Search results for "grange"
showing 10 items of 164 documents
Analytic first derivatives for a spin-adapted open-shell coupled cluster theory: Evaluation of first-order electrical properties
2014
An analytic scheme is presented for the evaluation of first derivatives of the energy for a unitary group based spin-adapted coupled cluster (CC) theory, namely, the combinatoric open-shell CC (COSCC) approach within the singles and doubles approximation. The widely used Lagrange multiplier approach is employed for the derivation of an analytical expression for the first derivative of the energy, which in combination with the well-established density-matrix formulation, is used for the computation of first-order electrical properties. Derivations of the spin-adapted lambda equations for determining the Lagrange multipliers and the expressions for the spin-free effective density matrices for…
Neural networks with non-uniform embedding and explicit validation phase to assess Granger causality
2015
A challenging problem when studying a dynamical system is to find the interdependencies among its individual components. Several algorithms have been proposed to detect directed dynamical influences between time series. Two of the most used approaches are a model-free one (transfer entropy) and a model-based one (Granger causality). Several pitfalls are related to the presence or absence of assumptions in modeling the relevant features of the data. We tried to overcome those pitfalls using a neural network approach in which a model is built without any a priori assumptions. In this sense this method can be seen as a bridge between model-free and model-based approaches. The experiments perfo…
Residuenabschätzung für Polynom-Nullstellen mittels Lagrange-Interpolation
1970
If, for each zero of a polynomial, an approximation is known, estimates for the errors of these approximations are given, based on the evaluation of the polynomial at these points. The procedure can be carried over to the case of multiple roots and root clusters using derivatives up to the orderk - 1, wherek is the multiplicity of the cluster.
Multiscale Granger causality analysis by à trous wavelet transform
2017
Since interactions in neural systems occur across multiple temporal scales, it is likely that information flow will exhibit a multiscale structure, thus requiring a multiscale generalization of classical temporal precedence causality analysis like Granger's approach. However, the computation of multiscale measures of information dynamics is complicated by theoretical and practical issues such as filtering and undersampling: to overcome these problems, we propose a wavelet-based approach for multiscale Granger causality (GC) analysis, which is characterized by the following properties: (i) only the candidate driver variable is wavelet transformed (ii) the decomposition is performed using the…
Constraint qualifications and Lagrange multipliers in nondifferentiable programming problems
1994
In this paper, we present several constraint qualifications, and we show that these conditions guarantee the nonvacuity and the boundedness of the Lagrange multiplier sets for general nondifferentiable programming problems. The relationships with various constraint qualifications are investigated.
Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities
2020
This study complements the current literature, providing a thorough investigation of the lead&ndash
Indefinite integrals of Lommel functions from an inhomogeneous Euler–Lagrange method
2015
ABSTRACTA method given recently for deriving indefinite integrals of special functions which satisfy homogeneous second-order linear differential equations has been extended to include functions which obey inhomogeneous equations. The extended method has been applied to derive indefinite integrals for the Lommel functions, which obey an inhomogeneous Bessel equation. The method allows integrals to be derived for the inhomogeneous equation in a manner which closely parallels the homogeneous case, and a number of new Lommel integrals are derived which have well-known Bessel analogues. Results will be presented separately for other special functions which obey inhomogeneous second-order linear…
Weighted Extrapolation Techniques for Finite Difference Methods on Complex Domains with Cartesian Meshes
2016
The design of numerical boundary conditions in high order schemes is a challenging problem that has been tackled in different ways depending on the nature of the problem and the scheme used to solve it numerically. In this paper we propose a technique to extrapolate the information from the computational domain to ghost cells for schemes with structured Cartesian Meshes on complex domains. This technique is based on the application of Lagrange interpolation with weighted filters for the detection of discontinuities that permits a data dependent extrapolation, with high order at smooth regions and essentially non oscillatory properties near discontinuities. This paper is a sequel of Baeza et…
Stock earnings and bond yields in the US 1871–2017 : The story of a changing relationship
2021
Abstract Using historical data spanning almost 150 years, we examine whether there is a long-run equilibrium relationship between the stock's earnings and bond yields. The novelty of our econometric methodology consists in using a vector error correction model where we allow multiple structural breaks in the equilibrium relationship. The results of our analysis suggest the existence of an equilibrium relationship over 1871–1932 and 1958–2017. On the two historical segments, our analysis finds that the stock's earnings yield followed the bond yield in both the short run and long run, but not the other way around. Perhaps the most important and surprising finding of our empirical study is tha…
Main driving factors of the interest rate-stock market Granger causality
2017
Abstract This paper investigates the causal relationship between changes in the 10-year Treasury bond yield and the S&P 500 stock return in the United Sates with emphasis on time variation, stress factors and smooth regime transition. First, the time-varying Granger causality test proposed by Lu et al. (2014) is applied. Then a two-regime multifactor smooth transition regression model with a single transition variable representing a wide range of macroeconomic and financial variables is estimated in order to identify the key explanatory factors governing the causal relationship. The results show a significant bidirectional causal relationship over most of the study period, mainly due to the…