909 resultados para time-varying AR models


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Motivated by developments in spacecraft dynamics, the asymptotic behaviour and boundedness of solution of a special class of time varying systems in which each term appears as the sum of a constant and a time varying part, are analysed in this paper. It is not possible to apply standard textbook results to such systems, which are originally in second order. Some of the existing results are reformulated. Four theorems which explore the relations between the asymptotic behaviour/boundedness of the constant coefficient system, obtained by equating the time varying terms to zero, to the corresponding behaviour of the time varying system, are developed. The results show the behaviour of the two systems to be intimately related, provided the solutions of the constant coefficient system approach zero are bounded for large values of time, and the time varying terms are suitably restrained. Two problems are tackled using these theorems.

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The low predictive power of implied volatility in forecasting the subsequently realized volatility is a well-documented empirical puzzle. As suggested by e.g. Feinstein (1989), Jackwerth and Rubinstein (1996), and Bates (1997), we test whether unrealized expectations of jumps in volatility could explain this phenomenon. Our findings show that expectations of infrequently occurring jumps in volatility are indeed priced in implied volatility. This has two important consequences. First, implied volatility is actually expected to exceed realized volatility over long periods of time only to be greatly less than realized volatility during infrequently occurring periods of very high volatility. Second, the slope coefficient in the classic forecasting regression of realized volatility on implied volatility is very sensitive to the discrepancy between ex ante expected and ex post realized jump frequencies. If the in-sample frequency of positive volatility jumps is lower than ex ante assessed by the market, the classic regression test tends to reject the hypothesis of informational efficiency even if markets are informationally effective.

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This paper analyzes the L2 stability of solutions of systems with time-varying coefficients of the form [A + C(t)]x′ = [B + D(t)]x + u, where A, B, C, D are matrices. Following proof of a lemma, the main result is derived, according to which the system is L2 stable if the eigenvalues of the coefficient matrices are related in a simple way. A corollary of the theorem dealing with small periodic perturbations of constant coefficient systems is then proved. The paper concludes with two illustrative examples, both of which deal with the attitude dynamics of a rigid, axisymmetric, spinning satellite in an eccentric orbit, subject to gravity gradient torques.

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The present study of the stability of systems governed by a linear multidimensional time-varying equation, which are encountered in spacecraft dynamics, economics, demographics, and biological systems, gives attention the lemma dealing with L(inf) stability of an integral equation that results from the differential equation of the system under consideration. Using the proof of this lemma, the main result on L(inf) stability is derived according; a corollary of the theorem deals with constant coefficient systems perturbed by small periodic terms. (O.C.)

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Some theorems derived recently by the authors on the stability of multidimensional linear time varying systems are reported in this paper. To begin with, criteria based on Liapunov�s direct method are stated. These are followed by conditions on the asymptotic behaviour and boundedness of solutions. Finally,L 2 andL ? stabilities of these systems are discussed. In conclusion, mention is made of some of the problems in aerospace engineering to which these theorems have been applied.

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Hardware constraints, which motivate receive antenna selection, also require that various antenna elements at the receiver be sounded sequentially to obtain estimates required for selecting the `best' antenna and for coherently demodulating data thereafter. Consequently, the channel state information at different antennas is outdated by different amounts and corrupted by noise. We show that, for this reason, simply selecting the antenna with the highest estimated channel gain is not optimum. Rather, a preferable strategy is to linearly weight the channel estimates of different antennas differently, depending on the training scheme. We derive closed-form expressions for the symbol error probability (SEP) of AS for MPSK and MQAM in time-varying Rayleigh fading channels for arbitrary selection weights, and validate them with simulations. We then characterize explicitly the optimal selection weights that minimize the SEP. We also consider packet reception, in which multiple symbols of a packet are received by the same antenna. New suboptimal, but computationally efficient weighted selection schemes are proposed for reducing the packet error rate. The benefits of weighted selection are also demonstrated using a practical channel code used in third generation cellular systems. Our results show that optimal weighted selection yields a significant performance gain over conventional unweighted selection.

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Antenna selection (AS) provides most of the benefits of multiple-antenna systems at drastically reduced hardware costs. In receive AS, the receiver connects a dynamically selected subset of N available antennas to the L available RF chains. The "best" subset to be used for data reception is determined by means of channel estimates acquired using training sequences. Due to the nature of AS, the channel estimates at different antennas are obtained from different transmissions of the pilot sequence, and are, thus, outdated by different amounts in a time-varying channel. We show that a linear weighting of the estimates is optimum for the subset selection process, where the weights are related to the temporal correlation of the channel variations. When L is not an integer divisor of N, we highlight a new issue of "training voids", in which the last pilot transmission is not fully exploited by the receiver. We present a "void-filling" method for fully exploiting these voids, which essentially provides more accurate training for some antennas, and derive the optimal subset selection rule for any void-filling method. We also derive new closed-form equations for the performance of receive AS with optimal subset selection.

