Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

The Implications of Bach's Introduction of New Fugal Techniques and Procedures in the Well-Tempered Clavier Book Two

Among the fugues of the WTC II, there are some fugal techniques and procedures that were not explored in the first book. Here, the ‘fugal techniques’ include parallel entries (as used in the fugues in D-sharp minor, G minor and B-flat minor) and double counterpoint at the tenth or twelfth as well as fifteenth (as used in the fugues in G minor and B major). The ‘fugal procedures’, on the other hand, refer to meticulously planned multi-exposition architecture (as seen in the fugues in F-sharp minor exploiting two subsidiary subjects, and B-flat minor exploiting inversion and stretto) and a form in which the appearance of the subsidiary subject is gradually predicted in the fugal discourse (viz. C-sharp minor, G-sharp minor and B major). All these new ideas helped Bach to write more dramatic, more profound fugues for WTC II. The paper will consider how Bach came to acquire the new techniques and to use them in such ways, and what motivated him to adopt these new compositional approaches. Do they offer any clues for our better understanding of why Bach compiled the WTC II?

A Low Complexity Real-time MIMO-Preprocessing For Fixed Complexity Sphere Decoder

Modern Multiple-Input Multiple-Output (MIMO) communication systems place huge demands on embedded processing resources in terms of throughput, latency and resource utilization. State-of-the-art MIMO detector algorithms, such as Fixed-Complexity Sphere Decoding (FSD), rely on efficient channel preprocessing involving numerous calculations of the pseudo-inverse of the channel matrix by QR Decomposition (QRD) and ordering. These highly complicated operations can quickly become the critical prerequisite for real-time MIMO detection, exaggerated as the number of antennas in a MIMO detector increases. This paper describes a sorted QR decomposition (SQRD) algorithm extended for FSD, which significantly reduces the complexity and latency
of this preprocessing step and increases the throughput of MIMO detection. It merges the calculations of the QRD and ordering operations to avoid multiple iterations of QRD. Specifically, it shows that SQRD reduces the computational complexity by over 60-70% when compared to conventional
MIMO preprocessing algorithms. In 4x4 to 7x7 MIMO cases, the approach suffers merely 0.16-0.2 dB reduction in Bit Error Rate (BER) performance.

Tree-Based Adaptive Spatial Detection for Adaptive Modulated MIMO Systems

Adaptive Multiple-Input Multiple-Output (MIMO) systems achieve a much higher information rate than conventional fixed schemes due to their ability to adapt their configurations according to the wireless communications environment. However, current adaptive MIMO detection schemes exhibit either low performance (and hence low spectral efficiency) or huge computational
complexity. In particular, whilst deterministic Sphere Decoder (SD) detection schemes are well established for static MIMO systems, exhibiting deterministic parallel structure, low computational complexity and quasi-ML detection performance, there are no corresponding adaptive schemes. This paper solves
this problem, describing a hybrid tree based adaptive modulation detection scheme. Fixed Complexity Sphere Decoding (FSD) and Real-Values FSD (RFSD) are modified and combined into a hybrid scheme exploited at low and medium SNR to provide the highest possible information rate with quasi-ML Bit Error
Rate (BER) performance, while Reduced Complexity RFSD, BChase and Decision Feedback (DFE) schemes are exploited in the high SNR regions. This algorithm provides the facility to balance the detection complexity with BER performance with compatible information rate in dynamic, adaptive MIMO communications
environments.

Drug release enhancement from silicone intravaginal rings by incorporation of water soluble excipients

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