Abstract: The evolution of financial markets is a complicated real-world phenomenon that ranks at the top in terms of difficulty of modeling and/or prediction. One reason for this difficulty is the well-documented nonlinearity that is inherently at work. The state-of-the-art on the nonlinear modeling of financial returns is given by the popular ARCH (Auto-Regressive Conditional Heteroscedastici...

In this paper, maximum a posteriori (MAP) detection is applied to a direct-sequence code-division multiple-access (DS-CDMA) system jointly with identification and estimation of time-selective fading channels. By sampling the outputs of the matched filter and combining antenna array elements, strong and time-varying multiple-access interference (MAI) is characterized and suppressed instantaneous...

"A common hypothesis regarding the distribution of income is that it tends to become more unequal in the initial and middle stages of economic development, in part because of demographic changes. However, previous studies of the effect of demographic changes on income distribution are not based on the underlying micro determinants of the income components." In the present paper, "the micro de...

In linear mixtures, priors, like temporal coloration of the sources, can be used for designing simpler and better algorithms. Especially, modeling sources by Markov models is very efficient, and Markov source separation can be achieved by minimizing the conditional mutual information [1, 2]. This model allows to separate temporally colored Gaussian sources. In this paper, we extend this result ...

Autism is a severe neurodevelopmental disorder that is characterized by impaired language, communication, and social skills. In regressive autism, affected children first show signs of normal social and language development but eventually lose these skills and develop autistic behavior. Protein kinases are essential in G-protein-coupled, receptor-mediated signal transduction and are involved in...

A SHM method is proposed that minimises the required number of sensors for detecting damage. The damage detection method consists of two steps. In an initial characterization step, substructuring approach is applied to the healthy structure in order to isolate the substructures of interest and later, each substructure is identified by a Vector Auto-Regressive with eXogenous inputs (VARX) model ...

We study both empirically and theoretically the consequences of introducing a conditional cash transfer scheme for the distribution of program impacts. Intuitively, if the conditioned-on good is normal, then better-off households tend to receive a larger positive impact. I formalize this insight by means of a simple model of child labor, applying the Nash-Bargaining approach as the solution con...

This article discusses the application of Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) time series models for representing the dynamics of traffic flow volatility. The methods encountered in the literature so far, focus on the levels of traffic flows while regarding variance constant through time. The approach adopted in this paper concentrates mostly on the autoregressive...

Most HMM-based speech recognition systems use Gaussian mixtures as observation probability density functions. An important goal in all such systems is to improve parsimony. One method is to adjust the type of covariance matrices used. In this work, factored sparse inverse covariance matrices are introduced. Based on U DU factorization, the inverse covariance matrix can be represented using line...