Modeling and Analysis of Some Heavy Tailed Time Series

The thesis has covered various aspects of modeling and analysis of finite mean time series with symmetric stable distributed innovations. Time series analysis based on Box and Jenkins methods are the most popular approaches where the models are linear and errors are Gaussian. We highlighted the limitations of classical time series analysis tools and explored some generalized tools and organized the approach parallel to the classical set up. In the present thesis we mainly studied the estimation and prediction of signal plus noise model. Here we assumed the signal and noise follow some models with symmetric stable innovations.We start the thesis with some motivating examples and application areas of alpha stable time series models. Classical time series analysis and corresponding theories based on finite variance models are extensively discussed in second chapter. We also surveyed the existing theories and methods correspond to infinite variance models in the same chapter. We present a linear filtering method for computing the filter weights assigned to the observation for estimating unobserved signal under general noisy environment in third chapter. Here we consider both the signal and the noise as stationary processes with infinite variance innovations. We derived semi infinite, double infinite and asymmetric signal extraction filters based on minimum dispersion criteria. Finite length filters based on Kalman-Levy filters are developed and identified the pattern of the filter weights. Simulation studies show that the proposed methods are competent enough in signal extraction for processes with infinite variance.Parameter estimation of autoregressive signals observed in a symmetric stable noise environment is discussed in fourth chapter. Here we used higher order Yule-Walker type estimation using auto-covariation function and exemplify the methods by simulation and application to Sea surface temperature data. We increased the number of Yule-Walker equations and proposed a ordinary least square estimate to the autoregressive parameters. Singularity problem of the auto-covariation matrix is addressed and derived a modified version of the Generalized Yule-Walker method using singular value decomposition.In fifth chapter of the thesis we introduced partial covariation function as a tool for stable time series analysis where covariance or partial covariance is ill defined. Asymptotic results of the partial auto-covariation is studied and its application in model identification of stable auto-regressive models are discussed. We generalize the Durbin-Levinson algorithm to include infinite variance models in terms of partial auto-covariation function and introduce a new information criteria for consistent order estimation of stable autoregressive model.In chapter six we explore the application of the techniques discussed in the previous chapter in signal processing. Frequency estimation of sinusoidal signal observed in symmetric stable noisy environment is discussed in this context. Here we introduced a parametric spectrum analysis and frequency estimate using power transfer function. Estimate of the power transfer function is obtained using the modified generalized Yule-Walker approach. Another important problem in statistical signal processing is to identify the number of sinusoidal components in an observed signal. We used a modified version of the proposed information criteria for this purpose.

Properties of Equilibrium Distributions of Order n

The present work is intended to discuss various properties and reliability aspects of higher order equilibrium distributions in continuous, discrete and multivariate cases, which contribute to the study on equilibrium distributions. At first, we have to study and consolidate the existing literature on equilibrium distributions. For this we need some basic concepts in reliability. These are being discussed in the 2nd chapter, In Chapter 3, some identities connecting the failure rate functions and moments of residual life of the univariate, non-negative continuous equilibrium distributions of higher order and that of the baseline distribution are derived. These identities are then used to characterize the generalized Pareto model, mixture of exponentials and gamma distribution. An approach using the characteristic functions is also discussed with illustrations. Moreover, characterizations of ageing classes using stochastic orders has been discussed. Part of the results of this chapter has been reported in Nair and Preeth (2009). Various properties of equilibrium distributions of non-negative discrete univariate random variables are discussed in Chapter 4. Then some characterizations of the geo- metric, Waring and negative hyper-geometric distributions are presented. Moreover, the ageing properties of the original distribution and nth order equilibrium distribu- tions are compared. Part of the results of this chapter have been reported in Nair, Sankaran and Preeth (2012). Chapter 5 is a continuation of Chapter 4. Here, several conditions, in terms of stochastic orders connecting the baseline and its equilibrium distributions are derived. These conditions can be used to rede_ne certain ageing notions. Then equilibrium distributions of two random variables are compared in terms of various stochastic orders that have implications in reliability applications. In Chapter 6, we make two approaches to de_ne multivariate equilibrium distribu- tions of order n. Then various properties including characterizations of higher order equilibrium distributions are presented. Part of the results of this chapter have been reported in Nair and Preeth (2008). The Thesis is concluded in Chapter 7. A discussion on further studies on equilib- rium distributions is also made in this chapter.

