Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.

Methods to solve the equations of motion

"Series title: Springerbriefs in applied sciences and technology, ISSN 2191-530X"

Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off

Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between instruments and disturbances. This makes this framework applicable to linear models with expectation variables that are estimated non-parametrically. Two examples of such models are the risk-return trade-off in finance and the impact of inflation uncertainty on real economic activity. Results show that inference based on Lagrange Multiplier (LM) tests is more robust to weak instruments than Wald-based inference. Using LM confidence intervals leads us to conclude that no statistically significant risk premium is present in returns on the S&P 500 index, excess holding yields between 6-month and 3-month Treasury bills, or in yen-dollar spot returns.

Aversion Analysis

In this paper : a) the consumer’s problem is studied over two periods, the second one involving S states, and the consumer being endowed with S+1 incomes and having access to N financial assets; b) the consumer is then representable by a continuously differentiable system of demands, commodity demands, asset demands and desirabilities of incomes (the S+1 Lagrange multiplier of the S+1 constraints); c) the multipliers can be transformed into subjective Arrow prices; d) the effects of the various incomes on these Arrow prices decompose into a compensation effect (an Antonelli matrix) and a wealth effect; e) the Antonelli matrix has rank S-N, the dimension of incompleteness, if the consumer can financially adjust himself when facing income shocks; f) the matrix has rank S, if not; g) in the first case, the matrix represents a residual aversion; in the second case, a fundamental aversion; the difference between them is an aversion to illiquidity; this last relation corresponds to the Drèze-Modigliani decomposition (1972); h) the fundamental aversion decomposes also into an aversion to impatience and a risk aversion; i) the above decompositions span a third decomposition; if there exists a sure asset (to be defined, the usual definition being too specific), the fundamental aversion admits a three-component decomposition, an aversion to impatience, a residual aversion and an aversion to the illiquidity of risky assets; j) the formulas of the corresponding financial premiums are also presented.

Analysis and Control of Robot Manipulators with Kinematic Redundancy

A closed-form solution formula for the kinematic control of manipulators with redundancy is derived, using the Lagrangian multiplier method. Differential relationship equivalent to the Resolved Motion Method has been also derived. The proposed method is proved to provide with the exact equilibrium state for the Resolved Motion Method. This exactness in the proposed method fixes the repeatability problem in the Resolved Motion Method, and establishes a fixed transformation from workspace to the joint space. Also the method, owing to the exactness, is demonstrated to give more accurate trajectories than the Resolved Motion Method. In addition, a new performance measure for redundancy control has been developed. This measure, if used with kinematic control methods, helps achieve dexterous movements including singularity avoidance. Compared to other measures such as the manipulability measure and the condition number, this measure tends to give superior performances in terms of preserving the repeatability property and providing with smoother joint velocity trajectories. Using the fixed transformation property, Taylor's Bounded Deviation Paths Algorithm has been extended to the redundant manipulators.

Optimization algorithms in FMRF model-based segmentation for LIDAR data and co-registered bands

In this paper, a fuzzy Markov random field (FMRF) model is used to segment land-objects into free, grass, building, and road regions by fusing remotely, sensed LIDAR data and co-registered color bands, i.e. scanned aerial color (RGB) photo and near infra-red (NIR) photo. An FMRF model is defined as a Markov random field (MRF) model in a fuzzy domain. Three optimization algorithms in the FMRF model, i.e. Lagrange multiplier (LM), iterated conditional mode (ICM), and simulated annealing (SA), are compared with respect to the computational cost and segmentation accuracy. The results have shown that the FMRF model-based ICM algorithm balances the computational cost and segmentation accuracy in land-cover segmentation from LIDAR data and co-registered bands.

