Semiparametric estimation for a class of time-inhomogenous diffusion processes

Copyright @ 2009 Institute of Statistical Science, Academia SinicaWe develop two likelihood-based approaches to semiparametrically estimate a class of time-inhomogeneous diffusion processes: log penalized splines (P-splines) and the local log-linear method. Positive volatility is naturally embedded and this positivity is not guaranteed in most existing diffusion models. We investigate different smoothing parameter selections. Separate bandwidths are used for drift and volatility estimation. In the log P-splines approach, different smoothness for different time varying coefficients is feasible by assigning different penalty parameters. We also provide theorems for both approaches and report statistical inference results. Finally, we present a case study using the weekly three-month Treasury bill data from 1954 to 2004. We find that the log P-splines approach seems to capture the volatility dip in mid-1960s the best. We also present an application to calculate a financial market risk measure called Value at Risk (VaR) using statistical estimates from log P-splines

Robust variable selection for nonlinear models with diverging number of parameters

We focus on the problem of simultaneous variable selection and estimation for nonlinear models based on modal regression (MR), when the number of coefficients diverges with sample size. With appropriate selection of the tuning parameters, the resulting estimator is shown to be consistent and to enjoy the oracle properties

Comment on "Spectroscopic Evidence for Multiple Order Parameter Components in the Heavy Fermion Superconductor CeCoIn5_5"

Recently, Rourke et al. reported point-contact spectroscopy results on the heavy-fermion superconductor CeCoIn$_5$ [1]. They obtained conductance spectra on the c-axis surfaces of CeCoIn$_5$ single crystals. Their major claims are two-fold: CeCoIn$_5$ has i) d-wave pairing symmetry and ii) two coexisting order parameter components. In this Comment, we show that these claims are not warranted by the data presented. [1] Rourke et al., Phys. Rev. Lett. 94, 107005 (2005).Comment: accepted for publication in Phys. Rev. Lett., final for

Absolute and differential measurement of water vapor supersaturation using a commercial thin-film sensor

We describe a technique for measuring the water vapor supersaturation of normal air over a temperature range of –40<~T<~0 °C. The measurements use an inexpensive commercial hygrometer which is based on a thin-film capacitive sensor. The time required for the sensor to reach equilibrium was found to increase exponentially with decreasing sensor temperature, exceeding 2 min for T = –30 °C; however, the water vapor sensitivity of the device remained high down to this temperature. After calibrating our measurement procedure, we found residual scatter in the data corresponding to an uncertainty in the absolute water vapor pressure of about ±15%. This scatter was due mainly to long-term drift, which appeared to be intrinsic to the capacitive thin-film sensor. The origin of this drift is not clear, but it effectively limits the applicability of this instrument for absolute measurements. We also found, however, that the high sensitivity of the thin-film sensor makes it rather well suited for differential measurements. By comparing supersaturated and saturated air at the same temperature we obtained a relative measurement uncertainty of about ±1.5%, an order of magnitude better than the absolute measurements

Sudden stoppage of rotor in a thermally driven rotary motor made from double-walled carbon nanotubes

In a thermally driven rotary motor made from double-walled carbon nanotubes, the rotor (inner tube) can be actuated to rotate within the stator (outer tube) when the environmental temperature is high enough. A sudden stoppage of the rotor can occur when the inner tube has been actuated to rotate at a stable high speed. To find the mechanisms of such sudden stoppages, eight motor models with the same rotor but different stators are built and simulated in the canonical NVT ensembles. Numerical results demonstrate that the sudden stoppage of the rotor occurs when the difference between radii is near 0.34 nm at a high environmental temperature. A smaller difference between radii does not imply easier activation of the sudden rotor stoppage. During rotation, the positions and electron density distribution of atoms at the ends of the motor show that a sp(1) bonded atom on the rotor is attracted by the sp(1) atom with the biggest deviation of radial position on the stator, after which they become two sp(2) atoms. The strong bond interaction between the two atoms leads to the loss of rotational speed of the rotor within 1 ps. Hence, the sudden stoppage is attributed to two factors: the deviation of radial position of atoms at the stator's ends and the drastic thermal vibration of atoms on the rotor in rotation. For a stable motor, sudden stoppage could be avoided by reducing deviation of the radial position of atoms at the stator's ends. A nanobrake can be, thus, achieved by adjusting a sp(1) atom at the ends of stator to stop the rotation of rotor quickly.The authors are grateful for financial support from the National Natural-Science-Foundation of China (Grant Nos. 50908190, 11372100)

