Dimension Reduction of the Explanatory Variables in Multiple Linear Regression

2002 Mathematics Subject Classification: 62J05, 62G35.

Detecting common dynamics in transitory components

This paper considers VECMs for variables exhibiting cointegration and common features in the transitory components. While the presence of cointegration between the permanent components of series reduces the rank of the long-run multiplier matrix, a common feature among the transitory components leads to a rank reduction in the matrix summarizing short-run dynamics. The common feature also implies that there exists linear combinations of the first-differenced variables in a cointegrated VAR that are white noise and traditional tests focus on testing for this characteristic. An alternative, however, is to test the rank of the short-run dynamics matrix directly. Consequently, we use the literature on testing the rank of a matrix to produce some alternative test statistics. We also show that these are identical to one of the traditional tests. The performance of the different methods is illustrated in a Monte Carlo analysis which is then used to re-examine an existing empirical study. Finally, this approach is applied to provide a check for the presence of common dynamics in DSGE models.

Preventing pollution attacks in multi-source network coding

Network coding is a method for achieving channel capacity in networks. The key idea is to allow network routers to linearly mix packets as they traverse the network so that recipients receive linear combinations of packets. Network coded systems are vulnerable to pollution attacks where a single malicious node floods the network with bad packets and prevents the receiver from decoding correctly. Cryptographic defenses to these problems are based on homomorphic signatures and MACs. These proposals, however, cannot handle mixing of packets from multiple sources, which is needed to achieve the full benefits of network coding. In this paper we address integrity of multi-source mixing. We propose a security model for this setting and provide a generic construction.

The credit risk(+) model with general sector correlations

We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

Cochannel Interference in Partially Coherent Communication

Effects of cochannel interference and synchronization error of the carrier phase on the probability of error in binary communications are considered. Several bounds on the probability of error are proposed. The bounds are easy to compute and do not require complete statistical characterization of the errors. They turn out to be simple linear combinations of error probabilities with no cochannel interferences and no phase errors. Several illustrative examples are given which show that the bounds can be tight.

Multi-GNSS precise point positioning with raw single-frequency and dual-frequency measurement models

The emergence of multiple satellite navigation systems, including BDS, Galileo, modernized GPS, and GLONASS, brings great opportunities and challenges for precise point positioning (PPP). We study the contributions of various GNSS combinations to PPP performance based on undifferenced or raw observations, in which the signal delays and ionospheric delays must be considered. A priori ionospheric knowledge, such as regional or global corrections, strengthens the estimation of ionospheric delay parameters. The undifferenced models are generally more suitable for single-, dual-, or multi-frequency data processing for single or combined GNSS constellations. Another advantage over ionospheric-free PPP models is that undifferenced models avoid noise amplification by linear combinations. Extensive performance evaluations are conducted with multi-GNSS data sets collected from 105 MGEX stations in July 2014. Dual-frequency PPP results from each single constellation show that the convergence time of undifferenced PPP solution is usually shorter than that of ionospheric-free PPP solutions, while the positioning accuracy of undifferenced PPP shows more improvement for the GLONASS system. In addition, the GLONASS undifferenced PPP results demonstrate performance advantages in high latitude areas, while this impact is less obvious in the GPS/GLONASS combined configuration. The results have also indicated that the BDS GEO satellites have negative impacts on the undifferenced PPP performance given the current “poor” orbit and clock knowledge of GEO satellites. More generally, the multi-GNSS undifferenced PPP results have shown improvements in the convergence time by more than 60 % in both the single- and dual-frequency PPP results, while the positioning accuracy after convergence indicates no significant improvements for the dual-frequency PPP solutions, but an improvement of about 25 % on average for the single-frequency PPP solutions.

On the maximal rate of non-square STBCs from complex orthogonal designs

A Linear Processing Complex Orthogonal Design (LPCOD) is a p x n matrix epsilon, (p >= n) in k complex indeterminates x(1), x(2),..., x(k) such that (i) the entries of epsilon are complex linear combinations of 0, +/- x(i), i = 1,..., k and their conjugates, (ii) epsilon(H)epsilon = D, where epsilon(H) is the Hermitian (conjugate transpose) of epsilon and D is a diagonal matrix with the (i, i)-th diagonal element of the form l(1)((i))vertical bar x(1)vertical bar(2) + l(2)((i))vertical bar x(2)vertical bar(2)+...+ l(k)((i))vertical bar x(k)vertical bar(2) where l(j)((i)), i = 1, 2,..., n, j = 1, 2,...,k are strictly positive real numbers and the condition l(1)((i)) = l(2)((i)) = ... = l(k)((i)), called the equal-weights condition, holds for all values of i. For square designs it is known. that whenever a LPCOD exists without the equal-weights condition satisfied then there exists another LPCOD with identical parameters with l(1)((i)) = l(2)((i)) = ... = l(k)((i)) = 1. This implies that the maximum possible rate for square LPCODs without the equal-weights condition is the same as that or square LPCODs with equal-weights condition. In this paper, this result is extended to a subclass of non-square LPCODs. It is shown that, a set of sufficient conditions is identified such that whenever a non-square (p > n) LPCOD satisfies these sufficient conditions and do not satisfy the equal-weights condition, then there exists another LPCOD with the same parameters n, k and p in the same complex indeterminates with l(1)((i)) = l(2)((i)) = ... = l(k)((i)) = 1.

