization via correlated noise and automatic control in ecological systems". Phd thesis, Universität Potsdam, 2006. http://opus.kobv.de/ubp/volltexte/2006/1082/.
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The first part is motivated by field studies on feral sheep populations on two islands of the St. Kilda archipelago, which revealed strong correlations due to environmental noise. For a linear system the population correlation equals the noise correlation (Moran effect). But there exists no systematic examination of the properties of nonlinear maps under the influence of correlated noise. Therefore, in the first part of this thesis the noise-induced correlation of logistic maps is systematically examined. For small noise intensities it can be shown analytically that the correlation of quadratic maps in the fixed-point regime is always smaller than or equal to the noise correlation. In the period-2 regime a Markov model explains qualitatively the main dynamical characteristics. Furthermore, two different mechanisms are introduced which lead to a higher correlation of the systems than the environmental correlation. The new effect of "correlation resonance" is described, i. e. the correlation yields a maximum depending on the noise intensity.
In the second part of the thesis an automatic control method is presented which synchronizes different systems in a robust way. This method is inspired by phase-locked loops and is based on a feedback loop with a differential control scheme, which allows to change the phases of the controlled systems. The effectiveness of the approach is demonstrated for controlled phase synchronization of regular oscillators and foodweb models.
Gegenstand der Arbeit ist die Möglichkeit der Synchronisierung von nichtlinearen Systemen durch korreliertes Rauschen und automatische Kontrolle. Die Arbeit gliedert sich in zwei Teile.
Der erste Teil ist motiviert durch Feldstudien an wilden Schafspopulationen auf zwei Inseln des St. Kilda Archipels, die starke Korrelationen aufgrund von Umwelteinflüssen zeigen. In einem linearen System entspricht die Korrelation der beiden Populationen genau der Rauschkorrelation (Moran-Effekt). Es existiert aber noch keine systematische Untersuchung des Verhaltens nichtlinearer Abbildungen unter dem Einfluss korrelierten Rauschens. Deshalb wird im ersten Teils dieser Arbeit systematisch die rauschinduzierte Korrelation zweier logistischer Abbildungen in den verschiedenen dynamischen Bereichen untersucht. Für kleine Rauschintensitäten wird analytisch gezeigt, dass die Korrelation von quadratischen Abbildungen im Fixpunktbereich immer kleiner oder gleich der Rauschkorrelation ist. Im Periode-2 Bereich beschreibt ein Markov-Modell qualitativ die wichtigsten dynamischen Eigenschaften. Weiterhin werden zwei unterschiedliche Mechanismen vorgestellt, die dazu führen, dass die beiden ungekoppelten Systeme stärker als ihre Umwelt korreliert sein können. Dabei wird der neue Effekt der "correlation resonance" aufgezeigt, d. h. es ergibt sich eine Resonanzkurve der Korrelation in Abbhängkeit von der Rauschstärke.
Im zweiten Teil der Arbeit wird eine automatische Kontroll-Methode präsentiert, die es ermöglicht sehr unterschiedliche Systeme auf robuste Weise in Phase zu synchronisieren. Die Methode ist angelehnt an Phase-locked-Loops und basiert auf einer Rückkopplungsschleife durch einen speziellen Regler, der es erlaubt die Phasen der kontrollierten Systeme zu ändern. Die Effektivität dieser Methode zur Kontrolle der Phasensynchronisierung wird an regulären Oszillatoren und an Nahrungskettenmodellen demonstriert.
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Bennett, Casey. "Channel Noise and Firing Irregularity in Hybrid Markov Models of the Morris-Lecar Neuron". Case Western Reserve University School of Graduate Studies / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=case1441551744.
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Setiawan, Panji. "Exploration and optimization of noise reduction algorithms for speech recognition in embedded devices /". Aachen : Shaker, 2009. http://d-nb.info/99453583X/04.
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Damian, Camilla, Zehra Eksi-Altay i Rüdiger Frey. "EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies". De Gruyter, 2018. http://dx.doi.org/10.1515/strm-2017-0021.
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In this paper we study parameter estimation via the Expectation Maximization (EM) algorithm for a continuous-time hidden Markov model with diffusion and point process observation. Inference problems of this type arise for instance in credit risk modelling. A key step in the application of the EM algorithm is the derivation of finite-dimensional filters for the quantities that are needed in the E-Step of the algorithm. In this context we obtain exact, unnormalized and robust filters, and we discuss their numerical implementation. Moreover, we propose several goodness-of-fit tests for hidden Markov models with Gaussian noise and point process observation. We run an extensive simulation study to test speed and accuracy of our methodology. The paper closes with an application to credit risk: we estimate the parameters of a hidden Markov model for credit quality where the observations consist of rating transitions and credit spreads for US corporations.
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Zhu, Ying. "Signal detection on two-dimensional intersymbol interference channels correlated sources and reduced complexity algorithms /". [Pullman, Wash.] : Washington State University, 2008. http://www.dissertations.wsu.edu/Dissertations/Fall2008/y_zhu_081408.pdf.
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Thesis (Ph. D.)--Washington State University, December 2008.Title from PDF title page (viewed on Sept. 23, 2008) "School of Electrical Engineering and Computer Science." Includes bibliographical references (p. 83-90).
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Mohammadiha, Nasser. "Speech Enhancement Using Nonnegative MatrixFactorization and Hidden Markov Models". Doctoral thesis, KTH, Kommunikationsteori, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-124642.
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Reducing interference noise in a noisy speech recording has been a challenging task for many years yet has a variety of applications, for example, in handsfree mobile communications, in speech recognition, and in hearing aids. Traditional single-channel noise reduction schemes, such as Wiener filtering, do not work satisfactorily in the presence of non-stationary background noise. Alternatively, supervised approaches, where the noise type is known in advance, lead to higher-quality enhanced speech signals. This dissertation proposes supervised and unsupervised single-channel noise reduction algorithms. We consider two classes of methods for this purpose: approaches based on nonnegative matrix factorization (NMF) and methods based on hidden Markov models (HMM). The contributions of this dissertation can be divided into three main (overlapping) parts. First, we propose NMF-based enhancement approaches that use temporal dependencies of the speech signals. In a standard NMF, the important temporal correlations between consecutive short-time frames are ignored. We propose both continuous and discrete state-space nonnegative dynamical models. These approaches are used to describe the dynamics of the NMF coefficients or activations. We derive optimal minimum mean squared error (MMSE) or linear MMSE estimates of the speech signal using the probabilistic formulations of NMF. Our experiments show that using temporal dynamics in the NMF-based denoising systems improves the performance greatly. Additionally, this dissertation proposes an approach to learn the noise basis matrix online from the noisy observations. This relaxes the assumption of an a-priori specified noise type and enables us to use the NMF-based denoising method in an unsupervised manner. Our experiments show that the proposed approach with online noise basis learning considerably outperforms state-of-the-art methods in different noise conditions. Second, this thesis proposes two methods for NMF-based separation of sources with similar dictionaries. We suggest a nonnegative HMM (NHMM) for babble noise that is derived from a speech HMM. In this approach, speech and babble signals share the same basis vectors, whereas the activation of the basis vectors are different for the two signals over time. We derive an MMSE estimator for the clean speech signal using the proposed NHMM. The objective evaluations and performed subjective listening test show that the proposed babble model and the final noise reduction algorithm outperform the conventional methods noticeably. Moreover, the dissertation proposes another solution to separate a desired source from a mixture with arbitrarily low artifacts. Third, an HMM-based algorithm to enhance the speech spectra using super-Gaussian priors is proposed. Our experiments show that speech discrete Fourier transform (DFT) coefficients have super-Gaussian rather than Gaussian distributions even if we limit the speech data to come from a specific phoneme. We derive a new MMSE estimator for the speech spectra that uses super-Gaussian priors. The results of our evaluations using the developed noise reduction algorithm support the super-Gaussianity hypothesis.QC 20130916
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Rusudan, Kevkhishvili. "A Study of Approximations and Transformations of Markov Processes and their Applications to Credit Risk Analysis". Kyoto University, 2019. http://hdl.handle.net/2433/242462.
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Okimura, Rodrigo Takashi. "Controle ótimo multi-período de média-variância para sistemas lineares sujeitos a saltos Markovianos e ruídos multiplicativos". Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-05062009-094823/.
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Este estudo considera o problema de controle ótimo multi-período de média-variância para sistemas em tempo discreto com saltos markovianos e ruídos multiplicativos. Inicialmente considera-se um critério de desempenho formado por uma combinação linear da variância nal e valor esperado da saída do sistema. É apresentada uma solução analítica na obtenção da estratégia ótima para este problema. Em seguida são considerados os casos onde os critérios de desempenho são minimizar a variância nal sujeito a uma restrição no valor esperado ou maximizar o valor esperado nal sujeito a uma restrição na variância nal da saída do sistema. As estratégias ótimas de controle são obtidas de um conjunto de equações de diferenças acopladas de Riccati. Os resultados obtidos neste estudo generalizam resultados anteriores da literatura para o problema de controle ótimo com saldos markovianos e ruídos multiplicativos, apresentando condições explícitas e sucientes para a otimalidade da estratégia de controle. São apresentados modelos e simulações numéricas em otimização de carteiras de investimento e estratégias de gestão de ALM (asset liabilities management).This thesis focuses on the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the nal value of the expectation and variance of the output. In the first problem it is desired to minimize the nal variance of the output subject to a restriction on its nal expectation, in the second one it is desired to maximize the nal expectation of the output subject to a restriction on its nal variance, and in the third one it is considered a performance criterion composed by a linear combination of the nal variance and expectation of the output of the system. The optimal control strategies are obtained from a set of interconnected Riccati dierence equations and explicit sufficient conditions are presented for the existence of an optimal control strategy for these problems, generalizing previous results in the literature. Numerical simulations of investment portfolios and asset liabilities management models for pension funds with regime switching are presented.
