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.

Inclusive probability calculations for the K-vacancy transfer in collisions of S{^15+} on Ar

Using the single-particle amplitudes from a 20-level coupled-channel calculation with ab initio relativistic self consistent LCAO-MO Dirac-Fock-Slater energy eigenvalues and matrix elements we calculate within the frame of the inclusive probability formalism impact-parameter-dependent K-hole transfer probabilities. As an example we show results for the heavy asymmetric collision system S{^15+} on Ar for impact energies from 4.7 to 16 MeV. The inclusive probability formalism which reinstates the many-particle aspect of the collision system permits a qualitative and quantitative agreement with the experiment which is not achieved by the single-particle picture.

Compositional evolution with mass transfer in closed systems

Evolution of compositions in time, space, temperature or other covariates is frequent in practice. For instance, the radioactive decomposition of a sample changes its composition with time. Some of the involved isotopes decompose into other isotopes of the sample, thus producing a transfer of mass from some components to other ones, but preserving the total mass present in the system. This evolution is traditionally modelled as a system of ordinary di erential equations of the mass of each component. However, this kind of evolution can be decomposed into a compositional change, expressed in terms of simplicial derivatives, and a mass evolution (constant in this example). A rst result is that the simplicial system of di erential equations is non-linear, despite of some subcompositions behaving linearly. The goal is to study the characteristics of such simplicial systems of di erential equa- tions such as linearity and stability. This is performed extracting the compositional dif ferential equations from the mass equations. Then, simplicial derivatives are expressed in coordinates of the simplex, thus reducing the problem to the standard theory of systems of di erential equations, including stability. The characterisation of stability of these non-linear systems relays on the linearisation of the system of di erential equations at the stationary point, if any. The eigenvelues of the linearised matrix and the associated behaviour of the orbits are the main tools. For a three component system, these orbits can be plotted both in coordinates of the simplex or in a ternary diagram. A characterisation of processes with transfer of mass in closed systems in terms of stability is thus concluded. Two examples are presented for illustration, one of them is a radioactive decay

Electronic couplings and on-site energies for hole transfer in DNA: systematic quantum mechanical/molecular dynamic study

The electron hole transfer (HT) properties of DNA are substantially affected by thermal fluctuations of the π stack structure. Depending on the mutual position of neighboring nucleobases, electronic coupling V may change by several orders of magnitude. In the present paper, we report the results of systematic QM/molecular dynamic (MD) calculations of the electronic couplings and on-site energies for the hole transfer. Based on 15 ns MD trajectories for several DNA oligomers, we calculate the average coupling squares 〈 V2 〉 and the energies of basepair triplets X G+ Y and X A+ Y, where X, Y=G, A, T, and C. For each of the 32 systems, 15 000 conformations separated by 1 ps are considered. The three-state generalized Mulliken-Hush method is used to derive electronic couplings for HT between neighboring basepairs. The adiabatic energies and dipole moment matrix elements are computed within the INDO/S method. We compare the rms values of V with the couplings estimated for the idealized B -DNA structure and show that in several important cases the couplings calculated for the idealized B -DNA structure are considerably underestimated. The rms values for intrastrand couplings G-G, A-A, G-A, and A-G are found to be similar, ∼0.07 eV, while the interstrand couplings are quite different. The energies of hole states G+ and A+ in the stack depend on the nature of the neighboring pairs. The X G+ Y are by 0.5 eV more stable than X A+ Y. The thermal fluctuations of the DNA structure facilitate the HT process from guanine to adenine. The tabulated couplings and on-site energies can be used as reference parameters in theoretical and computational studies of HT processes in DNA

