Bayesian and Non-Bayesian Approaches to Scientific Modeling and Inference in Economics and Econometrics

After brief remarks on the history of modeling and inference techniques in economics and econometrics , attention is focused on the emergence of economic science in the 20th century. First, the broad objectives of science and the Pearson-Jeffreys' "unity of science" principle will be reviewed. Second, key Bayesian and non-Bayesian practical scientific inference and decision methods will be compared using applied examples from economics, econometrics and business. Third, issues and controversies on how to model the behavior of economic units and systems will be reviewed and the structural econometric modeling, time series analysis (SEMTSA) approach will be described and illustrated using a macro-economic modeling and forecasting problem involving analyses of data for 18 industrialized countries over the years since the 1950s. Point and turning point forecasting results will be summarized. Last, a few remarks will be made about the future of scientific inference and modeling techniques in economics and econometrics.

Large Eddy Simulations of gaseous flames in gas turbine combustion chambers

Recent developments in numerical schemes, turbulent combustion models and the regular increase of computing power allow Large Eddy Simulation (LES) to be applied to real industrial burners. In this paper, two types of LES in complex geometry combustors and of specific interest for aeronautical gas turbine burners are reviewed: (1) laboratory-scale combustors, without compressor or turbine, in which advanced measurements are possible and (2) combustion chambers of existing engines operated in realistic operating conditions. Laboratory-scale burners are designed to assess modeling and funda- mental flow aspects in controlled configurations. They are necessary to gauge LES strategies and identify potential limitations. In specific circumstances, they even offer near model-free or DNS-like LES computations. LES in real engines illustrate the potential of the approach in the context of industrial burners but are more difficult to validate due to the limited set of available measurements. Usual approaches for turbulence and combustion sub-grid models including chemistry modeling are first recalled. Limiting cases and range of validity of the models are specifically recalled before a discussion on the numerical breakthrough which have allowed LES to be applied to these complex cases. Specific issues linked to real gas turbine chambers are discussed: multi-perforation, complex acoustic impedances at inlet and outlet, annular chambers.. Examples are provided for mean flow predictions (velocity, temperature and species) as well as unsteady mechanisms (quenching, ignition, combustion instabil- ities). Finally, potential perspectives are proposed to further improve the use of LES for real gas turbine combustor designs

Assessment of digital image correlation measurement errors: methodology and results

Optical full-field measurement methods such as Digital Image Correlation (DIC) are increasingly used in the field of experimental mechanics, but they still suffer from a lack of information about their metrological performances. To assess the performance of DIC techniques and give some practical rules for users, a collaborative work has been carried out by the Workgroup “Metrology” of the French CNRS research network 2519 “MCIMS (Mesures de Champs et Identification en Mécanique des Solides / Full-field measurement and identification in solid mechanics, http://www.ifma.fr/lami/gdr2519)”. A methodology is proposed to assess the metrological performances of the image processing algorithms that constitute their main component, the knowledge of which being required for a global assessment of the whole measurement system. The study is based on displacement error assessment from synthetic speckle images. Series of synthetic reference and deformed images with random patterns have been generated, assuming a sinusoidal displacement field with various frequencies and amplitudes. Displacements are evaluated by several DIC packages based on various formulations and used in the French community. Evaluated displacements are compared with the exact imposed values and errors are statistically analyzed. Results show general trends rather independent of the implementations but strongly correlated with the assumptions of the underlying algorithms. Various error regimes are identified, for which the dependence of the uncertainty with the parameters of the algorithms, such as subset size, gray level interpolation or shape functions, is discussed

Asset pricing and investor risk in subordinated asset securitisation

As a sign of ambivalence in the regulatory definition of capital adequacy for credit risk and the quest for more efficient refinancing sources collateral loan obligations (CLOs) have become a prominent securitisation mechanism. This paper presents a loss-based asset pricing model for the valuation of constituent tranches within a CLO-style security design. The model specifically examines how tranche subordination translates securitised credit risk into investment risk of issued tranches as beneficial interests on a designated loan pool typically underlying a CLO transaction. We obtain a tranchespecific term structure from an intensity-based simulation of defaults under both robust statistical analysis and extreme value theory (EVT). Loss sharing between issuers and investors according to a simplified subordination mechanism allows issuers to decompose securitised credit risk exposures into a collection of default sensitive debt securities with divergent risk profiles and expected investor returns. Our estimation results suggest a dichotomous effect of loss cascading, with the default term structure of the most junior tranche of CLO transactions (“first loss position”) being distinctly different from that of the remaining, more senior “investor tranches”. The first loss position carries large expected loss (with high investor return) and low leverage, whereas all other tranches mainly suffer from loss volatility (unexpected loss). These findings might explain why issuers retain the most junior tranche as credit enhancement to attenuate asymmetric information between issuers and investors. At the same time, the issuer discretion in the configuration of loss subordination within particular security design might give rise to implicit investment risk in senior tranches in the event of systemic shocks. JEL Classifications: C15, C22, D82, F34, G13, G18, G2

On local Fourier analysis of multigrid methods for PDEs with jumping and random coefficients

In this paper, we propose a novel non-standard Local Fourier Analysis (LFA) variant for accurately predicting the multigrid convergence of problems with random and jumping coefficients. This LFA method is based on a specific basis of the Fourier space rather than the commonly used Fourier modes. To show the utility of this analysis, we consider, as an example, a simple cell-centered multigrid method for solving a steady-state single phase flow problem in a random porous medium. We successfully demonstrate the prediction capability of the proposed LFA using a number of challenging benchmark problems. The information provided by this analysis helps us to estimate a-priori the time needed for solving certain uncertainty quantification problems by means of a multigrid multilevel Monte Carlo method

Magnetic Actuators and Suspension for Space Vibration Control

The research on microgravity vibration isolation performed at the University of Virginia is summarized. This research on microgravity vibration isolation was focused in three areas: (1) the development of new actuators for use in microgravity isolation; (2) the design of controllers for multiple-degree-of-freedom active isolation; and (3) the construction of a single-degree-of-freedom test rig with umbilicals. Described are the design and testing of a large stroke linear actuator; the conceptual design and analysis of a redundant coarse-fine six-degree-of-freedom actuator; an investigation of the control issues of active microgravity isolation; a methodology for the design of multiple-degree-of-freedom isolation control systems using modern control theory; and the design and testing of a single-degree-of-freedom test rig with umbilicals