Linear Gaussian Affine Term Structure Models with Unobservable Factors: Calibration and Yield Forecasting

This paper provides a significant numerical evidence for out-of-sample forecasting ability of linear Gaussian interest rate models with unobservable underlying factors. We calibrate one, two and three factor linear Gaussian models using the Kalman filter on two different bond yield data sets and compare their out-of-sample forecasting performance. One step ahead as well as four step ahead out-of-sample forecasts are analyzed based on the weekly data. When evaluating the one step ahead forecasts, it is shown that a one factor model may be adequate when only the short-dated or only the long-dated yields are considered, but two and three factor models performs significantly better when the entire yield spectrum is considered. Furthermore, the results demonstrate that the predictive ability of multi-factor models remains intact far ahead out-of-sample, with accurate predictions available up to one year after the last calibration for one data set and up to three months after the last calibration for the second, more volatile data set. The experimental data denotes two different periods with different yield volatilities, and the stability of model parameters after calibration in both the cases is deemed to be both significant and practically useful. When it comes to four step ahead predictions, the quality of forecasts deteriorates for all models, as can be expected, but the advantage of using a multi-factor model as compared to a one factor model is still significant. In addition to the empirical study above, we also suggest a nonlinear filter based on linear programming for improving the term structure matching at a given point in time. This method, when used in place of a Kalman filter update, improves the term structure fit significantly with a minimal added computational overhead. The improvement achieved with the proposed method is illustrated for out-of-sample data for both the data sets. This method can be used to model a parameterized yield curve consistently with the underlying short rate dynamics

Interference Mitigation Through Limited Receiver Cooperation: Symmetric Case

Interference is a major issue that limits the performance in wireless networks, and cooperation among receivers can help mitigate interference by forming distributed MIMO systems. The rate at which receivers cooperate, however, is limited in most scenarios. How much interference can one bit of receiver cooperation mitigate? In this paper, we study the two-user Gaussian interference channel with conferencing decoders to answer this question in a simple setting. We characterize the fundamental gain from cooperation: at high SNR, when INR is below 50% of SNR in dB scale, one-bit cooperation per direction buys roughly one-bit gain per user until full receiver cooperation performance is reached, while when INR is between 67% and 200% of SNR in dB scale, one-bit cooperation per direction buys roughly half-bit gain per user. The conclusion is drawn based on the approximate characterization of the symmetric capacity in the symmetric set-up. We propose strategies achieving the symmetric capacity universally to within 3 bits. The strategy consists of two parts: (1) the transmission scheme, where superposition encoding with a simple power split is employed, and (2) the cooperative protocol, where quantize-binning is used for relaying.Comment: To appear in IEEE Information Theory Workshop, Taormina, October 2009. Final versio

Interference Mitigation Through Limited Receiver Cooperation

Interference is a major issue limiting the performance in wireless networks. Cooperation among receivers can help mitigate interference by forming distributed MIMO systems. The rate at which receivers cooperate, however, is limited in most scenarios. How much interference can one bit of receiver cooperation mitigate? In this paper, we study the two-user Gaussian interference channel with conferencing decoders to answer this question in a simple setting. We identify two regions regarding the gain from receiver cooperation: linear and saturation regions. In the linear region receiver cooperation is efficient and provides a degrees-of-freedom gain, which is either one cooperation bit buys one more bit or two cooperation bits buy one more bit until saturation. In the saturation region receiver cooperation is inefficient and provides a power gain, which is at most a constant regardless of the rate at which receivers cooperate. The conclusion is drawn from the characterization of capacity region to within two bits. The proposed strategy consists of two parts: (1) the transmission scheme, where superposition encoding with a simple power split is employed, and (2) the cooperative protocol, where one receiver quantize-bin-and-forwards its received signal, and the other after receiving the side information decode-bin-and-forwards its received signal.Comment: Submitted to IEEE Transactions on Information Theory. 69 pages, 14 figure

On the continuous dependence with respect to sampling of the linear quadratic regulator problem for distributed parameter systems

