Adaptive Testing for Cointegration with Nonstationary Volatility

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere et al. (2010, 2014). We show that it also leads to the possibility of constructing tests with higher power, by taking the time-varying volatilities and correlations into account in the formulation of the likelihood function and the resulting likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local power relative to the case where the volatilities are observed. The asymptotic null distribution of the test is nonstandard and depends on the volatility process; we show that various bootstrap implementations may be used to conduct asymptotically valid inference. Monte Carlo simulations show that the resulting test has good size properties, and higher power than existing tests. Two empirical examples illustrate the applicability of the tests

A target guided subband filter for acoustic event detection in noisy environments using wavelet packets

This paper deals with acoustic event detection (AED), such as screams, gunshots, and explosions, in noisy environments. The main aim is to improve the detection performance under adverse conditions with a very low signal-to-noise ratio (SNR). A novel filtering method combined with an energy detector is presented. The wavelet packet transform (WPT) is first used for time-frequency representation of the acoustic signals. The proposed filter in the wavelet packet domain then uses a priori knowledge of the target event and an estimate of noise features to selectively suppress the background noise. It is in fact a content-aware band-pass filter which can automatically pass the frequency bands that are more significant in the target than in the noise. Theoretical analysis shows that the proposed filtering method is capable of enhancing the target content while suppressing the background noise for signals with a low SNR. A condition to increase the probability of correct detection is also obtained. Experiments have been carried out on a large dataset of acoustic events that are contaminated by different types of environmental noise and white noise with varying SNRs. Results show that the proposed method is more robust and better adapted to noise than ordinary energy detectors, and it can work even with an SNR as low as -15 dB. A practical system for real time processing and multi-target detection is also proposed in this work

The Effects of Minimal Length, Maximal Momentum and Minimal Momentum in Entropic Force

In this paper, the modified entropic force law is studied by using a new kind of generalized uncertainty principle which contains a minimal length, a minimal momentum and a maximal momentum. Firstly, the quantum corrections to the thermodynamics of a black hole is investigated. Then, according to Verlinde's theory, the generalized uncertainty principle (GUP) corrected entropic force is obtained. The result shows that the GUP corrected entropic force is related not only to the properties of the black holes, but also to the Planck length and the dimensionless constants $\alpha _{\rm{0}}$ and $\beta _{\rm{0}}$. Moreover, based on the GUP corrected entropic force, we also derive the modified Einstein's field equation (EFE) and the modified Friedmann equation.Comment: 16 pages. arXiv admin note: substantial text overlap with arXiv:1604.0470

Corrections to the thermodynamics of Schwarzschild-Tangherlini black hole and the generalized uncertainty principle

We investigate the thermodynamics of Schwarzschild-Tangherlini black hole in the context of the generalized uncertainty principle. The corrections to the Hawking temperature, entropy and the heat capacity are obtained via the modified Hamilton-Jacobi equation. These modifications show that the GUP changes the evolution of Schwarzschild-Tangherlini black hole. Specially, the GUP effect becomes susceptible when the radius or mass of black hole approach to the order of Planck scale, it stops radiating and leads to black hole remnant. Meanwhile, the Planck scale remnant can be confirmed through the analysis of the heat capacity. Those phenomenons imply that the GUP may give a way to solve the information paradox. Besides, we also investigate the possibilities to observe the black hole at LHC, the results demonstrate that the black hole can not be produced in the recent LHC.Comment: 12 pages, 6 figure