Estimates of electronic coupling for excess electron transfer in DNA

Electronic coupling Vda is one of the key parameters that determine the rate of charge transfer through DNA. While there have been several computational studies of Vda for hole transfer, estimates of electronic couplings for excess electron transfer (ET) in DNA remain unavailable. In the paper, an efficient strategy is established for calculating the ET matrix elements between base pairs in a π stack. Two approaches are considered. First, we employ the diabatic-state (DS) method in which donor and acceptor are represented with radical anions of the canonical base pairs adenine-thymine (AT) and guanine-cytosine (GC). In this approach, similar values of Vda are obtained with the standard 6-31 G* and extended 6-31++ G* basis sets. Second, the electronic couplings are derived from lowest unoccupied molecular orbitals (LUMOs) of neutral systems by using the generalized Mulliken-Hush or fragment charge methods. Because the radical-anion states of AT and GC are well reproduced by LUMOs of the neutral base pairs calculated without diffuse functions, the estimated values of Vda are in good agreement with the couplings obtained for radical-anion states using the DS method. However, when the calculation of a neutral stack is carried out with diffuse functions, LUMOs of the system exhibit the dipole-bound character and cannot be used for estimating electronic couplings. Our calculations suggest that the ET matrix elements Vda for models containing intrastrand thymine and cytosine bases are essentially larger than the couplings in complexes with interstrand pyrimidine bases. The matrix elements for excess electron transfer are found to be considerably smaller than the corresponding values for hole transfer and to be very responsive to structural changes in a DNA stack

Charge transfer in DNA: hole charge is confined to a single base pair due to solvation effects

We include solvation effects in tight-binding Hamiltonians for hole states in DNA. The corresponding linear-response parameters are derived from accurate estimates of solvation energy calculated for several hole charge distributions in DNA stacks. Two models are considered: (A) the correction to a diagonal Hamiltonian matrix element depends only on the charge localized on the corresponding site and (B) in addition to this term, the reaction field due to adjacent base pairs is accounted for. We show that both schemes give very similar results. The effects of the polar medium on the hole distribution in DNA are studied. We conclude that the effects of polar surroundings essentially suppress charge delocalization in DNA, and hole states in (GC)n sequences are localized on individual guanines

Fine sediment delivery and transfer in lowland catchments: modelling suspended sediment concentrations in response to hydrological forcing

Fine sediment delivery to and storage in stream channel reaches can disrupt aquatic habitats, impact river hydromorphology, and transfer adsorbed nutrients and pollutants from catchment slopes to the fluvial system. This paper presents a modelling toot for simulating the time-dependent response of the fine sediment system in catchments, using an integrated approach that incorporates both land phase and in-stream processes of sediment generation, storage and transfer. The performance of the model is demonstrated by applying it to simulate in-stream suspended sediment concentrations in two lowland catchments in southern England, the Enborne and the Lambourn, which exhibit contrasting hydrological and sediment responses due to differences in substrate permeability. The sediment model performs well in the Enborne catchment, where direct runoff events are frequent and peak suspended sediment concentrations can exceed 600 mg l(-1). The general trends in the in-stream concentrations in the Lambourn catchment are also reproduced by the model, although the observed concentrations are low (rarely exceeding 50 mg l(-1)) and the background variability in the concentrations is not fully characterized by the model. Direct runoff events are rare in this highly permeable catchment, resulting in a weak coupling between the sediment delivery system and the catchment hydrology. The generic performance of the model is also assessed using a generalized sensitivity analysis based on the parameter bounds identified in the catchment applications. Results indicate that the hydrological parameters contributing to the sediment response include those controlling (1) the partitioning of runoff between surface and soil zone flows and (2) the fractional loss of direct runoff volume prior to channel delivery. The principal sediment processes controlling model behaviour in the simulations are the transport capacity of direct runoff and the in-stream generation, storage and release of the fine sediment fraction. The in-stream processes appear to be important in maintaining the suspended sediment concentrations during low flows in the River Enborne and throughout much of the year in the River Lambourn. Copyright (c) 2007 John Wiley & Sons, Ltd.

