Change point estimation for the telegraph process observed at discrete times

The telegraph process models a random motion with finite velocity and it is usually proposed as an alternative to diffusion models. The process describes the position of a particle moving on the real line, alternatively with constant velocity $+ v$ or $-v$. The changes of direction are governed by an homogeneous Poisson process with rate $\lambda >0.$ In this paper, we consider a change point estimation problem for the rate of the underlying Poisson process by means of least squares method. The consistency and the rate of convergence for the change point estimator are obtained and its asymptotic distribution is derived. Applications to real data are also presented

Empirical L2L^2-distance test statistics for ergodic diffusions

The aim of this paper is to introduce a new type of test statistic for simple null hypothesis on one-dimensional ergodic diffusion processes sampled at discrete times. We deal with a quasi-likelihood approach for stochastic differential equations (i.e. local gaussian approximation of the transition functions) and define a test statistic by means of the empirical $L^2$-distance between quasi-likelihoods. We prove that the introduced test statistic is asymptotically distribution free; namely it weakly converges to a $\chi^2$ random variable. Furthermore, we study the power under local alternatives of the parametric test. We show by the Monte Carlo analysis that, in the small sample case, the introduced test seems to perform better than other tests proposed in literature

Least squares volatility change point estimation for partially observed diffusion processes

A one dimensional diffusion process $X=\{X_t, 0\leq t \leq T\}$, with drift $b(x)$ and diffusion coefficient $\sigma(\theta, x)=\sqrt{\theta} \sigma(x)$ known up to $\theta>0$, is supposed to switch volatility regime at some point $t^*\in (0,T)$. On the basis of discrete time observations from $X$, the problem is the one of estimating the instant of change in the volatility structure $t^*$ as well as the two values of $\theta$, say $\theta_1$ and $\theta_2$, before and after the change point. It is assumed that the sampling occurs at regularly spaced times intervals of length $\Delta_n$ with $n\Delta_n=T$. To work out our statistical problem we use a least squares approach. Consistency, rates of convergence and distributional results of the estimators are presented under an high frequency scheme. We also study the case of a diffusion process with unknown drift and unknown volatility but constant

Multichannel receivers from ofdm and tdma in mobile communications

This paper addresses the use of multichannel receivers for blind equalization in TDMA under frequency selective channels and OFDM systems in frequency flat fading channels. A new criteria is proposed for blind equalization of finite length mobile channels.Peer ReviewedPostprint (published version

Diversity techniques for blind channel equalization in mobile communications

A blind algorithm for channel distortion compensation is presented which can be employed in spatial or temporal diversity receivers. The proposed technique can be used in frequency selective and frequency flat fading mobile channels, using burst transmission schemes in the first case and OFDM modulation in the second one. The algorithm is base on a deterministic criteria and is suited for estimation when short sets of data are available.Peer ReviewedPostprint (published version

Transform modulations for mobile communications

A new modulation scheme called transform modulations is proposed which improves the system performance in frequency-flat fading mobile channels. They ameliorate the effect of the fadings over the transmitted signal by spreading the information in time, using a linear transform operator. The design of this scheme is discussed and its advantages are shown by means of simulations. The relationship of this scheme with OFDM modulation is also analyzed.Peer ReviewedPostprint (published version

Comment on ``New ansatz for metric operator calculation in pseudo-Hermitian field theory''

In a recent Brief Report by Shalaby a new first-order perturbative calculation of the metric operator for an $i\phi^3$ scalar field theory is given. It is claimed that the result is an improvement on a previous calculation by Bender, Brody and Jones because it is local. Unfortunately Shalaby's calculation is not valid because of sign errors.Comment: 2 pages, no figures. This comment replaces the previous comment on the Brief Report by Shalaby. In the previous comment we pointed out that Shalaby's calculation failed in all but 2 space-time dimensions. We have subsequently found additional errors which mean that the calculation is not valid even in that cas

Blind equalization based on spatial and temporal diversity in block coded modulations

Linear block codes can be applied in spatial and/or temporal diversity receivers in order to develop high performance schemes for blind equalization in mobile communications. The proposed technique uses the structure of the encoded transmitted information (with redundancy) to achieve equalization schemes based on a deterministic criterion. Simulations show that the proposed technique is more efficient than other schemes that follow similar equalizer structures. The result is an algorithm that provides the design of blind channel equalizers in low EbNo scenarios.Peer ReviewedPostprint (published version