Bayesian inference with an adaptive proposal density for GARCH models

We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student's t-distribution and the distribution parameters are evaluated by using the data sampled during the simulation. We apply the method for the QGARCH model which is one of asymmetric GARCH models and make empirical studies for for Nikkei 225, DAX and Hang indexes. We find that autocorrelation times from our method are very small, thus the method is very efficient for generating uncorrelated Monte Carlo data. The results from the QGARCH model show that all the three indexes show the leverage effect, i.e. the volatility is high after negative observations

Renormalization group flow of SU(3) lattice gauge theory - Numerical studies in a two coupling space

We investigate the renormalization group (RG) flow of SU(3) lattice gauge theory in a two coupling space with couplings $\beta_{11}$ and $\beta_{12}$ corresponding to $1\times 1$ and $1\times 2$ loops respectively. Extensive numerical calculations of the RG flow are made in the fourth quadrant of this coupling space, i.e., $\beta_{11}>0$ and $\beta_{12}<0$. Swendsen's factor two blocking and the Schwinger-Dyson method are used to find an effective action for the blocked gauge field. The resulting renormalization group flow runs quickly towards an attractive stream which has an approximate line shape. This is numerical evidence of a renormalized trajectory which locates close to the two coupling space. A model flow equation which incorporates a marginal coupling (asymptotic scaling term), an irrelevant coupling and a non-perturbative attraction towards the strong coupling limit reproduces qualitatively the observed features. We further examine the scaling properties of an action which is closer to the attractive stream than the currently used improved actions. It is found that this action shows excellent restoration of rotational symmetry even for coarse lattices with $a \sim 0.3$ fm.Comment: 18 pages with 9 eps figures psfig.sty, typos correcte

Scaling Analysis of Improved Actions for Pure SU(3) Gauge Theory

We have explored the behaviour of some improved actions based on a nonperturbative renormalization group (RG) analysis in coupling space. We calculate the RG flow in two-coupling space (\boneone,\bonetwo) and examine the restoration of rotational invariance and the scaling of physical quantities $(T_c/\sqrt{\sigma})$.Comment: LATTICE98(improvement

Effects of Chemical Potential on Hadron Masses at Finite Temperature

We study the effects of the chemical potential on the $\rho$ meson mass at finite temperature. Our preliminary results show that some effects are seen in the vicinity of the phase transition point. Although the signal is still too noisy to obtain conclusive physical results within limited statistics, the mass susceptibility is consistent with zero.Comment: LATTICE98(hightemp), 3 page

Effects of Chemical Potential on Hadron Masses in the Phase Transition Region

We study the response of hadron masses with respect to chemical potential at $\mu=0$. Our preliminary results of the pion channel show that $\partial m/\partial \mu$ in the confinement phase is significantly larger than that in the deconfinement phase, which is consistent with the chiral restoration.Comment: LATTICE99 (finite temperature and density), 3 pages, 3 figure

Finite Temperature Gauge Theory on Anisotropic Lattices

The finite temperature transition of QCD can be seen as a change in the structure of the hadrons and as a symmetry breaking transition -- a change in the structure of the vacuum. These phenomena are observed differently and carry complementary information. We aim at a correlated analysis involving hadronic correlators and the vacuum structure including field and density correlations, both non-trivial questions.Comment: 3 pages, Talk presented at LATTICE96(finite temperature

Finite Temperature QCD on Anisotropic Lattices

We present results for mesonic propagators in temporal and spatial direction and for topological properties at T below and above the deconfining transition in quenched QCD. We use anisotropic lattices and Wilson fermions.Comment: 6 pages, 7 figures, Talk given at 16th International Symposium on Lattice Field Theory (LATTICE 98(hightemp)) , Boulder, CO, 13-18 Jul 1998. (Replaced: Fig.4 corrected, further minor modifications in legends and text.