Regime switching volatility calibration by the Baum-Welch method

Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose using the Baum-Welch algorithm, an established technique from Engineering, to calibrate regime switching models instead. We demonstrate the Baum-Welch algorithm and discuss the significant advantages that it provides compared to the Hamilton filter. We provide computational results of calibrating and comparing the performance of the Baum-Welch and the Hamilton filter to S&P 500 and Nikkei 225 data, examining their performance in and out of sample

Exploiting structure in piecewise affine identification of LFT systems

Identification of interconnected systems is a challenging problem in which it is crucial to exploit the available knowledge about the interconnection structure. In this paper, identification of discrete-time nonlinear systems composed by interconnected linear and nonlinear systems, is addressed. An iterative identification procedure is proposed, which alternates the estimation of the linear and the nonlinear components. Standard identification techniques are applied to the linear subsystem, whereas recently developed piecewise affine (PWA) identification techniques are employed for modelling the nonlinearity. A numerical example analyzes the benefits of the proposed structure-exploiting identification algorithm compared to applying black-box PWA identification techniques to the overall system

Isolated Horizon, Killing Horizon and Event Horizon

We consider space-times which in addition to admitting an isolated horizon also admit Killing horizons with or without an event horizon. We show that an isolated horizon is a Killing horizon provided either (1) it admits a stationary neighbourhood or (2) it admits a neighbourhood with two independent, commuting Killing vectors. A Killing horizon is always an isolated horizon. For the case when an event horizon is definable, all conceivable relative locations of isolated horizon and event horizons are possible. Corresponding conditions are given.Comment: 14 pages, Latex, no figures. Some arguments tightened. To appear in Class. Quant. Gra

The Study of the Effect of Various Methods of Harvesting and Curing on the Color and Viability of Lima Bean Seed

Many seedsmen have observed that lima bean seed of a variety like Early Thorogreen, which has green cotyledons, often fades in color during harvesting. This fading of color is known as bleaching. A variety which has green cotyledon and hence green seed, should retain this green color during harvest. Bleached seeds are likely to emerge slowly when planted. Also, the final field stand from a planting of bleached seed is likely to be poor

Reflectionless analytic difference operators I. algebraic framework

We introduce and study a class of analytic difference operators admitting reflectionless eigenfunctions. Our construction of the class is patterned after the Inverse Scattering Transform for the reflectionless self-adjoint Schr\"odinger and Jacobi operators corresponding to KdV and Toda lattice solitons

Basic Representations of A_{2l}^(2) and D_{l+1}^(2) and the Polynomial Solutions to the Reduced BKP Hierarchies

Basic representations of A_{2l}^(2) and D_{l+1}^(2) are studied. The weight vectors are represented in terms of Schur's $Q$-functions. The method to get the polynomial solutions to the reduced BKP hierarchies is shown to be equivalent to a certain rule in Maya game.Comment: January 1994, 11 page

A minimum variance filter for discrete time linear systems with parametric uncertainty

A minimum variance filter for a class of discrete time systems with additive as well as multiplicative noise is investigated in this paper. We extend the results from recent work by Ponomareva and Date to account for multiplicative noise in the measurement equation. More importantly, we provide an interpretation of the multiplicative noise in both transition and measurement equations in terms of parameter perturbations in a linear additive model. The utility of the proposed filtering algorithm is demonstrated through numerical simulation experiments using models from academic literature where the parameters are estimated from real data

Fundamental Cycle of a Periodic Box-Ball System

We investigate a soliton cellular automaton (Box-Ball system) with periodic boundary conditions. Since the cellular automaton is a deterministic dynamical system that takes only a finite number of states, it will exhibit periodic motion. We determine its fundamental cycle for a given initial state.Comment: 28 pages, 6 figure

Geometric and combinatorial realizations of crystal graphs

For irreducible integrable highest weight modules of the finite and affine Lie algebras of type A and D, we define an isomorphism between the geometric realization of the crystal graphs in terms of irreducible components of Nakajima quiver varieties and the combinatorial realizations in terms of Young tableaux and Young walls. For affine type A, we extend the Young wall construction to arbitrary level, describing a combinatorial realization of the crystals in terms of new objects which we call Young pyramids.Comment: 34 pages, 17 figures; v2: minor typos corrected; v3: corrections to section 8; v4: minor typos correcte

Knowledge attitude and practice of haemovigilance among doctors in tertiary care hospital in Nagpur, Maharashtra, India

Background: Haemovigilance program of India was launched on December 2012 and is a comprehensive, and a well-structured approach to collect, collate, and analyse data to address the issues of adverse reactions associated with blood transfusion. The information thus collected would facilitate corrective and preventive actions to be taken to minimize the potential risk associated blood collection processing and transfusion to patients. Considering the deep concern over the under-reporting of transfusion reactions prevailing among the doctors, the present study was done to know the knowledge attitude and practice (KAP) of haemovigilance among doctors.Methods: The present study was a cross sectional questionnaire based study, which included doctors of a tertiary care hospital. The purpose of the questionnaire was to know awareness of doctors regarding haemovigilance programme of India. With this study we also tried to   identify the factors responsible for underreporting of transfusion reactions and to find out the possible ways to improve reporting of transfusion reactions.Results: (38.88%) and (30%) of the responders were aware of the haemovigilance programme and transfusion reaction reporting centre respectively. Reporting of transfusion reaction was poor 22.22% among the respondents. According to respondents creating awareness about haemovigilance by conducting continuing medical education (CMEs), and   training to healthcare professionals would lead to improvement in reporting of transfusion reactions. Complacency and ignorance were the main factors which discouraged transfusion reaction reporting by doctors.Conclusions: Increasing awareness of haemovigilance among doctors and training on reporting transfusion reactions would likely improve spontaneous reporting and help to strengthen the blood transfusion system