Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.

An information theoretic framework for image segmentation

In this paper, an information theoretic framework for image segmentation is presented. This approach is based on the information channel that goes from the image intensity histogram to the regions of the partitioned image. It allows us to define a new family of segmentation methods which maximize the mutual information of the channel. Firstly, a greedy top-down algorithm which partitions an image into homogeneous regions is introduced. Secondly, a histogram quantization algorithm which clusters color bins in a greedy bottom-up way is defined. Finally, the resulting regions in the partitioning algorithm can optionally be merged using the quantized histogram

Development, implementation and application of electronic structural descriptors to the analysis of the chemical bonding, aromaticity and chemical reactivity

En la literatura sobre mecànica quàntica és freqüent trobar descriptors basats en la densitat de parells o la densitat electrònica, amb un èxit divers segons les aplicacions que atenyin. Per tal de que tingui sentit químic un descriptor ha de donar la definició d'un àtom en una molècula, o ésser capaç d'identificar regions de l'espai molecular associades amb algun concepte químic (com pot ser un parell solitari o zona d'enllaç, entre d'altres). En aquesta línia, s'han proposat diversos esquemes de partició: la teoria d'àtoms en molècules (AIM), la funció de localització electrònica (ELF), les cel·les de Voroni, els àtoms de Hirshfeld, els àtoms difusos, etc. L'objectiu d'aquesta tesi és explorar descriptors de la densitat basats en particions de l'espai molecular del tipus AIM, ELF o àtoms difusos, analitzar els descriptors existents amb diferents nivells de teoria, proposar nous descriptors d'aromaticitat, així com estudiar l'habilitat de totes aquestes eines per discernir entre diferents mecanismes de reacció.

Scavenging or infection? Possible host choosing by entomopathogenic nematodes

Entomopathogenic nematodes are able to survive by scavenging. We tested Steinernema feltiae, S. affine and Heterorhabditis megidis alone or in different combinations to evaluate the responses of these nematodes when dead or live Galleria mellonella larvae were offered. Steinernema feltiae and S. affine scavenged upon dead G. mellonella larvae and about 30% more dead larvae were penetrated than live ones. By contrast, H. megidis penetrated more live larvae than dead ones. When the nematode species were combined, the results varied among the combinations, but the dead larvae were always used as a host. The behaviour of natural field populations of S. feltiae and S. affine was also compared. Steinernema feltiae showed no difference between scavenging and performing 'normal infections', whereas S. affine scavenged to a reduced amount (around 60% less); this difference could be related to the particular foraging strategy of these nematodes.

Oxidation of oleic acid at the air-water interface and its potential effects on cloud critical supersaturations

The oxidation of organic films on cloud condensation nuclei has the potential to affect climate and precipitation events. In this work we present a study of the oxidation of a monolayer of deuterated oleic acid (cis-9-octadecenoic acid) at the air-water interface by ozone to determine if oxidation removes the organic film or replaces it with a product film. A range of different aqueous sub-phases were studied. The surface excess of deuterated material was followed by neutron reflection whilst the surface pressure was followed using a Wilhelmy plate. The neutron reflection data reveal that approximately half the organic material remains at the air-water interface following the oxidation of oleic acid by ozone, thus cleavage of the double bond by ozone creates one surface active species and one species that partitions to the bulk (or gas) phase. The most probable products, produced with a yield of similar to(87 +/- 14)%, are nonanoic acid, which remains at the interface, and azelaic acid (nonanedioic acid), which dissolves into the bulk solution. We also report a surface bimolecular rate constant for the reaction between ozone and oleic acid of (7.3 +/- 0.9) x 10(-11) cm(2) molecule s(-1). The rate constant and product yield are not affected by the solution sub-phase. An uptake coefficient of ozone on the oleic acid monolayer of similar to 4 x 10(-6) is estimated from our results. A simple Kohler analysis demonstrates that the oxidation of oleic acid by ozone on an atmospheric aerosol will lower the critical supersaturation needed for cloud droplet formation. We calculate an atmospheric chemical lifetime of oleic acid of 1.3 hours, significantly longer than laboratory studies on pure oleic acid particles suggest, but more consistent with field studies reporting oleic acid present in aged atmospheric aerosol.