A simple column model to explore anticipated problems in variational assimilation of satellite observations

We investigate a simplified form of variational data assimilation in a fully nonlinear framework with the aim of extracting dynamical development information from a sequence of observations over time. Information on the vertical wind profile, w(z ), and profiles of temperature, T (z , t), and total water content, qt (z , t), as functions of height, z , and time, t, are converted to brightness temperatures at a single horizontal location by defining a two-dimensional (vertical and time) variational assimilation testbed. The profiles of T and qt are updated using a vertical advection scheme. A basic cloud scheme is used to obtain the fractional cloud amount and, when combined with the temperature field, this information is converted into a brightness temperature, using a simple radiative transfer scheme. It is shown that our model exhibits realistic behaviour with regard to the prediction of cloud, but the effects of nonlinearity become non-negligible in the variational data assimilation algorithm. A careful analysis of the application of the data assimilation scheme to this nonlinear problem is presented, the salient difficulties are highlighted, and suggestions for further developments are discussed.

Colloidal gas aphrons (CGA): dispersion and structural features

Colloidal gas aphrons (CGA) have previously been defined as surfactant stabilized gas microbubbles and characterized for a number of surfactants in terms of stability, gas holdup and bubble size even though there is no conclusive evidence of their structure (that is, orientation of surfactant molecules at the gas–liquid interface, thickness of gas–liquid interface, and/or number of surfactant layers). Knowledge of the structure would enable us to use these dispersions more efficiently for their diverse applications (such as for removal of dyes, recovery of proteins, and enhancement of mass transfer in bioreactors). This study investigates dispersion and structural features of CGA utilizing a range of novel predictive (for prediction of aphron size and drainage rate) and experimental (electron microscopy and X-ray diffraction) methods. Results indicate structural differences between foams and CGA, which may have been caused by a multilayer structure of the latter as suggested by the electron and X-ray diffraction analysis.

Dispersion of a point-source release of a passive scalar through an urban-like array for different wind directions

The dispersion of a point-source release of a passive scalar in a regular array of cubical, urban-like, obstacles is investigated by means of direct numerical simulations. The simulations are conducted under conditions of neutral stability and fully rough turbulent flow, at a roughness Reynolds number of Reτ = 500. The Navier–Stokes and scalar equations are integrated assuming a constant rate release from a point source close to the ground within the array. We focus on short-range dispersion, when most of the material is still within the building canopy. Mean and fluctuating concentrations are computed for three different pressure gradient directions (0◦ , 30◦ , 45◦). The results agree well with available experimental data measured in a water channel for a flow angle of 0◦ . Profiles of mean concentration and the three-dimensional structure of the dispersion pattern are compared for the different forcing angles. A number of processes affecting the plume structure are identified and discussed, including: (i) advection or channelling of scalar down ‘streets’, (ii) lateral dispersion by turbulent fluctuations and topological dispersion induced by dividing streamlines around buildings, (iii) skewing of the plume due to flow turning with height, (iv) detrainment by turbulent dispersion or mean recirculation, (v) entrainment and release of scalar in building wakes, giving rise to ‘secondary sources’, (vi) plume meandering due to unsteady turbulent fluctuations. Finally, results on relative concentration fluctuations are presented and compared with the literature for point source dispersion over flat terrain and urban arrays. Keywords Direct numerical simulation · Dispersion modelling · Urban array

Regularization of Descriptor Systems by Derivative and Proportional State Feedback

For linear multivariable time-invariant continuous or discrete-time singular systems it is customary to use a proportional feedback control in order to achieve a desired closed loop behaviour. Derivative feedback is rarely considered. This paper examines how derivative feedback in descriptor systems can be used to alter the structure of the system pencil under various controllability conditions. It is shown that derivative and proportional feedback controls can be constructed such that the closed loop system has a given form and is also regular and has index at most 1. This property ensures the solvability of the resulting system of dynamic-algebraic equations. The construction procedures used to establish the theory are based only on orthogonal matrix decompositions and can therefore be implemented in a numerically stable way. The problem of pole placement with derivative feedback alone and in combination with proportional state feedback is also investigated. A computational algorithm for improving the “conditioning” of the regularized closed loop system is derived.