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Unver, Alper. "Determination Of Stochastic Model Parameters Of Inertial Sensors". Phd thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615548/index.pdf.
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ABSTRACT
DETERMINATION OF STOCHASTIC MODEL PARAMETERS OF INERTIAL SENSORS
Ünver, Alper PhD, Department of Electric Electronic Engineering Supervisor: Prof. Dr. Mü
beccel Demirekler January 2013, 82 pages Gyro and accelerometer systematic errors due to biases, scale factors, and misalignments can be compensated via an on-board Kalman filtering approach in a Navigation System. On the other hand, sensor random noise sources such as Quantization Noise (QN), Angular Random Walk (ARW), Flicker Noise (FN), and Rate Random Walk (RRW) are not easily estimated by an on-board filter, due to their random characteristics. In this thesis a new method based on the variance of difference sequences is proposed to compute the powers of the above mentioned noise sources. The method is capable of online or offline estimation of stochastic model parameters of the inertial sensors. Our aim in this study is the estimation of ARW, FN and RRW parameters besides the quantization and the Gauss-Markov noise parameters of the inertial sensors. The proposed method is tested both on the simulated and the real sensor data and the results are compared with the Allan variance method. Comparison shows very satisfactory results for the performance of the method. Computational load of the new method is less than the computational load of the Allan variance on the order of tens. One of the usages of this method is the individual noise characterization. A noise, whose power spectral density has a constant slope, can be identified accurately by the proposed method. In addition to this, the parameters of the GM noise can also be determined. Another idea developed here is to approximate the overall error source as a combination of ARW and some number of GM sources only. The reasons of selecting such a structure is the feasibility of using these models in a Kalman filter framework for error propagation as well as their generality of modeling other noise sources.
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Leong, Alex Seak Chon. "Performance of estimation and detection algorithms in wireless networks". Connect to thesis, 2007. http://repository.unimelb.edu.au/10187/2229.
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This thesis focuses on techniques for analyzing the performance of estimation and detection algorithms under conditions which could be encountered in wireless networks, with emphasis on wireless sensor networks. These include phenomena such as measurement losses, fading channels, measurement delays and power constraints.We first look at the hidden Markov model (HMM) filter with random measurement losses. The loss process is governed by another Markov chain. In the two-state case we derive analytical expressions to compute the probability of error. In the multi-state case we derive approximations that are valid at high signal-to-noise ratio (SNR). Relationships between the error probability and parameters of the loss process are investigated.
We then consider the problem of detecting two-state Markov chains in noise, under the Neyman-Pearson formulation. Our measure of performance here is the error exponent, and we give methods for computing this, firstly when channels are time-invariant, and then for time-varying fading channels. We also characterize the behaviour of the error exponent at high SNR.
We will look at the fixed lag Kalman smoother with random measurement losses. We investigate both the notion of estimator stability via expectation of the error covariance, and a probabilistic constraint on the error covariance. A comparison with the Kalman filter where lost measurements are retransmitted is made.
Finally we consider the distributed estimation of scalar linear systems using multiple sensors under the analog forwarding scheme. We study the asymptotic behaviour of the steady state error covariance as the number of sensors increases. We formulate optimization problems to minimize the sum power subject to error covariance constraints, and to minimize the error covariance subject to sum power constraints. We compare between the performance of multi-access and orthogonal access schemes, and for fading channels the effects of various levels of channel state information (CSI).
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Rekašius, Tomas. "Evoliucinis neinformatyvių genetinių sekų modelis". Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2007. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2007~D_20070320_145727-37540.
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The research object is probabilistic properties of non-coding DNA (nucleotide) sequences. Available models of DNA sequences are reviewed and their basic assumptions are verified by statistical analysis of bacterial DNA sequences. On the ground of this analysis, the definition of non-informative genetic sequence is introduced and a mathematical model of “genetic noise” is proposed. Computer simulations of non-coding (non-informative) nucleotide sequence evolution are performed and resulting sequences are compared with native ones. The task of visualisation of genetic sequences is an important part of the work. The main tasks of the work are the following:
1. to analyse the statistical features (independence, Markovity, long-range dependence, etc.) of bacterial DNA sequences, especially non-coding ones,
2. to formulate a definition of a non-informative nucleotide sequence (“genetic noise”) and to propose its mathematical model,
3. using the methodology of functional data analysis and the distance metrics between oligonucleotides, to propose an efficient method for nucleotide sequence visualisation.
General Conclusions:
1. The probability model of non-informative nucleotide sequence or, in other words, “genetic noise” (an analogue of the “white noise”) is proposed and its properties are studied mainly by computer simulation. The long-range dependence in DNA sequences has been extensively studied and is considered as an evidence of their complexity and hierarchical structure... [to full text]
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Constant, Camille. "Modélisation stochastique et analyse statistique de la pulsatilité en neuroendocrinologie". Thesis, Poitiers, 2019. http://www.theses.fr/2019POIT2330.
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L’objectif de cette thèse est de proposer plusieurs modèles probabilistes pour représenter l’activité calcique des neurones et comprendre son implication dans la sécrétion d’hormone GnRH. Ce travail s’appuie sur des expériences réalisées à l’INRA Centre Val-de-Loire. Le Chapitre 1 propose une modélisation continue, où nous étudions un processus markovien de type shot-noise. Le Chapitre 2 étudie un modèle discret de type AR(1) basé sur la discrétisation du modèle du Chapitre 1 et propose une première estimation des paramètres. Le Chapitre 3 propose un autre modèle discret de type AR(1) où les innovations sont la somme d’une variable de Bernouilli et d’une variable gaussienne représentant un bruit, avec prise en compte d’une tendance linéaire. Des estimations des paramètres sont proposées dans le but d’une détection des sauts dans les trajectoires des neurones. Le Chapitre 4 étudie une expérience biologique comportant 33 neurones. Avec la modélisation du Chapitre 3, nous détectons des instants de synchronisation (saut simultané d’une grande proportion des neurones de l’expérience) puis à l’aide de simulations, nous testons la qualité de la méthode utilisée et la comparons à une méthode expérimentaleThe aim of this thesis is to propose several models representing neuronal calcic activity and unsderstand its applicatition in the secretion of GnRH hormone. This work relies on experience realised in INRA Centre Val de Loire. Chapter 1 proposes a continuous model, in which we examine a Markov process of shot-noise type. Chapter 2 studies a discrete model type AR(1), based on a discretization of the model from Chapter 1 and proposes a first estimation of the parameters. Chapter 3 proposes another dicrete model, type AR(1), in which the innovations are the sum of a Bernouilli variable and a Gaussian variable representing a noise, and taking into account a linear drift . Estimations of the parameters are given in order to detect spikes in neuronal paths. Chapter 4 studies a biological experience involving 33 neurons. With the modelisation of Chapter 3, we detect synchronization instants (simultaneous spkike of a high proportion of neurons of the experience) and then, using simulations, we test the quality of the method that we used and we compare it to an experimental approach
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Galetti, Erica. "Seismic interferometry and non-linear tomography". Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/10506.
