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Random Walk (random + walk)
Terms modified by Random Walk Selected AbstractsVARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEWJOURNAL OF ECONOMIC SURVEYS, Issue 3 2009Amélie Charles Abstract This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America. [source] Global Illumination as a Combination of Continuous Random Walk and Finite-Element Based IterationCOMPUTER GRAPHICS FORUM, Issue 3 2001László Szirmay-Kalos The paper introduces a global illumination method that combines continuous and finite-element approaches, pre-serving the speed of finite-element based iteration and the accuracy of continuous random walks. The basic idea is to decompose the radiance function to a finite-element component that is only a rough estimate and to a difference component that is obtained by Monte-Carlo techniques. Iteration and random walk are handled uniformly in the framework of stochastic iteration. This uniform treatment allows the finite-element component to be built up adap-tively aiming at minimizing the Monte-Carlo component. The method is also suited for interactive walkthrough animation in glossy scenes since when the viewpoint changes, only the small Monte-Carlo component needs to be recomputed. [source] Random Walks and the Cointegration of the ACLI and NCREIFREAL ESTATE ECONOMICS, Issue 3 2000Leon Shilton Do NCREIF returns influence commercial mortgage underwriters when they adjust capitalization rates? Are the ACLI capitalization series and the NCREIF return series cointegrated at the national and the smaller geographic sub-division levels? This research uses a two-step procedure to test for cointegration. First, the Phillips,Perron unit-root procedure must show that each series is a unit-root random walk. Previous research usually has assumed that these series are random walks, with the implication that the commercial mortgage market is efficient. Second, the Phillips,Ouliaris test of the residuals of a function of the two series determines the possibility of cointegration. At the national level and for the Northeast and Pacific regions the two series are random walks and cointegrated. In other geographic sub-divisions, neither or only one series is a random walk and therefore the data does not support a relationship. The lack of functional relationships in four of the six smaller geographic regions suggests that underwriters are not obtaining the NCREIF information or are ignoring it. The lack of random walks with the implication about capital-market efficiency invites further research. [source] Random walks on the vertices of transportation polytopes with constant number of sourcesRANDOM STRUCTURES AND ALGORITHMS, Issue 3 2008Mary Cryan Abstract We consider the problem of uniformly sampling a vertex of a transportation polytope with m sources and n destinations, where m is a constant. We analyze a natural random walk on the edge-vertex graph of the polytope. The analysis makes use of the multicommodity flow technique of Sinclair [Combin Probab Comput 1 (1992), 351,370] together with ideas developed by Morris and Sinclair [SIAM J Comput 34 (2004), 195,226] for the knapsack problem, and Cryan et al. [SIAM J Comput 36 (2006), 247,278] for contingency tables, to establish that the random walk approaches the uniform distribution in time n. © 2008 Wiley Periodicals, Inc. Random Struct. Alg., 2008 [source] Global Illumination as a Combination of Continuous Random Walk and Finite-Element Based IterationCOMPUTER GRAPHICS FORUM, Issue 3 2001László Szirmay-Kalos The paper introduces a global illumination method that combines continuous and finite-element approaches, pre-serving the speed of finite-element based iteration and the accuracy of continuous random walks. The basic idea is to decompose the radiance function to a finite-element component that is only a rough estimate and to a difference component that is obtained by Monte-Carlo techniques. Iteration and random walk are handled uniformly in the framework of stochastic iteration. This uniform treatment allows the finite-element component to be built up adap-tively aiming at minimizing the Monte-Carlo component. The method is also suited for interactive walkthrough animation in glossy scenes since when the viewpoint changes, only the small Monte-Carlo component needs to be recomputed. [source] Measuring dispersal and detecting departures from a random walk model in a grasshopper hybrid zoneECOLOGICAL ENTOMOLOGY, Issue 2 2003R. I. Bailey Abstract. 1. The grasshopper species Chorthippus brunneus and C. jacobsi form a complex mosaic hybrid zone in northern Spain. Two mark,release,recapture studies were carried out near the centre of the zone in order to make direct estimates of lifetime dispersal. 