Estimating VAR models for the term structure of interest rates

In this paper we follow the work of Evans and Marshall and propose new approaches for modelling the joint development of macro variables and the returns of government bond yields of several maturities. The models are estimated and compared with other forecasting schemes previously proposed in the literature, especially those relying on univariate, VAR and error correction methods. The models are then used to judge the hypothesis that the information content of macro variables and the term structure of interest rates as a whole help improving forecasting performance. Our main conclusion is quite simple: if one is interested in computing short-term forecasts, then there is no significant improvement in incorporating information other than the one already present in past observations of the yield at hand; however, if one worries about long-term forecasts (which is frequently the case with pension insurance companies), then the information content of macro variables and the term structure can improve forecasting performance.     

指数分布危险函数的经验Bayes双侧检验的收敛速度: Ⅱ型截尾情形

本文讨论了Ⅱ型截尾情形下指数分布危险函数的经验Bayes (EB)双侧检验问题. 利用概率密度函数的核估计构造了经验Bayes检验函数, 在适当的条件下获得了它的收敛速度.     

Analysis of an MMPP/G/1/K queue with queue length dependent arrival rates,and its application to preventive congestion control in telecommunication networks

Recently telecommunication networks have been designed in order to transfer all types of information services such as voice, data and video. Next generation wireless networks has been developed to integrate the existing technologies and to support comprehensive services. As the traffics of diverse services have properties of timecorrelation and burstiness, unpredictable statistical fluctuation of traffic streams may cause congestion. To suggest a congestion control scheme which controls arrival rates according to the queue length, we consider an MMPP/G/1/K queue with queue length dependent arrival rates. The effect of system parameters on performance measures also is explained with the numerical examples.     

Continuous-Time Approximation of Short-Term Interest Rates in Generalized Ho-Lee Framework

In this paper, we study the weak convergence of short-term interest rate processes in multinomial (one-factor) and squared binomial (two-factor) generalizations of the Ho-Lee framework. We show that, under appropriate conditions on the rate of convergence of state probabilities and volatility parameter, in the one-factor case, the spot interest rate process converges to either Wiener process or superposition of Poisson processes. In the two-factor case, the limit process can have the form of the superposition of Wiener and Poisson components. The asymptotic results are proved under risk-neutral probability and local alternatives. Research is supported by the Lithuanian State Science and Studies Foundation, program “Mathematical Models of Lithuanian Economy for Forecasting of the Macroeconomic Processes” (registration No C-03004). __________ Translated from Lietuvos Matematikos Rinkinys, Vol. 45, No. 3, pp. 287–314, July–September, 2005.     

Efficient computation of time-based customer service levels in a multi-item, multi-echelon supply chain: A practical approach for inventory optimization

Time-based item fill rates, or “channel” fill rates, are the building blocks needed to evaluate steady-state compliance with time-based customer service agreements. Exact computation of channel fill rates is both difficult and time-consuming, yet their accurate assessment is essential for system-wide inventory optimization. We describe and validate a practical method for computing channel fill rates in a multi-item, multi-echelon service parts distribution system. A simulation study is presented which shows that, in a three-echelon setting, our estimation errors are very small over a wide range of base stock level vectors. A more accurate, though less efficient, approximation method is also evaluated for comparison.     