On the maximal rate of (n+1) x n and (n+2) x n complex orthogonal designs

For p x n complex orthogonal designs in k variables, where p is the number of channels uses and n is the number of transmit antennas, the maximal rate L of the design is asymptotically half as n increases. But, for such maximal rate codes, the decoding delay p increases exponentially. To control the delay, if we put the restriction that p = n, i.e., consider only the square designs, then, the rate decreases exponentially as n increases. This necessitates the study of the maximal rate of the designs with restrictions of the form p = n+1, p = n+2, p = n+3 etc. In this paper, we study the maximal rate of complex orthogonal designs with the restrictions p = n+1 and p = n+2. We derive upper and lower bounds for the maximal rate for p = n+1 and p = n+2. Also for the case of p = n+1, we show that if the orthogonal design admit only the variables, their negatives and multiples of these by root-1 and zeros as the entries of the matrix (other complex linear combinations are not allowed), then the maximal rate always equals the lower bound.

Symmetry adaptation of correlated states in the valence bond basis

Symmetry?adapted linear combinations of valence?bond (VB) diagrams are constructed for arbitrary point groups and total spin S using diagrammatic VB methods. VB diagrams are related uniquely to invariant subspaces whose size reflects the number of group elements; their nonorthogonality leads to sparser matrices and is fully incorporated into a binary integer representation. Symmetry?adapated linear combinations of VB diagrams are constructed for the 1764 singlets of a half?filled cube of eight sites, the 2.8 million ??electron singlets of anthracene, and for illustrative S?0 systems.

Network Error Correction for Unit-Delay, Memory-Free Networks Using Convolutional Codes

A single source network is said to be memory-free if all of the internal nodes (those except the source and the sinks) do not employ memory but merely send linear combinations of the symbols received at their incoming edges on their outgoing edges. In this work, we introduce network-error correction for single source, acyclic, unit-delay, memory-free networks with coherent network coding for multicast. A convolutional code is designed at the source based on the network code in order to correct network- errors that correspond to any of a given set of error patterns, as long as consecutive errors are separated by a certain interval which depends on the convolutional code selected. Bounds on this interval and the field size required for constructing the convolutional code with the required free distance are also obtained. We illustrate the performance of convolutional network error correcting codes (CNECCs) designed for the unit-delay networks using simulations of CNECCs on an example network under a probabilistic error model.

Single-Generation Network Coding for Networks with Delay

A single-source network is said to be memory-free if all of the internal nodes (those except the source and the sinks) do not employ memory but merely send linear combinations of the incoming symbols (received at their incoming edges) on their outgoing edges. Memory-free networks with delay using network coding are forced to do inter-generation network coding, as a result of which the problem of some or all sinks requiring a large amount of memory for decoding is faced. In this work, we address this problem by utilizing memory elements at the internal nodes of the network also, which results in the reduction of the number of memory elements used at the sinks. We give an algorithm which employs memory at all the nodes of the network to achieve single- generation network coding. For fixed latency, our algorithm reduces the total number of memory elements used in the network to achieve single- generation network coding. We also discuss the advantages of employing single-generation network coding together with convolutional network-error correction codes (CNECCs) for networks with unit- delay and illustrate the performance gain of CNECCs by using memory at the intermediate nodes using simulations on an example network under a probabilistic network error model.

Quantum stochastic calculus associated with quadratic quantum noises

We first study a class of fundamental quantum stochastic processes induced by the generators of a six dimensional non-solvable Lie dagger-algebra consisting of all linear combinations of the generalized Gross Laplacian and its adjoint, annihilation operator, creation operator, conservation, and time, and then we study the quantum stochastic integrals associated with the class of fundamental quantum stochastic processes, and the quantum Ito formula is revisited. The existence and uniqueness of solution of a quantum stochastic differential equation is proved. The unitarity conditions of solutions of quantum stochastic differential equations associated with the fundamental processes are examined. The quantum stochastic calculus extends the Hudson-Parthasarathy quantum stochastic calculus. (C) 2016 AIP Publishing LLC.

Lq estimates for rearrangements of Fourier series

This work is concerned with estimating the upper envelopes S* of the absolute values of the partial sums of rearranged trigonometric sums. A.M. Garsia [Annals of Math. 79 (1964), 634-9] gave an estimate for the L₂ norms of the S*, averaged over all rearrangements of the original (finite) sum. This estimate enabled him to prove that the Fourier series of any function in L₂ can be rearranged so that it converges a.e. The main result of this thesis is a similar estimate of the L_q norms of the S*, for all even integers q. This holds for finite linear combinations of functions which satisfy a condition which is a generalization of orthonormality in the L₂ case. This estimate for finite sums is extended to Fourier series of L_q functions; it is shown that there are functions to which the Men’shov-Paley Theorem does not apply, but whose Fourier series can nevertheless be rearranged so that the S* of the rearranged series is in L_q.

Elemental unbiased estimators for the Generalized Pareto tail

Unbiased location- and scale-invariant `elemental' estimators for the GPD tail parameter are constructed. Each involves three log-spacings. The estimators are unbiased for finite sample sizes, even as small as N=3. It is shown that the elementals form a complete basis for unbiased location- and scale-invariant estimators constructed from linear combinations of log-spacings. Preliminary numerical evidence is presented which suggests that elemental combinations can be constructed which are consistent estimators of the tail parameter for samples drawn from the pure GPD family.

Elemental estimators for the Generalized Extreme Value tail

In a companion paper (McRobie(2013) arxiv:1304.3918), a simple set of `elemental' estimators was presented for the Generalized Pareto tail parameter. Each elemental estimator: involves only three log-spacings; is absolutely unbiased for all values of the tail parameter; is location- and scale-invariant; and is valid for all sample sizes $N$, even as small as $N= 3$. It was suggested that linear combinations of such elementals could then be used to construct efficient unbiased estimators. In this paper, the analogous mathematical approach is taken to the Generalised Extreme Value (GEV) distribution. The resulting elemental estimators, although not absolutely unbiased, are found to have very small bias, and may thus provide a useful basis for the construction of efficient estimators.