Effect of Stretching on the Structure of Cylinder- and Sphere-Forming Styrene-Isoprene-Styrene Block Copolymers

Two styrene-isoprene-styrene block copolymers Vector 4111 and 4113, exhibiting cylindrical (18 wt % PS) and spherical (16 wt % PS) morphology, respectively, have been examined under uniaxial elongation up to 200% strain. On the basis of stress-strain data, mechanical properties are compared for isotropic and oriented polystyrene domains. The structure at various stages of deformation has been determined from SAXS patterns in three planes and two principal deformation directions with respect to orientation. Samples showed a very high degree of hexagonal packing, resulting in an X-ray pattern taken parallel to the cylinder alignment approaching single crystal ordering. Cylinders were aligned with the closest packed planes parallel to film surface. Particular attention has been paid to a lattice deformation process occurring during the first stretching and relaxation cycle. For a copolymer with oriented cylindrical morphology the deformation was affine up to 120% strain. The microdomain spacing was calculated parallel and perpendicular to the stretching direction. The cylindrical microstructure orientation, quantified by Hermans' orientation factor reduced during elongation of oriented polymer, while the elongation of isotropic sample caused an increase of orientation. Deformation of all studied morphologies was reversible.

Contextual emergence of mental states from neurodynamics

The emergence of mental states from neural states by partitioning the neural phase space is analyzed in terms of symbolic dynamics. Well-defined mental states provide contexts inducing a criterion of structural stability for the neurodynamics that can be implemented by particular partitions. This leads to distinguished subshifts of finite type that are either cyclic or irreducible. Cyclic shifts correspond to asymptotically stable fixed points or limit tori whereas irreducible shifts are obtained from generating partitions of mixing hyperbolic systems. These stability criteria are applied to the discussion of neural correlates of consiousness, to the definition of macroscopic neural states, and to aspects of the symbol grounding problem. In particular, it is shown that compatible mental descriptions, topologically equivalent to the neurodynamical description, emerge if the partition of the neural phase space is generating. If this is not the case, mental descriptions are incompatible or complementary. Consequences of this result for an integration or unification of cognitive science or psychology, respectively, will be indicated.

Input constraints handling in an MPC/feedback linearization scheme

The combination of model predictive control based on linear models (MPC) with feedback linearization (FL) has attracted interest for a number of years, giving rise to MPC+FL control schemes. An important advantage of such schemes is that feedback linearizable plants can be controlled with a linear predictive controller with a fixed model. Handling input constraints within such schemes is difficult since simple bound contraints on the input become state dependent because of the nonlinear transformation introduced by feedback linearization. This paper introduces a technique for handling input constraints within a real time MPC/FL scheme, where the plant model employed is a class of dynamic neural networks. The technique is based on a simple affine transformation of the feasible area. A simulated case study is presented to illustrate the use and benefits of the technique.

Uniformization tool for systolic array designs

The paper is concerned with the uniformization of a system of affine recurrence equations. This transformation is used in the design (or compilation) of highly parallel embedded systems (VLSI systolic arrays, signal processing filters, etc.). We present and implement an automatic system to achieve uniformization of systems of affine recurrence equations. We unify the results from many earlier papers, develop some theoretical extensions, and then propose effective uniformization algorithms. Our results can be used in any high level synthesis tool based on polyhedral representation of nested loop computations.

Space partitioning for scalable K-means

K-Means is a popular clustering algorithm which adopts an iterative refinement procedure to determine data partitions and to compute their associated centres of mass, called centroids. The straightforward implementation of the algorithm is often referred to as `brute force' since it computes a proximity measure from each data point to each centroid at every iteration of the K-Means process. Efficient implementations of the K-Means algorithm have been predominantly based on multi-dimensional binary search trees (KD-Trees). A combination of an efficient data structure and geometrical constraints allow to reduce the number of distance computations required at each iteration. In this work we present a general space partitioning approach for improving the efficiency and the scalability of the K-Means algorithm. We propose to adopt approximate hierarchical clustering methods to generate binary space partitioning trees in contrast to KD-Trees. In the experimental analysis, we have tested the performance of the proposed Binary Space Partitioning K-Means (BSP-KM) when a divisive clustering algorithm is used. We have carried out extensive experimental tests to compare the proposed approach to the one based on KD-Trees (KD-KM) in a wide range of the parameters space. BSP-KM is more scalable than KDKM, while keeping the deterministic nature of the `brute force' algorithm. In particular, the proposed space partitioning approach has shown to overcome the well-known limitation of KD-Trees in high-dimensional spaces and can also be adopted to improve the efficiency of other algorithms in which KD-Trees have been used.