The convergence of solutions to the discrete or sampled time linear quadratic regulator problem and associated Riccati equation for infinite dimensional systems to the solutions to the corresponding continuous time problem and equation, as the length of the sampling interval (the sampling rate) tends toward zero (infinity) is established. Both the finite and infinite time horizon problems are studied. In the finite time horizon case, strong continuity of the operators which define the control system and performance index together with a stability and consistency condition on the sampling scheme are required. For the infinite time horizon problem, in addition, the sampled systems must be stabilizable and detectable, uniformly with respect to the sampling rate. Classes of systems for which this condition can be verified are discussed. Results of numerical studies involving the control of a heat/diffusion equation, a hereditary of delay system, and a flexible beam are presented and discussed

Dynamical Electron Mass in a Strong Magnetic Field

Motivated by recent interest in understanding properties of strongly magnetized matter, we study the dynamical electron mass generated through approximate chiral symmetry breaking in QED in a strong magnetic field. We reliably calculate the dynamical electron mass by numerically solving the nonperturbative Schwinger-Dyson equations in a consistent truncation within the lowest Landau level approximation. It is shown that the generation of dynamical electron mass in a strong magnetic field is significantly enhanced by the perturbative electron mass that explicitly breaks chiral symmetry in the absence of a magnetic field.Comment: 5 pages, 1 figure, published versio

Age-related changes in blood-brain barrier integrity in C57BL/6J mice

The blood-brain barrier (BBB) is formed by the endothelial cells of the brain microvasculature, which control the molecular traffic between the blood and brain to maintain the neural microenvironment

Magnetic structure of solar flare regions producing hard X-ray pulsations

We present analysis of the magnetic field in seven solar flare regions accompanied by the pulsations of hard X-ray (HXR) emission. These flares were studied by Kuznetsov et al. (2016) (Paper~I), and chosen here because of the availability of the vector magnetograms for their parent active regions (ARs) obtained with the SDO/HMI data. In Paper~I, based on the observations only, it was suggested that a magnetic flux rope (MFR) might play an important role in the process of generation of the HXR pulsations. The goal of the present paper is to test this hypothesis by using the extrapolation of magnetic field with the non-linear force-free field (NLFFF) method. Having done this, we found that before each flare indeed there was an MFR elongated along and above a magnetic polarity inversion line (MPIL) on the photosphere. In two flare regions the sources of the HXR pulsations were located at the footpoints of different magnetic field lines wrapping around the central axis, and constituting an MFR by themselves. In five other flares the parent field lines of the HXR pulsations were not a part of an MFR, but surrounded it in the form of an arcade of magnetic loops. These results show that, at least in the analyzed cases, the "single flare loop" models do not satisfy the observations and magnetic field modeling, while are consistent with the concept that the HXR pulsations are a consequence of successive episodes of energy release and electron acceleration in different magnetic flux tubes (loops) of a complex AR. An MFR could generate HXR pulsations by triggering episodes of magnetic reconnection in different loops in the course of its non-uniform evolution along an MPIL. However, since three events studied here were confined flares, actual eruptions may not be required to trigger sequential particle acceleration episodes in the magnetic systems containing an MFR.Comment: 33 pages, 5 figures, 2 tables. Accepted for publication in Journal of Atmospheric and Solar-Terrestrial Physics (28 April 2018

New Zealand Building Project Cost and Its Influential Factors: A Structural Equation Modelling Approach

Construction industry significantly contributes to New Zealand's economic development. However, the delivery of construction projects is usually plagued by cost overruns, which turn potentially successful projects into money-losing ventures, resulting in various other unexpected negative impacts. The objectives of the study were to identify, classify, and assess the impacts of the factors affecting project cost in New Zealand. The proposed research model was examined with structural equation modelling. Recognising the lack of a systematic approach for assessing the influencing factors associated with project cost, this study identified 30 influencing factors from various sources and quantified their relative impacts. The research data were gathered through a questionnaire survey circulated across New Zealand construction industry. A total of 283 responses were received, with a 37% response rate. A model was developed for testing the relationship between project cost and the influential factors. The proposed research model was examined with structural equation modelling (SEM). According to the results of the analysis, market and industry conditions factor has the most significant effect on project cost, while regulatory regime is the second-most significant influencing factor, followed by key stakeholders' perspectives. The findings can improve project cost performance through the identification and evaluation of the cost-influencing factors. The results of such analysis enable industry professionals to better understand cost-related risks in the complex environment