2. A model framework based on a simple random walk in homogeneous habitat was extended to include the estimation of philopatry and flying propensity. Each model was compared with the real data, correcting for spatial and temporal biases in the data sets. 3. All four data sets (males and females at each site) deviated significantly from a random walk. Three of the data sets showed strong philopatry and three had a long dispersal tail, indicating a low propensity to move further than predicted by the random walk model. 4. Neighbourhood size estimates were 76 and 227 for the two sites. These estimates may underestimate effective population size, which could be increased by the long tail to the dispersal function. The random walk model overestimates lifetime dispersal and hence the minimum spatial scale of adaptation. 5. Best estimates of lifetime dispersal distance of 7,33 m per generation were considerably lower than a previous indirect estimate of 1344 m per generation. This discrepancy could be influenced by prezygotic isolation, an inherent by-product of mosaic hybrid zone structure. [source] Energy Collection, Transport, and Trapping by a Supramolecular Organization of Dyes in Hexagonal Zeolite Nanocrystals,ADVANCED FUNCTIONAL MATERIALS, Issue 2 2006C. Minkowski Abstract The incorporation of guest molecules into the cavities of molecular sieves leads to a large variety of highly interesting materials. Zeolite,L,an aluminosilicate with one-dimensional channels of open diameter 7.1,Å,is a very versatile material for building highly organized host,guest systems. We present materials where organic dye molecules have been incorporated into the channels of zeolite,L by means of diffusion, to build artificial photonic antenna systems. The channel entrance can be plugged by adding closure molecules that then connect the guest molecules inside with materials or molecules outside of the zeolite channels, since they can act as extensions of the interior of the zeolite crystal. The photophysical processes taking place in such dye-loaded zeolite,L antennae can be studied either on single-micrometer- or submicrometer-sized crystals or on crystals dispersed in a solvent or coated as thin layers on a support. The energy-transfer process occurring is of the Förster-type, and its transfer rate can be tuned by separating the donor dyes and the acceptor dyes locally by varying amounts of spacer molecules. The distribution of the dye molecules and empty sites within a zeolite crystal has been modeled by means of a Monte Carlo simulation. The Förster energy migration and transfer steps are described as a random walk. [source] TESTING LONG-HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE,ROGOFF PUZZLE*INTERNATIONAL ECONOMIC REVIEW, Issue 1 2005Barbara Rossi A well-known puzzle in international finance is that a random walk predicts exchange rates better than economic models. I offer a potential explanation. When exchange rates and fundamentals are highly persistent, long-horizon forecasts of economic models are biased by the estimation error. When this bias is big, a random walk will forecast better, even if the economic model is true. I propose a test for equal predictability in the presence of high persistence. It shows that the poor forecasting ability of economic models does not imply that the models are not good descriptions of the data. [source] The Band Pass Filter*INTERNATIONAL ECONOMIC REVIEW, Issue 2 2003Lawrence J. Christiano We develop optimal finite-sample approximations for the band pass filter. These approximations include one-sided filters that can be used in real time. Optimal approximations depend upon the details of the time series representation that generates the data. Fortunately, for U.S. macroeconomic data, getting the details exactly right is not crucial. A simple approach, based on the generally false assumption that the data are generated by a random walk, is nearly optimal. We use the tools discussed here to document a new fact: There has been a significant shift in the money,inflation relationship before and after 1960. [source] A two-dimensional stochastic algorithm for the solution of the non-linear Poisson,Boltzmann equation: validation with finite-difference benchmarks,INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN ENGINEERING, Issue 1 2006Kausik Chatterjee Abstract This paper presents a two-dimensional floating random walk (FRW) algorithm for the solution of the non-linear Poisson,Boltzmann (NPB) equation. In the past, the FRW method has not been applied to the solution of the NPB equation which can be attributed to the absence of analytical expressions for volumetric Green's functions. Previous studies using the FRW method have examined only the linearized Poisson,Boltzmann equation. No such linearization is needed for the present approach. Approximate volumetric Green's functions have been derived with the help of perturbation theory, and these expressions have been incorporated within the FRW framework. A unique advantage of this algorithm is that it requires no discretization of either the volume or the surface of the problem domains. Furthermore, each random walk is