Reconstruction of a three-dimensional, transonic rotor flow field from holographic interferogram data

Holographic interferometry and computerized aided tomography (CAT) are used to determine the transonic velocity field of a model rotor blade in hover. A pulsed ruby laser recorded 40 interferograms with a 2 ft dia view field near the model rotor blade tip operating at a tip Mach number of 0.90. After digitizing the interferograms and extracting the fringe order functions, the data are transferred to a CAT code. The CAT code then calculates the perturbation velocity in several planes above the blade surface. The values from the holography-CAT method compare favorably with previously obtained numerical computations in most locations near the blade tip. The results demonstrate the technique's potential for three dimensional transonic rotor flow studies

Magnetoresistance of atomic-scale electromigrated nickel nanocontacts

We report measurements of the electron transport through atomic-scale constrictions and tunnel junctions between ferromagnetic electrodes. Structures are fabricated using a combination of e-beam lithography and controlled electromigration. Sample geometries are chosen to allow independent control of electrode bulk magnetizations. As junction size is decreased to the single channel limit, conventional anisotropic magnetoresistance (AMR) increases in magnitude, approaching the size expected for tunneling magnetoresistance (TMR) upon tunnel junction formation. Significant mesoscopic variations are seen in the magnitude and sign of the magnetoresistance, and no evidence is found of large ballistic magnetoresistance effects.Comment: 3 pages, 3 figure

Robust variable selection in partially varying coefficient single-index model

By combining basis function approximations and smoothly clipped absolute deviation (SCAD) penalty, this paper proposes a robust variable selection procedure for a partially varying coefficient single-index model based on modal regression. The proposed procedure simultaneously selects significant variables in the parametric components and the nonparametric components. With appropriate selection of the tuning parameters, we establish the theoretical properties of our procedure, including consistency in variable selection and the oracle property in estimation. Furthermore, we also discuss the bandwidth selection and propose a modified expectation-maximization (EM)-type algorithm for the proposed estimation procedure. The finite sample properties of the proposed estimators are illustrated by some simulation examples.The research of Zhu is partially supported by National Natural Science Foundation of China (NNSFC) under Grants 71171075, 71221001 and 71031004. The research of Yu is supported by NNSFC under Grant 11261048

Transonic rotor flow-measurement technique using holographic interferometry

Holographic interferometry is used to record interferograms of the flow near a hovering transonic rotor blade. A pulsed ruby laser recorded 40 interferograms with a 2 ft dia. view field near the model rotor blade tip operating at a tip Mach number of 0.90. The experimental procedure is presented and example interferograms recorded in the rotor's tip path plane. In addition, a method currently being pursued to obtain quantitative flow information using computer assisted tomography (CAT) with the holographic interferogram data, is outlined

Nonlinear response and scaling law in the vortex state of d-wave superconductors

We study the field dependence of the quasi-particle density of states, the thermodynamics and the transport properties in the vortex state of d-wave superconductors when a magnetic field is applied perpendicular to the conducting plane, specially for the low field and the low temperature compared to the upper critical field and transition temperature, respectively, $H/H_{c2} \ll 1$ and $T/T_c \ll 1$. Both the superfluid density and the spin susceptibility exhibit the characteristic $\sqrt{H}$-field dependence, while the nuclear spin lattice relaxation rate T$_1^{-1}$ and the thermal conductivity are linear in field $H$. With increasing temperature, these quantities exhibit the scaling behavior in $T/\sqrt{H}$. The present theory applies to 2D $f$-wave superconductor as well; a possible candidate of the superconductivity in Sr$_2$RuO$_4$.Comment: 11 pages, 4 figure