Search results for "Exponent"
showing 10 items of 896 documents
Cross Correlations in Scaling Analyses of Phase Transitions
2008
Thermal or finite-size scaling analyses of importance sampling Monte Carlo time series in the vicinity of phase transition points often combine different estimates for the same quantity, such as a critical exponent, with the intent to reduce statistical fluctuations. We point out that the origin of such estimates in the same time series results in often pronounced cross-correlations which are usually ignored even in high-precision studies, generically leading to significant underestimation of statistical fluctuations. We suggest to use a simple extension of the conventional analysis taking correlation effects into account, which leads to improved estimators with often substantially reduced …
Finite-size scaling analysis of the ?4 field theory on the square lattice
1986
Monte-Carlo calculations are performed for the model Hamiltonian ℋ = ∑i[(r/2)Φ 2(i)+(u/4)/gF4(i)]+∑ (C/2)[Φ (i)−Φ(j)]2 for various values of the parametersr, u, C in the crossover region from the Ising limit (r→-∞,u+∞) to the displacive limit (r=0). The variableφ(i) is a scalar continuous spin variable which can lie in the range-∞<φ(i)<+∞, for each lattice site (i).φ(i) is a priori selected proportional to the single-site probability in our Monte Carlo algorithm. The critical line is obtained in very good agreement with other previous approaches. A decrease of apparent critical exponents, deduced from a finite-size scaling analysis, is attributed to a crossover toward mean-field values at t…
Forecasting time series with missing data using Holt's model
2009
This paper deals with the prediction of time series with missing data using an alternative formulation for Holt's model with additive errors. This formulation simplifies both the calculus of maximum likelihood estimators of all the unknowns in the model and the calculus of point forecasts. In the presence of missing data, the EM algorithm is used to obtain maximum likelihood estimates and point forecasts. Based on this application we propose a leave-one-out algorithm for the data transformation selection problem which allows us to analyse Holt's model with multiplicative errors. Some numerical results show the performance of these procedures for obtaining robust forecasts.
Time-dependent weak rate of convergence for functions of generalized bounded variation
2016
Let $W$ denote the Brownian motion. For any exponentially bounded Borel function $g$ the function $u$ defined by $u(t,x)= \mathbb{E}[g(x{+}\sigma W_{T-t})]$ is the stochastic solution of the backward heat equation with terminal condition $g$. Let $u^n(t,x)$ denote the corresponding approximation generated by a simple symmetric random walk with time steps $2T/n$ and space steps $\pm \sigma \sqrt{T/n}$ where $\sigma > 0$. For quite irregular terminal conditions $g$ (bounded variation on compact intervals, locally H\"older continuous) the rate of convergence of $u^n(t,x)$ to $u(t,x)$ is considered, and also the behavior of the error $u^n(t,x)-u(t,x)$ as $t$ tends to $T$
System size dependence of the autocorrelation time for the Swendsen-Wang Ising model
1990
Abstract We present Monte Carlo simulation results of the autocorrelation time for the Swendsen-Wang method for the simulation of the Ising model. We have calculated the exponential and the integrated autocorrelation time at the critical point T c of the two-dimensional Ising model. Our results indicate that both autocorrelation times depend logarithmically on the linear system size L instead of a power law. The simulations were carried out on the parallel computer of the condensed matter theory group at the University of Mainz.
The angle of repose of spherical grains in granular Hele-Shaw cells: A molecular dynamics study
2007
We report the results of three dimensional molecular dynamic simulations on the angle of repose of a sandpile formed by pouring mono-sized cohesionless spherical grains into a granular Hele-Shaw cell. In particular, we are interested to investigate the effects of those variables which may impact significantly on pattern formation of granular mixtures in Hele-Shaw cells. The results indicate that the frictional forces influence remarkably the formation of pile on the grain level. Furthermore, We see that increasing grain insertion rate decreases slightly the angle of repose. We also find that in accordance with experimental results, the cell thickness is another significant factor and the an…
Kinetics of domain growth in finite Ising strips
1992
Abstract Monte Carlo simulations are presented for the kinetics of ordering of the two-dimensional nearest-neighbor Ising models in an L x M geometry with two free boundaries of length M ⪢ L . This geometry models a “terrace” of width L on regularly stepped surfaces, adatoms adsorbed on neighboring terraces being assumed to be noninteracting. Starting out with an initially random configuration of the atoms in the lattice gas at coverage θ = 1 2 in the square lattice, quenching experiments to temperatures in the range 0.85⩽ T / T c ⩽1 are considered, assuming a dynamics of the Glauber model type (no conservation laws being operative). At T c the ordering behavior can be described in terms of…
Large deviations results for subexponential tails, with applications to insurance risk
1996
AbstractConsider a random walk or Lévy process {St} and let τ(u) = inf {t⩾0 : St > u}, P(u)(·) = P(· | τ(u) < ∞). Assuming that the upwards jumps are heavy-tailed, say subexponential (e.g. Pareto, Weibull or lognormal), the asymptotic form of the P(u)-distribution of the process {St} up to time τ(u) is described as u → ∞. Essentially, the results confirm the folklore that level crossing occurs as result of one big jump. Particular sharp conclusions are obtained for downwards skip-free processes like the classical compound Poisson insurance risk process where the formulation is in terms of total variation convergence. The ideas of the proof involve excursions and path decompositions for Mark…
A Software Tool for the Exponential Power Distribution: The normalp Package
2005
In this paper we present the normalp package, a package for the statistical environment R that has a set of tools for dealing with the exponential power distribution. In this package there are functions to compute the density function, the distribution function and the quantiles from an exponential power distribution and to generate pseudo-random numbers from the same distribution. Moreover, methods concerning the estimation of the distribution parameters are described and implemented. It is also possible to estimate linear regression models when we assume the random errors distributed according to an exponential power distribution. A set of functions is designed to perform simulation studi…
Holt–Winters Forecasting: An Alternative Formulation Applied to UK Air Passenger Data
2007
Abstract This paper provides a formulation for the additive Holt–Winters forecasting procedure that simplifies both obtaining maximum likelihood estimates of all unknowns, smoothing parameters and initial conditions, and the computation of point forecasts and reliable predictive intervals. The stochastic component of the model is introduced by means of additive, uncorrelated, homoscedastic and Normal errors, and then the joint distribution of the data vector, a multivariate Normal distribution, is obtained. In the case where a data transformation was used to improve the fit of the model, cumulative forecasts are obtained here using a Monte-Carlo approximation. This paper describes the metho…