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Linear Gaussian Affine Term Structure Models with Unobservable Factors: Calibration and Yield Forecasting
This paper provides a significant numerical evidence for out-of-sample forecasting ability of linear Gaussian interest rate models with unobservable underlying factors. We calibrate one, two and three factor linear Gaussian models using the Kalman filter on two different bond yield data sets and compare their out-of-sample
forecasting performance. One step ahead as well as four step ahead out-of-sample forecasts are analyzed based on the weekly data. When evaluating the one step ahead forecasts, it is shown that a one factor model may be adequate when only the short-dated or only the long-dated yields are considered, but two and three factor
models performs significantly better when the entire yield spectrum is considered. Furthermore, the results demonstrate that the predictive ability of multi-factor models remains intact far
ahead out-of-sample, with accurate predictions available up to one year after the last calibration for one data set and up to three
months after the last calibration for the second, more volatile data set. The experimental data denotes two different periods with different yield volatilities, and the stability of model
parameters after calibration in both the cases is
deemed to be both significant and practically useful. When it comes to four step ahead predictions, the quality of forecasts deteriorates for all models, as can be expected, but the advantage of using a multi-factor model as compared to a one factor model is still significant.
In addition to the empirical study above, we also suggest a nonlinear filter based on linear programming for improving the term structure matching at a given point in time. This method,
when used in place of a Kalman filter update, improves the term structure fit significantly with a minimal added computational overhead. The improvement achieved with the proposed method is
illustrated for out-of-sample data for both the data sets. This method can be used to model a parameterized yield curve consistently with the underlying short rate dynamics
Polarized Curvature Radiation in Pulsar Magnetosphere
The propagation of polarized emission in pulsar magnetosphere is investigated
in this paper. The polarized waves are generated through curvature radiation
from the relativistic particles streaming along curved magnetic field lines and
co-rotating with the pulsar magnetosphere. Within the 1/{\deg} emission cone,
the waves can be divided into two natural wave mode components, the ordinary
(O) mode and the extraord nary (X) mode, with comparable intensities. Both
components propagate separately in magnetosphere, and are aligned within the
cone by adiabatic walking. The refraction of O-mode makes the two components
separated and incoherent. The detectable emission at a given height and a given
rotation phase consists of incoherent X-mode and O-mode components coming from
discrete emission regions. For four particle-density models in the form of
uniformity, cone, core and patches, we calculate the intensities for each mode
numerically within the entire pulsar beam. If the co-rotation of relativistic
particles with magnetosphere is not considered, the intensity distributions for
the X-mode and O-mode components are quite similar within the pulsar beam,
which causes serious depolarization. However, if the co-rotation of
relativistic particles is considered, the intensity distributions of the two
modes are very different, and the net polarization of out-coming emission
should be significant. Our numerical results are compared with observations,
and can naturally explain the orthogonal polarization modes of some pulsars.
Strong linear polarizations of some parts of pulsar profile can be reproduced
by curvature radiation and subsequent propagation effect.Comment: 12 pages, 9 figures, Accepted for publication in MNRA
QCD Factorization for Quarkonium Production in Hadron Collions at Low Transverse Momentum
Inclusive production of a quarkonium in hadron collisions at low
transverse momentum can be used to extract various
Transverse-Momentum-Dependent(TMD) gluon distributions of hadrons, provided the
TMD factorization for the process holds. The factorization involving
unpolarized TMD gluon distributions of unpolarized hadrons has been examined
with on-shell gluons at one-loop level. In this work we study the factorization
at one-loop level with diagram approach in the most general case, where all TMD
gluon distributions at leading twist are involved. We find that the
factorization holds and the perturbative effects are represented by one
perturbative coefficient. Since the initial gluons from hadrons are off-shell
in general, there exists the so-called super-leading region found recently. We
find that the contributions from this region can come from individual diagrams
at one-loop level, but they are cancelled in the sum. Our factorized result for
the differential cross-section is explicitly gauge-invariant.Comment: discussions and references are added. Published version on Phys. Rev.
Control strategy for a dual-arm maneuverable space robot
A simple strategy for the attitude control and arm coordination of a maneuverable space robot with dual arms is proposed. The basic task for the robot consists of the placement of marked rigid solid objects with specified pairs of gripping points and a specified direction of approach for gripping. The strategy consists of three phases each of which involves only elementary rotational and translational collision-free maneuvers of the robot body. Control laws for these elementary maneuvers are derived by using a body-referenced dynamic model of the dual-arm robot
Quantum storage and information transfer with superconducting qubits
We design theoretically a new device to realize the general quantum storage
based on dcSQUID charge qubits. The distinct advantages of our scheme are
analyzed in comparison with existing storage scenarios. More arrestingly, the
controllable XY-model spin interaction has been realized for the first time in
superconducting qubits, which may have more potential applications besides
those in quantum information processing. The experimental feasibility is also
elaborated.Comment: 4 pages, 2 figure
Nonlinear elasticity of composite networks of stiff biopolymers with flexible linkers
Motivated by recent experiments showing nonlinear elasticity of in vitro
networks of the biopolymer actin cross-linked with filamin, we present an
effective medium theory of flexibly cross-linked stiff polymer networks. We
model such networks by randomly oriented elastic rods connected by flexible
connectors to a surrounding elastic continuum, which self-consistently
represents the behavior of the rest of the network. This model yields a
crossover from a linear elastic regime to a highly nonlinear elastic regime
that stiffens in a way quantitatively consistent with experiment.Comment: 4 pages, 3 figure
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