Estimation of the Autoregressive Order in the Presence of Measurement Errors

Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates caused by the measurement errors. Thus far, no theoretical result on the direction of bias of the lag order estimate is available in the literature. In this note, we will discuss the estimation an AR model in the presence of measurement errors. It is shown that the inclusion of measurement errors will drastically increase the complexity of the problem. We show that the lag lengths selected by the AIC and BIC are increasing with the sample size at a logarithmic rate.Autoregressive Process Measurement Error Akaike Information Criterion Bayesian Information Criterion

Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan

This paper studies the profitability of applying technical analysis that signals the entry and exit from the stock market in three Chinese stock markets - the Shanghai, Hong Kong and Taiwan Stock Exchanges. The Simple Moving Average (MA) and its extensions, Exponential MA, Dual MA, Triple MA, MACD and TRIX for both long and short strategies are examined. Applying the trading signals generated by the MA family to the Greater China markets, significantly positive returns are generated, which outperform the buy-and-hold strategy. The cumulative wealth obtained also surpasses that of the buy-and-hold strategy regardless of transaction costs. In addition, we study the performance of the MA family before and after the 1997 Asian Financial Crisis and find that the MA family works well in both sub-periods and in different market conditions of bull runs, bear markets and mixed markets. That technical analysis can forecast the directions of these markets implies that the three China stock markets are not efficient.Technical analysis, Moving Average, buy-and-hold strategy

Identification and Estimation of Structural-Change Models with Misclassification

Consider a simple change-point model with a binary regressor. We examine the consistency of the change-point estimator when the regressor is subject to misclassification. It is found that the time of change can always be identified. Further, special cases where the structural parameters can also be identified are discussed. Simulation evidence is provided.

Stabilization of biped dynamic walking using gyroscopic couple

This paper presents a new strategy for dynamic walking where a gyroscope mounted on top of the biped is precessed to achieve balancing both in the Coronal and Sagittal planes. A gait is devised and simulation results are provided to show the feasibility of proposed balancing method.published_or_final_versio

Are the Asian Equity Markets more Interdependent after the Financial Crisis?

This paper examines the impact of the 1997 Asian Financial Crisis on the linkages between the Singapore and five Asian-Pacific stock markets. We show that the interdependence between these markets has intensified after the crisis. Before the crisis, only the Malaysian stock market is found to be cointegrated with Singapore. However, after the onset of the crisis, the stock markets of Hong Kong, Japan, Malaysia and the US are found to be cointegrated with the Singapore stock market.

Optimisation and statistical analysis of 21.4 Gb/s RZ-DPSK WDM non-slope matched transmission

Considering a numerical example, we analyse the performance of Return-to-Zero (RZ) Differential Phase Shift Keyed (DPSK) transmission when deployed in a large scale transmission system. It is shown that at high distances, RZ-DPSK performs well whilst being limited by nonlinear effects. We also show that when nonlinear effects become dominant, we can still estimate channel statistics to reasonable accuracy

Pigmentation and the cutaneous response to ultraviolet radiation

Variation in pigmentation of hair and skin is one of the most striking forms of human diversity. Human pigmentation and sun sensitivity is a complex trait. The melanocortin 1 receptor gene (MC1R) (OMIM 15555) has been shown to be a key determinant of hair and skin colour. Recently a number of other genes have been implicated in human pigmentation. This thesis presents the relationship between human pigmentary phenotypes and genetic variation at MC1R and 34 other candidate loci from 159 individuals. The relationship between experimentally induced cutaneous erythemal and facultative pigmentary response to UVB radiation and MC1R and other pigmentation genotypes was investigated in a subset of 98 individuals. Some of this work involved the development of novel methods of assaying phenotype. I present a detailed description of human pigmentation and facultative pigmentation with respect to a number of key variables (e.g. sex, site, freckling, skin type) and seek to explain the variation in pigmentation in relation to these factors. The effect of MC1R on hair colour is large, but MC1R explains a smaller amount of the variation for skin colour. I found that a number of loci including MC1R, oculocutaneous albinism type 2 OCA2 (OMIM 611409), KIT oncogene ligand KITLG (OMIM 184745) and the Hermansky-Pudlak syndrome 3 HPS3 (OMIM 606118) are determinants of pigmentary phenotype. Some of these findings are in keeping with previous work and some are novel. I present data showing novel SNPs in genes Hermansky-Pudlak syndrome 3 (HPS3) and KIT ligand (KITLG) to be associated with human skin and hair colour variation. Association of HPS3 to eye colour was also found and has to be confirmed in another population. The possible putative mechanisms for the novel association finding in HPS3 are discussed. I am in the process of confirming these positive significant findings in collaboration with another laboratory in Denmark. Further experiments are proposed to confirm other associations and phenotypes

Fast label-free multilayered histology-like imaging of human breast cancer by photoacoustic microscopy

The goal of breast-conserving surgery is to completely remove all of the cancer. Currently, no intraoperative tools can microscopically analyze the entire lumpectomy specimen, which results in 20 to 60% of patients undergoing second surgeries to achieve clear margins. To address this critical need, we have laid the foundation for the development of a device that could allow accurate intraoperative margin assessment. We demonstrate that by taking advantage of the intrinsic optical contrast of breast tissue, photoacoustic microscopy (PAM) can achieve multilayered histology-like imaging of the tissue surface. The high correlation of the PAM images to the conventional histologic images allows rapid computations of diagnostic features such as nuclear size and packing density, potentially identifying small clusters of cancer cells. Because PAM does not require tissue processing or staining, it can be performed promptly and intraoperatively, enabling immediate directed re-excision and reducing the number of second surgeries