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Seismic records contain information that allows geoscientists to make inferences about the structure and properties of the Earth’s interior. Traditionally, seismic imaging and tomography methods require wavefields to be generated and recorded by identifiable sources and receivers, and use these directly-recorded signals to create models of the Earth’s subsurface. However, in recent years the method of seismic interferometry has revolutionised earthquake seismology by allowing unrecorded signals between pairs of receivers, pairs of sources, and source-receiver pairs to be constructed as Green’s functions using either cross-correlation, convolution or deconvolution of wavefields. In all of these formulations, seismic energy is recorded and emitted by surrounding boundaries of receivers and sources, which need not be active and impulsive but may even constitute continuous, naturally-occurring seismic ambient noise. In the first part of this thesis, I provide a comprehensive overview of seismic interferometry, its background theory, and examples of its application. I then test the theory and evaluate the effects of approximations that are commonly made when the interferometric formulae are applied to real datasets. Since errors resulting from some approximations can be subtle, these tests must be performed using almost error-free synthetic data produced with an exact waveform modelling method. To make such tests challenging the method and associated code must be applicable to multiply-scattering media. I developed such a modelling code specifically for interferometric tests and applications. Since virtually no errors are introduced into the results from modelling, any difference between the true and interferometric waveforms can safely be attributed to specific origins in interferometric theory. I show that this is not possible when using other, previously available methods: for example, the errors introduced into waveforms synthesised by finite-difference methods due to the modelling method itself, are larger than the errors incurred due to some (still significant) interferometric approximations; hence that modelling method can not be used to test these commonly-applied approximations. I then discuss the ability of interferometry to redatum seismic energy in both space and time, allowing virtual seismograms to be constructed at new locations where receivers may not have been present at the time of occurrence of the associated seismic source. I present the first successful application of this method to real datasets at multiple length scales. Although the results are restricted to limited bandwidths, this study demonstrates that the technique is a powerful tool in seismologists’ arsenal, paving the way for a new type of ‘retrospective’ seismology where sensors may be installed at any desired location at any time, and recordings of seismic events occurring at any other time can be constructed retrospectively – even long after their energy has dissipated. Within crustal seismology, a very common application of seismic interferometry is ambient-noise tomography (ANT). ANT is an Earth imaging method which makes use of inter-station Green’s functions constructed from cross-correlation of seismic ambient noise records. It is particularly useful in seismically quiescent areas where traditional tomography methods that rely on local earthquake sources would fail to produce interpretable results due to the lack of available data. Once constructed, interferometric Green’s functions can be analysed using standard waveform analysis techniques, and inverted for subsurface structure using more or less traditional imaging methods. In the second part of this thesis, I discuss the development and implementation of a fully non-linear inversion method which I use to perform Love-wave ANT across the British Isles. Full non-linearity is achieved by allowing both raypaths and model parametrisation to vary freely during inversion in Bayesian, Markov chain Monte Carlo tomography, the first time that this has been attempted. Since the inversion produces not only one, but a large ensemble of models, all of which fit the data to within the noise level, statistical moments of different order such as the mean or average model, or the standard deviation of seismic velocity structures across the ensemble, may be calculated: while the ensemble average map provides a smooth representation of the velocity field, a measure of model uncertainty can be obtained from the standard deviation map. In a number of real-data and synthetic examples, I show that the combination of variable raypaths and model parametrisation is key to the emergence of previously-unobserved, loop-like uncertainty topologies in the standard deviation maps. These uncertainty loops surround low- or high-velocity anomalies. They indicate that, while the velocity of each anomaly may be fairly well reconstructed, its exact location and size tend to remain uncertain; loops parametrise this location uncertainty, and hence constitute a fully non-linearised, Bayesian measure of spatial resolution. The uncertainty in anomaly location is shown to be due mainly to the location of the raypaths that were used to constrain the anomaly also only being known approximately. The emergence of loops is therefore related to the variation in raypaths with velocity structure, and hence to 2nd and higher order wave-physics. Thus, loops can only be observed using non-linear inversion methods such as the one described herein, explaining why these topologies have never been observed previously. I then present the results of fully non-linearised Love-wave group-velocity tomography of the British Isles in different frequency bands. At all of the analysed periods, the group-velocity maps show a good correlation with known geology of the region, and also robustly detect novel features. The shear-velocity structure with depth across the Irish Sea sedimentary basin is then investigated by inverting the Love-wave group-velocity maps, again fully non-linearly using Markov chain Monte Carlo inversion, showing an approximate depth to basement of 5 km. Finally, I discuss the advantages and current limitations of the fully non-linear tomography method implemented in this project, and provide guidelines and suggestions for its improvement.
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Tsao, Yu. "An ensemble speaker and speaking environment modeling approach to robust speech recognition". Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/26540.
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Thesis (Ph.D)--Electrical and Computer Engineering, Georgia Institute of Technology, 2009.Committee Chair: Lee, Chin-Hui; Committee Member: Anthony Joseph Yezzi; Committee Member: Biing-Hwang (Fred) Juang; Committee Member: Mark Clements; Committee Member: Ming Yuan. Part of the SMARTech Electronic Thesis and Dissertation Collection.
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Zelinka, Petr. "Zvyšování účinnosti strojového rozpoznávání řeči". Doctoral thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2012. http://www.nusl.cz/ntk/nusl-233578.
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This work identifies the causes for unsatisfactory reliability of contemporary systems for automatic speech recognition when deployed in demanding conditions. The impact of the individual sources of performance degradation is documented and a list of known methods for their identification from the recognized signal is given. An overview of the usual methods to suppress the impact of the disruptive influences on the performance of speech recognition is provided. The essential contribution of the work is the formulation of new approaches to constructing acoustical models of noisy speech and nonstationary noise allowing high recognition performance in challenging conditions. The viability of the proposed methods is verified on an isolated-word speech recognizer utilizing several-hour-long recording of the real operating room background acoustical noise recorded at the Uniklinikum Marburg in Germany. This work is the first to identify the impact of changes in speaker’s vocal effort on the reliability of automatic speech recognition in the full vocal effort range (i.e. whispering through shouting). A new concept of a speech recognizer immune to the changes in vocal effort is proposed. For the purposes of research on changes in vocal effort, a new speech database, BUT-VE1, was created.
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Buot, de l’Épine Yorick. "Identification de l’impédance d’un traitement en présence d’un écoulement". Thesis, Compiègne, 2017. http://www.theses.fr/2017COMP2369/document.
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Afin de réduire les bruits rayonnés en sortie de guide d’onde, des traitements acoustiques localement réactifs, comme les structures « Plaque perforée/Nid d’abeilles », peuvent être appliqués en liner. La conception de ces liners devient alors un challenge important avec l’apparition de nouvelles normes sur le bruit et impose de posséder une très bonne connaissance du comportement de ces traitements, en particulier leur impédance de surface. Néanmoins, la caractérisation de cette impédance n’est pas une chose facile et est généralement réalisée via des modèles semi-empiriques comme ceux de Guess, Elnady, Allam ou expérimentalement par des méthodes de mesures directes ou inverses. Ces approches inverses permettent, par la confrontation d’une modélisation du problème avec des observations expérimentales, de retourner, au travers d’une fonction coût, l’impédance du traitement. Ces méthodes ont l’avantage de réaliser une observation dans les conditions réelles d’utilisation du traitement. En effet, de nombreux paramètres influencent l’impédance de surface comme la présence d’un écoulement, l’incidence de l’onde… Dans cette thèse, une méthode d’identification de l’impédance est proposée. A partir de l’impédance de surface d’un traitement « Plaque perforée/Nid d’abeille » prédite par un modèle empirique via ses paramètres géométriques (épaisseur de la plaque, diamètre des perforations…), une méthode basée sur l’approche Bayésienne est implémentée afin de remonter à l’impédance réelle du traitement. Le problème étudié consiste en la propagation d’une onde dans un tronçon rectangulaire traité sur sa face supérieure et la mesure des pressions acoustiques est réalisée sur le banc d’essai de l’Université Technologique de Compiègne avec un écoulement rasant. Un modèle de propagation d’ondes dans le conduit est développé via la technique du raccordement modal, afin de prédire la pression aux positions des microphones pour n’importe quelle valeur d’impédance. A partir de la mesure et de la simulation, la règle de Bayes peut être appliquée afin de construire la densité de probabilité a posteriori. Cette densité de probabilité est alors échantillonnée au travers d’un algorithme Évolutionnaire de Monte Carlo par Chaîne de Markov (EMCMC). L’intérêt principale de cette méthode, est d’obtenir de nombreuses d’informations statistiques sur les paramètres caractérisant l’impédance de surface comme leur distribution et leur corrélationLocally reactive acoustic liners such as honeycomb structures with perforated panels can be modeled with a surface impedance in standard numerical models. However, the characterization of this impedance is not always straightforward. Empirical models or standing wave tube measurements are generally used to get the behavior of these acoustic treatments. Unfortunately, these methods provide only an evaluation of the impedance under specific conditions. Moreover, the conditions of use can change significantly the acoustic liners behavior as grazing flow conditions or oblique incident waves. A characterization of locally reactive acoustic liners is presented here. Starting from a set of parameters and represents a surface impedance using empirical model, an inverse method based on Bayesian approach is used to return the surface impedance taking in consideration the real conditions of use. A rectangular duct treated by a liner on its upper face is considered and these conditions are similar to the experiment present at the Université de Technologie de Compiègne. This inverse method requires a direct model to predict the pressure at some microphone positions with any surface impedance. The model used in the following is based on the Mode-Matching method. From the direct analytical model, the Bayes'rule is then used to get the posterior probability density function of the estimated impedance. An Evolutionary Monte Carlo by Markov chain (EMCMC) method is used to sample this posterior probability density. This method provides not only the best set of parameters but also some statistical information for each parameter
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Oliveira, Alexandre de. "Controle ótimo de sistemas lineares com saltos Markovianos e ruídos multiplicativos sob o critério de média variância ao longo do tempo". Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-16042012-101655/.
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Este estudo considera o modelo de controle ótimo estocástico sob um critério de média-variância para sistemas lineares a tempo discreto sujeitos a saltos Markovianos e ruídos multiplicativos sob dois critérios. Inicialmente, consideramos como critério de desempenho a minimização multiperíodo de uma combinação entre a média e a variância da saída do sistema sem restrições. Em seguida, consideramos o critério de minimização multiperíodo da variância da saída do sistema ao longo do tempo com restrições sobre o valor esperado mínimo. Condições necessárias e suficientes explícitas para a existência de um controle ótimo são determinadas generalizando resultados anteriores existentes na literatura. O controle ótimo é escrito como uma realimentação de estado adicionado de um termo constante. Esta solução é obtida através de um conjunto de equações generalizadas a diferenças de Riccati interconectadas com um conjunto de equações lineares recursivas. Como aplicação, apresentamos alguns exemplos numéricos práticos para um problema de seleção de portfólio multiperíodo com mudança de regime, incluindo uma estratégia de ALM (Asset and Liability Management). Neste problema, deseja-se obter a melhor alocação de portfólio de forma a otimizar seu desempenho entre risco e retorno em cada passo de tempo até o nal do horizonte de investimento e sob um dos dois critérios citados acima.In this work we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under two criterions. First, we consider an unconstrained multiperiod mean-variance trade-off performance criterion. In the sequence, we consider a multiperiod minimum variance criterion subject to constraints on the minimum expected output along the time. We present explicit necessary and sufficient conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. The optimal control law is written as a state feedback added with a deterministic sequence. This solution is derived from a set of coupled generalized Riccati difference equations interconnected with a set of coupled linear recursive equations. As an application, we present some practical numerical examples on a multiperiod portfolio selection problem with regime switching, including an Asset and Liability Management strategy. In this problem it is desired to nd the best portfolio allocation in order to optimize its risk-return performance in every time step along the investment horizon, under one of the two criterions stated above.In this work we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under two criterions. First, we consider an unconstrained multiperiod mean-variance trade-off performance criterion. In the sequence, we consider a multiperiod minimum variance criterion subject to constraints on the minimum expected output along the time. We present explicit necessary and sufficient conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. The optimal control law is written as a state feedback added with a deterministic sequence. This solution is derived from a set of coupled generalized Riccati difference equations interconnected with a set of coupled linear recursive equations. As an application, we present some practical numerical examples on a multiperiod portfolio selection problem with regime switching, including an Asset and Liability Management strategy. In this problem it is desired to nd the best portfolio allocation in order to optimize its risk-return performance in every time step along the investment horizon, under one of the two criterions stated above.
