Evaluating Density Forecasts

We propose methods for evaluating density forecasts. We focus primarily on methods that are applicable regardless of the particular user's loss function. We illustrate the methods with a detailed simulation example, and then we present an application to density forecasting of daily stock market returns. We discuss extensions for improving suboptimal density forecasts, multi-step-ahead density forecast evaluation, multivariate density forecast evaluation, monitoring for structural change and its relationship to density forecasting, and density forecast evaluation with known loss function.

Evaluating density forecasts

The authors propose methods for evaluating and improving density forecasts. They focus primarily on methods that are applicable regardless of the particular user's loss function, though they take explicit account of the relationships between density forecasts, action choices, and the corresponding expected loss throughout. They illustrate the methods with a detailed series of examples, and they discuss extensions to improving and combining suboptimal density forecasts, multistep-ahead density forecast evaluation, multivariate density forecast evaluation, monitoring for structural change and its relationship to density forecasting, and density forecast evaluation with known loss function.Forecasting

Noncontact electrical metrology of Cu/low-k interconnect for semiconductor production wafers

We have demonstrated a technique capable of in-line measurement of dielectric constant of low-k interconnect films on patterned wafers utilizing a test key of ~50x50 \mu m in size. The test key consists of a low-k film backed by a Cu grid with >50% metal pattern density and <250 nm pitch, which is fully compatible with the existing dual-damascene interconnect manufacturing processes. The technique is based on a near-field scanned microwave probe and is noncontact, noninvasive, and requires no electrical contact to or grounding of the wafer under test. It yields <0.3% precision and 2% accuracy for the film dielectric constant

Comparison of experimental and numerical sloshing loads in partially filled tanks

Sloshing phenomenon consists in the movement of liquids inside partially filled tanks, whichgenerates dynamic loads on the tank structure. Resulting impact pressures are of great importance in assessingstructural strength, and their correct evaluation still represents a challenge for the designer due to the highnonlinearities involved, with complex free surface deformations, violent impact phenomena and influence of airtrapping. In the present paper a set of two-dimensional cases for which experimental results are available areconsidered to assess merits and shortcomings of different numerical methods for sloshing evaluation, namely twocommercial RANS solvers (FLOW-3D and LS-DYNA), and two own developed methods (Smoothed ParticleHydrodynamics and RANS). Impact pressures at different critical locations and global moment induced by watermotion for a partially filled tank with rectangular section having a rolling motion have been evaluated and resultsare compared with experiments

Hyper-velocity impact test and simulation of a double-wall shield concept for the Wide Field Monitor aboard LOFT

The space mission LOFT (Large Observatory For X-ray Timing) was selected in 2011 by ESA as one of the candidates for the M3 launch opportunity. LOFT is equipped with two instruments, the Large Area Detector (LAD) and the Wide Field Monitor (WFM), based on Silicon Drift Detectors (SDDs). In orbit, they would be exposed to hyper-velocity impacts by environmental dust particles, which might alter the surface properties of the SDDs. In order to assess the risk posed by these events, we performed simulations in ESABASE2 and laboratory tests. Tests on SDD prototypes aimed at verifying to what extent the structural damages produced by impacts affect the SDD functionality have been performed at the Van de Graaff dust accelerator at the Max Planck Institute for Nuclear Physics (MPIK) in Heidelberg. For the WFM, where we expect a rate of risky impacts notably higher than for the LAD, we designed, simulated and successfully tested at the plasma accelerator at the Technical University in Munich (TUM) a double-wall shielding configuration based on thin foils of Kapton and Polypropylene. In this paper we summarize all the assessment, focussing on the experimental test campaign at TUM.Comment: Proc. SPIE 9144, Space Telescopes and Instrumentation 2014: Ultraviolet to Gamma Ray, 91446

Measurement of the effect of Non Ionising Energy Losses on the leakage current of Silicon Drift Detector prototypes for the LOFT satellite

The silicon drift detectors are at the basis of the instrumentation aboard the Large Observatory For x-ray Timing (LOFT) satellite mission, which underwent a three year assessment phase within the "Cosmic Vision 2015 - 2025" long-term science plan of the European Space Agency. Silicon detectors are especially sensitive to the displacement damage, produced by the non ionising energy losses of charged and neutral particles, leading to an increase of the device leakage current and thus worsening the spectral resolution. During the LOFT assessment phase, we irradiated two silicon drift detectors with a proton beam at the Proton Irradiation Facility in the accelerator of the Paul Scherrer Institute and we measured the increase in leakage current. In this paper we report the results of the irradiation and we discuss the impact of the radiation damage on the LOFT scientific performance.Comment: 21 pages, 7 figures, 2 tables. Accepted for publication by Journal of Instrumentation (JINST

Real-time price discovery in stock, bond and foreign exchange markets

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding helps explain the time-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and recessions. Lastly, relying on the pronounced heteroskedasticity in the high-frequency data, we document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects. JEL Klassifikation: F3, F4, G1, C