Autorregresive conditional volatility, skewness and kurtosis

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.

Financing And Cooperation For Sustainable Development In The Mediterranean, Sophia Antipolis, France, 3-4 June 2004: Volume II: Technical Report of the Workshop

(263 page document)

Keys to success in an example of inter-competitor cooperation: The case of the "Big Seven" basque chefs

The case of the top chefs relates the two areas that are apparently most distant, nutrition and health technology. It is the element that binds[3] the four, making them into a single whole. The results achieved by our chefs, in terms of their individual and collective success and their international projection of the image of the Basque Country comprise a goal to which other industries in the region should aspire. It is therefore our plan to apply the keys to this successful inter-competitor cooperation to development of the health technology industry. At the same time, we want to fulfil one of the aims that have been established for the food area: to make use of the country’s gastronomy-related assets.

Emergence of Cooperation in Heterogeneous Population: A Discrete-Time Replicator Dynamics Analysis

The emergence of cooperation is analyzed in heterogeneous populations where individuals can be classified in two groups according to their phenotypic appearance. Phenotype recognition is assumed for all individuals: individuals are able to identify the type of every other individual, but fail to recognize their own type, and thus behave under partial information conditions. The interactions between individuals are described by 2 × 2 symmetric games where individuals can either cooperate or defect. The evolution of such populations is studied in the framework of evolutionary game by means of the replicator dynamics. Overlapping generations are considered, so the replicator equations are formulated in discrete-time form. The well-posedness conditions of the system are derived. Depending on the parameters of the game, a restriction may exist for the generation length. The stability analysis of the dynamical system is carried out and a detailed description of the behavior of trajectories starting from the interior of the state-space is given. We find that, provided the conditions of well-posedness are verified, the linear stability of monomorphic states in the discrete-time replicator coincides with the one of the continuous case. Specific from the discrete-time case, a relaxed restriction for the generation length is derived, for which larger time-steps can be used without compromising the well-posedness of the replicator system.

Soviet-American Cooperative Research on Marine Mammals. Volume 1- Pinnipeds: Under Project V.6. Marine Mammals, of the US-USSR Agreement on Cooperation in the Field of Environmental Protection

Some 25 to 30 yr ago, when we as students were beginning our respective careers and were developing for the first time our awareness of marine mammals in the waters separating western North America from eastern Asia, we had visions of eventually bridging the communication gap which existed between our two countries at that time. Each of us was anxious to obtain information on the distribution, biology, and ecological relations of "our" seals and walruses on "the other side," beyond our respective political boundari~s where we were not permitted to go to study them. We were concerned that the resource management practices on the other side of the Bering and Chukchi Seas, implemented in isolation, on a purely unilateral basis, might endanger the species which we had come to know and were striving to conserve. At once apparent to both of us was the need for free exchange of biological information between our two countries and, ultimately, joint management of our shared resources. In a small way, we and others made some initial efforts to generate that exchange by personal correspondence and through vocal interchange at the annual meetings of the North Pacific Fur Seal Commission. By the enabling Agreement on Cooperation in the Field of Environmental Protection, reached between our two countries in 1972, our earlier visions at last came true. Since that time, within the framework of the Marine Mammal Project under Area V of that Agreement, we and our colleagues have forged a strong bond of professional accord and respect, in an atmosphere of free intercommunication and mutual understanding. The strength and utility of this arrangement from the beginning of our joint research are reflected in the reports contained in this, the first compendium of our work. The need for a series of such a compendia became apparent to us in 1976, and its implementation was agreed on by the regular meeting of the Project in La Jolla, Calif., in January 1977. Obviously, the preparation and publication of this first volume has been excessively delayed, in part by continuing political distrust between our governments but mainly by increasing demands placed on the time of the contributors. In this period of growing environmental concern in both countries, we and our colleagues have been totally immersed in other tasks and have experienced great difficulty in drawing together the works presented here. Much of the support for doing so was provided by the State of Alaska, through funding for Organized Research at the University of Alaska-Fairbanks. For its ultimate completion in publishable form we wish to thank Helen Stockholm, Director of Publications, Institute of Marine Science, University of Alaska, and her staff, especially Ruth Hand, and the numerous referees narned herein who gave willingly oftheir time to review each ofthe manuscripts critically and to provide a high measure of professionalism to the final product. (PDF file contains 110 pages.)

Conditional independence in quantum many-body systems

In this thesis, I will discuss how information-theoretic arguments can be used to produce sharp bounds in the studies of quantum many-body systems. The main advantage of this approach, as opposed to the conventional field-theoretic argument, is that it depends very little on the precise form of the Hamiltonian. The main idea behind this thesis lies on a number of results concerning the structure of quantum states that are conditionally independent. Depending on the application, some of these statements are generalized to quantum states that are approximately conditionally independent. These structures can be readily used in the studies of gapped quantum many-body systems, especially for the ones in two spatial dimensions. A number of rigorous results are derived, including (i) a universal upper bound for a maximal number of topologically protected states that is expressed in terms of the topological entanglement entropy, (ii) a first-order perturbation bound for the topological entanglement entropy that decays superpolynomially with the size of the subsystem, and (iii) a correlation bound between an arbitrary local operator and a topological operator constructed from a set of local reduced density matrices. I also introduce exactly solvable models supported on a three-dimensional lattice that can be used as a reliable quantum memory.

Robot navigation in dense crowds : statistical models and experimental studies of human robot cooperation

This thesis explores the problem of mobile robot navigation in dense human crowds. We begin by considering a fundamental impediment to classical motion planning algorithms called the freezing robot problem: once the environment surpasses a certain level of complexity, the planner decides that all forward paths are unsafe, and the robot freezes in place (or performs unnecessary maneuvers) to avoid collisions. Since a feasible path typically exists, this behavior is suboptimal. Existing approaches have focused on reducing predictive uncertainty by employing higher fidelity individual dynamics models or heuristically limiting the individual predictive covariance to prevent overcautious navigation. We demonstrate that both the individual prediction and the individual predictive uncertainty have little to do with this undesirable navigation behavior. Additionally, we provide evidence that dynamic agents are able to navigate in dense crowds by engaging in joint collision avoidance, cooperatively making room to create feasible trajectories. We accordingly develop interacting Gaussian processes, a prediction density that captures cooperative collision avoidance, and a "multiple goal" extension that models the goal driven nature of human decision making. Navigation naturally emerges as a statistic of this distribution.

Most importantly, we empirically validate our models in the Chandler dining hall at Caltech during peak hours, and in the process, carry out the first extensive quantitative study of robot navigation in dense human crowds (collecting data on 488 runs). The multiple goal interacting Gaussian processes algorithm performs comparably with human teleoperators in crowd densities nearing 1 person/m², while a state of the art noncooperative planner exhibits unsafe behavior more than 3 times as often as the multiple goal extension, and twice as often as the basic interacting Gaussian process approach. Furthermore, a reactive planner based on the widely used dynamic window approach proves insufficient for crowd densities above 0.55 people/m². We also show that our noncooperative planner or our reactive planner capture the salient characteristics of nearly any dynamic navigation algorithm. For inclusive validation purposes, we show that either our non-interacting planner or our reactive planner captures the salient characteristics of nearly any existing dynamic navigation algorithm. Based on these experimental results and theoretical observations, we conclude that a cooperation model is critical for safe and efficient robot navigation in dense human crowds.

Finally, we produce a large database of ground truth pedestrian crowd data. We make this ground truth database publicly available for further scientific study of crowd prediction models, learning from demonstration algorithms, and human robot interaction models in general.