Fractional order modeling of large three-dimensional RC networks

An incidence matrix analysis is used to model a three-dimensional network consisting of resistive and capacitive elements distributed across several interconnected layers. A systematic methodology for deriving a descriptor representation of the network with random allocation of the resistors and capacitors is proposed. Using a transformation of the descriptor representation into standard state-space form, amplitude and phase admittance responses of three-dimensional random RC networks are obtained. Such networks display an emergent behavior with a characteristic Jonscher-like response over a wide range of frequencies. A model approximation study of these networks is performed to infer the admittance response using integral and fractional order models. It was found that a fractional order model with only seven parameters can accurately describe the responses of networks composed of more than 70 nodes and 200 branches with 100 resistors and 100 capacitors. The proposed analysis can be used to model charge migration in amorphous materials, which may be associated to specific macroscopic or microscopic scale fractal geometrical structures in composites displaying a viscoelastic electromechanical response, as well as to model the collective responses of processes governed by random events described using statistical mechanics.

A closer look at chaotic advection in the stratosphere: part II: statistical diagnostics

Statistical diagnostics of mixing and transport are computed for a numerical model of forced shallow-water flow on the sphere and a middle-atmosphere general circulation model. In particular, particle dispersion statistics, transport fluxes, Liapunov exponents (probability density functions and ensemble averages), and tracer concentration statistics are considered. It is shown that the behavior of the diagnostics is in accord with that of kinematic chaotic advection models so long as stochasticity is sufficiently weak. Comparisons with random-strain theory are made.

RuII(α-diimine) or RuIII(α-diimine·–)? Structural, spectroscopic, and theoretical evidence for the stabilization of a prominent metal-to-Ligand charge- transfer excited-state configuration in the ground state

The new compounds [Ru(R-DAB)(acac)2] (R-DAB = 1,4-diorganyl- 1,4-diazabuta-1,3-diene; R = tert-butyl, 4-methoxyphenyl, 2,6-dimethylphenyl; acac– = 2,4-pentanedionate) exhibit intrachelate ring bond lengths 1.297derivative, measured at low temperature. The results are discussed with respect to metal-to-ligand chargetransfer (MLCT) excited states of conventional (α-diimine)- ruthenium(II) complexes and in view of other (α-diimine)- metal complexes with ambiguous oxidation-state assignments.

Processes controlling atmospheric dispersion through city centres

We develop a process-based model for the dispersion of a passive scalar in the turbulent flow around the buildings of a city centre. The street network model is based on dividing the airspace of the streets and intersections into boxes, within which the turbulence renders the air well mixed. Mean flow advection through the network of street and intersection boxes then mediates further lateral dispersion. At the same time turbulent mixing in the vertical detrains scalar from the streets and intersections into the turbulent boundary layer above the buildings. When the geometry is regular, the street network model has an analytical solution that describes the variation in concentration in a near-field downwind of a single source, where the majority of scalar lies below roof level. The power of the analytical solution is that it demonstrates how the concentration is determined by only three parameters. The plume direction parameter describes the branching of scalar at the street intersections and hence determines the direction of the plume centreline, which may be very different from the above-roof wind direction. The transmission parameter determines the distance travelled before the majority of scalar is detrained into the atmospheric boundary layer above roof level and conventional atmospheric turbulence takes over as the dominant mixing process. Finally, a normalised source strength multiplies this pattern of concentration. This analytical solution converges to a Gaussian plume after a large number of intersections have been traversed, providing theoretical justification for previous studies that have developed empirical fits to Gaussian plume models. The analytical solution is shown to compare well with very high-resolution simulations and with wind tunnel experiments, although re-entrainment of scalar previously detrained into the boundary layer above roofs, which is not accounted for in the analytical solution, is shown to become an important process further downwind from the source.