1,721,005 research outputs found
Gibbs sampling approach to regime switching analysis of financial time series
Full text linkWe will introduce a Monte Carlo type inference in the framework of Markov Switching models to analyse financial time series, namely the Gibbs Sampling. In particular we generalize the results obtained in Albert and Chib (1993), Di Persio and Vettori (2014) and Kim and Nelson (1999) to take into account the switching mean as well as the switching variance case. In particular the volatility of the relevant time series will be treated as a state variable in order to describe the abrupt changes in the behaviour of financial time series which can be implied, e.g., by social, political or economic factors. The accuracy of the proposed analysis will be tested considering financial dataset related to the U.S. stock market in the period 2007–2014
Maximum Likelihood Approach to Markov Switching Models
Full text linkThe present paper concerns a Maximum Likelihood analysis for the Markov switching approach to the forecasting problem of financial time series. In particular we model the volatility parameter characterizing time series of interest as a state variable of a suitable Markov chain. Latter formulation is based on the idea of describing abrupt changes in the behaviour of studied financial quantities due to, e.g., social or political factors able to substantially change the economic scenarios we are interested in. A case study for the NASDAQ IXIC index in the period 3rd Jan 2007 - 30th Dec 2013 is also provided
A relaxed physical factorization preconditioner for mixed finite element coupled poromechanics
No full textIn this paper, we introduce a relaxed physical factorization (RPF) preconditioner for the efficient iterative solution of the linearized algebraic system arising from the mixed finite element discretization of coupled poromechanics equations. The preconditioner is obtained by using a proper factorization of the 3 x 3 block matrix and setting a relaxation parameter alpha. The preconditioner is inspired by the relaxed dimensional factorization introduced by Benzi et al. [J. Comput. Phys., 230 (2011), pp. 6185-6202; Comput. Methods Appl. Mech. Engrg., 300 (2016), pp. 129-145]. A stable algorithm is advanced to compute the optimal value of alpha, along with a lower bound to control the possible ill-conditioning of the alpha-dependent inner blocks. Numerical experiments in both theoretical benchmarks and real-world applications are presented and discussed to investigate the RPF properties, performance, and robustness
Enhanced relaxed physical factorization preconditioner for coupled poromechanics
Full text linkThe relaxed physical factorization (RPF) preconditioner is a recent algorithm allowing for the efficient and robust solution to the block linear systems arising from the three-field displacement-velocity-pressure formulation of coupled poromechanics. For its application, however, it is necessary to invert blocks with the algebraic form ̂=(+), where is a symmetric positive definite matrix, a rank-deficient term, and a real non-negative coefficient. The inversion of ̂, performed in an inexact way, can become unstable for large values of , as it usually occurs at some stages of a full poromechanical simulation. In this work, we propose a family of algebraic techniques to stabilize the inexact solve with ̂. This strategy can prove useful in other problems as well where such an issue might arise, such as augmented Lagrangian preconditioning techniques for Navier-Stokes or incompressible elasticity. First, we introduce an iterative scheme obtained by a natural splitting of matrix ̂. Second, we develop a technique based on the use of a proper projection operator annihilating the near-kernel modes of ̂. Both approaches give rise to a novel class of preconditioners denoted as Enhanced RPF (ERPF). Effectiveness and robustness of the proposed algorithms are demonstrated in both theoretical benchmarks and real-world large-size applications, outperforming the native RPF preconditioner
On the Development of Efficient Solvers for Real-World Coupled Hydromechanical Simulations
Full text linkLinear solvers usually are the most time- and memory-demanding part of a full coupled
hydromechanical simulation. The typical block structure of the linearized systems arising
from a fully-implicit solution approach requires the development of specialized algorithms,
ensuring both robustness and computational efficiency. In particular, the design of the
preconditioner to accelerate iterative methods based on Krylov subspaces is key for the
overall model effectiveness. This work introduces a unifying framework for the
development of preconditioning techniques in multi-physics problems, and specifically
in coupled poromechanics, with the aim to provide existing methods with a novel
interpretation. Three approaches, namely explicit, implicit and reverse, are considered
and compared in real-world challenging benchmarks, identifying merits and drawbacks of
each strategy. The proposed framework can open the way to a systematic comparison of
available preconditioning tools for coupled poromechanics and help generalize the existing
methods for the introduction of additional physical processes in the simulation
On the radioactive marker technique for in-situ compaction measurements: a critical review
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Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Integration of Data Assimilation Techniques in Geomechanical Modelling: Ensemble Smoother with Multiple Data Assimilation Analysis
No full textThe use of Data Assimilation (DA) techniques is receiving an increasing interest in geomechanical applications, with the aim to assess and reduce uncertainties associated to numerical outcomes by model constrain with available measurements. In geomechanical simulations, ensemble-based DA approaches are usually preferred. Among such techniques, Ensemble Smoother with Multiple Data Assimilation (MDA-ES) is usually recognized to improve the outcomes in nonlinear problems, but its use and parameter definition is still object of research. In this paper, MDA-ES has been tested in a synthetic case study dealing with the prediction of land subsidence above a producing hydrocarbon reservoir. Its effectiveness has been investigated varying both the DA parametrization and the geomechanical properties
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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