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An efficient numerical method for nearly simultaneous computation of all conditional moments needed for quasi maximum likelihood estimation of parameters in discretely observed stochastic differential equations is presented. The method is not restricted to any particular dynamics of the stochastic differential equation and is virtually insensitive to the sampling interval. The key contribution is
Regime-based asset allocation has been shown to add value over rebalancing to static weights and, in particular, reduce potential drawdowns by reacting to changes in market conditions. The predominant approach in previous studies has been to specify in advance a static decision rule for changing the allocation based on the state of financial markets or the economy. This talk proposes the use of mo
Given time series market observations for a price process, the parameters in an assumed underlying model can be determined through maximum likelihood estimation. Transition probability densities need to be estimated between each pair of data points. We show that Gaussian radial basis function approximation of the Fokker-Planck equations for the densities leads to a convenient mathematical represen
S100A9 is a small (13 kD) cytosolic calcium-binding protein. The protein is mainly expressed in neutrophils and monocytes in human but can also be expressed in other cell types under inflammatory conditions. S100A9 is normally co-expressed with S100A8 and forms S100A8/S100A9 heterodimers. Previous publications had suggested that S100A9 could be expressed without S100A8 in certain conditions. Vario
Braided convolutional codes (BCCs) are a type of parallel-concatenated convolutional code in which the parity outputs of one component encoder are fed back and used as inputs to the other component encoder at the succeeding time unit. In this paper, we review the published results on BCCs that have appeared in the literature over the past ten years and present a unified view of BCCs in the context
In this paper, we study the block error rate (BLER) performance of spatially coupled low-density parity-check (SC- LDPC) codes using a sliding window decoder suited for streaming applications. Previous studies of SC-LDPC have focused on the bit error rate (BER) performance or the frame error rate (FER) performance over the entire length of the code. Here, we consider protograph-based constructions
