Some misspecfication problems in long-memory time series models

Doctor of Philosophy in Mathematics

A modular distributed transactional memory framework

Dissertação para obtenção do Grau de Mestre em Engenharia Informática

Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal of this paper is to extend the classical testing framework for I(1) versus I(0)+ breaks by considering a a more general class of models under the null hypothesis: non-stationary fractionally integrated (FI) processes. A similar identification problem holds in this broader setting which is shown to be a relevant issue from both a statistical and an economic perspective. The proposed test is developed in the time domain and is very simple to compute. The asymptotic properties of the new technique are derived and it is shown by simulation that it is very well-behaved in finite samples. To illustrate the usefulness of the proposed technique, an application using inflation data is also provided.

Bifurcation and singularity analysis of a molecular network for the induction of long-term memory.

Withdrawal reflexes of the mollusk Aplysia exhibit sensitization, a simple form of long-term memory (LTM). Sensitization is due, in part, to long-term facilitation (LTF) of sensorimotor neuron synapses. LTF is induced by the modulatory actions of serotonin (5-HT). Pettigrew et al. developed a computational model of the nonlinear intracellular signaling and gene network that underlies the induction of 5-HT-induced LTF. The model simulated empirical observations that repeated applications of 5-HT induce persistent activation of protein kinase A (PKA) and that this persistent activation requires a suprathreshold exposure of 5-HT. This study extends the analysis of the Pettigrew model by applying bifurcation analysis, singularity theory, and numerical simulation. Using singularity theory, classification diagrams of parameter space were constructed, identifying regions with qualitatively different steady-state behaviors. The graphical representation of these regions illustrates the robustness of these regions to changes in model parameters. Because persistent protein kinase A (PKA) activity correlates with Aplysia LTM, the analysis focuses on a positive feedback loop in the model that tends to maintain PKA activity. In this loop, PKA phosphorylates a transcription factor (TF-1), thereby increasing the expression of an ubiquitin hydrolase (Ap-Uch). Ap-Uch then acts to increase PKA activity, closing the loop. This positive feedback loop manifests multiple, coexisting steady states, or multiplicity, which provides a mechanism for a bistable switch in PKA activity. After the removal of 5-HT, the PKA activity either returns to its basal level (reversible switch) or remains at a high level (irreversible switch). Such an irreversible switch might be a mechanism that contributes to the persistence of LTM. The classification diagrams also identify parameters and processes that might be manipulated, perhaps pharmacologically, to enhance the induction of memory. Rational drug design, to affect complex processes such as memory formation, can benefit from this type of analysis.

More than synaptic plasticity: role of nonsynaptic plasticity in learning and memory.

Decades of research on the cellular mechanisms of memory have led to the widely held view that memories are stored as modifications of synaptic strength. These changes involve presynaptic processes, such as direct modulation of the release machinery, or postsynaptic processes, such as modulation of receptor properties. Parallel studies have revealed that memories might also be stored by nonsynaptic processes, such as modulation of voltage-dependent membrane conductances, which are expressed as changes in neuronal excitability. Although in some cases nonsynaptic changes can function as part of the engram itself, they might also serve as mechanisms through which a neural circuit is set to a permissive state to facilitate synaptic modifications that are necessary for memory storage.

Interlinked dual-time feedback loops can enhance robustness to stochasticity and persistence of memory.

Multiple interlinked positive feedback loops shape the stimulus responses of various biochemical systems, such as the cell cycle or intracellular Ca2+ release. Recent studies with simplified models have identified two advantages of coupling fast and slow feedback loops. This dual-time structure enables a fast response while enhancing resistances of responses and bistability to stimulus noise. We now find that (1) the dual-time structure similarly confers resistance to internal noise due to molecule number fluctuations, and (2) model variants with altered coupling, which better represent some specific biochemical systems, share all the above advantages. We also develop a similar bistable model with coupling of a fast autoactivation loop to a slow loop. This model's topology was suggested by positive feedback proposed to play a role in long-term synaptic potentiation (LTP). The advantages of fast response and noise resistance are also present in this autoactivation model. Empirically, LTP develops resistance to reversal over approximately 1h . The model suggests this resistance may result from increased amounts of synaptic kinases involved in positive feedback.

Modelling Immunological Memory

Accurate immunological models offer the possibility of performing highthroughput experiments in silico that can predict, or at least suggest, in vivo phenomena. In this chapter, we compare various models of immunological memory. We first validate an experimental immunological simulator, developed by the authors, by simulating several theories of immunological memory with known results. We then use the same system to evaluate the predicted effects of a theory of immunological memory. The resulting model has not been explored before in artificial immune systems research, and we compare the simulated in silico output with in vivo measurements. Although the theory appears valid, we suggest that there are a common set of reasons why immunological memory models are a useful support tool; not conclusive in themselves.