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Haykal, Vanessa. "Modélisation des séries temporelles par apprentissage profond". Thesis, Tours, 2019. http://www.theses.fr/2019TOUR4019.
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La prévision des séries temporelles est un problème qui est traité depuis de nombreuses années. Dans cette thèse, on s’est intéressé aux méthodes issues de l’apprentissage profond. Il est bien connu que si les relations entre les données sont temporelles, il est difficile de les analyser et de les prévoir avec précision en raison des tendances non linéaires et du bruit présent, spécifiquement pour les séries financières et électriques. A partir de ce contexte, nous proposons une nouvelle architecture de réduction de bruit qui modélise des séries d’erreurs récursives pour améliorer les prévisions. L’apprentissage hybride fusionne simultanément un réseau de neurones convolutifs (CNN) et un réseau récurrent à mémoire long et court termes (LSTM). Ce modèle se distingue par sa capacité à capturer globalement différentes propriétés telles que les caractéristiques locales du signal, d’apprendre les dépendances non linéaires à long terme et de s’adapter également à une résistance élevée au bruit. La seconde contribution concerne les limitations des approches globales en raison des changements de régimes dynamiques dans le signal. Nous présentons donc une modification locale non-supervisée de notre architecture précédente afin d’ajuster les résultats en pilotant le modèle par un modèle de Markov caché (HMM). Enfin, on s’est également intéressé aux techniques de multi-résolutions pour améliorer les performances des couches convolutives, notamment par la méthode de décomposition en mode variationnel (VMD)Time series prediction is a problem that has been addressed for many years. In this thesis, we have been interested in methods resulting from deep learning. It is well known that if the relationships between the data are temporal, it is difficult to analyze and predict accurately due to non-linear trends and the existence of noise specifically in the financial and electrical series. From this context, we propose a new hybrid noise reduction architecture that models the recursive error series to improve predictions. The learning process fusessimultaneouslyaconvolutionalneuralnetwork(CNN)andarecurrentlongshort-term memory network (LSTM). This model is distinguished by its ability to capture globally a variety of hybrid properties, where it is able to extract local signal features, to learn long-term and non-linear dependencies, and to have a high noise resistance. The second contribution concerns the limitations of the global approaches because of the dynamic switching regimes in the signal. We present a local unsupervised modification with our previous architecture in order to adjust the results by adapting the Hidden Markov Model (HMM). Finally, we were also interested in multi-resolution techniques to improve the performance of the convolutional layers, notably by using the variational mode decomposition method (VMD)
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Clavelli, Tony. "Your silver nose". Morgantown, W. Va. : [West Virginia University Libraries], 2010. http://hdl.handle.net/10450/11084.
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Ittiwattana, Waraporn. "A Method for Simulation Optimization with Applications in Robust Process Design and Locating Supply Chain Operations". The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1030366020.
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Barbieri, Fabio. "Linear systems with Markov jumps and multiplicative noises: the constrained total variance problem". Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-17032017-100317/.
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In this work we study the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises. We consider the multiperiod and finite time horizon optimization of a mean-variance cost function under a new criterion. In this new problem, we apply a constraint on the total output variance weighted by its risk parameter while maximizing the expected output. The optimal control law is obtained from a set of interconnected Riccati difference equations, extending previous results in the literature. The application of our results is exemplified by numerical simulations of a portfolio of stocks and a risk-free asset.Neste trabalho, estudamos o problema do controle ótimo estocástico de sistemas lineares em tempo discreto sujeitos a saltos Markovianos e ruídos multiplicativos. Consideramos a otimização multiperíodo, com horizonte de tempo finito, de um funcional da média-variância sob um novo critério. Neste novo problema, maximizamos o valor esperado da saída do sistema ao mesmo tempo em que limitamos a sua variância total ponderada pelo seu parâmetro de risco. A lei de controle ótima é obtida através de um conjunto de equações de diferenças de Riccati interconectadas, estendendo resultados anteriores da literatura. São apresentadas simulações numéricas para uma carteira de investimentos com ações e um ativo de risco para exemplificarmos a aplicação de nossos resultados.
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Mehraei, Golbarg. "Auditory brainstem response latency in noise as a marker of cochlear synaptopathy". Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/103440.
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Thesis: Ph. D., Harvard-MIT Program in Health Sciences and Technology, 2016.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 107-117).
Communication in environments with multiple competing sound sources can be challenging, even for listeners with normal hearing thresholds (NHT). This difficulty in "normal" listeners is thought to arise from central sites of the auditory system with the assumption that sound encoding at the auditory nerve (AN) is robust. Despite this assumption, growing evidence from animal and human studies suggests that acoustic exposure, too modest to elevate hearing thresholds, can nonetheless cause "hidden hearing loss" that interferes with coding of supra-threshold sound. In animal studies, such noise exposure leads to cochlear synaptopathy (death of auditory nerve fibers or ANFs); however, there is no clinical test of synaptopathy in humans. In animals, synaptopathy reduces the amplitude of auditory brainstem response (ABR) wave-I. Unfortunately, ABR wave-I is difficult to measure in humans, limiting its clinical use. Here, using behavioral, otoacoustic, and electrophysiological measures in humans and mice in conjunction with computational models of sound processing by the auditory periphery and brainstem, we show that the effect of masking noise on the latency of the more robust ABR wave-V mirrors changes in ABR wave-I amplitude. In our human cohort, the effect of noise on wave-V latency predicts perceptual temporal sensitivity. Further, we show evidence that ABR wave-V latency in forward masking may be affected by ANF loss and is predictive of a listener's performance in a perceptual task related to speech intelligibility in noise. Our results suggest that measures of the effects of masking on ABR wave-V latency can be used to diagnose ANF survival in humans.
by Golbarg Mehraei.
Ph. D.
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Ibnrubbian, Abdullah K. "Effect of regulation, Islamic law and noise traders on the Saudi stock market". Thesis, Brunel University, 2012. http://bura.brunel.ac.uk/handle/2438/6546.
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Saudi stock market (SSM) has witnessed various market regulations and transformations taking place over the past decade. However, the impact of these reforms on market efficiency has not been addressed in the literature. Furthermore, idiosyncratic features of the market can play an important role on the market performance, yet these features have not been fully investigated. The aim of this thesis is to tackle these issues by empirically examining the market efficiency hypothesis and volatility behaviour of the Saudi stock market. Specifically, in order to better understand the relationship between stock returns and prohibition of interest (riba), both conditional and unconditional volatilities are investigated in the context of Islamic law and herd behaviour of noise traders. In Chapter 2 the efficient market hypothesis is tested on the basis of various market efficiency models. Results of both parametric and non-parametric tests reveal that despite the evidence of improved efficiency in the Saudi stock market the weak form of efficient market hypothesis theory is still generally rejected. Chapter 3 considers two types of the generalised autoregressive conditional heteroscedasticity (GARCH) model, a univariate and multivariate GARCH. Specifically, the univariate GARCH model is used to test the seasonality effect of the Ramadan month on each of the five stock market sectors. The multivariate GARCH is used instead to investigate the effect of interest (riba) prohibition in Islam on the volatility of the Saudi stock market. A distinction is made between stocks that are in agreement with Islamic Sharia’a law and interest paying stocks that are not allowed to devoted Muslim investors. The result demonstrates that the Islamic compliant sectors are more volatile than non-Islamic compliant ones. Further, Ramadan seasonality is more significant for non-Islamic compliant stocks. Chapter 4 investigates market inefficiency by considering two anomalies: investors’ herd behaviour and structural breaks in the Saudi stock market. The herd behaviour is investigated by estimating a nonlinear asymmetric cross-sectional absolute deviation model, whereas structural shifts are modelled by estimating a Markov regime switching model. The volatility models considered confirm that both Islamic law and immature behaviour of investors are important factors that contribute to informational imperfectness in the Saudi stock market.
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Choo, Eunjun. "Noise Traders in Large-cap and Small-cap Portfolios: Impact of Sentiments on the Mispricing". Oberlin College Honors Theses / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1589593719514782.
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Yevstihnyeyev, Roman. "Estimation of Asset Volatility and Correlation Over Market Microstructure Noise in High-Frequency Data". Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:14398547.
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Accurate measurement of asset return volatility and correlation is an important problem in financial econometrics. The presence of market microstructure noise in high-frequency data complicates such estimations. This study extends a prior application of a model-based volatility estimator with autocorrelated market microstructure noise to estimation of correlation. The model is applied to a high-frequency dataset including a stock and an index, and the results are compared to some existing models. This study supports previous findings that including an autocorrelation factor produces an estimator potentially less vulnerable to market microstructure noise, and finds that the same is true about the extended correlation estimator that is introduced here.
