1,511,852 research outputs found

    A new positive time-frequency distribution

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    This article studies the formulation of new members of the Cohen-Posch (1985) class of positive time-frequency energy distributions. Members of this class are always positive functionals and satisfy the marginal constraints. Therefore, they can be properly interpreted as distributions. We considered the minimization of cross-entropy measures with respect to different priors orPeer ReviewedPostprint (published version

    Capturing the zero: a new class of zero-augmented distributions and multiplicative error processes

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    We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially simultaneously occurring market events. We introduce a flexible pointmass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of liquid NYSE stocks, we show that the model captures both the dynamic and distribution properties of the data very well and is able to correctly predict future distributions. Keywords: High-frequency Data , Point-mass Mixture , Multiplicative Error Model , Excess Zeros , Semiparametric Specification Test , Market Microstructure JEL Classification: C22, C25, C14, C16, C5

    Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

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    We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially simultaneously occurring market events. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of liquid NYSE stocks, we show that the model captures both the dynamic and distribution properties of the data very well and is able to correctly predict future distributions.high-frequency data, point-mass mixture, multiplicative error model, excess zeros, semiparametric specification test, market microstructure

    Superlattice with hot electron injection: an approach to a Bloch oscillator

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    A semiconductor superlattice with hot electron injection into the miniband is considered. The injection changes the stationary distribution function and results in a qualitative change of the frequency behaviour of the differential conductivity. In the regime with Bloch oscillating electrons and injection into the upper part of the miniband the region of negative differential conductivity is shifted from low frequencies to higher frequencies. We find that the dc differential conductivity can be made positive and thus the domain instability can be suppressed. At the same time the high-frequency differential conductivity is negative above the Bloch frequency. This opens a new way to make a Bloch oscillator operating at THz frequencies.Comment: RevTeX, 8 pages, 2 figures, to be published in Phys. Rev. B, 15 Januar 200

    A POWERFUL TEST FOR CONDITIONAL HETEROSCEDASTICITY FOR FINANCIAL TIME SERIES WITH HIGHLY PERSISTENT VOLATILITIES.

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    Traditional tests for conditional heteroscedasticity are based on testing for significant autocorrelations of squared or absolute observations. In the context of high frequency time series of financial returns, these autocorrelations are often positive and very persistent, although their magnitude is usually very small. Moreover, the sample autocorrelations are severely biased towards zero, specially if the volatility is highly persistent. Consequently, the power of the traditional tests is often very low. In this paper, we propose a new test that takes into account not only the magnitude of the sample autocorrelations but also possible patterns among them. This aditional information makes the test more powerful in situations of empirical interest. The asymptotic distribution of the new statistic is derived and its finite sample properties are analized by means of Monte Carlo experiments. The performance of the new test is compared with other alternative tests. Finally, we illustrate the results analysing several real time series of financial returns.

    An age-of-allele test of neutrality for transposable element insertions

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    How natural selection acts to limit the proliferation of transposable elements (TEs) in genomes has been of interest to evolutionary biologists for many years. To describe TE dynamics in populations, many previous studies have used models of transposition-selection equilibrium that rely on the assumption of a constant rate of transposition. However, since TE invasions are known to happen in bursts through time, this assumption may not be reasonable in natural populations. Here we propose a test of neutrality for TE insertions that does not rely on the assumption of a constant transposition rate. We consider the case of TE insertions that have been ascertained from a single haploid reference genome sequence and have subsequently had their allele frequency estimated in a population sample. By conditioning on the age of an individual TE insertion (using information contained in the number of substitutions that have occurred within the TE sequence since insertion), we determine the probability distribution for the insertion allele frequency in a population sample under neutrality. Taking models of varying population size into account, we then evaluate predictions of our model against allele frequency data from 190 retrotransposon insertions sampled from North American and African populations of Drosophila melanogaster. Using this non-equilibrium model, we are able to explain about 80% of the variance in TE insertion allele frequencies based on age alone. Controlling both for nonequilibrium dynamics of transposition and host demography, we provide evidence for negative selection acting against most TEs as well as for positive selection acting on a small subset of TEs. Our work establishes a new framework for the analysis of the evolutionary forces governing large insertion mutations like TEs, gene duplications or other copy number variants.Comment: 40 pages, 6 figures, Supplemental Data available: [email protected]

    A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities.

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    Traditional tests for conditional heteroscedasticity are based on testing for significant autocorrelations of squared or absolute observations. In the context of high frequency time series of financial returns, these autocorrelations are often positive and very persistent, although their magnitude is usually very small. Moreover, the sample autocorrelations are severely biased towards zero, especially if the volatility is highly persistent. Consequently, the power of the traditional tests is often very low. In this paper, we propose a new test that takes into account not only the magnitude of the sample autocorrelations but also possible patterns among them. This additional information makes the test more powerful in situations of empirical interest. The asymptotic distribution of the new statistic is derived and its finite sample properties are analyzed by means of Monte Carlo experiments. The performance of the new test is compared with various alternative tests. Finally, we illustrate the results analyzing several time series of financial returns.Publicad

    Modeling stretched solitary waves along magnetic field lines

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    International audienceA model is presented for a new type of fast solitary waves which is observed in downward current regions of the auroral zone. The three-dimensional, coherent structures are electrostatic, have a positive potential, and move along the magnetic field lines with speeds on the order of the electron drift. Their parallel potential profile is flattened and cannot fit to the Gaussian shape used in previous work. We develop a detailed BGK model which includes a flattened potential and an assumed cylindrical symmetry around a centric magnetic field line. The model envisions concentric shells of trapped electrons slowly drifting azimuthally while bouncing back and forth in the parallel direction. The electron dynamics is analysed in terms of three basic motions that occur on different time scales characterized by the cyclotron frequency We , the bounce frequency wb , and the azimuthal drift frequency wg. The ordering We >> wb >> wg is required. Self-consistent distribution functions are calculated in terms of approximate constants of motion. Constraints on the parameters characterizing the amplitude and shape of the stretched solitary wave are discussed

    Development of Data Analytics Tools for Acoustic Measurement of Positive Displacement Machines

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    Noise control is an important factor in evaluating the design of positive displacement machines. This research project aims to develop new tools in MATLAB, with emphasis on visual approaches, to comprehensively characterize the noise generated by positive displacement machines in spatial, temporal and frequency domains. Sound pressure level (SPL), sound intensity level (SIL) and loudness were calculated and plotted on a measurement surface surrounding the pump, which illustrates the spatial distribution of the sound field. In order to highlight the phenomenon within specific frequency bands, Butterworth filters were used to isolate desired frequencies, such that specific harmonic content or 1/3 Octave bands content can be analyzed. In addition to static visualization methods, videos were created by compressing a series of sphere plots in time to illustrate the dynamic characteristics of the measured sound. Corresponding phase plots were generated at the same time to statically illustrate these dynamic characteristics shown on videos. The successful generation of the various methods of characterizing and visualizing pumps generated noise was evaluated on a large sample set of more than 150 measure grids with nearly 30000 individual microphone measurements. The creation of these analytics has already changed the conversation and challenged the state of the art in hydraulic Noise Vibration and Harshness (NVH)
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