Selection of the number of frequencies using bootstrap techniques in log-periodogram regression

The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different estimates, which may lead to contradictory conclusions, for example about the stationarity of the series. We propose here a data driven bandwidth selection strategy that is based on minimizing a bootstrap approximation of the mean squared error and compare its performance with other existing techniques for optimal bandwidth selection in a mean squared error sense, revealing its better performance in a wider class of models. The empirical applicability of the proposed strategy is shown with two examples: the widely analyzed in a long memory context Nile river annual minimum levels and the input gas rate series of Box and Jenkins.bootstrap, long memory, log-periodogram regression, bandwidth selection

Semiparametric inference in correlated long memory signal plus noise models

This paper proposes an extension of the log periodogram regression in perturbed long memory series that accounts for the added noise, also allowing for correlation between signal and noise, which represents a common situation in many economic and financial series. Consistency (for d < 1) and asymptotic normality (for d < 3/4) are shown with the same bandwidth restriction as required for the original log periodogram regression in a fully observable series, with the corresponding gain in asymptotic efficiency and faster convergence over competitors. Local Wald, Lagrange Multiplier and Hausman type tests of the hypothesis of no correlation between the latent signal and noise are also proposed.long memory, signal plus noise, semiparametric inference, log-periodogram regression

Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models

This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local Whittle estimator of the memory parameter in a long memory signal plus noise model which includes the Long Memory in Stochastic Volatility as a particular case. It is proved that this estimate preserves the consistency and asymptotic normality encountered in observable long memory series and under milder conditions it is more efficient than the estimator based on a log-periodogram regression. Although the asymptotic properties do not depend on the signal-to-noise ratio the finite sample performance rely upon this magnitude and an appropriate choice of the bandwidth is important to minimize the influence of the added noise. I analyze the effect of the bandwidth via Monte Carlo. An application to a Spanish stock index is finally included.long memory, stochastic volatility, semiparametric estimation, frequency domain

Semiparametric estimation in perturbed long memory series

The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the use of Long Memory in Stochastic Volatility (LMSV) processes to model such a behaviour. This paper discusses frequency domain semiparametric estimation of the memory parameter and proposes an extension of the log periodogram regression which explicitly accounts for the added noise, comparing it, asymptotically and in finite samples, with similar extant techniques. Contrary to the non linear log periodogram regression of Sun and Phillips (2003), we do not use a linear approximation of the logarithmic term which accounts for the added noise. A reduction of the asymptotic bias is achieved in this way and makes possible a faster convergence in long memory signal plus noise series by permitting a larger bandwidth. Monte Carlo results confirm the bias reduction but at the cost of a higher variability. An application to a series of returns of the Spanish Ibex35 stock index is finally included.long memory, stochastic volatility, semiparametric estimation

Software prefetching for software pipelined loops

The paper investigates the interaction between software pipelining and different software prefetching techniques for VLIW machines. It is shown that processor stalls due to memory dependencies have a great impact into execution time. A novel heuristic is proposed and it is show to outperform previous proposals.Peer ReviewedPostprint (published version

The effectiveness of loop unrolling for modulo scheduling in clustered VLIW architectures

Clustered organizations are becoming a common trend in the design of VLIW architectures. In this work we propose a novel modulo scheduling approach for such architectures. The proposed technique performs the cluster assignment and the instruction scheduling in a single pass, which is shown to be more effective than doing first the assignment and later the scheduling. We also show that loop unrolling significantly enhances the performance of the proposed scheduler especially when the communication channel among clusters is the main performance bottleneck. By selectively unrolling some loops, we can obtain the best performance with the minimum increase in code size. Performance evaluation for the SPECfp95 shows that the clustered architecture achieves about the same IPC (Instructions Per Cycle) as a unified architecture with the same resources. Moreover when the cycle time is taken into account, a 4-cluster configurations is 3.6 times faster than the unified architecture.Peer ReviewedPostprint (published version

Modulo scheduling for a fully-distributed clustered VLIW architecture

Clustering is an approach that many microprocessors are adopting in recent times in order to mitigate the increasing penalties of wire delays. We propose a novel clustered VLIW architecture which has all its resources partitioned among clusters, including the cache memory. A modulo scheduling scheme for this architecture is also proposed. This algorithm takes into account both register and memory inter-cluster communications so that the final schedule results in a cluster assignment that favors cluster locality in cache references and register accesses. It has been evaluated for both 2- and 4-cluster configurations and for differing numbers and latencies of inter-cluster buses. The proposed algorithm produces schedules with very low communication requirements and outperforms previous cluster-oriented schedulers.Peer ReviewedPostprint (published version

La sostenibilidad de los centros históricos en los albores del siglo XXI

Studies on the city come including multiple and diverse aspects, which gives rise to the fact that the urban phenomenon becomes something more everytime is something more complex. The study of historical centers of the cities, which, perhaps due to because of considering them as «a consolidated urban phenomenon», or perhaps for other diverse reasons, has not been an object of study of increasing attention with respect to sustainable development. Nevertheless, they are places of great interest; susceptible of transformations and innovations; places of great social interaction, an interaction that varies depending on times, because they are generally inhabited by certain individuals: their residents; used, consumed and enjoyed by others, in relation to its functionality, mainly of tourism, leisure and culture. It is a phenomenon whose characteristics and peculiarities are shared by many historical centers of average cities of the south of Europe. This work tries to show the specific and general problems of the urban historical centers and their own articulation.Los estudios sobre la ciudad vienen abarcando múltiples y diversos aspectos, y cada vez más desde perspectivas interdisciplinares, lo que da lugar a que el fenómeno urbano cada vez sea algo más complejo. El estudio de los centros históricos de las ciudades, que, quizá por considerarlas como «fenómeno urbano consolidado», o quizá por otras diversas razones, no ha sido un objeto de estudio de atención creciente respecto a la sostenibilidad. Sin embargo, son lugares de gran interés; susceptibles de transformaciones e innovaciones; lugares de gran interacción social, una interacción que varía en función de los tiempos, pues generalmente son habitados por unos individuos, los residentes, usados, consumidos y disfrutados por otros, en relación con su funcionalidad, principalmente de turismo, ocio y cultura. Es un fenómeno cuyas características y peculiaridades son propias de muchos centros históricos de ciudades medias del sur de Europa. El trabajo pretende mostrar los problemas específicos y generales de los centros históricos urbanos y su propia articulación

Fast, accurate and flexible data locality analysis

This paper presents a tool based on a new approach for analyzing the locality exhibited by data memory references. The tool is very fast because it is based on a static locality analysis enhanced with very simple profiling information, which results in a negligible slowdown. This feature allows the tool to be used for highly time-consuming applications and to include it as a step in a typical iterative analysis-optimization process. The tool can provide a detailed evaluation of the reuse exhibited by a program, quantifying and qualifying the different types of misses either globally or detailed by program sections, data structures, memory instructions, etc. The accuracy of the tool is validated by comparing its results with those provided by a simulator.Peer ReviewedPostprint (published version