7 resultados para time-varying risk and returns
em Greenwich Academic Literature Archive - UK
Resumo:
This paper provides mutual information performance analysis of multiple-symbol differential WSK (M-phase shift keying) over time-correlated, time-varying flat-fading communication channels. A state space approach is used to model time correlation of time varying channel phase. This approach captures the dynamics of time correlated, time-varying channels and enables exploitation of the forward-backward algorithm for mutual information performance analysis. It is shown that the differential decoding implicitly uses a sequence of innovations of the channel process time correlation and this sequence is essentially uncorrelated. It enables utilization of multiple-symbol differential detection, as a form of block-by-block maximum likelihood sequence detection for capacity achieving mutual information performance. It is shown that multiple-symbol differential ML detection of BPSK and QPSK practically achieves the channel information capacity with observation times only on the order of a few symbol intervals
Resumo:
Time-series analysis and prediction play an important role in state-based systems that involve dealing with varying situations in terms of states of the world evolving with time. Generally speaking, the world in the discourse persists in a given state until something occurs to it into another state. This paper introduces a framework for prediction and analysis based on time-series of states. It takes a time theory that addresses both points and intervals as primitive time elements as the temporal basis. A state of the world under consideration is defined as a set of time-varying propositions with Boolean truth-values that are dependent on time, including properties, facts, actions, events and processes, etc. A time-series of states is then formalized as a list of states that are temporally ordered one after another. The framework supports explicit expression of both absolute and relative temporal knowledge. A formal schema for expressing general time-series of states to be incomplete in various ways, while the concept of complete time-series of states is also formally defined. As applications of the formalism in time-series analysis and prediction, we present two illustrating examples.
Resumo:
A communication system model for mutual information performance analysis of multiple-symbol differential M-phase shift keying over time-correlated, time-varying flat-fading communication channels is developed. This model is a finite-state Markov (FSM) equivalent channel representing the cascade of the differential encoder, FSM channel model and differential decoder. A state-space approach is used to model channel phase time correlations. The equivalent model falls in a class that facilitates the use of the forward backward algorithm, enabling the important information theoretic results to be evaluated. Using such a model, one is able to calculate mutual information for differential detection over time-varying fading channels with an essentially finite time set of correlations, including the Clarke fading channel. Using the equivalent channel, it is proved and corroborated by simulations that multiple-symbol differential detection preserves the channel information capacity when the observation interval approaches infinity.
Resumo:
We study information rates of time-varying flat-fading channels (FFC) modeled as finite-state Markov channels (FSMC). FSMCs have two main applications for FFCs: modeling channel error bursts and decoding at the receiver. Our main finding in the first application is that receiver observation noise can more adversely affect higher-order FSMCs than lower-order FSMCs, resulting in lower capacities. This is despite the fact that the underlying higher-order FFC and its corresponding FSMC are more predictable. Numerical analysis shows that at low to medium SNR conditions (SNR lsim 12 dB) and at medium to fast normalized fading rates (0.01 lsim fDT lsim 0.10), FSMC information rates are non-increasing functions of memory order. We conclude that BERs obtained by low-order FSMC modeling can provide optimistic results. To explain the capacity behavior, we present a methodology that enables analytical comparison of FSMC capacities with different memory orders. We establish sufficient conditions that predict higher/lower capacity of a reduced-order FSMC, compared to its original high-order FSMC counterpart. Finally, we investigate the achievable information rates in FSMC-based receivers for FFCs. We observe that high-order FSMC modeling at the receiver side results in a negligible information rate increase for normalized fading rates fDT lsim 0.01.
Resumo:
A natural approach to representing and reasoning about temporal propositions (i.e., statements with time-dependent truth-values) is to associate them with time elements. In the literature, there are three choices regarding the primitive for the ontology of time: (1) instantaneous points, (2) durative intervals and (3) both points and intervals. Problems may arise when one conflates different views of temporal structure and questions whether some certain types of temporal propositions can be validly and meaningfully associated with different time elements. In this paper, we shall summarize an ontological glossary with respect to time elements, and diversify a wider range of meta-predicates for ascribing temporal propositions to time elements. Based on these, we shall also devise a versatile categorization of temporal propositions, which can subsume those representative categories proposed in the literature, including that of Vendler, of McDermott, of Allen, of Shoham, of Galton and of Terenziani and Torasso. It is demonstrated that the new categorization of propositions, together with the proposed range of meta-predicates, provides the expressive power for modeling some typical temporal terms/phenomena, such as starting-instant, stopping-instant, dividing-instant, instigation, termination and intermingling etc.
Resumo:
A finite volume computer model of the continuous casting process for steel flat products has been developed. In this first stage, the model concentrates on the hydrodynamic aspects of the process and in particular the dynamic behavior of the metal/slag interface. The model was validated against experimental measurements obtained in a water model apparatus.
Resumo:
This paper presents a new formalism for reasoning about change over time. The formalism derives a clean separation between the notion of states and situations. It allows more flexible temporal causal relationships than do other formalisms for reasoning about causal change, such as the situation calculus and the event calculus. It includes effects that start during, immediately after, or some time after their causes, and which end before, simultaneously with, or after their causes. A formal distinction between actions, action-types and events is proposed, which allows the expression of common-sense causal laws at high level. It is shown how these laws can be used to deduce state change over time at low level, when events occur under certain preconditions hold. Two problems that beset most interval-based temporal systems, i.e., the so-called dividing instant problem and intermingling problem, are absent from the formalism.