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Rincé, Romain. "Behavior recognition on noisy data-streams constrained by complex prior knowledge". Thesis, Nantes, 2018. http://www.theses.fr/2018NANT4085/document.
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Le traitement d’événements complexes (Complex Event Processing – CEP) consiste en l’analyse de flux de données afin den extraire des motifs et comportements particuliers décrits, en général, dans un formalisme logique. Dans l’approche classique, les données d’un flux – ou événements – sont supposées être l’observation complète et parfaite du système produisant ces événements. Cependant, dans de nombreux cas, les moyens permettant la collecte de ces données, tels que des capteurs, ne sont pas pour autant infaillibles et peuvent manquer la détection d’un événement particulier ou au contraire en produire. Dans cette thèse, nous nous sommes employé à étudier les modèles possibles de représentation de l’incertain et, ainsi, offrir au CEP une robustesse vis-à-vis de cette incertitude ainsi que les outils nécessaires pour permettre la reconnaissance de comportement complexe de façon pertinente les flux d’événements en se basant sur le formalisme des chroniques. Dans cette optique, trois approches ont été considérées. La première se base sur les réseaux logiques de Markov pour représenter la structure des chroniques sous un ensemble de formules logiques adjointe dune valeur de confiance. Nous montrons que ce modèle, bien que largement appliqué dans la littérature, est inapplicable pour une application concrète au regard des dimensions d’un tel problème. La seconde approche se basent sur des techniques issues de la communauté SAT pour énumérer l’ensemble des solutions possibles d’un problème donné et ainsi produire une valeur de confiance pour la reconnaissance dune chronique exprimée, encore une fois, sous une requête logique. Finalement, nous proposons une dernière approche basée sur les chaînes de Markov pour produire un ensemble d’échantillons expliquant l’évolution du modèle en accord avec les données observées. Ces échantillons sont ensuite analysés par en système de reconnaissance pour compter les occurrences dune chronique particulièreComplex Event Processing (CEP) consists of the analysis of data-streams in order to extract particular patterns and behaviours described, in general, in a logical formalism. In the classical approach, data of a stream – or events – are supposed to be the complete and perfect observation of the system producing these events. However, in many cases, the means for collecting such data, such as sensors, are not infallible and may miss the detection of a particular event or on the contrary produce. In this thesis, we have studied the possible models of representation of uncertainty and, thus, to offer the CEP a robustness to this uncertainty as well as the necessary tools to allow the recognition of complex behaviours based on the chronicle formalism. In this perspective, three approaches have been considered. The first one is based on Markov logical networks to represent the structure of the chronicles under a set of logical formulas of a confidence value. We show that this model, although widely applied in the literature, is inapplicable for a realistic application with regard to the dimensions of such a problem. The second approach is based on techniques from the SAT community to enumerate all possible solutions of a given problem and thus to produce a confidence value for the recognition of a chronicle expressed, again, under a logical structure. Finally, we propose a last approach based on the Markov chains to produce a set of samples explaining the evolution of the model in agreement with the observed data. These samples are then analysed by a recognition system to count the occurrences of a particular chronicle
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Sàágua, João Guilherme Martins Borges. "Exploring the predictive power of Google searches over the US stock market". Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11694.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis paper takes search intensity for stock tickers in Google (SVI) as a direct measure of retail investor attention and assesses whether it holds predictive power over short-term market outcomes. In a sample of the most representative US stocks, during the period 2005 – 2008, I provide evidence that (1) surges of investor attention forecast higher stock liquidity and volatility; (2) depending severely on what is considered an abnormal level of SVI, retail investor attention can also be priced; and (3) SVI does not relate to firm-specific features, such as size and value. Furthermore, I extend the investigation to the aggregate market level, finding that investor attention to the market index predicts greater market liquidity, volatility and return.
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Gao, Xi. "Eliciting and Aggregating Truthful and Noisy Information". Thesis, Harvard University, 2014. http://nrs.harvard.edu/urn-3:HUL.InstRepos:13067680.
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In the modern world, making informed decisions requires obtaining and aggregating relevant information about events of interest. For many political, business, and entertainment events, the information of interest only exists as opinions, beliefs, and judgments of dispersed individuals, and we can only get a complete picture by putting the separate pieces of information together. Thus, an important first step towards decision making is motivating the individuals to reveal their private information and coalescing the separate pieces of information together.
In this dissertation, I study three information elicitation and aggregation methods, prediction markets, peer prediction mechanisms, and adaptive polling, using both theoretical and applied approaches. These methods mainly differ by their assumptions on the participants' behavior, namely whether the participants possess noisy or perfect information and whether they strategically decide on what information to reveal. The first two methods, prediction markets and peer prediction mechanisms, assume that the participants are strategic and have perfect information. Their primary goal is to use carefully designed monetary rewards to incentivize the participants to truthfully reveal their private information. As a result, my studies of these methods focus on understanding to what extent are these methods incentive compatible in theory and in practice. The last method, adaptive polling, assumes that the participants are not strategic and have noisy information. In this case, our goal is to accurately and efficiently estimate the latent ground truth given the noisy information, and we aim to evaluate whether this goal can be achieved by using this method experimentally.
I make four main contributions in this dissertation. First, I theoretically analyze how the participants' knowledge of one another's private information affects their strategic behavior when trading in a prediction market with a finite number of participants. Each participant may trade multiple times in the market, and hence may have an incentive to withhold or misreport his information in order to mislead other participants and capitalize on their mistakes. When the participants' private information is unconditionally independent, we show that the participants reveal their information as late as possible at any equilibrium, which is arguably the worse outcome for the purpose of information aggregation. We also provide insights on the equilibria of such prediction markets when the participants' private information is both conditionally and unconditionally dependent given the outcome of the event.
Second, I theoretically analyze the participants' strategic behavior in a prediction market when a participant has outside incentives to manipulate the market probability. The presence of such outside incentives would seem to damage the information aggregation in the market. Surprisingly, when the existence of such incentives is certain and common knowledge, we show that there exist separating equilibria where all the participants' private information is revealed and fully aggregated into the market probability. Although there also exist pooling equilibria with information loss, we prove that certain separating equilibria are more desirable than many pooling equilibria because the separating equilibria satisfy domination based belief refinements, maximize the social welfare of the setting, or maximize either participant's total expected payoff. When the existence of the outside incentives is uncertain, trust cannot be established and the separating equilibria no longer exist.
Third, I experimentally investigate participants' behavior towards the peer prediction mechanisms, which were proposed to elicit information without observable ground truth. While peer prediction mechanisms promise to elicit truthful information by rewarding participants with carefully constructed payments, they also admit uninformative equilibria where coordinating participants provide no useful information. We conduct the first controlled online experiment of the Jurca and Faltings peer prediction mechanism, engaging the participants in a multiplayer, real-time and repeated game. Using a hidden Markov model to capture players' strategies from their actions, our results show that participants successfully coordinate on uninformative equilibria and the truthful equilibrium is not focal, even when some uninformative equilibria do not exist or result in lower payoffs. In contrast, most players are consistently truthful in the absence of peer prediction, suggesting that these mechanisms may be harmful when truthful reporting has similar cost to strategic behavior.
Finally, I design and experimentally evaluate an adaptive polling method for aggregating small pieces of imprecise information together to produce an accurate estimate of a latent ground truth. In designing this method, we make two main contributions: (1) Our method aggregates the participants' noisy information by using a theoretical model to account for the noise in the participants' contributed information. (2) Our method uses an active learning inspired approach to adaptively choose the query for each participant.
We apply this method to the problem of ranking a set of alternatives, each of which is characterized by a latent strength parameter. At each step, adaptive polling collects the result of a pairwise comparison, estimates the strength parameters from the pairwise comparison data, and adaptively chooses the next pairwise comparison question to maximize expected information gain. Our MTurk experiment shows that our adaptive polling method can effectively incorporate noisy information and improve the estimate accuracy over time. Compared to a baseline method, which chooses a random pairwise comparison question at each step, our adaptive method can generate more accurate estimates with less cost.Engineering and Applied Sciences
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Clements, Adam. "The impact and measurement of the intensity of noise in stock returns". Thesis, Queensland University of Technology, 2002.
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The development of financial economics literature has been characterised by a continual dialogue between empirical and theoretical researchers. Often, this dialogue has taken the form of empirical observation prompting theoretical enquiry. This thesis follows this long tradition by investigating a number of emerging empirical facts, for which in most cases, simple theoretical explanations are suggested. Broadly speaking, this thesis investigates the manner in which the level of activity in an asset market influences the empirical features exhibited by the asset's returns. Motivated by these empirical observations reported in this thesis, theoretical models based on heterogeneous trader behaviour are suggested as explanations of these observations.
A body of widely accepted empirical facts are first re-evaluated with reference to three representative equity indices. Features such as linear dependence in expected returns, dependence in the volatility of returns and negative correlation between returns and volatility innovations are found to be common characteristics of index returns. A number of authors have documented the emerging fact that the presence of non-linearity in returns is transitory in nature. A central issue of this thesis is to propose a rationale for this as yet unexplained phenomenon. Within a model of trader interaction, it is shown that the intensity of noise trading is critically important for the presence of nonlinear price outcomes. Increases in the intensity of noise trading are shown to extinguish non-linear structure in simulated returns. Analysis of index returns lends support to this notion in that periods of returns that exhibit more intense noise are associated with linearity. Issues relating to the accurate and efficient measurement of noise are discussed in detail. It is found that when dealing with stock returns, simple standard deviation of returns is a valid approximation to the intensity of noise in returns. As the presence of non-linearity in returns does not appear to be a persistent feature, the link between market activity and linear dependence in returns is also investigated. Using a similar model of trader interaction, it is shown that when the rate of news arrival is relatively low (high) strong (weak) positive autocorrelations are detected. Broadly consistent patterns are also detected in index returns, supporting the notion that news influences the behavioural patterns of investors and thus observed structure in returns.
