Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific innovation covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.

Lightweight monitoring of label switched paths for bandwidth management

The purpose of resource management is the efficient and effective use of network resources, for instance bandwidth. In this article, a connection oriented network scenario is considered, where a certain amount of bandwidth is reserved for each label switch path (LSP), which is a logical path, in a MPLS or GMPLS environment. Assuming there is also some kind of admission control (explicit or implicit), these environments typically provide quality of service (QoS) guarantees. It could happen that some LSPs become busy, thus rejecting connections, while other LSPs may be under-utilised. We propose a distributed lightweight monitoring technique, based on threshold values, the objective of which is to detect congestion when it occurs in an LSP and activate the corresponding alarm which will trigger a dynamic bandwidth reallocation mechanism

Select-divide-and-conquer method for large-scale configuration interaction

A select-divide-and-conquer variational method to approximate configuration interaction (CI) is presented. Given an orthonormal set made up of occupied orbitals (Hartree-Fock or similar) and suitable correlation orbitals (natural or localized orbitals), a large N-electron target space S is split into subspaces S0,S1,S2,...,SR. S0, of dimension d0, contains all configurations K with attributes (energy contributions, etc.) above thresholds T0={T0egy, T0etc.}; the CI coefficients in S0 remain always free to vary. S1 accommodates KS with attributes above T1≤T0. An eigenproblem of dimension d0+d1 for S0+S 1 is solved first, after which the last d1 rows and columns are contracted into a single row and column, thus freezing the last d1 CI coefficients hereinafter. The process is repeated with successive Sj(j≥2) chosen so that corresponding CI matrices fit random access memory (RAM). Davidson's eigensolver is used R times. The final energy eigenvalue (lowest or excited one) is always above the corresponding exact eigenvalue in S. Threshold values {Tj;j=0, 1, 2,...,R} regulate accuracy; for large-dimensional S, high accuracy requires S 0+S1 to be solved outside RAM. From there on, however, usually a few Davidson iterations in RAM are needed for each step, so that Hamiltonian matrix-element evaluation becomes rate determining. One μhartree accuracy is achieved for an eigenproblem of order 24 × 106, involving 1.2 × 1012 nonzero matrix elements, and 8.4×109 Slater determinants

Avalanche-like vortex penetration driven by pulsed microwave fields in an epitaxial LaSrCuO thin film

Different vortex penetration regimes have been registered in the output voltage signal of a magnetometer when single microwave pulses are applied to an epitaxial overdoped La2− x Sr x CuO4 thin film in a perpendicular dc magnetic field. The onset of a significant variation in the sample magnetization which exists below threshold values of temperature, dc magnetic field, and pulse duration is interpreted as an avalanche-type flux penetration. The microwave contribution to the background electric field suggests that the nucleation of this fast vortex motion is of electric origin, which also guarantees the occurrence of vortex instabilities under adiabatic conditions via the enhancement of the flux flow resistivity. Flux creep phenomena and heat transfer effects act as stabilizing factors against the microwave-pulse-induced fast flux diffusion.

A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models

State-dependent threshold STAR models

In this paper we consider extensions of smooth transition autoregressive (STAR) models to situations where the threshold is a time-varying function of variables that affect the separation of regimes of the time series under consideration. Our specification is motivated by the observation that unusually high/low values for an economic variable may sometimes be best thought of in relative terms. State-dependent logistic STAR and contemporaneous-threshold STAR models are introduced and discussed. These models are also used to investigate the dynamics of U.S. short-term interest rates, where the threshold is allowed to be a function of past output growth and inflation.

Threshold Selection Criteria for Quantification of Lumbosacral Cerebrospinal Fluid and Root Volumes from MRI

BACKGROUND AND PURPOSE: The high variability of CSF volumes partly explains the inconsistency of anesthetic effects, but may also be due to image analysis itself. In this study, criteria for threshold selection are anatomically defined. METHODS: T2 MR images (n = 7 cases) were analyzed using 3-dimentional software. Maximal-minimal thresholds were selected in standardized blocks of 50 slices of the dural sac ending caudally at the L5-S1 intervertebral space (caudal blocks) and middle L3 (rostral blocks). Maximal CSF thresholds: threshold value was increased until at least one voxel in a CSF area appeared unlabeled and decreased until that voxel was labeled again: this final threshold was selected. Minimal root thresholds: thresholds values that selected cauda equina root area but not adjacent gray voxels in the CSF-root interface were chosen. RESULTS: Significant differences were found between caudal and rostral thresholds. No significant differences were found between expert and nonexpert observers. Average max/min thresholds were around 1.30 but max/min CSF volumes were around 1.15. Great interindividual CSF volume variability was detected (max/min volumes 1.6-2.7). CONCLUSIONS: The estimation of a close range of CSF volumes which probably contains the real CSF volume value can be standardized and calculated prior to certain intrathecal procedures