Land-cover classification from airborne LIDAR data fused with aerial optical images

Airborne LIght Detection And Ranging (LIDAR) provides accurate height information for objects on the earth, which makes LIDAR become more and more popular in terrain and land surveying. In particular, LIDAR data offer vital and significant features for land-cover classification which is an important task in many application domains. In this paper, an unsupervised approach based on an improved fuzzy Markov random field (FMRF) model is developed, by which the LIDAR data, its co-registered images acquired by optical sensors, i.e. aerial color image and near infrared image, and other derived features are fused effectively to improve the ability of the LIDAR system for the accurate land-cover classification. In the proposed FMRF model-based approach, the spatial contextual information is applied by modeling the image as a Markov random field (MRF), with which the fuzzy logic is introduced simultaneously to reduce the errors caused by the hard classification. Moreover, a Lagrange-Multiplier (LM) algorithm is employed to calculate a maximum A posteriori (MAP) estimate for the classification. The experimental results have proved that fusing the height data and optical images is particularly suited for the land-cover classification. The proposed approach works very well for the classification from airborne LIDAR data fused with its coregistered optical images and the average accuracy is improved to 88.9%.

Probabilistic downscaling of remote sensing data with applications for multi-scale biogeochemical flux modeling

Upscaling ecological information to larger scales in space and downscaling remote sensing observations or model simulations to finer scales remain grand challenges in Earth system science. Downscaling often involves inferring subgrid information from coarse-scale data, and such ill-posed problems are classically addressed using regularization. Here, we apply two-dimensional Tikhonov Regularization (2DTR) to simulate subgrid surface patterns for ecological applications. Specifically, we test the ability of 2DTR to simulate the spatial statistics of high-resolution (4 m) remote sensing observations of the normalized difference vegetation index (NDVI) in a tundra landscape. We find that the 2DTR approach as applied here can capture the major mode of spatial variability of the high-resolution information, but not multiple modes of spatial variability, and that the Lagrange multiplier (γ) used to impose the condition of smoothness across space is related to the range of the experimental semivariogram. We used observed and 2DTR-simulated maps of NDVI to estimate landscape-level leaf area index (LAI) and gross primary productivity (GPP). NDVI maps simulated using a γ value that approximates the range of observed NDVI result in a landscape-level GPP estimate that differs by ca 2% from those created using observed NDVI. Following findings that GPP per unit LAI is lower near vegetation patch edges, we simulated vegetation patch edges using multiple approaches and found that simulated GPP declined by up to 12% as a result. 2DTR can generate random landscapes rapidly and can be applied to disaggregate ecological information and compare of spatial observations against simulated landscapes.

Testing common nonlinear features in vector nonlinear autoregressive models

This paper studies a special class of vector smooth-transition autoregressive (VSTAR) models that contains common nonlinear features (CNFs), for which we proposed a triangular representation and developed a procedure of testing CNFs in a VSTAR model. We first test a unit root against a stable STAR process for each individual time series and then examine whether CNFs exist in the system by Lagrange Multiplier (LM) test if unit root is rejected in the first step. The LM test has standard Chi-squared asymptotic distribution. The critical values of our unit root tests and small-sample properties of the F form of our LM test are studied by Monte Carlo simulations. We illustrate how to test and model CNFs using the monthly growth of consumption and income data of United States (1985:1 to 2011:11).

Tree-structured smooth transition models

The goal of this paper is to introduce a class of tree-structured models that combines aspects of regression trees and smooth transition regression models. The model is called the Smooth Transition Regression Tree (STR-Tree). The main idea relies on specifying a multiple-regime parametric model through a tree-growing procedure with smooth transitions among different regimes. Decisions about splits are entirely based on a sequence of Lagrange Multiplier (LM) tests of hypotheses.

Analytical and semi-analytical analysis of an artificial satellite's rotational motion

The rotational motion of an artificial satellite is studied by considering torques produced by gravity gradient and direct solar radiation pressure. A satellite of circular cylinder shape is considered here, and Andoyers variables are used to describe the rotational motion. Expressions for direct solar radiation torque are derived. When the earth's shadow is not considered, an analytical solution is obtained using Lagrange's method of variation of parameters. A semi-analytical procedure is proposed to predict the satellite's attitude under the influence of the earth's shadow. The analytical solution shows that angular variables are linear and periodic functions of time while their conjugates suffer only periodic variations. When compared, numerical and analytical solutions have a good agreement during the time range considered.

