20,154 research outputs found
Initial synchronisation of wideband and UWB direct sequence systems: single- and multiple-antenna aided solutions
This survey guides the reader through the open literature on the principle of initial synchronisation in single-antenna-assisted single- and multi-carrier Code Division Multiple Access (CDMA) as well as Direct Sequence-Ultra WideBand (DS-UWB) systems, with special emphasis on the DownLink (DL). There is a paucity of up-to-date surveys and review articles on initial synchronization solutions for MIMO-aided and cooperative systems - even though there is a plethora of papers on both MIMOs and on cooperative systems, which assume perfect synchronization. Hence this paper aims to ?ll the related gap in the literature
Computer aided electronic circuit design Status report, Dec. 1, 1967 - May 31, 1968
Computer aided electronic circuit desig
Recursive Program Optimization Through Inductive Synthesis Proof Transformation
The research described in this paper involved developing transformation techniques which increase the efficiency of the noriginal program, the source, by transforming its synthesis proof into one, the target, which yields a computationally more efficient algorithm. We describe a working proof transformation system which, by exploiting the duality between mathematical induction and recursion, employs the novel strategy of optimizing recursive programs by transforming inductive proofs. We compare and contrast this approach with the more traditional approaches to program transformation, and highlight the benefits of proof transformation with regards to search, correctness, automatability and generality
Robust Kalman tracking and smoothing with propagating and non-propagating outliers
A common situation in filtering where classical Kalman filtering does not
perform particularly well is tracking in the presence of propagating outliers.
This calls for robustness understood in a distributional sense, i.e.; we
enlarge the distribution assumptions made in the ideal model by suitable
neighborhoods. Based on optimality results for distributional-robust Kalman
filtering from Ruckdeschel[01,10], we propose new robust recursive filters and
smoothers designed for this purpose as well as specialized versions for
non-propagating outliers. We apply these procedures in the context of a GPS
problem arising in the car industry. To better understand these filters, we
study their behavior at stylized outlier patterns (for which they are not
designed) and compare them to other approaches for the tracking problem.
Finally, in a simulation study we discuss efficiency of our procedures in
comparison to competitors.Comment: 27 pages, 12 figures, 2 table
Dynamic modeling of mean-reverting spreads for statistical arbitrage
Statistical arbitrage strategies, such as pairs trading and its
generalizations, rely on the construction of mean-reverting spreads enjoying a
certain degree of predictability. Gaussian linear state-space processes have
recently been proposed as a model for such spreads under the assumption that
the observed process is a noisy realization of some hidden states. Real-time
estimation of the unobserved spread process can reveal temporary market
inefficiencies which can then be exploited to generate excess returns. Building
on previous work, we embrace the state-space framework for modeling spread
processes and extend this methodology along three different directions. First,
we introduce time-dependency in the model parameters, which allows for quick
adaptation to changes in the data generating process. Second, we provide an
on-line estimation algorithm that can be constantly run in real-time. Being
computationally fast, the algorithm is particularly suitable for building
aggressive trading strategies based on high-frequency data and may be used as a
monitoring device for mean-reversion. Finally, our framework naturally provides
informative uncertainty measures of all the estimated parameters. Experimental
results based on Monte Carlo simulations and historical equity data are
discussed, including a co-integration relationship involving two
exchange-traded funds.Comment: 34 pages, 6 figures. Submitte
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