Modeling the combustion of JA2 and solid propellants of similar composition

A theoretical study on combustion of JA2, RPD-380, and RPD-351, which are modified double-base propellants composed primarily of three identical nitrate ester ingredients, is presented. A one-dimensional, two-phase model was used [M.S. Miller, W.R. Anderson, in: V. Yang, T.B. Brill, W.Z. Ren (Eds.), Solid Propellant Combustion Chemistry, Combustion and Motor Interior Ballistics, Progress in Astronautics and Aeronautics, vol. 185, AIAA, Reston, VA, 2000, pp. 501–531, (a) M.S. Miller, W.R. Anderson, J. Propul. Power 20 (3) (2004) 440–454. (b) M.S. Miller, W.R. Anderson, CYCLOPS, A Breakthrough Code to Predict Solid-Propellant Burning Rates, U.S. Army Research Laboratory Technical Report, 1987 ARL-TR-2910.]. This approach has been shown to give good agreement between predicted and experimental results for several nitrate ester propellants, including JA2 [(a) M.S. Miller, W.R. Anderson, J. Propul. Power 20 (3) (2004) 440–454. (b) M.S. Miller, W.R. Anderson, CYCLOPS, A Breakthrough Code to Predict Solid-Propellant Burning Rates, U.S. Army Research Laboratory Technical Report, 1987 ARL-TR-2910.]. Extension of the model to the two RPD variants yields results in good agreement with existing experimental data. Comparisons of the response of predicted burning rates to experimental formulation changes at gun pressures, and to the initial propellant temperature are particularly encouraging. Our results show the burning rate ordering of these propellants is JA2 < RPD-380 < RPD-351 at all pressures. Chemistry which appears to account for this ordering is discussed. Also, an upgraded mechanism was used, and the reasons for some slight changes in results vs. an older one are identified. Sensitivities of the computed temperatures near the propellant surface to the various reactions’ rate coefficients are discussed; these provide insights regarding which reactions are centrally important to the computed burning rates and solutions. The spatial structure of one propellant flame – temperature and species profiles – is given; variations vs. the formulations and pressure are discussed. The fidelity of burning rate response to mixture ratio and initial propellant temperature are encouraging that the model may find application in propellant formulation science and elsewhere.     

Investigation into the effects of deposition parameters on TiO2 photocatalyst thin films by rf magnetron sputtering

Titanium dioxide (TiO₂) photocatalyst thin films were deposited on non-alkali glass substrates by radio frequency (rf) magnetron sputtering. The Taguchi method with orthogonal array, signal-to-noise ratio and analysis of variance were employed to study the performance characteristics. The experimental studies were conducted under different rf powers, sputtering pressures, O₂/(Ar+O₂) flow-rate ratios, and substrate temperatures. The deposited TiO₂ films were of the anatase phase with a (101) preferred orientation. We performed both photoinduced decomposition of methylene blue (MB) and photoinduced hydrophilicity under UV light illumination. With the optimized TiO₂ photocatalyst thin film deposition conditions, the water contact angle after 9 min UV illumination was approximately 5, the absorbance of MB was reduced to 0.2 for 240 min UV irradiation, and the deposition rate was 34.18 Å/min.     

树脂型光刻胶薄膜中Eu~(3+)的辐射跃迁特性

合成了稀土配合物Eu(TTFA)3(TTFA,2-thenoyltfifluoroacetone)掺杂的树脂型光刻胶薄膜,测定了薄膜的激发光谱和发射光谱.根据Judd-Ofelt理论,由发射光谱获得了Eu3+在光刻胶薄膜中的J-O参数Ω2=24.4×10-20cm2,Ω4=2.8×10-20cm2.利用得到的J-O参数计算了光刻胶薄膜中5D0激发态的辐射跃迁概率(977 s-1)和辐射寿命(1.02 ms),同时导出了光刻胶薄膜中Eu3+的5D0→FJ(J=1,2,4)跃迁的受激发射截面σ和荧光分支比β.分析表明,Eu3+掺杂的光刻胶薄膜具有较长的亚稳态寿命以及较大的受激发射截面,是一种主动放大的光波导薄膜.其发射波长与光刻胶的低吸收损耗区很好地匹配,可用于研发聚合物光波导放大器和激光器.     

Blow-up estimates for semilinear parabolic systems coupled in an equation and a boundary condition

This paper deals with the blow-up rate estimates of solutions for semilinear parabolic systems coupled in an equation and a boundary condition. The upper and lower bounds of blow-up rates have been obtained.     

SINNMR studies of acoustically induced rotation of suspended particles

Experiments and data analyses are reported on the 20 kHz acoustic manipulation of samples of trisodium phosphate dodecahydrate, of varying particle size, suspended in suitable support media. Data are obtained to expand the understanding and optimisation of the SINNMR (sonically induced narrowing of the nuclear magnetic resonance spectra of solids) technique, and use this to determine acoustically induced particle rotational correlation times. It is concluded that the average particle rotational correlation time decreases with increasing particle size and decreasing viscosity/density of the support media. Acoustic cavitation and accompanying interparticle collisions are shown to be important in the observation of SINNMR spectra.