Integrable deformations of strings on symmetric spaces

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Analysis of optimal control problems for the incompressible MHD equations and implementation in a finite element multiphysics code

This thesis deals with the study of optimal control problems for the incompressible Magnetohydrodynamics (MHD) equations. Particular attention to these problems arises from several applications in science and engineering, such as fission nuclear reactors with liquid metal coolant and aluminum casting in metallurgy. In such applications it is of great interest to achieve the control on the fluid state variables through the action of the magnetic Lorentz force. In this thesis we investigate a class of boundary optimal control problems, in which the flow is controlled through the boundary conditions of the magnetic field. Due to their complexity, these problems present various challenges in the definition of an adequate solution approach, both from a theoretical and from a computational point of view. In this thesis we propose a new boundary control approach, based on lifting functions of the boundary conditions, which yields both theoretical and numerical advantages. With the introduction of lifting functions, boundary control problems can be formulated as extended distributed problems. We consider a systematic mathematical formulation of these problems in terms of the minimization of a cost functional constrained by the MHD equations. The existence of a solution to the flow equations and to the optimal control problem are shown. The Lagrange multiplier technique is used to derive an optimality system from which candidate solutions for the control problem can be obtained. In order to achieve the numerical solution of this system, a finite element approximation is considered for the discretization together with an appropriate gradient-type algorithm. A finite element object-oriented library has been developed to obtain a parallel and multigrid computational implementation of the optimality system based on a multiphysics approach. Numerical results of two- and three-dimensional computations show that a possible minimum for the control problem can be computed in a robust and accurate manner.

Dynamic Analysis of high Speed Railway Traffic Loads on Ballasted Track

This paper reports the studies carried out to develop and calibrate the optimal models for the objectives of this work. In particular, quarter bogie model for vehicle, rail-wheel contact with Lagrangian multiplier method, 2D spatial discretization were selected as the optimal decisions. Furthermore, the 3D model of coupled vehicle-track also has been developed to contrast the results obtained in the 2D model. The calculations were carried out in the time domain and envelopes of relevant results were obtained for several track profiles and speed ranges. Distributed elevation irregularities were generated based on power spectral density (PSD) distributions. The results obtained include the wheel-rail contact forces, forces transmitted to the bogie by primary suspension. The latter loads are relevant for the purpose of evaluating the performance of the infrastructure

Efectos dinámicos debidos al tráfico de ferrocarril sobre la infraestructura de vía y las estructuras

