Quantile autoregressive distributed lag model with an application to house price returns

This paper studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. Hence, we develop a quantile autoregressive distributed lag model (QADL). We show that these estimators are consistent and asymptotically normal. Inference based on Wald and Kolmogorov-Smirnov tests for general linear restrictions is proposed. An extensive Monte Carlo simulation is conducted to evaluate the properties of the estimators. We demonstrate the potential of the QADL model with an application to house price returns in the United Kingdom. The results show that house price returns present a heterogeneous autoregressive behavior across the quantiles. The real GDP growth and interest rates also have an asymmetric impact on house prices variations

Which quantile is the most informative? Maximum likelihood, maximum entropy and quantile regression

This paper studies the connections among quantile regression, the asymmetric Laplace distribution, maximum likelihood and maximum entropy. We show that the maximum likelihood problem is equivalent to the solution of a maximum entropy problem where we impose moment constraints given by the joint consideration of the mean and median. Using the resulting score functions we propose an estimator based on the joint estimating equations. This approach delivers estimates for the slope parameters together with the associated “most probable” quantile. Similarly, this method can be seen as a penalized quantile regression estimator, where the penalty is given by deviations from the median regression. We derive the asymptotic properties of this estimator by showing consistency and asymptotic normality under certain regularity conditions. Finally, we illustrate the use of the estimator with a simple application to the U.S. wage data to evaluate the effect of training on wages

Theoretical spin-wave dispersions in the antiferromagnetic phase AF1 of MnWO4_4 based on the polar atomistic model in P2

The spin wave dispersions of the low temperature antiferromagnetic phase (AF1) MnWO$_4$ have been numerically calculated based on the recently reported non-collinear spin configuration with two different canting angles. A Heisenberg model with competing magnetic exchange couplings and single-ion anisotropy terms could properly describe the spin wave excitations, including the newly observed low-lying energy excitation mode $\omega_2$=0.45 meV appearing at the magnetic zone centre. The spin wave dispersion and intensities are highly sensitive to two differently aligned spin-canting sublattices in the AF1 model. Thus this study reinsures the otherwise hardly provable hidden polar character in MnWO$_4$.Comment: 7 pages, 5 figure

Entrainment transition in populations of random frequency oscillators

The entrainment transition of coupled random frequency oscillators is revisited. The Kuramoto model (global coupling) is shown to exhibit unusual sample-dependent finite size effects leading to a correlation size exponent $\bar\nu=5/2$. Simulations of locally coupled oscillators in $d$-dimensions reveal two types of frequency entrainment: mean-field behavior at $d>4$, and aggregation of compact synchronized domains in three and four dimensions. In the latter case, scaling arguments yield a correlation length exponent $\nu=2/(d-2)$, in good agreement with numerical results.Comment: published versio

Principal Component Analysis of Cavity Beam Position Monitor Signals

Model-independent analysis (MIA) methods are generally useful for analysing complex systems in which relationships between the observables are non-trivial and noise is present. Principle Component Analysis (PCA) is one of MIA methods allowing to isolate components in the input data graded to their contribution to the variability of the data. In this publication we show how the PCA can be applied to digitised signals obtained from a cavity beam position monitor (CBPM) system on the example of a 3-cavity test system installed at the Accelerator Test Facility 2 (ATF2) at KEK in Japan. We demonstrate that the PCA based method can be used to extract beam position information, and matches conventional techniques in terms of performance, while requiring considerably less settings and data for calibration

Erratum: Dirichlet Forms and Dirichlet Operators for Infinite Particle Systems: Essential Self-adjointness

We reprove the essential self-adjointness of the Dirichlet operators of Dirchlet forms for infinite particle systems with superstable and sub-exponentially decreasing interactions.Comment: This is an erratum to the work appeared in J. Math. Phys. 39(12), 6509-6536 (1998

The quantization of the chiral Schwinger model based on the BFT-BFV formalism II

We apply an improved version of Batalin-Fradkin-Tyutin (BFT) Hamiltonian method to the a=1 chiral Schwinger Model, which is much more nontrivial than the a>1.$one. Furthermore, through the path integral quantization, we newly resolve the problem of the non-trivial$\delta$function as well as that of the unwanted Fourier parameter$\xi$ in the measure. As a result, we explicitly obtain the fully gauge invariant partition function, which includes a new type of Wess-Zumino (WZ) term irrelevant to the gauge symmetry as well as usual WZ action.Comment: 17 pages, To be published in J. Phys.