Another emerging empirical fact documented in this thesis is the manner in which the intensity of noise in returns influences dependence in the volatility of returns. An accepted feature of the dependence in volatility is that an asymmetry exists between returns and volatility innovations. It is shown here that during periods where the intensity of noise in returns is relatively high, this asymmetrical effect becomes more pronounced. While no formal explanation of this observation is suggested, this exercise has followed in the tradition of much research in investigating empirical phenomena as a first step in expanding our understanding of asset markets.
The results reported throughout this thesis are important from two perspectives. First, they expand upon our knowledge of the empirical features of asset returns in that emerging facts are re-evaluated and new facts documented. Second, given the theoretical explanations proposed for these observations, insights into the behavioural mechanisms generating returns are also revealed.
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Jesus, Eliana Maria de. "Estratégias conversacionais na interação de Dois perdidos numa noite suja, de Plínio Marcos". Pontifícia Universidade Católica de São Paulo, 2007. https://tede2.pucsp.br/handle/handle/14475.
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From the theme Estratégias conversacionais na interação de Dois perdidos numa noite suja , de Plínio Marcos, this research puts in matter questions related to verbal interactions, particularly, the ones that are related to the conversational strategy, specificaly, the preservation of the face, frame and footing, as an attempt to the approaching of the dialogues of a literary work to the ideal models of the conversational strategy typical of the interation face to face. We have chosen for the accomplishment of our study one literary corpus, specified, a theatrical text, because the dialogues analised retract the spontaneity of the language. In this reaserch, we stand by theorically, in Analysis of the Conversation in a socialinteractionist perspective. We observed the mechanisms employed to formulate/reformulate the strategies adopted during the development of the conversational interaction. We ve found out, as defend Tannen, Lakoff and Preti, that the dialogue of fiction presents, in fact, a fertile material for the linguistics studies related to the oral language
A partir do tema Estratégias conversacionais na interação de Dois perdidos numa noite suja, de Plínio Marcos , esta pesquisa coloca em pauta questões relativas às interações verbais, particularmente, as que se referem às estratégias conversacionais, especificamente, a preservação da face, frame e footing, na tentativa de aproximação dos diálogos de um texto literário aos modelos ideais de estratégias conversacionais próprios da interação face a face. Escolhemos para a realização dos nossos estudos um corpus literário, especificamente um texto teatral, por acreditarmos que os diálogos analisados retratam a espontaneidade da linguagem. Consideramos nos exemplos selecionados para a análise, não apenas os aspectos relacionados à identidade social das personagens, mas também as características da situação de comunicação em que os diálogos ocorrem Nesta pesquisa, apoiamo-nos teoricamente, na Análise da Conversação na perspectiva sociointeracionista. Buscamos observar os mecanismos empregados para se formular/reformular as estratégias adotadas durante o desenvolvimento da interação conversacional. Constatamos, tal como defendem Tannen, Lakoff e Preti, que o diálogo de ficção apresenta, de fato, um material fértil para os estudos lingüísticos voltados à língua oral
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Wu, Mingyang. "Pitch tracking and speech enhancement in noisy and reverberant environments". Columbus, Ohio : Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1064341479.
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Thesis (Ph. D.)--Ohio State University, 2003.Title from first page of PDF file. Document formatted into pages; contains xvi, 149 p.; also includes graphics. Includes abstract and vita. Advisor: DeLiang Wang, Dept. of Computer and Information Science. Includes bibliographical references (p. 136-149).
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Wilson, Elizabeth (Betsy). "Precious Bits: Frame Synchronization in Jet Propulsion Laboratory's Advanced Multi-Mission Operations System (AMMOS)". International Foundation for Telemetering, 2001. http://hdl.handle.net/10150/607694.
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International Telemetering Conference Proceedings / October 22-25, 2001 / Riviera Hotel and Convention Center, Las Vegas, NevadaThe Jet Propulsion Laboratory’s (JPL) Advanced Multi-Mission Operations System (AMMOS) system processes data received from deep-space spacecraft, where error rates are high, bit rates are low, and every bit is precious. Frame synchronization and data extraction as performed by AMMOS enhance data acquisition and reliability for maximum data return and validity. Unique aspects of data phase determination, sync acquisition and sync loss and other bit-level topics are covered.
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Marinho, Letícia Morales Wanderley. "As estratégias conversacionais no diálogo construído de Plínio Marcos, Dois perdidos numa noite suja". Pontifícia Universidade Católica de São Paulo, 2006. https://tede2.pucsp.br/handle/handle/14385.
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Previous issue date: 2006-04-26This work has the intention of identifying the strategies used by the characters of a constructed dialog. The selected corpus contains dialogs between characters from the play of playwright Plínio Marcos, Dois perdidos numa noite suja (Both lost in a dirty night). Here we pointed in the dialogs the conversational schemas that the caracthers use to interact with their in the most diversified conversational situations. Dois perdidos numa noite suja (Both lost in a dirty night) is a play fiction, elaborated with devices from spoken language. The text show two characters life that have fiwest economic resorces, have suffers with the social differences and live a life in a hostile way. To highlight the feelings like rebilion, non-conformism and hate, that the characthers fiils the author employs devices that produce effects bringing the fictional text closer to reality. By the selects dialogs, we can to confirm how the literary dialogs can offer expressive examples of interaction, like it happens in a natural conversation
Este trabalho tem por objetivo identificar as estratégias conversacionais utilizadas pelas personagens do diálogo de ficção. O corpus selecionado contém diálogos retirados da peça de Plínio Marcos, Dois perdidos numa noite suja, onde destacamos os esquemas conversacionais que as personagens utilizam para interagirem nas mais variadas situações comunicativas. Dois perdidos numa noite suja é uma obra ficcional em que os diálogos foram construídos com recursos da língua oral. O texto retrata a vida de duas personagens com poucos recursos financeiros, que sofrem com as diferenças sociais e vivem em um ambiente hostil. Para realçar o sentimento de revolta, inconformismo e o ódio que as personagens sentem, o autor utiliza recursos lingüísticos que aproxima o texto ficcional da realidade, dando maior ênfase as emoções. Assim, por meio dos diálogos selecionados, podemos afirmar que os diálogos de ficção podem fornecer-nos exemplos expressivos de interação, aproximando-se de uma conversação natural
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Tino, Peter, Christian Schittenkopf i Georg Dorffner. "Temporal pattern recognition in noisy non-stationary time series based on quantization into symbolic streams. Lessons learned from financial volatility trading". SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2000. http://epub.wu.ac.at/1680/1/document.pdf.
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In this paper we investigate the potential of the analysis of noisy non-stationary time series by quantizing it into streams of discrete symbols and applying finite-memory symbolic predictors. The main argument is that careful quantization can reduce the noise in the time series to make model estimation more amenable given limited numbers of samples that can be drawn due to the non-stationarity in the time series. As a main application area we study the use of such an analysis in a realistic setting involving financial forecasting and trading. In particular, using historical data, we simulate the trading of straddles on the financial indexes DAX and FTSE 100 on a daily basis, based on predictions of the daily volatility differences in the underlying indexes. We propose a parametric, data-driven quantization scheme which transforms temporal patterns in the series of daily volatility changes into grammatical and statistical patterns in the corresponding symbolic streams. As symbolic predictors operating on the quantized streams we use the classical fixed-order Markov models, variable memory length Markov models and a novel variation of fractal-based predictors introduced in its original form in (Tino, 2000b). The fractal-based predictors are designed to efficiently use deep memory. We compare the symbolic models with continuous techniques such as time-delay neural networks with continuous and categorical outputs, and GARCH models. Our experiments strongly suggest that the robust information reduction achieved by quantizing the real-valued time series is highly beneficial. To deal with non-stationarity in financial daily time series, we propose two techniques that combine ``sophisticated" models fitted on the training data with a fixed set of simple-minded symbolic predictors not using older (and potentially misleading) data in the training set. Experimental results show that by quantizing the volatility differences and then using symbolic predictive models, market makers can generate a statistically significant excess profit. However, with respect to our prediction and trading techniques, the option market on the DAX does seem to be efficient for traders and non-members of the stock exchange. There is a potential for traders to make an excess profit on the FTSE 100. We also mention some interesting observations regarding the memory structure in the studied series of daily volatility differences. (author's abstract)Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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Kwon, Tae Yeon. "Three Essays on Credit Risk Models and Their Bayesian Estimation". Thesis, Harvard University, 2012. http://dissertations.umi.com/gsas.harvard:10427.