Analytical Study of Light Propagation in Highly Nonlinear Media

The present dissertation is devoted to the construction of exact and approximate analytical solutions of the problem of light propagation in highly nonlinear media. It is demonstrated that for many experimental conditions, the problem can be studied under the geometrical optics approximation with a sufficient accuracy. Based on the renormalization group symmetry analysis, exact analytical solutions of the eikonal equations with a higher order refractive index are constructed. A new analytical approach to the construction of approximate solutions is suggested. Based on it, approximate solutions for various boundary conditions, nonlinear refractive indices and dimensions are constructed. Exact analytical expressions for the nonlinear self-focusing positions are deduced. On the basis of the obtained solutions a general rule for the single filament intensity is derived; it is demonstrated that the scaling law (the functional dependence of the self-focusing position on the peak beam intensity) is defined by a form of the nonlinear refractive index but not the beam shape at the boundary. Comparisons of the obtained solutions with results of experiments and numerical simulations are discussed.

Rossby number expansions, slaving principles, and balance dynamics

We consider the problem of constructing balance dynamics for rapidly rotating fluid systems. It is argued that the conventional Rossby number expansion—namely expanding all variables in a series in Rossby number—is secular for all but the simplest flows. In particular, the higher-order terms in the expansion grow exponentially on average, and for moderate values of the Rossby number the expansion is, at best, useful only for times of the order of the doubling times of the instabilities of the underlying quasi-geostrophic dynamics. Similar arguments apply in a wide class of problems involving a small parameter and sufficiently complex zeroth-order dynamics. A modified procedure is proposed which involves expanding only the fast modes of the system; this is equivalent to an asymptotic approximation of the slaving relation that relates the fast modes to the slow modes. The procedure is systematic and thus capable, at least in principle, of being carried to any order—unlike procedures based on truncations. We apply the procedure to construct higher-order balance approximations of the shallow-water equations. At the lowest order quasi-geostrophy emerges. At the next order the system incorporates gradient-wind balance, although the balance relations themselves involve only linear inversions and hence are easily applied. There is a large class of reduced systems associated with various choices for the slow variables, but the simplest ones appear to be those based on potential vorticity.

Balance model for equatorial long waves

Geophysical fluid models often support both fast and slow motions. As the dynamics are often dominated by the slow motions, it is desirable to filter out the fast motions by constructing balance models. An example is the quasi geostrophic (QG) model, which is used widely in meteorology and oceanography for theoretical studies, in addition to practical applications such as model initialization and data assimilation. Although the QG model works quite well in the mid-latitudes, its usefulness diminishes as one approaches the equator. Thus far, attempts to derive similar balance models for the tropics have not been entirely successful as the models generally filter out Kelvin waves, which contribute significantly to tropical low-frequency variability. There is much theoretical interest in the dynamics of planetary-scale Kelvin waves, especially for atmospheric and oceanic data assimilation where observations are generally only of the mass field and thus do not constrain the wind field without some kind of diagnostic balance relation. As a result, estimates of Kelvin wave amplitudes can be poor. Our goal is to find a balance model that includes Kelvin waves for planetary-scale motions. Using asymptotic methods, we derive a balance model for the weakly nonlinear equatorial shallow-water equations. Specifically we adopt the ‘slaving’ method proposed by Warn et al. (Q. J. R. Meteorol. Soc., vol. 121, 1995, pp. 723–739), which avoids secular terms in the expansion and thus can in principle be carried out to any order. Different from previous approaches, our expansion is based on a long-wave scaling and the slow dynamics is described using the height field instead of potential vorticity. The leading-order model is equivalent to the truncated long-wave model considered previously (e.g. Heckley & Gill, Q. J. R. Meteorol. Soc., vol. 110, 1984, pp. 203–217), which retains Kelvin waves in addition to equatorial Rossby waves. Our method allows for the derivation of higher-order models which significantly improve the representation of Rossby waves in the isotropic limit. In addition, the ‘slaving’ method is applicable even when the weakly nonlinear assumption is relaxed, and the resulting nonlinear model encompasses the weakly nonlinear model. We also demonstrate that the method can be applied to more realistic stratified models, such as the Boussinesq model.