independent, so that the computational procedure is highly parallelizable. In our previous work, we have presented preliminary calculations for one-dimensional and quasi-one-dimensional benchmark problems. In this paper, we present the detailed formulation of a two-dimensional algorithm, along with extensive finite-difference validation on fully two-dimensional benchmark problems. The solution of the NPB equation has many interesting applications, including the modelling of plasma discharges, semiconductor device modelling and the modelling of biomolecular structures and dynamics. Copyright © 2005 John Wiley & Sons, Ltd. [source] Conventional and unconventional approaches to exchange rate modelling and assessmentINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2008Ron Alquist Abstract We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of net exports and net foreign assets. In addition to bringing Gourinchas and Rey's new approach and more recent data to bear, we implement the Clark,West procedure for testing the significance of out-of-sample forecasts. The interest rate parity relation holds better at long horizons and the net exports variable does well in predicting exchange rates at short horizons in sample. In out-of-sample forecasts, we find evidence that our proxy for Gourinchas and Rey's measure of external imbalances outperforms a random walk at short horizons as do some of the other models, although no single model uniformly beats the random walk forecast. Copyright © 2007 John Wiley & Sons, Ltd. [source] Short Rate Dynamics and Regime Shifts,INTERNATIONAL REVIEW OF FINANCE, Issue 3 2009HAITAO LI ABSTRACT We characterize the dynamics of the US short-term interest rate using a Markov regime-switching model. Using a test developed by Garcia, we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it exhibits strong mean reversion and high volatility. In our model, the sensitivity of interest rate volatility to the level of interest rate is much lower than what is commonly found in the literature. We also show that the findings of nonlinear drift in Aït-Sahalia and Stanton, using nonparametric methods, are consistent with our regime-switching model. [source] Using the Lee,Carter Method to Forecast Mortality for Populations with Limited Data,INTERNATIONAL STATISTICAL REVIEW, Issue 1 2004Nan Li Summary The Lee,Carter method for modeling and forecasting mortality has been shown to work quite well given long time series of data. Here we consider how it can be used when there are few observations at uneven intervals. Assuming that the underlying model is correct and that the mortality index follows a random walk with drift, we find the method can be used with sparse data. The central forecast depends mainly on the first and last observation, and so can be generated with just two observations, preferably not too close in time. With three data points, uncertainty can also be estimated, although such estimates of uncertainty are themselves highly uncertain and improve with additional observations. We apply the methods to China and South Korea, which have 3 and 20 data points, respectively, at uneven intervals. Résumé La méthode Lee,Carter de modélisation et de prévision de la mortalité a prouvé son bon fonctionnement avec des séries de données existant sur une longue période. Nous envisageons ici son utilisation lorsqu'on ne dispose que de quelques observations à intervalles irréguliers. En supposant que le modèle sous-jacent est correct et que l'indice de mortalité suit une marche aléatoire avec dérive, nous trouvons que cette méthode peut êetre utilisée avec des données éparses. La prévision centrale dépend alors principalement de la première et de la dernière observation. Elle peut donc êetre générée à partir de deux observations seulement, de préférence pas trop proches dans le temps. Avec trois points, on peut aussi estimer l'aléa, bienqu'un tel estimateur de l'aléa soit lui-mêeme très aléatoire. Il s'améliore cependant lorsqu'on dispose d'observations supplémentaires. Nous appliquons notre méthode àla Chine et à la Corée du Sud, pour lesquelles nous avons respectivement 3 et 20 points àintervalles irréguliers. [source] Conservatism and Cross-Sectional Variation in the Post,Earnings Announcement DriftJOURNAL OF ACCOUNTING RESEARCH, Issue 4 2006GANAPATHI NARAYANAMOORTHY ABSTRACT Accounting conservatism allows me to identify a previously undocumented source of predictable cross-sectional variation in Standardized Unexpected Earnings' autocorrelations viz. the sign of the most recent earnings realization and present evidence that the market ignores this variation ("loss effect"). It is possible to earn returns higher than from the Bernard and Thomas (1990) strategy by incorporating this feature. Additionally, the paper shows that the "loss effect" is different from the "cross quarter" effect shown by Rangan and Sloan (1998) and it is possible to combine the two effects to earn returns higher than