543,733 research outputs found
Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?
In this paper, we consider the ability of time-series models to generate simulated data that display the same business cycle features found in U.S. real GDP. Our analysis of a range of popular time-series models allows us to investigate the extent to which multivariate information can account for the apparent univariate evidence of nonlinear dynamics in GDP. We find that certain nonlinear specifications yield an improvement over linear models in reproducing business cycle features, even when multivariate information inherent in the unemployment rate, inflation, interest rates, and the components of GDP is taken into account.
The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa
The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access to all available information on changes in weather and in global demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that possible gains in prediction accuracy may be small.Commodity markets, Multivariate GARCH models, Exchange rates, Volatility, Forecasting
Monotonicity Results for Coherent MIMO Rician Channels
The dependence of the Gaussian input information rate on the line-of-sight
(LOS) matrix in multiple-input multiple-output coherent Rician fading channels
is explored. It is proved that the outage probability and the mutual
information induced by a multivariate circularly symmetric Gaussian input with
any covariance matrix are monotonic in the LOS matrix D, or more precisely,
monotonic in D'D in the sense of the Loewner partial order. Conversely, it is
also demonstrated that this ordering on the LOS matrices is a necessary
condition for the uniform monotonicity over all input covariance matrices. This
result is subsequently applied to prove the monotonicity of the isotropic
Gaussian input information rate and channel capacity in the singular values of
the LOS matrix. Extensions to multiple-access channels are also discussed.Comment: 14 pages, submitted to IEEE Transactions on Information Theor
Permutation complexity of interacting dynamical systems
The coupling complexity index is an information measure introduced within the
framework of ordinal symbolic dynamics. This index is used to characterize the
complexity of the relationship between dynamical system components. In this
work, we clarify the meaning of the coupling complexity by discussing in detail
some cases leading to extreme values, and present examples using synthetic data
to describe its properties. We also generalize the coupling complexity index to
the multivariate case and derive a number of important properties by exploiting
the structure of the symmetric group. The applicability of this index to the
multivariate case is demonstrated with a real-world data example. Finally, we
define the coupling complexity rate of random and deterministic time series.
Some formal results about the multivariate coupling complexity index have been
collected in an Appendix.Comment: 16 pages, 6 figure
Spectral Simplicity of Apparent Complexity, Part II: Exact Complexities and Complexity Spectra
The meromorphic functional calculus developed in Part I overcomes the
nondiagonalizability of linear operators that arises often in the temporal
evolution of complex systems and is generic to the metadynamics of predicting
their behavior. Using the resulting spectral decomposition, we derive
closed-form expressions for correlation functions, finite-length Shannon
entropy-rate approximates, asymptotic entropy rate, excess entropy, transient
information, transient and asymptotic state uncertainty, and synchronization
information of stochastic processes generated by finite-state hidden Markov
models. This introduces analytical tractability to investigating information
processing in discrete-event stochastic processes, symbolic dynamics, and
chaotic dynamical systems. Comparisons reveal mathematical similarities between
complexity measures originally thought to capture distinct informational and
computational properties. We also introduce a new kind of spectral analysis via
coronal spectrograms and the frequency-dependent spectra of past-future mutual
information. We analyze a number of examples to illustrate the methods,
emphasizing processes with multivariate dependencies beyond pairwise
correlation. An appendix presents spectral decomposition calculations for one
example in full detail.Comment: 27 pages, 12 figures, 2 tables; most recent version at
http://csc.ucdavis.edu/~cmg/compmech/pubs/sdscpt2.ht
Time and spectral domain relative entropy: A new approach to multivariate spectral estimation
The concept of spectral relative entropy rate is introduced for jointly
stationary Gaussian processes. Using classical information-theoretic results,
we establish a remarkable connection between time and spectral domain relative
entropy rates. This naturally leads to a new spectral estimation technique
where a multivariate version of the Itakura-Saito distance is employed}. It may
be viewed as an extension of the approach, called THREE, introduced by Byrnes,
Georgiou and Lindquist in 2000 which, in turn, followed in the footsteps of the
Burg-Jaynes Maximum Entropy Method. Spectral estimation is here recast in the
form of a constrained spectrum approximation problem where the distance is
equal to the processes relative entropy rate. The corresponding solution
entails a complexity upper bound which improves on the one so far available in
the multichannel framework. Indeed, it is equal to the one featured by THREE in
the scalar case. The solution is computed via a globally convergent matricial
Newton-type algorithm. Simulations suggest the effectiveness of the new
technique in tackling multivariate spectral estimation tasks, especially in the
case of short data records.Comment: 32 pages, submitted for publicatio
- …