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Semiparametric estimation for a class of time-inhomogenous diffusion processes
Copyright @ 2009 Institute of Statistical Science, Academia SinicaWe develop two likelihood-based approaches to semiparametrically estimate a class of time-inhomogeneous diffusion processes: log penalized splines (P-splines) and the local log-linear method. Positive volatility is naturally embedded and this positivity is not guaranteed in most existing diffusion models. We investigate different smoothing parameter selections. Separate bandwidths are used for drift and volatility estimation. In the log P-splines approach, different smoothness for different time varying coefficients is feasible by assigning different penalty parameters. We also provide theorems for both approaches and report statistical inference results. Finally, we present a case study using the weekly three-month Treasury bill data from 1954 to 2004. We find that the log P-splines approach seems to capture the volatility dip in mid-1960s the best. We also present an application to calculate a financial market risk measure called Value at Risk (VaR) using statistical estimates from log P-splines
The c-axis charge traveling wave in coupled system of Josephson junctions
We demonstrate a manifestation of the charge traveling wave along the c-axis
(TW) in current voltage characteristics of coupled Josephson junctions in
high- superconductors. The branches related to the TW with different
wavelengths are found for the stacks with different number of Josephson
junctions at different values of system's parameters. Transitions between the
TW branches and the outermost branch are observed. Time dependence of the
electric charge in the superconducting layers and charge-charge correlation
functions for TW and outermost branches show different behavior with bias
current. We propose an experimental testing of the TW by microwave irradiation.Comment: Supplement : http://theor.jinr.ru/~hamdipur/lambda0.av
Finite volume corrections to the binding energy of the X(3872)
The quark mass dependence of hadrons is an important input for lattice
calculations. We investigate the light quark mass dependence of the binding
energy of the X(3872) in a finite box to next-to-leading order in an effective
field theory for the X(3872) with perturbative pions (XEFT). At this order, the
quark mass dependence is determined by a quark mass-dependent contact
interaction in addition to the one-pion exchange. While there is only a
moderate sensitivity to the light quark masses in the region up to twice their
physical value, the finite volume effects are significant already at box length
as large as 20 fm.Comment: 23 pages, 9 figures, REVTe
The effect of electronic entropy on temperature peculiarities of the frequency characteristics of two interacting anharmonic vibrational modes in Zr
A 2D temperature-dependent effective potential is calculated for the
interacting longitudinal and transverse phonons of zirconium in the
frozen-phonon model. The effective potentials obtained for different
temperatures are used for the numerical solution of a set of stochastic
differential equations with a thermostat of the white-noise type. Analysis of
the spectral density of transverse vibrations allows one to determine the
temperature at which -Zr becomes unstable with respect to the
longitudinal vibrations. The obtained temperature value practically
coincides with the experimental temperature of the
structural transition in zirconium. The role of electronic entropy in the
Zr stability is discussed.Comment: 9 pages, 10 figures (submitted in Phys.Rev.
One-electron spectral functions of the attractive Hubbard model at intermediate coupling
We calculate the one-electron spectral function of the attractive-U Hubbard
model in two dimensions. We work in the intermediate coupling and low density
regime and evaluate analytically the self-energy. The results are obtained in a
framework based on the self-consistent T-matrix approximation. We also
calculate the chemical potential of the bound pairs as a function of
temperature. On the basis of this calculation we analyze the low-temperature
resistivity and specific heat in the normal state of this system. We compare
our results with recent beautiful tunneling experiments in the underdoped
regime of HTSC-materials.Comment: 2 pages, LT22 Conference paper, phbauth and elsart style files
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