either strategy alone. Thus, the paper corroborates the Bernard and Thomas finding that stock prices fail to reflect the extent to which quarterly earnings series differ from a seasonal random walk and extends it by showing that the market systematically underestimates time-series properties resulting from accounting conservatism. [source] Linking movement behaviour, dispersal and population processes: is individual variation a key?JOURNAL OF ANIMAL ECOLOGY, Issue 5 2009Colin Hawkes Summary 1Movement behaviour has become increasingly important in dispersal ecology and dispersal is central to the development of spatially explicit population ecology. The ways in which the elements have been brought together are reviewed with particular emphasis on dispersal distance distributions and the value of mechanistic models. 2There is a continuous range of movement behaviours and in some species, dispersal is a clearly delineated event but not in others. The biological complexities restrict conclusions to high-level generalizations but there may be principles that are common to dispersal and other movements. 3Random walk and diffusion models when appropriately elaborated can provide an understanding of dispersal distance relationships on spatial and temporal scales relevant to dispersal. Leptokurtosis in the relationships may be the result of a combination of factors including population heterogeneity, correlation, landscape features, time integration and density dependence. The inclusion in diffusion models of individual variation appears to be a useful elaboration. The limitations of the negative exponential and other phenomenological models are discussed. 4The dynamics of metapopulation models are sensitive to what appears to be small differences in the assumptions about dispersal. In order to represent dispersal realistically in population models, it is suggested that phenomenological models should be replaced by those based on movement behaviour incorporating individual variation. 5The conclusions are presented as a set of candidate principles for evaluation. The main features of the principles are that uncorrelated or correlated random walk, not linear movement, is expected where the directions of habitat patches are unpredictable and more complex behaviour when organisms have the ability to orientate or navigate. Individuals within populations vary in their movement behaviour and dispersal; part of this variation is a product of random elements in movement behaviour and some of it is heritable. Local and metapopulation dynamics are influenced by population heterogeneity in dispersal characteristics and heritable changes in dispersal propensity occur on time-scales short enough to impact population dynamics. [source] Diffusion models for animals in complex landscapes: incorporating heterogeneity among substrates, individuals and edge behavioursJOURNAL OF ANIMAL ECOLOGY, Issue 5 2008John D. Reeve Summary 1Animals move commonly through a variety of landscape elements and edges in search of food, mates and other resources. We developed a diffusion model for the movement of an insect herbivore, the planthopper Prokelisia crocea, that inhabits a landscape composed of patches of its host plant, prairie cordgrass Spartina pectinata, embedded in a matrix of mudflat or smooth brome Bromus inermis. 2We used mark,release,resight experiments to quantify planthopper movements within cordgrass,brome and cordgrass,mudflat arenas. A diffusion model was then fitted that included varying diffusion rates for cordgrass and matrix, edge behaviour in the form of a biased random walk and heterogeneity among planthoppers (sessile vs. mobile). The model parameters were estimated by maximum likelihood using the numerical solution of the diffusion model as a probability density. Akaike's information criterion (AIC) values were used to compare models with different subsets of features. 3There was clear support for models incorporating edge behaviour and both sessile and mobile insects. The most striking difference between the cordgrass,brome and cordgrass,mudflat experiments involved edge behaviour. Planthoppers crossed the cordgrass,brome edge readily in either direction, but traversed the cordgrass,mudflat edge primarily in one direction (mudflat to cordgrass). Diffusion rates were also significantly higher on mudflat than for cordgrass and brome. 