Weakly anomalous diffusion with non-Gaussian propagators

A poorly understood phenomenon seen in complex systems is diffusion characterized by Hurst exponent H approximate to 1/2 but with non-Gaussian statistics. Motivated by such empirical findings, we report an exact analytical solution for a non-Markovian random walk model that gives rise to weakly anomalous diffusion with H = 1/2 but with a non-Gaussian propagator.

Detection of signals corrupted by the combination of Gaussian and Non-Gaussian noise

The detection of signals in the presence of noise is one of the most basic and important problems encountered by communication engineers. Although the literature abounds with analyses of communications in Gaussian noise, relatively little work has appeared dealing with communications in non-Gaussian noise. In this thesis several digital communication systems disturbed by non-Gaussian noise are analysed. The thesis is divided into two main parts. In the first part, a filtered-Poisson impulse noise model is utilized to calulate error probability characteristics of a linear receiver operating in additive impulsive noise. Firstly the effect that non-Gaussian interference has on the performance of a receiver that has been optimized for Gaussian noise is determined. The factors affecting the choice of modulation scheme so as to minimize the deterimental effects of non-Gaussian noise are then discussed. In the second part, a new theoretical model of impulsive noise that fits well with the observed statistics of noise in radio channels below 100 MHz has been developed. This empirical noise model is applied to the detection of known signals in the presence of noise to determine the optimal receiver structure. The performance of such a detector has been assessed and is found to depend on the signal shape, the time-bandwidth product, as well as the signal-to-noise ratio. The optimal signal to minimize the probability of error of; the detector is determined. Attention is then turned to the problem of threshold detection. Detector structure, large sample performance and robustness against errors in the detector parameters are examined. Finally, estimators of such parameters as. the occurrence of an impulse and the parameters in an empirical noise model are developed for the case of an adaptive system with slowly varying conditions.

Non-Gaussian error probability in optical soliton transmission

We find the probability distribution of the fluctuating parameters of a soliton propagating through a medium with additive noise. Our method is a modification of the instanton formalism (method of optimal fluctuation) based on a saddle-point approximation in the path integral. We first solve consistently a fundamental problem of soliton propagation within the framework of noisy nonlinear Schrödinger equation. We then consider model modifications due to in-line (filtering, amplitude and phase modulation) control. It is examined how control elements change the error probability in optical soliton transmission. Even though a weak noise is considered, we are interested here in probabilities of error-causing large fluctuations which are beyond perturbation theory. We describe in detail a new phenomenon of soliton collapse that occurs under the combined action of noise, filtering and amplitude modulation. © 2004 Elsevier B.V. All rights reserved.

Non-Gaussian statistics of an optical soliton in the presence of amplified spontaneous emission

A study was performed on non-Gaussian statistics of an optical soliton in the presence of amplified spontaneous emission. An approach based on the Fokker-Planck equation was applied to study the optical soliton parameters in the presence of additive noise. The rigorous method not only allowed to reproduce and justify the classical Gordon-Haus formula but also led to new exact results.

Calculation of non-Gaussian statistics and bit error rate degradation due to pulse-to-pulse interaction

We develop a theoretical method to calculate jitter statistics of interacting solitons. Applying this approach, we have derived the non-Gaussian probability density function and calculated the bit-error rate as a function of noise level, initial separation and phase difference between solitons.

Non-Gaussian distribution of collective operators in quantum spin chains

We numerically analyse the behavior of the full distribution of collective observables in quantum spin chains. While most of previous studies of quantum critical phenomena are limited to the first moments, here we demonstrate how quantum fluctuations at criticality lead to highly non-Gaussian distributions. Interestingly, we show that the distributions for different system sizes collapse on thesame curve after scaling for a wide range of transitions: first and second order quantum transitions and transitions of the Berezinskii–Kosterlitz–Thouless type. We propose and analyse the feasibility of an experimental reconstruction of the distribution using light–matter interfaces for atoms in optical lattices or in optical resonators.

Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Generation of self-similar Gaussian time series by means of the DWT and DWPT variance maps

Due to the several kinds of services that use the Internet and data networks infra-structures, the present networks are characterized by the diversity of types of traffic that have statistical properties as complex temporal correlation and non-gaussian distribution. The networks complex temporal correlation may be characterized by the Short Range Dependence (SRD) and the Long Range Dependence - (LRD). Models as the fGN (Fractional Gaussian Noise) may capture the LRD but not the SRD. This work presents two methods for traffic generation that synthesize approximate realizations of the self-similar fGN with SRD random process. The first one employs the IDWT (Inverse Discrete Wavelet Transform) and the second the IDWPT (Inverse Discrete Wavelet Packet Transform). It has been developed the variance map concept that allows to associate the LRD and SRD behaviors directly to the wavelet transform coefficients. The developed methods are extremely flexible and allow the generation of Gaussian time series with complex statistical behaviors.

BlastR--fast and accurate database searches for non-coding RNAs.

We present and validate BlastR, a method for efficiently and accurately searching non-coding RNAs. Our approach relies on the comparison of di-nucleotides using BlosumR, a new log-odd substitution matrix. In order to use BlosumR for comparison, we recoded RNA sequences into protein-like sequences. We then showed that BlosumR can be used along with the BlastP algorithm in order to search non-coding RNA sequences. Using Rfam as a gold standard, we benchmarked this approach and show BlastR to be more sensitive than BlastN. We also show that BlastR is both faster and more sensitive than BlastP used with a single nucleotide log-odd substitution matrix. BlastR, when used in combination with WU-BlastP, is about 5% more accurate than WU-BlastN and about 50 times slower. The approach shown here is equally effective when combined with the NCBI-Blast package. The software is an open source freeware available from www.tcoffee.org/blastr.html.

Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

Random-walk-based characterisation of multiple access interference in a DS/SSMA system

The problem of calculating the probability of error in a DS/SSMA system has been extensively studied for more than two decades. When random sequences are employed some conditioning must be done before the application of the central limit theorem is attempted, leading to a Gaussian distribution. The authors seek to characterise the multiple access interference as a random-walk with a random number of steps, for random and deterministic sequences. Using results from random-walk theory, they model the interference as a K-distributed random variable and use it to calculate the probability of error in the form of a series, for a DS/SSMA system with a coherent correlation receiver and BPSK modulation under Gaussian noise. The asymptotic properties of the proposed distribution agree with other analyses. This is, to the best of the authors' knowledge, the first attempt to propose a non-Gaussian distribution for the interference. The modelling can be extended to consider multipath fading and general modulation

A Gaussian-mixture ensemble transform filter

We generalize the popular ensemble Kalman filter to an ensemble transform filter, in which the prior distribution can take the form of a Gaussian mixture or a Gaussian kernel density estimator. The design of the filter is based on a continuous formulation of the Bayesian filter analysis step. We call the new filter algorithm the ensemble Gaussian-mixture filter (EGMF). The EGMF is implemented for three simple test problems (Brownian dynamics in one dimension, Langevin dynamics in two dimensions and the three-dimensional Lorenz-63 model). It is demonstrated that the EGMF is capable of tracking systems with non-Gaussian uni- and multimodal ensemble distributions. Copyright © 2011 Royal Meteorological Society

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.