Return and Volatility performance comparison of Ethical and Non-ethical publicly-listed financial services companies

Full Text / Article complet

Simulação de reservatórios de petróleo em ambiente MPSoC

The constant increase of complexity in computer applications demands the development of more powerful hardware support for them. With processor's operational frequency reaching its limit, the most viable solution is the use of parallelism. Based on parallelism techniques and the progressive growth in the capacity of transistors integration in a single chip is the concept of MPSoCs (Multi-Processor System-on-Chip). MPSoCs will eventually become a cheaper and faster alternative to supercomputers and clusters, and applications developed for these high performance systems will migrate to computers equipped with MP-SoCs containing dozens to hundreds of computation cores. In particular, applications in the area of oil and natural gas exploration are also characterized by the high processing capacity required and would benefit greatly from these high performance systems. This work intends to evaluate a traditional and complex application of the oil and gas industry known as reservoir simulation, developing a solution with integrated computational systems in a single chip, with hundreds of functional unities. For this, as the STORM (MPSoC Directory-Based Platform) platform already has a shared memory model, a new distributed memory model were developed. Also a message passing library has been developed folowing MPI standard

A parallel numerical solver using hierarchically tiled arrays

Solving linear systems is an important problem for scientific computing. Exploiting parallelism is essential for solving complex systems, and this traditionally involves writing parallel algorithms on top of a library such as MPI. The SPIKE family of algorithms is one well-known example of a parallel solver for linear systems. The Hierarchically Tiled Array data type extends traditional data-parallel array operations with explicit tiling and allows programmers to directly manipulate tiles. The tiles of the HTA data type map naturally to the block nature of many numeric computations, including the SPIKE family of algorithms. The higher level of abstraction of the HTA enables the same program to be portable across different platforms. Current implementations target both shared-memory and distributed-memory models. In this thesis we present a proof-of-concept for portable linear solvers. We implement two algorithms from the SPIKE family using the HTA library. We show that our implementations of SPIKE exploit the abstractions provided by the HTA to produce a compact, clean code that can run on both shared-memory and distributed-memory models without modification. We discuss how we map the algorithms to HTA programs as well as examine their performance. We compare the performance of our HTA codes to comparable codes written in MPI as well as current state-of-the-art linear algebra routines.

Models of immune memory: On the role of cross-reactive stimulation, competition, and homeostasis in maintaining immune memory

There has been much debate on the contribution of processes such as the persistence of antigens, cross-reactive stimulation, homeostasis, competition between different lineages of lymphocytes, and the rate of cell turnover on the duration of immune memory and the maintenance of the immune repertoire. We use simple mathematical models to investigate the contributions of these various processes to the longevity of immune memory (defined as the rate of decline of the population of antigen-specific memory cells). The models we develop incorporate a large repertoire of immune cells, each lineage having distinct antigenic specificities, and describe the dynamics of the individual lineages and total population of cells. Our results suggest that, if homeostatic control regulates the total population of memory cells, then, for a wide range of parameters, immune memory will be long-lived in the absence of persistent antigen (T1/2 > 1 year). We also show that the longevity of memory in this situation will be insensitive to the relative rates of cross-reactive stimulation, the rate of turnover of immune cells, and the functional form of the term for the maintenance of homeostasis.

Estimating and forecasting generalized fractional Long memory stochastic volatility models

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory processes, and investigate the finite sample properties via Monte Carlo experiments. We apply the model to three exchange rate return series. Overall, the results of the out-of-sample forecasts show the adequacy of the new GLMSV model.

Concreteness effects in different tasks: implications for models of short-term memory

This study investigates concreteness effects in tasks requiring short-term retention. Concreteness effects were assessed in serial recall, matching span, order reconstruction, and free recall. Each task was carried out both in a control condition and under articulatory suppression. Our results show no dissociation between tasks that do and do not require spoken output. This argues against the redintegration hypothesis according to which lexical-semantic effects in short-term memory arise only at the point of production. In contrast, concreteness effects were modulated by task demands that stressed retention of item versus order information. Concreteness effects were stronger in free recall than in serial recall. Suppression, which weakens phonological representations, enhanced the concreteness effect with item scoring. In a matching task, positive effects of concreteness occurred with open sets but not with closed sets of words. Finally, concreteness effects reversed when the task asked only for recall of word positions (as in the matching task), when phonological representations were weak (because of suppression), and when lexical semantic representations overactivated (because of closed sets). We interpret these results as consistent with a model where phonological representations are crucial for the retention of order, while lexical-semantic representations support maintenance of item identity in both input and output buffers.