NON-LINEAR ADJUSTMENT PROCESS IN WON/DOLLAR AND WON/YEN REAL EXCHAGE RATES

We examine the purchasing power parity (PPP) hypothesis in won/dollar and won/yen real exchange rates using a non-linear framework. Many empirical studies based on the linear framework have failed to find clear supporting evidence for the validity of PPP hypothesis. We test the PPP hypothesis using a two-stage procedure suggested by Engle and Granger (1987), and show that it fails to reject non-cointegration. Evaluating the linear model against the nonlinear STAR model, we find that linearity is clearly rejected, but ESTAR process is accepted. Moreover, the parameter estimates of the ESTAR model establish a certain pattern of random walk behavior for small deviations and of fast adjustment for large deviations, thus providing strong evidence for mean-reverting behavior in real won/dollar and won/yen exchange rates.Purchasing Power Parity, Non-linear Adjustment Process, ESTAR Model

Delaying a convoy

This thesis studies "the convoy-path interdiction problem" (CPIP) in which an interdictor uses limited resources to attack and disrupt road segments ("arcs") or road intersections ("nodes") in a road network in order to delay an adversary's convoy from reaching its destination. The convoy will move between a known origin node a and destination node b using a "quickest path." We first show how to compute, using an A* search, the convoy's quickest path under the assumptions that the convoy may occupy several arcs simultaneously, each arc may have a different speed limit, and the convoy maintains constant inter-vehicle spacing. The basic model assumes that the convoy moves in a single lane of traffic; an extension handles arcs that may have multiple lanes. Using that algorithm as a subroutine, a decomposition algorithm solves the optimal interdiction problem. Interdiction of a node or arc makes that node or arc impassable. Computational results are presented on grid networks with up to 629 nodes and 2452 arcs with varying levels of interdiction resource. Using Xpress-MP optimization software and a 2 GHz Pentium IV computer, the largest network problem solves in no more than 360 seconds given that at most 4 arcs can be interdicted.http://archive.org/details/delayingconvoy109451754Approved for public release; distribution is unlimited

Copulas for High Dimensions: Models, Estimation, Inference, and Applications

<p>The dissertation consists of four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, which enables the use of high frequency data to accurately measure and forecast linear dependence, and the use of a new class of copulas designed to capture nonlinear dependence among the resulting linearly uncorrelated residuals. Estimation of the new class of copulas is conducted using a composite likelihood, making the model feasible even for hundreds of variables. A realistic simulation study verifies that multistage estimation with composite likelihood results in small loss in efficiency and large gain in computation speed. </p><p>Chapter 2, which is co-authored with Professor Andrew Patton, presents new models for the dependence structure, or copula, of economic variables based on a factor structure. The proposed models are particularly attractive for high dimensional applications, involving fifty or more variables. This class of models generally lacks a closed-form density, but analytical results for the implied tail dependence can be obtained using extreme value theory, and estimation via a simulation-based method using rank statistics is simple and fast. We study the finite-sample properties of the estimation method for applications involving up to 100 variables, and apply the model to daily returns on all 100 constituents of the S\&P 100 index. We find significant evidence of tail dependence, heterogeneous dependence, and asymmetric dependence, with dependence being stronger in crashes than in booms. </p><p>Chapter 3, which is co-authored with Professor Andrew Patton, considers the estimation of the parameters of a copula via a simulated method of moments type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals of the copula that are of particular interest. The proposed approach naturally also nests method of moments and generalized method of moments estimators. Drawing on results for simulation based estimation and on recent work in empirical copula process theory, we show the consistency and asymptotic normality of the proposed estimator, and obtain a simple test of over-identifying restrictions as a goodness-of-fit test. The results apply to both $iid$ and time series data. We analyze the finite-sample behavior of these estimators in an extensive simulation study.</p><p>Chapter 4, which is co-authored with Professor Andrew Patton, proposes a new class of copula-based dynamic models for high dimension conditional distributions, facilitating the estimation of a wide variety of measures of systemic risk. Our proposed models draw on successful ideas from the literature on modelling high dimension covariance matrices and on recent work on models for general time-varying distributions. Our use of copula-based models enable the estimation of the joint model in stages, greatly reducing the computational burden. We use the proposed new models to study a collection of daily credit default swap (CDS) spreads on 100 U.S. firms over the period 2006 to 2012. We find that while the probability of distress for individual firms has greatly reduced since the financial crisis of 2008-09, the joint probability of distress (a measure of systemic risk) is substantially higher now than in the pre-crisis period.</p>Dissertatio