La vía tradicional sobre balasto sigue siendo una selección para las líneas de alta velocidad a pesar de los problemas técnicos y la prestación del funcionamiento. El problema de la vía sobre balasto es el proceso continuo del deterioro de éste debido a las cargas asociadas al tráfico ferroviario. En consecuencia es imprescindible un mantenimiento continuado para mantener un alineamiento adecuado de la vía. Por eso se surge la necesidad de comprender mejor el mecanismo involucrado en el deterioro de la vía y los factores claves que rigen su progresión a lo largo de ciclos de carga con el fin de reducir los costos del mantenimiento de la vía y mejorar el diseño de las nuevas vías. La presente tesis intenta por un lado desarrollar los modelos más adecuados y eficientes del vehículo y de la vía para los cálculos de los efectos dinámicos debido al tráfico de ferrocarril sobre la infraestructura de la vía sobre balasto, y por otro evaluar estos efectos dinámicos sobre el deterioro de la vía sobre balasto a largo plazo, empleando un adecuado modelo de predicción del deterioro de la misma. Se incluye en el trabajo una recopilación del estado del arte en lo referente a la dinámica de la vía, a la modelización del vehículo, de la vía y de la interacción entre ambos. También se hace un repaso al deterioro de la vía y los factores que influyen en su proceso. Para la primera línea de investigación de esta tesis, se han desarrollado los diferentes modelos del vehículo y de la vía y la modelización de la interacción entre ambos para los cálculos dinámicos en dos y tres dimensiones. En la interacción vehículo-vía, se ha empleado la formulación de contacto nodo-superficie para establecer la identificación de las superficies en contacto y el método de los multiplicadores de Lagrange para imponer las restricciones de contacto. El modelo de interacción se ha contrastado con los casos reportados en la literatura. Teniendo en cuenta el contacto no lineal entre rueda-carril y los perfiles de irregularidades distribuidas de la vía, se han evaluado y comparado los efectos dinámicos sobre el sistema vehículo-vía en la interacción de ambos, para distintas velocidades de circulación del vehículo, en los aspectos como la vibración del vehículo, fuerza de contacto, fuerza transmitida en los railpads, la vibración del carril. También se hace un estudio de la influencia de las propiedades de los componentes de la vía en la respuesta dinámica del sistema vehículo-vía. Se ha desarrollado el modelo del asiento de la vía que consiste en la implementación del modelo de acumulación de Bochum y del modelo de hipoplasticidad en la subrutina del usuario \UMAT" del programa ABAQUS. La implementación numérica ha sido comprobado al comparar los resultados de las simulaciones numéricas con los reportados en la literatura. Se ha evaluado la calidad geométrica de la vía sobre balasto de los tramos de estudio con datos reales de la auscultación proporcionados por ADIF (2012). Se ha propuesto una metodología de simulación, empleando el modelo de asiento, para reproducir el deterioro de la geometría de la vía. Se usan los perfiles de la nivelación longitudinal de la auscultación como perfiles de irregularidades iniciales de la vía en las simulaciones numéricas. También se evalúa la influencia de la velocidad de circulación sobre el deterioro de la vía. The traditional ballast track structures are still being used in high speed railways lines with success, however technical problems or performance features have led to ballast track solution in some cases. The considerable maintenance work is needed for ballasted tracks due to the track deterioration. Therefore it is very important to understand the mechanism of track deterioration and to predict the track settlement or track irregularity growth rate in order to reduce track maintenance costs and enable new track structures to be designed. This thesis attempts to develop the most adequate and efficient models for calculation of dynamic track load effects on railways track infrastructure, and to evaluate these dynamic effects on the track settlement, using a track settlement prediction model, which consists of the vehicle/track dynamic model previously selected and a track settlement law. A revision of the state of the knowledge regarding the track dynamics, the modelling of the vehicle, the track and the interaction between them is included. An overview related to the track deterioration and the factors influencing the track settlement is also done. For the first research of this thesis, the different models of vehicle, track and the modelling of the interaction between both have been developed. In the vehicle-track interaction, the node-surface contact formulation to establish the identification of the surfaces in contact and the Lagrange multipliers method to enforce contact constraint are used. The interaction model has been verified by contrast with some benchmarks reported in the literature. Considering the nonlinear contact between wheel-rail and the track irregularities, the dynamic effects on the vehicle-track system have been evaluated and compared, for different speeds of the vehicle, in aspects as vehicle vibration, contact force, force transmitted in railpads, rail vibration. A study of the influence of the properties of the track components on the the dynamic response of the vehicle-track system has been done. The track settlement model is developed that consist of the Bochum accumulation model and the hipoplasticity model in the user subroutine \UMAT" of the program ABAQUS. The numerical implementation has been verified by comparing the numerical results with those reported in the literature. The geometric quality of the ballast track has been evaluated with real data of auscultation provided by ADIF (2012). The simulation methodology has been proposed, using the settlement model for the ballast material, to reproduce the deterioration of the track geometry. The profiles of the longitudinal level of the auscultation is used as initial profiles of the track irregularities in the numerical simulation. The influence of the running speed on the track deterioration is also investigated.