Matching Items (4)
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- All Subjects: Control
- All Subjects: Economics, Finance
- Creators: Rodriguez, Armando
Description
One necessary condition for the two-pass risk premium estimator to be consistent and asymptotically normal is that the rank of the beta matrix in a proposed linear asset pricing model is full column. I first investigate the asymptotic properties of the risk premium estimators and the related t-test and Wald test statistics when the full rank condition fails. I show that the beta risk of useless factors or multiple proxy factors for a true factor are priced more often than they should be at the nominal size in the asset pricing models omitting some true factors. While under the null hypothesis that the risk premiums of the true factors are equal to zero, the beta risk of the true factors are priced less often than the nominal size. The simulation results are consistent with the theoretical findings. Hence, the factor selection in a proposed factor model should not be made solely based on their estimated risk premiums. In response to this problem, I propose an alternative estimation of the underlying factor structure. Specifically, I propose to use the linear combination of factors weighted by the eigenvectors of the inner product of estimated beta matrix. I further propose a new method to estimate the rank of the beta matrix in a factor model. For this method, the idiosyncratic components of asset returns are allowed to be correlated both over different cross-sectional units and over different time periods. The estimator I propose is easy to use because it is computed with the eigenvalues of the inner product of an estimated beta matrix. Simulation results show that the proposed method works well even in small samples. The analysis of US individual stock returns suggests that there are six common risk factors in US individual stock returns among the thirteen factor candidates used. The analysis of portfolio returns reveals that the estimated number of common factors changes depending on how the portfolios are constructed. The number of risk sources found from the analysis of portfolio returns is generally smaller than the number found in individual stock returns.
ContributorsWang, Na (Author) / Ahn, Seung C. (Thesis advisor) / Kallberg, Jarl G. (Committee member) / Liu, Crocker H. (Committee member) / Arizona State University (Publisher)
Created2011
Description
From time immemorial, epilepsy has persisted to be one of the greatest impediments to human life for those stricken by it. As the fourth most common neurological disorder, epilepsy causes paroxysmal electrical discharges in the brain that manifest as seizures. Seizures have the effect of debilitating patients on a physical and psychological level. Although not lethal by themselves, they can bring about total disruption in consciousness which can, in hazardous conditions, lead to fatality. Roughly 1\% of the world population suffer from epilepsy and another 30 to 50 new cases per 100,000 increase the number of affected annually. Controlling seizures in epileptic patients has therefore become a great medical and, in recent years, engineering challenge.
In this study, the conditions of human seizures are recreated in an animal model of temporal lobe epilepsy. The rodents used in this study are chemically induced to become chronically epileptic. Their Electroencephalogram (EEG) data is then recorded and analyzed to detect and predict seizures; with the ultimate goal being the control and complete suppression of seizures.
Two methods, the maximum Lyapunov exponent and the Generalized Partial Directed Coherence (GPDC), are applied on EEG data to extract meaningful information. Their effectiveness have been reported in the literature for the purpose of prediction of seizures and seizure focus localization. This study integrates these measures, through some modifications, to robustly detect seizures and separately find precursors to them and in consequence provide stimulation to the epileptic brain of rats in order to suppress seizures. Additionally open-loop stimulation with biphasic currents of various pairs of sites in differing lengths of time have helped us create control efficacy maps. While GPDC tells us about the possible location of the focus, control efficacy maps tells us how effective stimulating a certain pair of sites will be.
The results from computations performed on the data are presented and the feasibility of the control problem is discussed. The results show a new reliable means of seizure detection even in the presence of artifacts in the data. The seizure precursors provide a means of prediction, in the order of tens of minutes, prior to seizures. Closed loop stimulation experiments based on these precursors and control efficacy maps on the epileptic animals show a maximum reduction of seizure frequency by 24.26\% in one animal and reduction of length of seizures by 51.77\% in another. Thus, through this study it was shown that the implementation of the methods can ameliorate seizures in an epileptic patient. It is expected that the new knowledge and experimental techniques will provide a guide for future research in an effort to ultimately eliminate seizures in epileptic patients.
In this study, the conditions of human seizures are recreated in an animal model of temporal lobe epilepsy. The rodents used in this study are chemically induced to become chronically epileptic. Their Electroencephalogram (EEG) data is then recorded and analyzed to detect and predict seizures; with the ultimate goal being the control and complete suppression of seizures.
Two methods, the maximum Lyapunov exponent and the Generalized Partial Directed Coherence (GPDC), are applied on EEG data to extract meaningful information. Their effectiveness have been reported in the literature for the purpose of prediction of seizures and seizure focus localization. This study integrates these measures, through some modifications, to robustly detect seizures and separately find precursors to them and in consequence provide stimulation to the epileptic brain of rats in order to suppress seizures. Additionally open-loop stimulation with biphasic currents of various pairs of sites in differing lengths of time have helped us create control efficacy maps. While GPDC tells us about the possible location of the focus, control efficacy maps tells us how effective stimulating a certain pair of sites will be.