4The differences in behaviour for cordgrass,brome vs. cordgrass,mudflat edges have implications for the connectivity of cordgrass patches as well as their persistence. Higher dispersal rates are expected between cordgrass patches separated by brome relative to mudflat, but patches surrounded by mudflat appear more likely to persist through time. 5The experimental design and diffusion models used here could potentially be extended to any organism where mass mark,recapture experiments are feasible, as well as complex natural landscapes. [source] Testing against smooth stochastic trendsJOURNAL OF APPLIED ECONOMETRICS, Issue 3 2001Jukka Nyblom A trend estimated from an unobserved components model tends to be smoother when it is modelled as an integrated random walk rather than a random walk with drift. This article derives a test of the null hypothesis that the trend is deterministic against the alternative that it is an integrated random walk. It is assumed that the other component in the model is normally distributed white noise. Critical values are tabulated, the asymptotic distribution is derived and the performance of the test is compared with the test against a trend specified as a random walk with drift. The test is extended to allow for serially correlated and evolving seasonal components. When there is a stationary process containing a single autoregressive unit root close to one, a bounds test can be applied. In the case of a first-order autoregressive disturbance, it is shown that a consistent test can still be obtained by carrying out estimation of the nuisance parameters under the null hypothesis. The overall conclusion is that the most effective test against an integrated random walk is a parametric one based on the random walk plus drift test statistic, constructed from innovations, with the nuisance parameters estimated in the unrestricted model. Copyright © 2001 John Wiley & Sons, Ltd. [source] Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual FundsJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2007Laurence Copeland Abstract:, In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run fluctuations are harder to reconcile with an arbitrage-free equilibrium. In time series terms, there is evidence of long memory in discounts consistent with a bounded random walk. This conclusion is supported by explicit nonlinearity tests, and by results which suggest the behaviour of the discount is perhaps best represented by one of the class of Smooth-Transition Autoregressive (STAR) models. [source] The Time Series Properties of Financial Ratios: Lev RevisitedJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2003Christos Ioannidis This paper re-evaluates the time series properties of financial ratios. It presents new empirical analysis which explicitly allows for the possibility that financial ratios can be characterized as non-linear mean-reverting processes. Financial ratios are widely employed as explanatory variables in accounting and finance research with applications ranging from the determinants of auditors' compensation to explaining firms' investment decisions. An implicit assumption in this empirical work is that the ratios are stationary so that the postulated models can be estimated by classical regression methods. However, recent empirical work on the time series properties of corporate financial ratios has reported that the level of the majority of ratios is described by non-stationary, I(1), integrated processes and that the ratio differences are parsimoniously described by random walks. We hypothesize that financial ratios may follow a random walk near their target level, but that the more distant a ratio is from target, the more likely the firm is to take remedial action to bring it back towards target. This behavior will result in a significant size distortion of the conventional stationarity tests and lead to frequent non-rejection of the null hypothesis of non-stationarity, a finding which undermines the use of these ratios as reliable conditioning variables for the explanation of firms' decisions. [source] THE INFLUENCE OF FUNDAMENTALS ON EXCHANGE RATES: FINDINGS FROM ANALYSES OF NEWS EFFECTSJOURNAL OF ECONOMIC SURVEYS, Issue 4 2010Rafael R. Rebitzky Abstract As we survey the literature of macroeconomic news in the foreign exchange market, we can by now look back on nearly 30 years of research. The first studies which analysed news effects on exchange rates were established in the early 1990s (see, for example, Dornbusch). Almost at the same time Meese and Rogoff published their influential paper, revealing the forecasting inferiority in exchange rates of structural models against the random walk. This finding has shocked the pillars of exchange rate economics and thus cast general suspicion on research focusing on fundamentals in this field. The eventual rising popularity of event studies can partly be attributed to the re-establishment of the,raison d'être,of exchange rate economics. This work focuses on systematically surveying this literature with particular respect to its primary goal, i.e. shedding light on the analytical value of fundamental research. Thus, its major findings are, first, fundamental news does matter, whereas non-fundamental news matters to a lesser degree. Second, news influences exchange rates via two separated channels, i.e. incorporating common information into prices directly or indirectly based upon order flow. Third, with a few exceptions the impact of fundamental news on exchange rates is fairly stable over