A continuum anisotropic model of sea-ice dynamics

We develop the essential ingredients of a new, continuum and anisotropic model of sea-ice dynamics designed for eventual use in climate simulation. These ingredients are a constitutive law for sea-ice stress, relating stress to the material properties of sea ice and to internal variables describing the sea-ice state, and equations describing the evolution of these variables. The sea-ice cover is treated as a densely flawed two-dimensional continuum consisting of a uniform field of thick ice that is uniformly permeated with narrow linear regions of thinner ice called leads. Lead orientation, thickness and width distributions are described by second-rank tensor internal variables: the structure, thickness and width tensors, whose dynamics are governed by corresponding evolution equations accounting for processes such as new lead generation and rotation as the ice cover deforms. These evolution equations contain contractions of higher-order tensor expressions that require closures. We develop a sea-ice stress constitutive law that relates sea-ice stress to the structure tensor, thickness tensor and strain rate. For the special case of empty leads (containing no ice), linear closures are adopted and we present calculations for simple shear, convergence and divergence.

Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?

Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimality. First, we provide a new result on the basic rule-of-thumb regression, showing that it is observational equivalent to the one obtained in a well known optimizing real-business-cycle model. Second, for rule-of-thumb tests based on the Asset-Pricing Equation, we show that the omission of the higher-order term in the log-linear approximation yields inconsistent estimates when lagged observables are used as instruments. However, these are exactly the instruments that have been traditionally used in this literature. Third, we show that nonlinear estimation of a system of N Asset-Pricing Equations can be done efficiently even if the number of asset returns (N) is high vis-a-vis the number of time-series observations (T). We argue that efficiency can be restored by aggregating returns into a single measure that fully captures intertemporal substitution. Indeed, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Pricing Equation, since the latter is a linear function of individual returns. This forms the basis of a new test of rule-of-thumb behavior, which can be viewed as testing for the importance of rule-of-thumb consumers when the optimizing agent holds an equally-weighted portfolio or a weighted portfolio of traded assets. Using our setup, we find no signs of either rule-of-thumb behavior for U.S. consumers or of habit-formation in consumption decisions in econometric tests. Indeed, we show that the simple representative agent model with a CRRA utility is able to explain the time series data on consumption and aggregate returns. There, the intertemporal discount factor is significant and ranges from 0.956 to 0.969 while the relative risk-aversion coefficient is precisely estimated ranging from 0.829 to 1.126. There is no evidence of rejection in over-identifying-restriction tests.

A combination of implicit and adaptative upwind tools for the numerical solution of incompressible free surface flows

This paper is concerned with the numerical solutions of time dependent two-dimensional incompressible flows. By using the primitive variables of velocity and pressure, the Navier-Stokes and mass conservation equations are solved by a semi-implicit finite difference projection method. A new bounded higher order upwind convection scheme is employed to deal with the non-linear (advective) terms. The procedure is an adaptation of the GENSMAC (J. Comput. Phys. 1994; 110: 171-186) methodology for calculating confined and free surface fluid flows at both low and high Reynolds numbers. The calculations were performed by using the 2D version of the Freeflow simulation system (J. Comp. Visual. Science 2000; 2:199-210). In order to demonstrate the capabilities of the numerical method, various test cases are presented. These are the fully developed flow in a channel, the flow over a backward facing step, the die-swell problem, the broken dam flow, and an impinging jet onto a flat plate. The numerical results compare favourably with the experimental data and the analytical solutions. Copyright (c) 2006 John Wiley & Sons, Ltd.

Charges and fluxes in Maxwell theory on compact manifolds with boundary

We investigate the charges and fluxes that can occur in higher-order Abelian gauge theories defined on compact space-time manifolds with boundary. The boundary is necessary to supply a destination to the electric lines of force emanating from brane sources, thus allowing non-zero net electric charges, but it also introduces new types of electric and magnetic flux. The resulting structure of currents, charges, and fluxes is studied and expressed in the language of relative homology and de Rham cohomology and the corresponding abelian groups. These can be organised in terms of a pair of exact sequences related by the Poincare-Lefschetz isomorphism and by a weaker flip symmetry exchanging the ends of the sequences. It is shown how all this structure is brought into play by the imposition of the appropriately generalised Maxwell's equations. The requirement that these equations be integrable restricts the world-volume of a permitted brane (assumed closed) to be homologous to a cycle on the boundary of space-time. All electric charges and magnetic fluxes are quantised and satisfy the Dirac quantisation condition. But through some boundary cycles there may be unquantised electric fluxes associated with quantised magnetic fluxes and so dyonic in nature.