Input/output linearization using dynamic recurrent neural networks

This paper brings together two areas of research that have received considerable attention during the last years, namely feedback linearization and neural networks. A proposition that guarantees the Input/Output (I/O) linearization of nonlinear control affine systems with Dynamic Recurrent Neural Networks (DRNNs) is formulated and proved. The proposition and the linearization procedure are illustrated with the simulation of a single link manipulator.

Dynamic recurrent neural network for system identification and control

A dynamic recurrent neural network (DRNN) that can be viewed as a generalisation of the Hopfield neural network is proposed to identify and control a class of control affine systems. In this approach, the identified network is used in the context of the differential geometric control to synthesise a state feedback that cancels the nonlinear terms of the plant yielding a linear plant which can then be controlled using a standard PID controller.

Representing geometrical knowledge

This paper introduces perspex algebra which is being developed as a common representation of geometrical knowledge. A perspex can currently be interpreted in one of four ways. First, the algebraic perspex is a generalization of matrices, it provides the most general representation for all of the interpretations of a perspex. The algebraic perspex can be used to describe arbitrary sets of coordinates. The remaining three interpretations of the perspex are all related to square matrices and operate in a Euclidean model of projective space-time, called perspex space. Perspex space differs from the usual Euclidean model of projective space in that it contains the point at nullity. It is argued that the point at nullity is necessary for a consistent account of perspective in top-down vision. Second, the geometric perspex is a simplex in perspex space. It can be used as a primitive building block for shapes, or as a way of recording landmarks on shapes. Third, the transformational perspex describes linear transformations in perspex space that provide the affine and perspective transformations in space-time. It can be used to match a prototype shape to an image, even in so called 'accidental' views where the depth of an object disappears from view, or an object stays in the same place across time. Fourth, the parametric perspex describes the geometric and transformational perspexes in terms of parameters that are related to everyday English descriptions. The parametric perspex can be used to obtain both continuous and categorical perception of objects. The paper ends with a discussion of issues related to using a perspex to describe logic.

Water vapour self-continuum and water dimers: 1. Analysis of recent work

Recent laboratory observations and advances in theoretical quantum chemistry allow a reappraisal of the fundamental mechanisms that determine the water vapour self-continuum absorption throughout the infrared and millimetre wave spectral regions. By starting from a framework that partitions bimolecular interactions between water molecules into free-pair states, true bound and quasi-bound dimers, we present a critical review of recent observations, continuum models and theoretical predictions. In the near-infrared bands of the water monomer, we propose that spectral features in recent laboratory-derived self-continuum can be well explained as being due to a combination of true bound and quasi-bound dimers, when the spectrum of quasi-bound dimers is approximated as being double the broadened spectrum of the water monomer. Such a representation can explain both the wavenumber variation and the temperature dependence. Recent observations of the self-continuum absorption in the windows between these near-infrared bands indicate that widely used continuum models can underestimate the true strength by around an order of magnitude. An existing far-wing model does not appear able to explain the discrepancy, and although a dimer explanation is possible, currently available observations do not allow a compelling case to be made. In the 8–12 micron window, recent observations indicate that the modern continuum models either do not properly represent the temperature dependence, the wavelength variation, or both. The temperature dependence is suggestive of a transition from the dominance of true bound dimers at lower temperatures to quasibound dimers at higher temperatures. In the mid- and far-infrared spectral region, recent theoretical calculations indicate that true bound dimers may explain at least between 20% and 40% of the observed self-continuum. The possibility that quasi-bound dimers could cause an additional contribution of the same size is discussed. Most recent theoretical considerations agree that water dimers are likely to be the dominant contributor to the self-continuum in the mm-wave spectral range.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.