time. [source] VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEWJOURNAL OF ECONOMIC SURVEYS, Issue 3 2009Amélie Charles Abstract This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others. We also re-examine the weak-form efficiency for five emerging equity markets in Latin America. [source] Can panel data really improve the predictability of the monetary exchange rate model?JOURNAL OF FORECASTING, Issue 5 2007Joakim Westerlund Abstract A common explanation for the inability of the monetary model to beat the random walk in forecasting future exchange rates is that conventional time series tests may have low power, and that panel data should generate more powerful tests. This paper provides an extensive evaluation of this power argument to the use of panel data in the forecasting context. In particular, by using simulations it is shown that although pooling of the individual prediction tests can lead to substantial power gains, pooling only the parameters of the forecasting equation, as has been suggested in the previous literature, does not seem to generate more powerful tests. The simulation results are illustrated through an empirical application. Copyright © 2007 John Wiley & Sons, Ltd. [source] Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memoryJOURNAL OF FORECASTING, Issue 5 2006David Karemera Abstract This paper presents an autoregressive fractionally integrated moving-average (ARFIMA) model of nominal exchange rates and compares its forecasting capability with the monetary structural models and the random walk model. Monthly observations are used for Canada, France, Germany, Italy, Japan and the United Kingdom for the period of April 1973 through December 1998. The estimation method is Sowell's (1992) exact maximum likelihood estimation. The forecasting accuracy of the long-memory model is formally compared to the random walk and the monetary models, using the recently developed Harvey, Leybourne and Newbold (1997) test statistics. The results show that the long-memory model is more efficient than the random walk model in steps-ahead forecasts beyond 1 month for most currencies and more efficient than the monetary models in multi-step-ahead forecasts. This new finding strongly suggests that the long-memory model of nominal exchange rates be studied as a viable alternative to the conventional models.,,Copyright © 2006 John Wiley & Sons, Ltd. [source] Beating the random walk in Central and Eastern EuropeJOURNAL OF FORECASTING, Issue 3 2005Jesús Crespo Cuaresma Abstract We compare the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bayesian vector autoregressive (BVAR), vector error correction (VEC) and Bayesian error correction (BVEC) models in forecasting the exchange rates of five Central and Eastern European currencies (Czech Koruna, Hungarian Forint, Slovak Koruna, Slovenian Tolar and Polish Zloty) against the US Dollar and the Euro. Although these models tend to outperform the random walk model for long-term predictions (6 months ahead and beyond), even the best models in terms of average prediction error fail to reject the test of equality of forecasting accuracy against the random walk model in short-term predictions. Copyright © 2005 John Wiley & Sons, Ltd. [source] Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)JOURNAL OF FORECASTING, Issue 7 2004John L. Turner Abstract This article introduces a novel framework for analysing long-horizon forecasting of the near non-stationary AR(1) model. Using the local to unity specification of the autoregressive parameter, I derive the asymptotic distributions of long-horizon forecast errors both for the unrestricted AR(1), estimated using an ordinary least squares (OLS) regression, and for the random walk (RW). I then identify functions, relating local to unity ,drift' to forecast horizon, such that OLS and RW forecasts share the same expected square error. OLS forecasts are preferred on one side of these ,forecasting thresholds', while RW forecasts are preferred on the other. In addition to explaining the relative performance of forecasts from these two models, these thresholds prove useful in developing model selection criteria that help a forecaster reduce error. Copyright © 2004 John Wiley & Sons, Ltd. [source] Modelling the interplay between pest movement and the physical design of trap crop systemsAGRICULTURAL AND FOREST ENTOMOLOGY, Issue 1 2005Salla Hannunen Abstract, 1,The interplay between pest movement and trap crop physical design is modelled in a situation where the pest moves by a random walk with spatially variable mobility. Questions addressed are: (i) how does the proportion of trap crop area of the total field area influence the equilibrium distribution of pests among the crop and the trap crop and (ii) how do crop patch size and shape influence the speed of pest redistribution from the crop to the trap crop. 2,When pest mobility in the trap crop is clearly lower than that in the crop, the pest population in the crop decreases very sharply for small trap crop proportions. When mobility in the trap crop is slightly closer to that in the crop, the pest population in the crop decreases much more gradually with increasing trap crop proportion. Thus finding a trap crop that the pest distinctly prefers over the crop appears to be crucial for developing efficient trap crop systems. 