Mathematical models of generalized diffusion

We discuss in this paper equations describing processes involving non-linear and higher-order diffusion. We focus on a particular case (u(t) = 2 lambda (2)(uu(x))(x) + lambda (2)u(xxxx)), which is put into analogy with the KdV equation. A balance of nonlinearity and higher-order diffusion enables the existence of self-similar solutions, describing diffusive shocks. These shocks are continuous solutions with a discontinuous higher-order derivative at the shock front. We argue that they play a role analogous to the soliton solutions in the dispersive case. We also discuss several physical instances where such equations are relevant.

Second order gauge theory

A gauge theory of second order in the derivatives of the auxiliary field is constructed following Utiyama's program. A novel field strength G = partial derivative F + fAF arises besides the one of the first order treatment, F = partial derivative A - partial derivative A + fAA. The associated conserved current is obtained. It has a new feature: topological terms are determined from local invariance requirements. Podolsky Generalized Eletrodynamics is derived as a particular case in which the Lagrangian of the gauge field is L-P alpha G(2). In this application the photon mass is estimated. The SU(N) infrared regime is analysed by means of Alekseev-Arbuzov-Baikov's Lagrangian. (c) 2006 Elsevier B.V. All rights reserved.

Cosmic acceleration from second order gauge gravity

We construct a phenomenological theory of gravitation based on a second order gauge formulation for the Lorentz group. The model presents a long-range modification for the gravitational field leading to a cosmological model provided with an accelerated expansion at recent times. We estimate the model parameters using observational data and verify that our estimative for the age of the Universe is of the same magnitude than the one predicted by the standard model. The transition from the decelerated expansion regime to the accelerated one occurs recently (at similar to 9.3 Gyr).

HIGHER-DERIVATIVE SCHWINGER MODEL

Using the operator formalism, we obtain the bosonic representation for the free fermion field satisfying an equation of motion with higher-order derivatives. Then, we consider the operator solution of a generalized Schwinger model with higher-derivative coupling. Since the increasing of the derivative order implies the introduction of an equivalent number of extra fermionic degrees of freedom, the mass acquired by the gauge field is bigger than the one for the standard two-dimensional QED. An analysis of the problem from the functional integration point of view corroborates the findings of canonical quantization, and corrects certain results previously announced in the literature on the basis of Fujikawa's technique.

THE REDUCTIVE PERTURBATION METHOD AND THE KORTEWEG-DE VRIES HIERARCHY

By using the reductive perturbation method of Taniuti with the introduction of an infinite sequence of slow time variables tau(1), tau(3), tau(5), ..., we study the propagation of long surface-waves in a shallow inviscid fluid. The Korteweg-de Vries (KdV) equation appears as the lowest order amplitude equation in slow variables. In this context, we show that, if the lowest order wave amplitude zeta(0) satisfies the KdV equation in the time tau(3), it must satisfy the (2n+1)th order equation of the KdV hierarchy in the time tau(2n+1), With n = 2, 3, 4,.... AS a consequence of this fact, we show with an explicit example that the secularities of the evolution equations for the higher-order terms (zeta(1), zeta(2),...) of the amplitude can be eliminated when zeta(0) is a solitonic solution to the KdV equation. By reversing this argument, we can say that the requirement of a secular-free perturbation theory implies that the amplitude zeta(0) satisfies the (2n+1)th order equation of the KdV hierarchy in the time tau(2n+1) This essentially means that the equations of the KdV hierarchy do play a role in perturbation theory. Thereafter, by considering a solitary-wave solution, we show, again with an explicit, example that the elimination of secularities through the use of the higher order KdV hierarchy equations corresponds, in the laboratory coordinates, to a renormalization of the solitary-wave velocity. Then, we conclude that this procedure of eliminating secularities is closely related to the renormalization technique developed by Kodama and Taniuti.

Array of Bose-Einstein condensates under time-periodic Feshbach-resonance management

The investigation of the dynamics of a discrete soliton in an array of Bose-Einstein condensates under the action of a periodically time-modulated atomic scattering length [Feshbach-resonance management (FRM)] was discussed. The slow and rapid modulations, in comparison with the tunneling frequency were considered. An averaged equation, which was a generalized discrete nonlinear Schrödinger equation, including higher-order effective nonlinearities and intersite nonlinear interactions was derived in the case of the rapid modulation. It was demonstrated that the modulations of sufficient strength results in splitting of the soliton by direct simulations.