Robust estimators of ar-models : a comparison

Many regression-estimation techniques have been extended to cover the case of dependent observations. The majority of such techniques are developed from the classical least squares, M and GM approaches and their properties have been investigated both on theoretical and empirical grounds. However, the behavior of some alternative methods- with satisfactory performance in the regression case- has not received equal attention in the context of time series. A simulation study of four robust estimators for autoregressive models containing innovation or additive outliers is presented. The robustness and efficiency properties of the methods are exhibited, some finite-sample results are discussed in combination with theoretical properties and the relative merits of the estimators are viewed in connection with the outlier-generating scheme.peer-reviewe

The time evaluation of resistance probability of a closed community against to occupation in a Sznajd like model with synchronous updating: A numerical study

In the present paper, we have briefly reviewed Sznajd's sociophysics model and its variants, and also we have proposed a simple Sznajd like sociophysics model based on Ising spin system in order to explain the time evaluation of resistance probability of a closed community against to occupation. Using a numerical method, we have shown that time evaluation of resistance probability of community has a non-exponential character which decays as stretched exponential independent the number of soldiers in one dimensional model. Furthermore, it has been astonishingly found that our simple sociophysics model is belong to the same universality class with random walk process on the trapping space.Comment: 12 pages, 5 figures. Added a paragraph and 1 figure. To be published in International Journal of Modern Physics

Fourier methods for analysing piecewise constant volatilities

We develop procedures for testing the hypothesis that a parameter of a distribution is constant throughout a sequence of independent random variables. Our proposals are illustrated considering the variance and the kurtosis. Under the null hypothesis of constant variance, the modulus of a Fourier type transformation of the volatility process is identically equal to one. The approach proposed utilizes this property considering a canonical estimator for this modulus under the assumption of indepen- dent and piecewise identically distributed observations with zero mean. Using blockwise estimators we introduce several test statistics resulting from different weight functions which are all given by simple explicit for- mulae. The methods are compared to other tests for constant volatility in extensive Monte Carlo experiments. Our proposals offer comparatively good power particularly in the case of multiple structural breaks and allow adequate estimation of the positions of the structural breaks. An appli- cation to process control data is given, and it is shown how the methods can be adapted to test for constancy of other quantities like the kurtosis

Modeling of Hydrogen Storage Materials: A Reactive Force Field for NaH

Parameterization of a reactive force field for NaH is done using ab initio derived data. The parameterized force field(ReaxFFNaH) is used to study the dynamics governing hydrogen desorption in NaH. During the abstraction process of surface molecular hydrogen charge transfer is found to be well described by the parameterized force field. To gain more insight into the mechanism governing structural transformation of NaH during thermal decomposition a heating run in a molecular dynamics simulation is done. The result shows that a clear signature of hydrogen desorption is the fall in potential energy surface during heating

Constrained multi-global optimization using a penalty stretched simulated annealing framework

This paper presents a new simulated annealing algorithm to solve constrained multi-global optimization problems. To compute all global solutions in a sequential manner, we combine the function stretching technique with the adaptive simulated annealing variant. Constraint-handling is carried out through a nondifferentiable penalty function. To benchmark our penalty stretched simulated annealing algorithm we solve a set of well-known problems. Our preliminary numerical results show that the algorithm is promising.This work has been partially supported by the FCT (Fundagao para a Ciencia e a Tecnologia), Portugal

Greater repertoire and temporal variability of cross-frequency coupling (CFC) modes in resting-state neuromagnetic recordings among children with reading difficulties

Cross-frequency, phase-to-amplitude coupling (PAC) between neuronal oscillations at rest may serve as the substrate that supports information exchange between functionally specialized neuronal populations both within and between cortical regions. The study utilizes novel algorithms to identify prominent instantaneous modes of cross-frequency coupling and their temporal stability in resting state magnetoencephalography (MEG) data from 25 students experiencing severe reading difficulties (RD) and 27 age-matched non-impaired readers (NI). Phase coherence estimates were computed in order to identify the prominent mode of PAC interaction for each sensor, sensor pair, and pair of frequency bands (from δ to γ) at successive time windows of the continuous MEG record. The degree of variability in the characteristic frequency-pair PACf1−f2 modes over time was also estimated. Results revealed a wider repertoire of prominent PAC interactions in RD as compared to NI students, suggesting an altered functional substrate for information exchange between neuronal assemblies in the former group. Moreover, RD students showed significant variability in PAC modes over time. This temporal instability of PAC values was particularly prominent: (a) within and between right hemisphere temporo-parietal and occipito-temporal sensors and, (b) between left hemisphere frontal, temporal, and occipito-temporal sensors and corresponding right hemisphere sites. Altered modes of neuronal population coupling may help account for extant data revealing reduced, task-related neurophysiological and hemodynamic activation in left hemisphere regions involved in the reading network in RD. Moreover, the spatial distribution of pronounced instability of cross-frequency coupling modes in this group may provide an explanation for previous reports suggesting the presence of inefficient compensatory mechanisms to support reading

Test for exponentiality against Weibull and gamma decreasing hazard rate alternatives

summary:A sub-exponential Weibull random variable may be expressed as a quotient of a unit exponential to an independent strictly positive stable random variable. Based on this property, we propose a test for exponentiality which is consistent against Weibull and Gamma distributions with shape parameter less than unity. A comparison with other procedures is also included

Overview on mixed integer nonlinear programming problems

Many optimization problems involve integer and continuous variables that can be modeled as mixed integer nonlinear programming (MINLP) problems. This has led to a wide range of applications, in particular in some engineering areas. Here, we provide a brief overview on MINLP, and present a simple idea for a future nonconvex MINLP solution technique.Fundação para a Ciência e a Tecnologia (FCT