Forecasting interest rates: A Comparative assessment of some second generation non-linear model

Modelling and forecasting of interest rates has traditionally proceeded in the framework of linear stationary models such as ARMA and VAR, but only with moderate success. We examine here four models which account for several specific features of real world asset prices such as non-stationarity and non-linearity. Our four candidate models are based respectively on wavelet analysis, mixed spectrum analysis, non-linear ARMA models with Fourier coefficients, and the Kalman filter. These models are applied to weekly data on interest rates in India, and their forecasting performance is evaluated vis-…-vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model emerges at the top, with wavelet and mixed spectrum models also showing considerable promise.Interest rates, wavelets, mixed spectra, non-linear ARMA, Kalman filter, GARCH, Forecast encompassing

FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS

Modelling and forecasting of interest rates has traditionally proceeded in the framework of linear stationary models such as ARMA and VAR, but only with moderate success. We examine here four models which account for several specific features of real world asset prices such as non-stationarity and non-linearity. Our four candidate models are based respectively on wavelet analysis, mixed spectrum analysis, non-linear ARMA models with Fourier coefficients, and the Kalman filter. These models are applied to weekly data on interest rates in India, and their forecasting performance is evaluated vis--vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model emerges at the top, with wavelet and mixed spectrum models also showing considerable promise.interest rates, wavelets, mixed spectra, non-linear ARMA, Kalman filter, GARCH, Forecast encompassing.

State space c-reductions for concurrent systems in rewriting logic

We present c-reductions, a state space reduction technique. The rough idea is to exploit some equivalence relation on states (possibly capturing system regularities) that preserves behavioral properties, and explore the induced quotient system. This is done by means of a canonizer function, which maps each state into a (non necessarily unique) canonical representative of its equivalence class. The approach exploits the expressiveness of rewriting logic and its realization in Maude to enjoy several advantages over similar approaches: exibility and simplicity in the definition of the reductions (supporting not only traditional symmetry reductions, but also name reuse and name abstraction); reasoning support for checking and proving correctness of the reductions; and automatization of the reduction infrastructure via Maude's meta-programming features. The approach has been validated over a set of representative case studies, exhibiting comparable results with respect to other tools

Concept of modular flexure-based mechanisms for ultra-high precision robot design

This paper introduces a new concept of modular flexure-based mechanisms to design industrial ultra-high precision robots, which aims at significantly reducing both the complexity of their design and their development time. This modular concept can be considered as a robotic Lego, where a finite number of building bricks is used to quickly build a high-precision robot. The core of the concept is the transformation of a 3-D design problem into several 2-D ones, which are simpler and well-mastered. This paper will first briefly present the theoretical bases of this methodology and the requirements of both types of building bricks: the active and the passive bricks. The section dedicated to the design of the active bricks will detail the current research directions, mainly the maximisation of the strokes and the development of an actuation sub-brick. As for the passive bricks, some examples will be presented, and a discussion regarding the establishment of a mechanical solution catalogue will conclude the section. Last, this modular concept will be illustrated with a practical example, consisting in the design of a 5-degree of freedom ultra-high precision robot

Towards Generic Monitors for Object-Oriented Real-Time Maude Specifications

Non-Functional Properties (NFPs) are crucial in the design of software. Specification of systems is used in the very first phases of the software development process for the stakeholders to make decisions on which architecture or platform to use. These specifications may be an- alyzed using different formalisms and techniques, simulation being one of them. During a simulation, the relevant data involved in the anal- ysis of the NFPs of interest can be measured using monitors. In this work, we show how monitors can be parametrically specified so that the instrumentation of specifications to be monitored can be automatically performed. We prove that the original specification and the automati- cally obtained specification with monitors are bisimilar by construction. This means that the changes made on the original system by adding monitors do not affect its behavior. This approach allows us to have a library of possible monitors that can be safely added to analyze different properties, possibly on different objects of our systems, at will.Universidad de Málaga, Campus de Excelencia Internacional Andalucía Tech. Spanish MINECO/FEDER project TIN2014-52034-R, NSF Grant CNS 13-19109

Echoes of multiple outbursts of Sagittarius A* revealed by Chandra

The relatively rapid spatial and temporal variability of the X-ray radiation from some molecular clouds near the Galactic center shows that this emission component is due to the reflection of X-rays generated by a source that was luminous in the past, most likely the central supermassive black hole, Sagittarius A*. Studying the evolution of the molecular cloud reflection features is therefore a key element to reconstruct Sgr A*'s past activity. The aim of the present work is to study this emission on small angular scales in order to characterize the source outburst on short time scales. We use Chandra high-resolution data collected from 1999 to 2011 to study the most rapid variations detected so far, those of clouds between 5' and 20' from Sgr A* towards positive longitudes. Our systematic spectral-imaging analysis of the reflection emission, notably of the Fe Kalpha line at 6.4 keV and its associated 4-8 keV continuum, allows us to characterize the variations down to 15" angular scale and 1-year time scale. We reveal for the first time abrupt variations of few years only and in particular a short peaked emission, with a factor of 10 increase followed by a comparable decrease, that propagates along the dense filaments of the Bridge cloud. This 2-year peaked feature contrasts with the slower 10-year linear variations we reveal in all the other molecular structures of the region. Based on column density constraints, we argue that these two different behaviors are unlikely to be due to the same illuminating event. The variations are likely due to a highly variable active phase of Sgr A* sometime within the past few hundred years, characterized by at least two luminous outbursts of a few-year time scale and during which the Sgr A* luminosity went up to at least 10^39 erg/s.Comment: 17 pages, 16 figures, Accepted for publication in Astronomy & Astrophysic

A Mutagenetic Tree Hidden Markov Model for Longitudinal Clonal HIV Sequence Data

RNA viruses provide prominent examples of measurably evolving populations. In HIV infection, the development of drug resistance is of particular interest, because precise predictions of the outcome of this evolutionary process are a prerequisite for the rational design of antiretroviral treatment protocols. We present a mutagenetic tree hidden Markov model for the analysis of longitudinal clonal sequence data. Using HIV mutation data from clinical trials, we estimate the order and rate of occurrence of seven amino acid changes that are associated with resistance to the reverse transcriptase inhibitor efavirenz.Comment: 20 pages, 6 figure

Relación entre posición del cotilo no cementado y hallazgos radiológicos en las prótesis totales de cadera

Los autores presenta n un estudio sobre 229 cotilos no cementados par a determina r si la posición del cotilo, en base a los ángulos de anteversión e inclinación, influye en la aparición de signos radiológicos alrededor del acetábulo en las radiografías de control. En este trabajo s e comprueba que existen una s relaciones estadísticamente significativas entre los ángulos de inclinación y de anteversión con la presencia o ausencia de dichos signos radiológicos. Además, tras analizar los resultados, opinan que par a e l ángulo de anteversión la posición ideal sería de 10°. Por contra, par a el ángulo de inclinación no pueden dar un a cifra concluyente.I n this wor k th e author s revie w 22 9 cementless acetabula r compo - nents i n orde r t o verif y if cup's position , evaluate d b y th e anteversio n an d inclina - tio n angles, modifie s th e radiologica l image s i n th e acetabula r zon e i n th e contro l radiographics. T h e stud y demonstrate s a statisticall y significan t relatio n betwee n th e inclina - tio n an d anteversio n angle s an d th e presenc e o r no t o f suc h a radiologica l signs. Moreover , afte r analyzin g results, the y conside r tha t th e idea l anteversio n angl e ough t t o b e 10°. The y ca n no t determin e a n idea l valu e for th e inclinatio n angle