The results from computations performed on the data are presented and the feasibility of the control problem is discussed. The results show a new reliable means of seizure detection even in the presence of artifacts in the data. The seizure precursors provide a means of prediction, in the order of tens of minutes, prior to seizures. Closed loop stimulation experiments based on these precursors and control efficacy maps on the epileptic animals show a maximum reduction of seizure frequency by 24.26\% in one animal and reduction of length of seizures by 51.77\% in another. Thus, through this study it was shown that the implementation of the methods can ameliorate seizures in an epileptic patient. It is expected that the new knowledge and experimental techniques will provide a guide for future research in an effort to ultimately eliminate seizures in epileptic patients.
ContributorsShafique, Md Ashfaque Bin (Author) / Tsakalis, Konstantinos (Thesis advisor) / Rodriguez, Armando (Committee member) / Muthuswamy, Jitendran (Committee member) / Spanias, Andreas (Committee member) / Arizona State University (Publisher)
Created2016
Description
A systematic top down approach to minimize risk and maximize the profits of an investment over a given period of time is proposed. Macroeconomic factors such as Gross Domestic Product (GDP), Consumer Price Index (CPI), Outstanding Consumer Credit, Industrial Production Index, Money Supply (MS), Unemployment Rate, and Ten-Year Treasury are used to predict/estimate asset (sector ETF`s) returns. Fundamental ratios of individual stocks are used to predict the stock returns. An a priori known cash-flow sequence is assumed available for investment. Given the importance of sector performance on stock performance, sector based Exchange Traded Funds (ETFs) for the S&P; and Dow Jones are considered and wealth is allocated. Mean variance optimization with risk and return constraints are used to distribute the wealth in individual sectors among the selected stocks. The results presented should be viewed as providing an outer control/decision loop generating sector target allocations that will ultimately drive an inner control/decision loop focusing on stock selection. Receding horizon control (RHC) ideas are exploited to pose and solve two relevant constrained optimization problems. First, the classic problem of wealth maximization subject to risk constraints (as measured by a metric on the covariance matrices) is considered. Special consideration is given to an optimization problem that attempts to minimize the peak risk over the prediction horizon, while trying to track a wealth objective. It is concluded that this approach may be particularly beneficial during downturns - appreciably limiting downside during downturns while providing most of the upside during upturns. Investment in stocks during upturns and in sector ETF`s during downturns is profitable.
ContributorsChitturi, Divakar (Author) / Rodriguez, Armando (Thesis advisor) / Tsakalis, Konstantinos S (Committee member) / Si, Jennie (Committee member) / Arizona State University (Publisher)
Created2010
Description
With the revolution of low-cost microelectronics, rotary-wing vehicles have grown increasingly popular and important in the past two decades. With increased interest in quadcopters comes the need to for a systematic and rigorous framework to model, analyze, control, and design them. This thesis presents the beginning of such a framework.
The work presents the nonlinear equations of motion of a quadcopter. This includes the translational and rotational equations of motion, as well as an analysis of the nonlinear actuator dynamics. The work then analyzes the static properties of a quadcopter in forward flight equilibrium and shows how static properties change as physical properties of the vehicle are varied. Next, the dynamics of forward flight are linearized, and a dynamic analysis is provided.
After dynamic analysis, the work shows detailed hierarchical control system design trade studies, which includes attitude and translational inner-outer loop control. Among other designs, the following are presented: PD control, proportional control, pole-placement control. Each of these control architectures are employed for the inner loops and outer loops. The work also analyzes linear versus nonlinear simulation performance of a quadcopter, specifically for a step x-axis reference command. It is found that the nonlinear dynamics of the actuator cause significant discrepancy between linear and nonlinear simulation.
Finally, this thesis establishes directions for future graduate research. This includes hardware design, as well as moving toward design of a highly-maneuverable thrust-vectoring quadrotor which will be the focus of the proposed graduate PhD research. In summary, this thesis provides the beginning of a cohesive framework to model, analyze, control, and design quadcopters. It also lays the groundwork for graduate research and beyond.
The work presents the nonlinear equations of motion of a quadcopter. This includes the translational and rotational equations of motion, as well as an analysis of the nonlinear actuator dynamics. The work then analyzes the static properties of a quadcopter in forward flight equilibrium and shows how static properties change as physical properties of the vehicle are varied. Next, the dynamics of forward flight are linearized, and a dynamic analysis is provided.
After dynamic analysis, the work shows detailed hierarchical control system design trade studies, which includes attitude and translational inner-outer loop control. Among other designs, the following are presented: PD control, proportional control, pole-placement control. Each of these control architectures are employed for the inner loops and outer loops. The work also analyzes linear versus nonlinear simulation performance of a quadcopter, specifically for a step x-axis reference command. It is found that the nonlinear dynamics of the actuator cause significant discrepancy between linear and nonlinear simulation.
Finally, this thesis establishes directions for future graduate research. This includes hardware design, as well as moving toward design of a highly-maneuverable thrust-vectoring quadrotor which will be the focus of the proposed graduate PhD research. In summary, this thesis provides the beginning of a cohesive framework to model, analyze, control, and design quadcopters. It also lays the groundwork for graduate research and beyond.
ContributorsWallace, Brent (Author) / Rodriguez, Armando (Thesis director) / Berman, Spring (Committee member) / Electrical Engineering Program (Contributor) / Barrett, The Honors College (Contributor)
Created2019-12