블루투스 시스템에서의 저연산량 스펙트럼 센싱에 관한 연구

In this paper, we propose a complexity reduced spectrum sensing scheme for Bluetooth to avoid the interference from other communication devices in 2.4 GHz ISM band. By exploiting the spectrum characteristics of interference sources, the proposed scheme detects the availability of channels by comparing the power spectrum density (PSD) with a threshold. To reduce the implementation complexity, the PSD is calculated by means of fast Fourier transform and linear interpolation. The threshold for the detection is determined to maximize the detection probability. To further improve the transmission performance, the proposed scheme dynamically changes the channels by measuring the transmission performance. Finally, the performance of the proposed scheme is verified by computer simulation in the presence of WLANs in the ISM band.Seoul R&BS Progra

Orthogonal Muti-beam Techniques for Multi-user Diversity and Multiplexing Gain in Packet-based Wireless Systems

In this paper, we consider the use of orthogonal multiple beams (OMBs) to simultaneously achieve multi-user diversity and multiplexing gain in a packet-based wireless system. Previous schemes consider the use of a fixed number of OMBs according to the number of transmit antennas. However, unless the number of active users is sufficiently large, the use of multiple beams may not provide desired performance mainly due to the interference from other users signals, being even worse than the use of a single beam. To alleviate this problem, we consider the adjustment of the number of beams in use to maximize the spectral efficiency according to the operating condition. Simulation results show the validity of the proposed scheme

패킷 기반 무선 시스템에서 다중 직교 빔을 이용한 다중 안테나 송수신 기법

In this paper, we consider the use of multiple beams to simultaneously achieve both diversity and multiplexing gain in multi-user domain in multiple access systems. Orthogonal multiple beams are generated to provide the users with multiple channels at the same time, achieving multi-user diversity through each channel. However, when the number of active users is not large, the performance can significantly be affected by the interference from other users. To alleviate this problem, we propose a multi-beam scheme to adjust the number of beams according to the channel condition or the number of users.the Ministry of Information & Communications, Korea, under the Information Technology Research Center (ITRC) Support Progra

수신 상관정보를 이용한 상향링크 셀룰러 시스템에서의 사용자 스케줄링에 관한 연구

In this paper, we consider multi-user scheduling to maximize the ergodic capacity near the cell boundary in the uplink of cellular systems. The base station (BS) determines a user pair that can minimize the interference from other cells by exploiting the receive correlation matrices of users from adjacent BSs. The performance of the proposed scheme is verified by computer simulation. Simulation results show that the proposed multi-cell scheduling significantly increase the ergodic capacity near the cell boundary compared to conventional random user scheduling, particularly in highly correlated channel environments

Multi-user diversity and multiplexing with multiple coherent beams in wireless systems

In this paper, we propose a multi-beam multiplexing scheme that can simultaneously achieve spatial multiplexing gain and multi-user diversity (MUD) gain by generating coherent multiple beams in the multi-user domain. Multiple beams are generated to provide multiple channels in parallel, making it possible to achieve the MUD gain through each channel. Since the transmission power is spilt into multiple channels, the signal-to-noise power ratio (SNR) of each channel is reduced inversely proportional to the number of beams. However, multiple beams are utilized to make the multiplexing gain much larger than the decrease of SNR, increasing the overall system capacity. The proposed scheme is applicable to both multi-input multi-output (MIMO) and multi-input singleoutput (MISO) schemes, enabling the use of flexible antenna structures in the receiver.Korea Research Foundation Grant funded by the Korean Government(MOEHRD

상향링크 셀룰러 시스템에서 채널 상관 기반의 협력 사용자 스케줄링 기법

In this paper, we consider multi-user scheduling to avoid other cell interference (OCI) in the uplink of cellular systems. The base station (BS) determines a user group that can minimize the interference from other cells by exploiting the spatial correlation matrix of users from adjacent BSs. The proposed scheme is applicable to multi-input multi-output (MIMO) as well as single-input multi-output (SIMO) environments by applying an eigen-beamforming technique, enabling the use of flexible antenna structures at the transmitter. Simulation results show that the proposed multi-cell scheduling significantly increase the ergodic capacity by avoiding the OCI compared to conventional scheduling schemes, particularly in high mobility and highly correlated channel environments.Seoul R&BD Progra