Bayesian inference with an adaptive proposal density for GARCH models

We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student's t-distribution and the distribution parameters are evaluated by using the data sampled during the simulation. We apply the method for the QGARCH model which is one of asymmetric GARCH models and make empirical studies for for Nikkei 225, DAX and Hang indexes. We find that autocorrelation times from our method are very small, thus the method is very efficient for generating uncorrelated Monte Carlo data. The results from the QGARCH model show that all the three indexes show the leverage effect, i.e. the volatility is high after negative observations

Renormalization group flow of SU(3) lattice gauge theory - Numerical studies in a two coupling space

We investigate the renormalization group (RG) flow of SU(3) lattice gauge theory in a two coupling space with couplings $\beta_{11}$ and $\beta_{12}$ corresponding to $1\times 1$ and $1\times 2$ loops respectively. Extensive numerical calculations of the RG flow are made in the fourth quadrant of this coupling space, i.e., $\beta_{11}>0$ and $\beta_{12}<0$. Swendsen's factor two blocking and the Schwinger-Dyson method are used to find an effective action for the blocked gauge field. The resulting renormalization group flow runs quickly towards an attractive stream which has an approximate line shape. This is numerical evidence of a renormalized trajectory which locates close to the two coupling space. A model flow equation which incorporates a marginal coupling (asymptotic scaling term), an irrelevant coupling and a non-perturbative attraction towards the strong coupling limit reproduces qualitatively the observed features. We further examine the scaling properties of an action which is closer to the attractive stream than the currently used improved actions. It is found that this action shows excellent restoration of rotational symmetry even for coarse lattices with $a \sim 0.3$ fm.Comment: 18 pages with 9 eps figures psfig.sty, typos correcte

Lattice calculation of the lowest order hadronic contribution to the muon anomalous magnetic moment

We present a quenched lattice calculation of the lowest order (alpha^2) hadronic contribution to the anomalous magnetic moment of the muon which arises from the hadronic vacuum polarization. A general method is presented for computing entirely in Euclidean space, obviating the need for the usual dispersive treatment which relies on experimental data for e^+e^- annihilation to hadrons. While the result is not yet of comparable accuracy to those state-of-the-art calculations, systematic improvement of the quenched lattice computation to this level of accuracy is straightforward and well within the reach of present computers. Including the effects of dynamical quarks is conceptually trivial, the computer resources required are not.Comment: 12 pages, including two figures. Added reference and footnote Replaced with published version; minor changes asked for by referees and minor deletions to stay within page limi

Testing Algorithms for Finite Temperature Lattice QCD

We discuss recent algorithmic improvements in simulating finite temperature QCD on a lattice. In particular, the Rational Hybrid Monte Carlo(RHMC) algorithm is employed to generate lattice configurations for 2+1 flavor QCD. Unlike the Hybrid R Algorithm, RHMC is reversible, admitting a Metropolis accept/reject step that eliminates the $\mathcal{O}(\delta t^2)$ errors inherent in the R Algorithm. We also employ several algorithmic speed-ups, including multiple time scales, the use of a more efficient numerical integrator, and Hasenbusch pre-conditioning of the fermion force.Comment: 4 pages, 2 figures, poster presented at International Conference on Strong and Electroweak Matter 2006 (SEWM2006), BNL, May 10-13, 200

Scaling Analysis of Improved Actions for Pure SU(3) Gauge Theory

We have explored the behaviour of some improved actions based on a nonperturbative renormalization group (RG) analysis in coupling space. We calculate the RG flow in two-coupling space (\boneone,\bonetwo) and examine the restoration of rotational invariance and the scaling of physical quantities $(T_c/\sqrt{\sigma})$.Comment: LATTICE98(improvement

Structure Oriented Compact Model for Advanced Trench IGBTs without Fitting Parameters for Extreme Condition: Part II

Compact model for expressing turn-off waveform for advanced trench gate IGBTs is proposed even under high current density condition. The model is analytically formulated only with device structure parameters so that no fitting parameters are required. The validity of the model is confirmed with TCAD simulation for 1.2 kV to 6.5 kV class IGBTs. The proposed turn-off model is sufficiently accurate to calculate trade-off curve between turn-off loss and saturation collector voltage under extremely high current conduction, so that the model can be used for system design with the advanced trench gate IGBTs.ESREF 2014, 25th EUROPEAN SYMPOSIUM ON RELIABILITY OF ELECTRON DEVICES,FAILURE PHYSICS AND ANALYSIS, Sep 29–Oct 3, 2014, Technische Universität Berli

Systematic study of autocorrelation time in pure SU(3) lattice gauge theory

Results of our autocorrelation measurement performed on Fujitsu AP1000 are reported. We analyze (i) typical autocorrelation time, (ii) optimal mixing ratio between overrelaxation and pseudo-heatbath and (iii) critical behavior of autocorrelation time around cross-over region with high statistic in wide range of $\beta$ for pure SU(3) lattice gauge theory on $8^4$, $16^4$ and $32^4$ lattices. For the mixing ratio K, small value (3-7) looks optimal in the confined region, and reduces the integrated autocorrelation time by a factor 2-4 compared to the pseudo-heatbath. On the other hand in the deconfined phase, correlation times are short, and overrelaxation does not seem to matter For a fixed value of K(=9 in this paper), the dynamical exponent of overrelaxation is consistent with 2 Autocorrelation measurement of the topological charge on $32^3 \times 64$ lattice at $\beta$ = 6.0 is also briefly mentioned.Comment: 3 pages of A4 format including 7-figure