3,The rate of decay in the pest population in the crop increases with increasing perimeter to area ratio of the crop patch. Hence, designing field layouts to increase the perimeter to area ratio of crop patches may be beneficial. [source] Bayesian Unit Root Test in Nonnormal AR(1) ModelJOURNAL OF TIME SERIES ANALYSIS, Issue 3 2000Hikaru Hasegawa In this paper, we approximate the distribution of disturbances by the Edgeworth series distribution and propose a Bayesian analysis in a nonnormal AR(1) model. We derive the posterior distribution of the autocorrelation and the posterior odds ratio for unit roots hypothesis in the AR(1) model when the first four cumulants of the Edgeworth series distribution are finite and the higher order cumulants are negligible. We also apply the posterior analysis to eight real exchange rates and investigate whether these exchange rates behave like a random walk or not. [source] On the Scaling Behavior of the Force/Extension Relation of a ChainMACROMOLECULAR THEORY AND SIMULATIONS, Issue 7 2010Marios K. Kosmas Abstract Applying an extending force F along the end-to-end vector r of a chain enlarges the initial size ,i , |ri| leading to a final state with ,f larger than ,i. Assuming a power law dependence of the size , , N, of the chain on its length N, at the two different states with different exponents ,i and ,f, a scaling relationship is derived between the measure of the extending force F and the extension , of the chain. The exponent , of the force/extension relation, , , F,, depends on both exponents ,i and ,f of the initial and the final states. A relation between , and the exponents ,i and ,f is derived which permits the explanation of previous results and predicts some more. The scaling behavior is checked with the exactly soluble model of a random walk under a force. [source] Bistatic phase function and fast solution of scattering by 2D random distributed scatterersMICROWAVE AND OPTICAL TECHNOLOGY LETTERS, Issue 4 2003Jianjun Guo Abstract We present large-scale Monte Carlo simulation results of the phase functions in multiple scattering by dense media of small 2D particles. Solution of the Foldy,Lax equations with large number of unknowns is done efficiently using the sparse-matrix canonical-grid (SMCG) method. The SMCG method facilitates the use of FFT and results in an N log N -type efficiency for CPU and O(N) for memory. This dependence is demonstrated by the simulation of CPU time using up to 50000 particles that are randomly distributed through random walk in a large area of 400 square wavelengths. The bistatic phase functions for a random medium are computed. The phase function converges with the number of particles and the number of realizations. The simulation results indicate that the nonsticky particles, sticky particles, and independent scattering have similar angular distribution patterns of the phase functions. However, the dense sticky particles show stronger scattering than the independent scattering, while the dense nonsticky particles have smaller scattering than that of the independent scattering. © 2003 Wiley Periodicals, Inc. Microwave Opt Technol Lett 38: 313,317, 2003; Published online in Wiley InterScience (www.interscience.wiley.com). DOI 10.1002/mop.11047 [source] Diffusive radiation in Langmuir turbulence produced by jet shocksMONTHLY NOTICES OF THE ROYAL ASTRONOMICAL SOCIETY, Issue 4 2007G. D. Fleishman ABSTRACT Anisotropic distributions of charged particles including two-stream distributions give rise to generation of either stochastic electric fields (in the form of Langmuir waves, Buneman instability) or random quasi-static magnetic fields (Weibel and filamentation instabilities) or both. These two-stream instabilities are known to play a key role in collisionless shock formation, shock,shock interactions, and shock-induced electromagnetic emission. This paper applies the general non-perturbative stochastic theory of radiation to study electromagnetic emission produced by relativistic particles, which random walk in the stochastic electric fields of the Langmuir waves. This analysis takes into account the cumulative effect of uncorrelated Langmuir waves on the radiating particle trajectory giving rise to angular diffusion of the particle, which eventually modifies the corresponding radiation spectra. We demonstrate that the radiative process considered is probably relevant for emission produced in various kinds of astrophysical jets, in particular, prompt gamma-ray burst spectra, including X-ray excesses and prompt optical flashes. [source] | ||||||||||||||||||||||||||||||||||||||||