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This dissertation consists of three essays on credit risk models and their Bayesian estimation. In each essay, defaults or default correlation models are built under one of two main streams. In our first essay, sequential estimation on hidden asset value and model parameters estimation are implemented under the Black-Cox model. To capture short-term autocorrelation in the stock market, we assume that market noise follows a mean reverting process. For estimation, two Bayesian methods are applied in this essay: the particle filter algorithm for sequential estimation of asset value and the generalized Gibbs sampling method for model parameters estimation. The first simulation study shows that sequential hidden asset value estimation using option price and equity price is more efficient and accurate than estimation using only equity price. The second simulation study shows that by applying the generalized Gibbs sampling method, model parameters can be successfully estimated under the model setting that there is no closed-form solution. In an empirical analysis using eight companies, half of which are DowJones30 companies and the other half non-Dow Jones 30 companies, the stock market noise for the firms with more liquid stock is estimated as having smaller volatility in market noise processes. In our second essay, the frailty idea described in Duffie, Eckner, Horel, and Saita (2009) is expanded to industry-specific terms. The MCEM algorithm is used to estimate parameters and random effect processes under the condition of unknown hidden paths and analytically-difficult likelihood functions. The estimate used in the study are based on U.S. public firms between 1990 and 2008. By introducing industry-specific hidden factors and assuming that they are random effects, a comparison is made of the relative scale of within- and between-industries correlations. A comparison study is also developed among a without-hidden-factor model, a common-hiddenfactor model, and our industry-specific common-factor model. The empirical results show that an industry-specific common factor is necessary for adjusting over- or under-estimation of default probabilities and over- or under-estimation of observed common factor effects. Our third essay combines and extends works of the first two essays by proposing a common model frame for both structural and intensity credit risk models. The common model frame combines the merits of several default correlation studies which are independently developed under each model setting. Following the work of Duffie, Eckner, Horel, and Saita (2009), we apply not only observed common factors, but also un-observed hidden factor to explain the correlated defaults. Bayesian techniques are used for estimation and generalized Gibbs sampling and Metropolis-Hasting (MH) algorithms are developed. More than a simple combination of two model approaches (structural and intensity models), we relax the assumptions of equal factor effect across entire firms in previous studies, instead adopting a random coefficients model. Also, a novelty of the approach lies in the fact that CDS and equity prices are used together for estimation. A simulation study shows that the posterior convergence is improved by adding CDS prices in estimation. Empirical results based on daily data of 125 companies comprising CDS.NA.IG13 in 2009 supports the necessity of such relaxations of assumption in previous studies. In order to demonstrate potential practical applications of the proposed framework, we derive the posterior distribution of CDX tranche prices. Our correlated structural model is successfully able to predict all the CDX tranche prices, but our correlated intensity model results suggests the need for further modification of the model.Statistics
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Hua, Håkan. "Employees with Aided Hearing Impairment : An Interdisciplinary Perspective". Doctoral thesis, Linköpings universitet, Handikappvetenskap, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-110375.
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In Sweden 13% of the general adult population (16-84 years), with or without hearing aids (HAs), report that they have difficulties following a conversation when more than two people are involved. This means that more than one million people in Sweden (9 500 000 inhabitants in total) report subjective hearing difficulties. Observations further indicate that that people with hearing impairment (HI) have an unfavorable position in the labor market. Individuals with HI report poorer health more frequently and estimate their own health to be worse than their normally-hearing peers. Increased unemployment, early health-related retirement and sick leaves are also more common for people with hearing loss compared to the population at large. The focus of the present thesis is employees with mild-moderate aided HI in the labor market. The research project had three general aims: 1) to develop knowledge about how HI interacts with cognitive abilities, and different types of work-related sound environments and workrelated tasks, 2) develop tests and assessment methods that allow for the analysis and assessment of perceived problems in clinical settings and 3) to develop knowledge that enables the possibility to provide recommendations of room acoustics and work-related tasks for employees with HI. Four studies were carried out. The studies presented in papers I-III are quantitative laboratory studies focusing on health related quality of life, cognition and effort and disturbance perceived in different types of occupational noise (daycare, office and traffic). Paper IV is a qualitative interview study aiming at exploring the conceptions of working life among employees with mild-moderate aided HI. The results from papers I-IV clearly demonstrate that noise has negative effects on employees with mild-moderate aided HI. In addition to generating significantly greater effort and disturbance, it is further reported from the participants that noise at work in combination with a HI has an impact on daily life. This includes a sense of exposure during work hours, physical and mental fatigue after work, and withdrawal from social situations in the work environment and leisure activities. None of the participants with HI performed significantly worse on the visual working tasks employed in this project compared to their normallyhearing peers. This thesis shows that employees with HI objectively perform the employed working tasks at a level similar to a well-matched normally-hearing control group. Instead, the findings of this thesis indicates that working in a noisy environment with a HI occurs at the expense of this group reporting significantly worse results on subjective measurements, including greater effort and disturbance, and lower physical health status. Interviews with these participants further confirm that these effects are indeed mostly due to noise at the workplace which could have a negative impact both physically, mentally and socially during and after work hours. The main findings of this thesis demonstrate that there is a need for extensive services for employees with HI even after a HA fitting. This thesis therefore emphasizes the importance of identifying the need for assistive listening devices, examining the room acoustics of the individual’s work setting and providing the workplace with information about the consequences of having a HI in order to facilitate communication at work. The latter is especially important as colleagues showing support and employers making adjustments at the workplace (technically or acoustically) are facilitating factors that would benefit both employees with HI and those with normal hearing. Additional research should focus on including and comparing other types of cognitive tests, work-related noises and working tasks. More research is also needed to unravel the complex area of research between factors such as cognitive processes, hearing and effort.Tidigare forskning har visat att yrkesverksamma hörselskadade oftast har en mindre gynnsam position på arbetsmarknaden. Statistik visar att gruppen upplever en högre grad av trötthet och en lägre grad av arbetstillfredställelse. Avhandlingen har tre övergripande syften: 1) att utveckla ny teoretisk kunskap om hur hörselnedsättning samspelar med kognitiva förmågor, arbetsrelaterad ljudmiljö och typ av arbetsuppgifter, och 2) utveckla test- och utredningsmetoder ger möjlighet till analys och diagnos av upplevda problem samt 3) utveckla kunskap som ger möjlighet till åtgärd och anpassning av ljudmiljöer och arbetsuppgifter på arbetsplatser för hörselskadade. Projektets resultat visar på att yrkesverksamma med hörselnedsättning rapporterar en lägre fysisk hälsostatus och att en högre grad av upplevd ansträngning samt störning kan upplevas när de utför olika arbetsuppgifter i buller. Detta beror bland annat på att de kognitiva förmågorna blir mer belastade i en bullrig miljö och att hörselskadade är mer känsliga för höga bullernivåer. Djupintervjuer med gruppen visar även på att fysisk trötthet upplevs även efter jobbet som i sin tur kan leda till psykosociala konsekvenser för individen. Denna avhandling visar att de negativa effekterna av buller redan ses vid en lätt-måttlig hörselnedsättning hos en grupp som redan använder hörapparater. Från ett kliniskt perspektiv innebär det att dagens rehabiliteringsåtgärder bör vara mer omfattande än endast hörapparaturprovning för denna grupp. Tekniska hjälpmedel (FM-system, streamers, hörslinga, etc.) är viktiga för yrkesverksamma med hörselskada och information om konsekvenserna av att leva med en hörselnedsättning bör nås ut till arbetsgivare och kollegor för att underlätta kommunikation på jobbet.
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Salgueiro, José Estevam. "O trabalho e o trabalhador na dramaturgia de Plínio Marcos: Dois perdidos numa noite suja". Pontifícia Universidade Católica de São Paulo, 2013. https://tede2.pucsp.br/handle/handle/17021.
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Previous issue date: 2013-06-21This study seeks to identify and analyze what senses and meanings concerning the issue labor and worker are present in Plinio Marco s play Two lost in a dirty night (1966), based on the hypothesis that, through the political and social characteristics of the author s work, the issue of labor/worker constitutes one of the central dramatic cores of this text. The choice of the author and text is due to its historical and aesthetic importance in the universe of the Brazilian dramaturgy: the protagonists are outcast characters from the Brazilian society. This study discusses the relation among work, author and audience, choosing to focus on the analysis of the work (text), as proposed by the analytical objective method created by Vigotski, building scenic units which allows its application. The study also presents reflections on the relation between Art and History, Psychology and Politics. In a particular chapter it addresses the theatrical context at the time of the premiere of the text, aiming at characterizing the audience that received and echoed it. The results obtained prove the initial hypothesis, demonstrating the centrality of the issue labor / worker in the dramatic composition of the text
Este estudo busca identificar e analisar quais os sentidos e significados acerca do trabalho e do trabalhador estão presentes no texto Dois perdidos numa noite suja, (1966) de Plínio Marcos, partindo da hipótese de que, pelas características políticas e sociais desta obra, a questão do trabalho/trabalhador compõe um dos núcleos dramáticos centrais da obra. A escolha do autor e do texto se deve a sua importância histórica e estética no universo da dramaturgia brasileira: os protagonistas são personagens marginalizados da sociedade brasileira. O estudo discute a relação entre obra-autor-público, optando por centra-se na análise da obra (texto), conforme a proposta do método objetivo analítico elaborado por Vigotski, recorrendo à construção de unidades cênicas que permitam a sua aplicação. O estudo apresenta, também, reflexões sobre a relação da Arte com a História, com a Psicologia e com a Política. Em capítulo específico, aborda o contexto teatral da época da estreia do texto, com o intuito de caracterizar o público que o recebeu e ecoou. Os resultados obtidos comprovam a hipótese inicial, já que demonstram a centralidade do trabalho/trabalhador na composição dramática do texto
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Feng, Zijie. "Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market". Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375.
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As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is compared with empirical Chinese stock prices. Comparisons are performed by considering logarithmic-return densities, autocovariance functions, spectral densities and trajectories. Since logarithmic-return densities of GFBM stock prices are Gaussian and empirical stock logarithmic-returns typically are far from Gaussian, a GFBM model may not be the most suitable stock price model.
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Vyhlídka, Jan. "Limits to the Efficiency of the Capital Market". Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76372.
