One Dimensional Kondo Lattice Model Studied by the Density Matrix Renormalization Group Method

Recent developments of the theoretical investigations on the one-dimensional Kondo lattice model by using the density matrix renormalization group (DMRG) method are discussed in this review. Short summaries are given for the zero-temperature DMRG, the finite-temperature DMRG, and also its application to dynamic quantities. Away from half-filling, the paramagnetic metallic state is shown to be a Tomonaga-Luttinger liquid with the large Fermi surface. For the large Fermi surface its size is determined by the sum of the densities of the conduction electrons and the localized spins. The correlation exponent K_rho of this metallic phase is smaller than 1/2. At half-filling the ground state is insulating. Excitation gaps are different depending on channels, the spin gap, the charge gap and the quasiparticle gap. Temperature dependence of the spin and charge susceptibilities and specific heat are discussed. Particularly interesting is the temperature dependence of various excitation spectra, which show unusual properties of the Kondo insulators.Comment: 18 pages, 23 Postscript figures, REVTe

Dynamic Bayesian Predictive Synthesis in Time Series Forecasting

We discuss model and forecast combination in time series forecasting. A foundational Bayesian perspective based on agent opinion analysis theory defines a new framework for density forecast combination, and encompasses several existing forecast pooling methods. We develop a novel class of dynamic latent factor models for time series forecast synthesis; simulation-based computation enables implementation. These models can dynamically adapt to time-varying biases, miscalibration and inter-dependencies among multiple models or forecasters. A macroeconomic forecasting study highlights the dynamic relationships among synthesized forecast densities, as well as the potential for improved forecast accuracy at multiple horizons

Dynamic dependence networks: Financial time series forecasting and portfolio decisions (with discussion)

We discuss Bayesian forecasting of increasingly high-dimensional time series, a key area of application of stochastic dynamic models in the financial industry and allied areas of business. Novel state-space models characterizing sparse patterns of dependence among multiple time series extend existing multivariate volatility models to enable scaling to higher numbers of individual time series. The theory of these "dynamic dependence network" models shows how the individual series can be "decoupled" for sequential analysis, and then "recoupled" for applied forecasting and decision analysis. Decoupling allows fast, efficient analysis of each of the series in individual univariate models that are linked-- for later recoupling-- through a theoretical multivariate volatility structure defined by a sparse underlying graphical model. Computational advances are especially significant in connection with model uncertainty about the sparsity patterns among series that define this graphical model; Bayesian model averaging using discounting of historical information builds substantially on this computational advance. An extensive, detailed case study showcases the use of these models, and the improvements in forecasting and financial portfolio investment decisions that are achievable. Using a long series of daily international currency, stock indices and commodity prices, the case study includes evaluations of multi-day forecasts and Bayesian portfolio analysis with a variety of practical utility functions, as well as comparisons against commodity trading advisor benchmarks.Comment: 31 pages, 9 figures, 3 table

Distance Oracles for Time-Dependent Networks

We present the first approximate distance oracle for sparse directed networks with time-dependent arc-travel-times determined by continuous, piecewise linear, positive functions possessing the FIFO property. Our approach precomputes $(1+\epsilon)-$approximate distance summaries from selected landmark vertices to all other vertices in the network. Our oracle uses subquadratic space and time preprocessing, and provides two sublinear-time query algorithms that deliver constant and $(1+\sigma)-$approximate shortest-travel-times, respectively, for arbitrary origin-destination pairs in the network, for any constant $\sigma > \epsilon$. Our oracle is based only on the sparsity of the network, along with two quite natural assumptions about travel-time functions which allow the smooth transition towards asymmetric and time-dependent distance metrics.Comment: A preliminary version appeared as Technical Report ECOMPASS-TR-025 of EU funded research project eCOMPASS (http://www.ecompass-project.eu/). An extended abstract also appeared in the 41st International Colloquium on Automata, Languages, and Programming (ICALP 2014, track-A

Approximate maximum likelihood estimation using data-cloning ABC

A maximum likelihood methodology for a general class of models is presented, using an approximate Bayesian computation (ABC) approach. The typical target of ABC methods are models with intractable likelihoods, and we combine an ABC-MCMC sampler with so-called "data cloning" for maximum likelihood estimation. Accuracy of ABC methods relies on the use of a small threshold value for comparing simulations from the model and observed data. The proposed methodology shows how to use large threshold values, while the number of data-clones is increased to ease convergence towards an approximate maximum likelihood estimate. We show how to exploit the methodology to reduce the number of iterations of a standard ABC-MCMC algorithm and therefore reduce the computational effort, while obtaining reasonable point estimates. Simulation studies show the good performance of our approach on models with intractable likelihoods such as g-and-k distributions, stochastic differential equations and state-space models.Comment: 25 pages. Minor revision. It includes a parametric bootstrap for the exact MLE for the first example; includes mean bias and RMSE calculations for the third example. Forthcoming in Computational Statistics and Data Analysi