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-$T_c$ 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 β−\beta-Zr

A 2D temperature-dependent effective potential is calculated for the interacting longitudinal and transverse $L-$phonons of $\beta$ 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 $\beta$-Zr becomes unstable with respect to the longitudinal $L-$vibrations. The obtained temperature value practically coincides with the experimental temperature of the $\beta \to \alpha$ structural transition in zirconium. The role of electronic entropy in the $\beta-$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 include