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The aim of this study is to gather insights into market efficiency and mechanisms that work in the financial markets. It provides a framework with an emphasis on liquidity and the failure of arbitrage that deepens our understanding of various financial crises. Described mechanisms are particularly relevant for the last financial crises - including 2007-2009, LTCM, and dot-com bubble. In the first chapter the concept of efficient markets is introduced. In the second chapter it is challenged from the point of view of noise trader theory and limits of arbitrage. The third chapter deals with market microstructure and liquidity. Last chapter shows importance and adverse effects of externalities, particularly of those causing liquidity spirals.
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Tunyavetchakit, Sophon [Verfasser], i Rainer [Akademischer Betreuer] Dahlhaus. "Volatility Decomposition and Nonparametric Estimation of Spot Volatility of Models with Poisson Sampling under Market Microstructure Noise / Sophon Tunyavetchakit ; Betreuer: Rainer Dahlhaus". Heidelberg : Universitätsbibliothek Heidelberg, 2016. http://d-nb.info/1180615786/34.
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[Verfasser], Sophon Tunyavetchakit, i Rainer [Akademischer Betreuer] Dahlhaus. "Volatility Decomposition and Nonparametric Estimation of Spot Volatility of Models with Poisson Sampling under Market Microstructure Noise / Sophon Tunyavetchakit ; Betreuer: Rainer Dahlhaus". Heidelberg : Universitätsbibliothek Heidelberg, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-214504.
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Schubert, Sven. "Stochastic and temperature-related aspects of the Preisach model of hysteresis". Doctoral thesis, Universitätsbibliothek Chemnitz, 2011. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-qucosa-70798.
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Ziel der vorliegenden Arbeit ist es, das Preisach-Modell bezüglich stochastischer äußerer Felder und temperaturbezogener Aspekte zu untersuchen. Das phänomenologische Preisach-Modell wird oft erfolgreich angewendet, um Systeme mit Hysterese zu beschreiben. Im ersten Teil der Arbeit wird die Antwort des Preisach-Modells auf stochastische äußere Felder untersucht. Hier liegt das Augenmerk hauptsächlich auf der Autokorrelation; sie dient dazu den Einfluss des hysteretischen Gedächtnisses zu quantifizieren. Mit analytischen Methoden wird gezeigt, dass sich ein Langzeitgedächtnis, sichtbar in der Autokorrelation der Systemantwort, entwickeln kann, selbst wenn das treibende Feld unkorreliert ist. Im Anschluss werden diese Resultate, m.H. von Simulationen, auf äußere Felder ausgeweitet, die selbst Korrelationen aufweisen können. Der zweite Teil der Arbeit befasst sich mit dem Einfluss einer endlichen Temperatur auf das Preisach-Modell. Es werden unterschiedliche Methoden besprochen, wie das Nichtgleichgewichtsmodell in seiner mikromagnetischen Interpretation mit Temperatur als Gleichgewichtseigenschaft verknüpft werden kann. Eine Formulierung wird genutzt, um die Magnetisierung von Nickelnanopartikeln in einer Fullerenmatrix zu simulieren und mit Experimenten zu vergleichen. Des Weiteren wird die Relaxationsdynamik des Gedächtnisses des Preisach-Modells bei endlichen Temperaturen untersuchtThe aim of this thesis is to investigate the Preisach model in regard to stochastically driving and temperature-related aspects. The Preisach model is a phenomenological model for systems with hysteresis which is often successfully applied. Hysteresis is a widespread phenomenon which is observed in nature and the key feature of certain technological applications. Further, it contributes to phenomena of interest in social science and economics as well. Prominent examples are the magnetization of ferromagnetic materials in an external magnetic field or the adsorption-desorption hysteresis observed in porous media. Hysteresis involves the development of a hysteresis memory, and multistability in the interrelations between external driving fields and system response. In the first part, we mainly investigate the response of Preisach hysteresis models driven by stochastic input processes with regard to autocorrelation functions to quantify the influence of the system’s memory. Using rigorous methods, it is shown that the development of a hysteresis memory is reflected in the possibility of long-time tails in the autocorrelation functions, even for uncorrelated driving fields. In the case of uncorrelated driving, these long-time tails in the autocorrelations of the system’s response are determined only by the tails of the involved densities. They will be observed if there are broad Preisach densities assigning a high weight to elementary loops of large width and narrow input densities such that rare extreme events of the input time series contribute significantly to the output for a long period of time. Afterwards, these results are extended by simulations to driving fields which themselves show correlations. It is shown that the autocorrelation of the output does not decay faster than the autocorrelation of the input process. Further, there is a possibility that long-term memory in the hysteretic response is more pronounced in the case of uncorrelated driving than in the case of correlated driving. The behavior of the output probability distribution at the saturation values is quite universal. It is not affected by the presence of correlations and allows conclusions whether the input density is much more narrow than the Preisach density or not. Moreover, the existence of effective Preisach densities is shown which define equivalence classes of systems of input and Preisach densities which lead to realizations of the same output variable. The asymptotic behavior of an effective Preisach density determines the asymptotic correlation decay of the system’s response in the case of uncorrelated driving. In the second part, temperature-related effects are considered. It is reviewed how the non-equilibrium Preisach model in its micromagnetic picture can be related to temperature within the framework of extended irreversible thermodynamics. The irreversible response of a ferromagnetic material, namely, Nickel nanoparticles in a fullerene matrix, is simulated. The model includes superparamagnetism where ferromagnetism breaks down at temperatures lower than the Curie temperature and the results are compared to experimental data. Furthermore, we adapt known results for the thermal relaxation of the system’s memory in the form of a front propagation in the Preisach plane derived basically from solving a master equation and by the use of a contradictory assumption. A closer look is taken at short time scales which dissolves the contradiction and shows that the known results apply, taking into account the fact that the dividing line propagation starts with an additional delay time depending on the front coordinates in the Preisach plane. Additionally, it is outlined how thermal relaxation behavior in the Preisach model of hysteresis can be studied using a Fokker-Planck equation. The latter is solved analytically in the non-hysteretic limit using eigenfunction methods. The results indicate a change in the relaxation behavior, especially on short time scales
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Almeida, Alcione Gomes de. "A ESTÉTICA DE PLÍNIO MARCOS EVIDENCIADA EM DOIS PERDIDOS NUMA NOITE SUJA, NAVALHA NA CARNE E BALADA DE UM PALHAÇO". Pontifícia Universidade Católica de Goiás, 2016. http://localhost:8080/tede/handle/tede/3252.
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Previous issue date: 2016-02-29This dissertation presents an interpretive and comparative study of the theater performances Dois Perdidos Numa Noite Suja, Navalha na Carne and Balada de um Palhaço, from Plínio Marcos. The main objective is to highlight the uniqueness of aesthetic creation performed by the author, as well as its importance in the Brazilian theatrical scene in plans of content and form. It is observed that the proposed analysis assumes that the works raise distinct ontological and universal issues on the humanity, sometimes half hidden in the textual surface of prosaic appearance. Thus, it is appropriate to deal with aspects that enable interaction with Plinian artistic production, such as the ease of language, composition of characters and texture conflict. Individual examination of the dramatic text is followed by a more specific comparison between them in order to better highlight its characteristics, composed of similarities and differences, which in different ways express immeasurable artistic quality. This the research follows the deductive nature of methodology, bibliographic and documentary, in which the theoretical support account: with articles published at the time of presentation of the parts of Plinio Marcos; theoretical scope of literature and theater, among them: Artaud (1999), Bakhtin (1981, 2002, 2003), Bonfitto (2002), Bornheim (2007) Dort (2010), Magaldi (1994), Nietzsche (1994), Prado (2001), Rosenfeld (1982, 1985, 2008), Szondi (2001), Virmaux (1978). It should be noted the incidence of the theoretical concepts in the analysis of the object of the research parts, which is founded by the fabric of the dramatic text, because it includes not here to study the staging of the shows.
Esta dissertação apresenta um estudo interpretativo e comparativo das peças Dois Perdidos Numa Noite Suja, Navalha na Carne e Balada de um Palhaço, de Plínio Marcos. O objetivo principal é evidenciar o ineditismo da criação estética realizada pelo autor, bem como a sua importância no cenário teatral brasileiro, nos planos do conteúdo e da forma. Observa-se que, a análise proposta parte do princípio de que as obras suscitam distintos temas ontológicos e universais à humanidade, por vezes semi-ocultos na superfície textual de aparência prosaica. Desta forma, é pertinente o tratamento de aspectos que viabilizem a interação com a produção artística pliniana, tais como a desenvoltura da linguagem, composição das personagens e tessitura dos conflitos. O exame individual dos textos dramáticos é seguido de um cotejo mais específico entre eles, a fim de melhor ressaltar suas características, compostas de semelhanças e diferenças, que por caminhos distintos expressam imensurável qualidade artística. Para a realização da pesquisa segue-se a metodologia de cunho dedutivo, bibliográfico e documental, em que o aporte teórico conta: com artigos publicados à época das apresentações das peças de Plínio Marcos; teóricos do âmbito da literatura e do teatro, dentre eles: Artaud (1999), Bakhtin (1981, 2002, 2003), Bonfitto (2002), Bornheim (2007), Dort (2010), Magaldi (1994), Nietzsche (1994), Prado (2001), Rosenfeld (1982, 1985, 2008), Szondi (2001), Virmaux (1978). Cumpre ressaltar a incidência dos conceitos teóricos na análise das peças, objeto do corpus de pesquisa, que se fundamenta pela tessitura do texto dramático, pois não se contempla aqui o estudo da encenação dos espetáculos.