Testing for Neglected Nonlinearity in Long Memory Models

This paper constructs tests for the presence of nonlinearity of unknown form in addition to a fractionally integrated, long memory component in a time series process. The tests are based on artificial neural network structures and do not restrict the parametric form of the nonlinearity. The tests only require a consistent estimate of the long memory parameter. Some theoretical results for the new tests are obtained and detailed simulation evidence is also presented on the power of the tests. The new methodology is then applied to a wide variety of economic and financial time series.Long memory, Non-linearity, Artificial neural networks, Realized volatility, Absolute returns, Real exchange rates, Unemployment

Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates

This paper considers estimation and inference in some general non linear time series models which are embedded in a strongly dependent, long memory process. Some new results are provided on the properties of a time domain MLE for these models. The paper also includes a detailed simulation study which compares the time domain MLE with a two step estimator, where the Local Whittle estimator has been initially employed to filter out the long memory component. The time domain MLE is found to be generally superior to two step estimation. Further, the simulation study documents the difficulty of precisely estimating the parameter associated with the speed of transition. Finally, the fractionally integrated, nonlinear autoregressive- ESTAR model is found to be extremely useful in representing some financial time series such as the forward premium and real exchange rates.Non-linearity, ESTAR models, Strong dependence, Forward premium, Real exchange rates

Static internal performance of ventral and rear nozzle concepts for short-takeoff and vertical-landing aircraft

The internal performance of two exhaust system concepts applicable to single-engine short-take-off and vertical-landing tactical fighter configurations was investigated. These concepts involved blocking (or partially blocking) tailpipe flow to the rear (cruise) nozzle and diverting it through an opening to a ventral nozzle exit for vertical thrust. A set of variable angle vanes at the ventral nozzle exit were used to vary ventral nozzle thrust angle between 45 and 110 deg relative to the positive axial force direction. In the vertical flight mode the rear nozzle (or tailpipe flow to it) was completely blocked. In the transition flight mode flow in the tailpipe was split between the rear and ventral nozzles and the flow was vectored at both exits for aircraft control purposes through this flight regime. In the cruise flight mode the ventral nozzle was sealed and all flow exited through the rear nozzle

Gluinos condensing at the CCNI: 4096 CPUs weigh in

We report preliminary results of lattice super-Yang-Mills computations using domain wall fermions, performed at an actual rate of 1000 Gflop/s, over the course of six months, using two BlueGene/L racks at Rensselaer's CCNI supercomputing center. This has allowed us to compute the gluino condensate and string tension over a wide range of lattice parameters, setting the stage for continuum, chiral extrapolations.Comment: 9 pages, 3 figures, talk given at "Continuous Advances in QCD 2008," Fine Theoretical Physics Institute, University of Minnesota, Minneapolis, MN, May 15-18, 2008; v2: reference adde

State diagrams for harmonically trapped bosons in optical lattices

We use quantum Monte Carlo simulations to obtain zero-temperature state diagrams for strongly correlated lattice bosons in one and two dimensions under the influence of a harmonic confining potential. Since harmonic traps generate a coexistence of superfluid and Mott insulating domains, we use local quantities such as the quantum fluctuations of the density and a local compressibility to identify the phases present in the inhomogeneous density profiles. We emphasize the use of the "characteristic density" to produce a state diagram that is relevant to experimental optical lattice systems, regardless of the number of bosons or trap curvature and of the validity of the local-density approximation. We show that the critical value of U/t at which Mott insulating domains appear in the trap depends on the filling in the system, and it is in general greater than the value in the homogeneous system. Recent experimental results by Spielman et al. [Phys. Rev. Lett. 100, 120402 (2008)] are analyzed in the context of our two-dimensional state diagram, and shown to exhibit a value for the critical point in good agreement with simulations. We also study the effects of finite, but low (T<t/2), temperatures. We find that in two dimensions they have little influence on our zero-temperature results, while their effect is more pronounced in one dimension.Comment: 10 pages, 11 figures, published versio