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

The c-axis charge traveling wave in coupled system of Josephson junctions

We demonstrate a manifestation of the charge traveling wave along the c-axis (TW) in current voltage characteristics of coupled Josephson junctions in high-$T_c$ superconductors. The branches related to the TW with different wavelengths are found for the stacks with different number of Josephson junctions at different values of system's parameters. Transitions between the TW branches and the outermost branch are observed. Time dependence of the electric charge in the superconducting layers and charge-charge correlation functions for TW and outermost branches show different behavior with bias current. We propose an experimental testing of the TW by microwave irradiation.Comment: Supplement : http://theor.jinr.ru/~hamdipur/lambda0.av

One-electron spectral functions of the attractive Hubbard model at intermediate coupling

We calculate the one-electron spectral function of the attractive-U Hubbard model in two dimensions. We work in the intermediate coupling and low density regime and evaluate analytically the self-energy. The results are obtained in a framework based on the self-consistent T-matrix approximation. We also calculate the chemical potential of the bound pairs as a function of temperature. On the basis of this calculation we analyze the low-temperature resistivity and specific heat in the normal state of this system. We compare our results with recent beautiful tunneling experiments in the underdoped regime of HTSC-materials.Comment: 2 pages, LT22 Conference paper, phbauth and elsart style files include

Phase diffusion and charging effects in Josephson junctions

The supercurrent of a Josephson junction is reduced by phase diffusion. For ultrasmall capacitance junctions the current may be further decreased by Coulomb blockade effects. We calculate the Cooper pair current by means of time-dependent perturbation theory to all orders in the Josephson coupling energy and obtain the current-voltage characteristic in closed form in a range of parameters of experimental interest. The results comprehend phase diffusion of the coherent Josephson current in the classical regime as well as the supercurrent peak due to incoherent Cooper pair tunneling in the strong Coulomb blockade regime.Comment: 4 pages, 3 figures, RevTe

Photodisintegration of light nuclei for testing a correlated realistic interaction in the continuum

An exact calculation of the photodisintegration cross section of 3H, 3He and 4He is performed using as interaction the correlated Argonne V18 potential, constructed within the Unitary Correlation Operator Method (VUCOM). Calculations are carried out using the Lorentz Integral Transform method in conjunction with an hyperspherical harmonics basis expansion. A comparison with other realistic potentials and with available experimental data is discussed. The VUCOM potential leads to a very similar description of the cross section as the Argonne V18 interaction with the inclusion of the Urbana IX three-body force for photon energies 45< w < 120 MeV, while larger differences are found close to threshold.Comment: 9 pages, 6 figure