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Receive antenna selection (AS) provides many benefits of multiple-antenna systems at drastically reduced hardware costs. In it, the receiver connects a dynamically selected subset of N available antennas to the L available RF chains. Due to the nature of AS, the channel estimates at different antennas, which are required to determine the best subset for data reception, are obtained from different transmissions of the pilot sequence. Consequently, they are outdated by different amounts in a time-varying channel. We show that a linear weighting of the estimates is necessary and optimum for the subset selection process, where the weights are related to the temporal correlation of the channel variations. When L is not an integer divisor of N , we highlight a new issue of ``training voids'', in which the last pilot transmission is not fully exploited by the receiver. We then present new ``void-filling'' methods that exploit these voids and greatly improve the performance of AS. The optimal subset selection rules with void-filling, in which different antennas turn out to have different numbers of estimates, are also explicitly characterized. Closed-form equations for the symbol error probability with and without void-filling are also developed.

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We address the problem of local-polynomial modeling of smooth time-varying signals with unknown functional form, in the presence of additive noise. The problem formulation is in the time domain and the polynomial coefficients are estimated in the pointwise minimum mean square error (PMMSE) sense. The choice of the window length for local modeling introduces a bias-variance tradeoff, which we solve optimally by using the intersection-of-confidence-intervals (ICI) technique. The combination of the local polynomial model and the ICI technique gives rise to an adaptive signal model equipped with a time-varying PMMSE-optimal window length whose performance is superior to that obtained by using a fixed window length. We also evaluate the sensitivity of the ICI technique with respect to the confidence interval width. Simulation results on electrocardiogram (ECG) signals show that at 0dB signal-to-noise ratio (SNR), one can achieve about 12dB improvement in SNR. Monte-Carlo performance analysis shows that the performance is comparable to the basic wavelet techniques. For 0 dB SNR, the adaptive window technique yields about 2-3dB higher SNR than wavelet regression techniques and for SNRs greater than 12dB, the wavelet techniques yield about 2dB higher SNR.

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We present an extrema based unwarping technique for signals with time-varying periodicity. We show that for arbitrary variation of pitch periodicity in speech signal,the unwarping technique maps the signals to periodic signals which enable eficient estimation of periodicity. We demonstrate the e�ectiveness of the new technique using both synthetic and real speech signals.

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The problem of developing L2-stability criteria for feedback systems with a single time-varying gain, which impose average variation constraints on the gain is treated. A unified approach is presented which facilitates the development of such average variation criteria for both linear and nonlinear systems. The stability criteria derived here are shown to be more general than the existing results.

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A class of linear time-varying discrete systems is considered, and closed-form solutions are obtained in different cases. Some comments on stability are also included.

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Receive antenna selection (AS) has been shown to maintain the diversity benefits of multiple antennas while potentially reducing hardware costs. However, the promised diversity gains of receive AS depend on the assumptions of perfect channel knowledge at the receiver and slowly time-varying fading. By explicitly accounting for practical constraints imposed by the next-generation wireless standards such as training, packetization and antenna switching time, we propose a single receive AS method for time-varying fading channels. The method exploits the low training overhead and accuracy possible from the use of discrete prolate spheroidal (DPS) sequences based reduced rank subspace projection techniques. It only requires knowledge of the Doppler bandwidth, and does not require detailed correlation knowledge. Closed-form expressions for the channel prediction and estimation error as well as symbol error probability (SEP) of M-ary phase-shift keying (MPSK) for symbol-by-symbol receive AS are also derived. It is shown that the proposed AS scheme, after accounting for the practical limitations mentioned above, outperforms the ideal conventional single-input single-output (SISO) system with perfect CSI and no AS at the receiver and AS with conventional estimation based on complex exponential basis functions.

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Training for receive antenna selection (AS) differs from that for conventional multiple antenna systems because of the limited hardware usage inherent in AS. We analyze and optimize the performance of a novel energy-efficient training method tailored for receive AS. In it, the transmitter sends not only pilots that enable the selection process, but also an extra pilot that leads to accurate channel estimates for the selected antenna that actually receives data. For time-varying channels, we propose a novel antenna selection rule and prove that it minimizes the symbol error probability (SEP). We also derive closed-form expressions for the SEP of MPSK, and show that the considered training method is significantly more energy-efficient than the conventional AS training method.