A method for merging flow-dependent forecast error statistics from an ensemble with static statistics for use in high resolution variational data assimilation

The background error covariance matrix, B, is often used in variational data assimilation for numerical weather prediction as a static and hence poor approximation to the fully dynamic forecast error covariance matrix, Pf. In this paper the concept of an Ensemble Reduced Rank Kalman Filter (EnRRKF) is outlined. In the EnRRKF the forecast error statistics in a subspace defined by an ensemble of states forecast by the dynamic model are found. These statistics are merged in a formal way with the static statistics, which apply in the remainder of the space. The combined statistics may then be used in a variational data assimilation setting. It is hoped that the nonlinear error growth of small-scale weather systems will be accurately captured by the EnRRKF, to produce accurate analyses and ultimately improved forecasts of extreme events.

The inflation hedging characteristics of US and UK investments: a multi-factor error correction approach

Historic analysis of the inflation hedging properties of stocks produced anomalous results, with equities often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results have been mixed. This paper explores the relationship between commercial real estate returns (from both private and public markets) and economic, fiscal and monetary factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalisation stock returns in both markets is carried out. Inflation is subdivided into expected and unexpected components using different estimation techniques. The analyses are undertaken using long-run error correction techniques. In the long-run, once real and monetary variables are included, asset returns are positively linked to anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real estate returns, particularly direct market returns, exhibit characteristics that differ from equities.

I and I: immunity to error through misidentification of the subject

Abstract I argue for the following claims: [1] all uses of I (the word ‘I’ or thought-element I) are absolutely immune to error through misidentification relative to I. [2] no genuine use of I can fail to refer. Nevertheless [3] I isn’t univocal: it doesn’t always refer to the same thing, or kind of thing, even in the thought or speech of a single person. This is so even though [4] I always refers to its user, the subject of experience who speaks or thinks, and although [5] if I’m thinking about something specifically as myself, I can’t fail to be thinking of myself, and although [6] a genuine understanding use of I always involves the subject thinking of itself as itself, whatever else it does or doesn’t involve, and although [7] if I take myself to be thinking about myself, then I am thinking about myself.

Rational expectations? Developer behaviour and development cycles in the central London office market

Purpose – Expectations of future market conditions are acknowledged to be crucial for the development decision and hence for shaping the built environment. The purpose of this paper is to study the central London office market from 1987 to 2009 and test for evidence of rational, adaptive and naive expectations. Design/methodology/approach – Two parallel approaches are applied to test for either rational or adaptive/naive expectations: vector auto-regressive (VAR) approach with Granger causality tests and recursive OLS regression with one-step forecasts. Findings – Applying VAR models and a recursive OLS regression with one-step forecasts, the authors do not find evidence of adaptive and naïve expectations of developers. Although the magnitude of the errors and the length of time lags between market signal and construction starts vary over time and development cycles, the results confirm that developer decisions are explained, to a large extent, by contemporaneous and historic conditions in both the City and the West End, but this is more likely to stem from the lengthy design, financing and planning permission processes rather than adaptive or naive expectations. Research limitations/implications – More generally, the results of this study suggest that real estate cycles are largely generated endogenously rather than being the result of large demand shocks and/or irrational behaviour. Practical implications – Developers may be able to generate excess profits by exploiting market inefficiencies but this may be hindered in practice by the long periods necessary for planning and construction of the asset. Originality/value – This paper focuses the scholarly debate of real estate cycles on the role of expectations. It is also one of very few spatially disaggregate studies of the subject matter.

An automated calibration method for non-see-through head mounted displays

Accurate calibration of a head mounted display (HMD) is essential both for research on the visual system and for realistic interaction with virtual objects. Yet, existing calibration methods are time consuming and depend on human judgements, making them error prone, and are often limited to optical see-through HMDs. Building on our existing approach to HMD calibration Gilson et al. (2008), we show here how it is possible to calibrate a non-see-through HMD. A camera is placed inside a HMD displaying an image of a regular grid, which is captured by the camera. The HMD is then removed and the camera, which remains fixed in position, is used to capture images of a tracked calibration object in multiple positions. The centroids of the markers on the calibration object are recovered and their locations re-expressed in relation to the HMD grid. This allows established camera calibration techniques to be used to recover estimates of the HMD display's intrinsic parameters (width, height, focal length) and extrinsic parameters (optic centre and orientation of the principal ray). We calibrated a HMD in this manner and report the magnitude of the errors between real image features and reprojected features. Our calibration method produces low reprojection errors without the need for error-prone human judgements.

A stress-controlled mechanism for the intensity of very large magnitude explosive eruptions

Large magnitude explosive eruptions are the result of the rapid and large-scale transport of silicic magma stored in the Earth's crust, but the mechanics of erupting teratonnes of silicic magma remain poorly understood. Here, we demonstrate that the combined effect of local crustal extension and magma chamber overpressure can sustain linear dyke-fed explosive eruptions with mass fluxes in excess of 10^10 kg/s from shallow-seated (4–6 km depth) chambers during moderate extensional stresses. Early eruption column collapse is facilitated with eruption duration of the order of few days with an intensity of at least one order of magnitude greater than the largest eruptions in the 20th century. The conditions explored in this study are one way in which high mass eruption rates can be achieved to feed large explosive eruptions. Our results corroborate geological and volcanological evidences from volcano-tectonic complexes such as the Sierra Madre Occidental (Mexico) and the Taupo Volcanic Zone (New Zealand).

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests that there are more dynamics present than should be in effectively functioning markets. Using self-exciting threshold autoregressive (SETAR) models, this study analyses whether such dynamics can be related to different regimes within which the basis can fluctuate in a predictable manner without triggering arbitrage. These findings reveal that the basis shows strong evidence of autoregressive behaviour when its value is between the two thresholds but that the extra dynamics disappear once the basis moves above the upper threshold and their persistence is reduced, although not eradicated, once the basis moves below the lower threshold. This suggests that once nonlinearity associated with transactions costs is accounted for, stock and stock index futures markets function more effectively than is suggested by linear models of the pricing relationship.

Temperature-tuned vector phase conjugation in azobenzene dye impregnated polymer films

Near-perfect vector phase conjugation was achieved at 488 nm in a methyl red dye impregnated polymethylmethacrylate film by employing a temperature tuning technique. Using a degenerate four-wave mixing geometry with vertically polarized counterpropagating pump beams, intensity and polarization gratings were written in the dye/polymer system using a vertically or horizontally polarized weak probe beam. Over a limited temperature range, as the sample was heated, the probe reflectivity from the polarization grating dropped but the reflectivity from the intensity grating rose sharply. At a sample temperature of approximately 50°C, the reflectivities of the gratings were measured to be equal and we confirmed that, at this temperature, the measured vector phase conjugate fidelity was very close to unity. We discuss a possible explanation of this effect.

Capital market expectations and the London office market

The analysis of office market dynamics has generally concentrated on the impact of underlying fundamental demand and supply variables. This paper takes a slightly different approach to many previous examinations of rental dynamics. Within a Vector-Error-Correction framework the empirical analysis concentrates upon the impact of economic and financial variables on rents in the City of London and West End of London office markets. The impulse response and variance decomposition reveal that while lagged rental values and key demand drivers play a highly important role in the dynamics of rents, financial variables are also influential. Stock market performance not only influences the City of London market but also the West End, whilst the default spread plays an important role in recent years. It is argued that both series incorporate expectations about future economic performance and that this is the basis of their influence upon rental values.