Search results for "grange"

Extending the spectral decomposition of Granger causality to include instantaneous influences: application to the control mechanisms of heart rate va…

2021

Assessing Granger causality (GC) intended as the influence, in terms of reduction of variance of surprise, that a driver variable exerts on a given target, requires a suitable treatment of ‘instantaneous’ effects, i.e. influences due to interactions whose time scale is much faster than the time resolution of the measurements, due to unobserved confounders or insufficient sampling rate that cannot be increased because the mechanism of generation of the variable is inherently slow (e.g. the heartbeat). We exploit a recently proposed framework for the estimation of causal influences in the spectral domain and include instantaneous interactions in the modelling, thus obtaining (i) a novel index…

Centres and peripheries in Finland: Granger causality tests using panel data

2009

Abstract Despite their importance from a policy point of view, empirical studies on the effects of growth centres in their regions are rare. This paper analyses mutual relationships between growth processes in centres and their surrounding hinterlands in 19 Finnish regions. Annual population data from the period 1970–2004 are used. A novel testing procedure based on an extension of the Granger causality definition in a panel data context is applied. Heterogeneity between regions is allowed. Both the homogeneous non-causality hypothesis and the homogeneous causality hypothesis are rejected. Causal processes prove to be heterogeneous. Causality from centres to peripheries is found for nine re…

Granger causality analysis of sleep brain-heart interactions

2014

We studied the networks of Granger causality (GC) between the time series of cardiac vagal autonomic activity and brain wave activities, measured respectively as the normalized high frequency (HF) component of heart rate variability and EEG power in the δ, θ, α, σ, β bands, computed in 10 healthy subjects during sleep. GC analysis was performed by vector autoregressive modeling, and significance of each link in the network was assessed using F-statistics. The whole-night analysis revealed the existence of a fully connected network of brain-heart and brain-brain interactions, with the ß EEG power acting as a hub which conveys the largest number of GC links between the heart and brain n…

Implisiittinen volatiliteetti kurssimuutosten ennustajana

2001

A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing

2006

Our goal is to identify the volatility function in Dupire's equation from given option prices. Following an optimal control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a modified Hessian - to ensure that every SQP step is a descent direction - and implement a line search strategy. In each level of the SQP method a linear-quadratic optimal control problem with box constraints is solved by a primal-dual active set strategy. This guarantees L^1 constraints for the volatility, in particular assuring its positivity. The proposed algorithm is founded on a thorough first- and second-order optimality analysis. We prove the existe…

Ostrogradsky's Hamilton formalism and quantum corrections

2010

By means of a simple scalar field theory it is demonstrated that the Lagrange formalism and Ostrogradsky's Hamilton formalism in the presence of higher derivatives, in general, do not lead to the same results. While the two approaches are equivalent at the classical level, differences appear due to the quantum corrections.

Numerical simulation of unsteady MHD flows and applications

2009

International audience; We present a robust numerical method for solving the compressible Ideal Magneto-Hydrodynamic equations. It is based on the Residual Distribution (RD) algorithms already successfully tested in many problems. We adapted the scheme to the multi-dimensional unsteady MHD model. The constraint ∇ · B = 0 is enforced by the use a Generalized Lagrange Multiplier (GLM) technique. First, we present this complete system and the keys to get its eigensystem, as we may need it in the algorithm. Next, we introduce the numerical scheme built in order to get a compressible, unsteady and implicit solver which has good shock-capturing properties and is second-order accurate at the conve…

Ārvalstu tiešo investīciju ietekme uz Latvijas ekonomiku

2021

Pētījuma ietvaros tiek pielietota pielāgota Granger cēloņsakarības testēšanas metodoloģija, kas pieļauj VAR modelēšanu uz nediferencētām un iespējams kointegrētām laikrindām, lai noskaidrotu vai eksistē un kādā virzienā ir novērojama cēloņsakarība starp Latvijas iedzīvotāju ienākumu līmeni, darbaspēka produktivitāti un ārvalstu tiešajām investīcijām. Analīzes rezultāti, kas tiek balstīti uz īpaša VAR sastādīšanas mehānisma un modificēta Wald testa, liecina, ka ārvalstu investīcijām Latvijā nav cēloņsakarības ne ar labklājības līmeni, ne ar darbaspēka produktivitāti. Turklāt impulsa atbildes funkcijas norāda, ka ĀTI un darbaspēka produktivitātes šoki uz ienākumu līmeni ir īstermiņa un pārejo…

Continuous spectrum for a two phase eigenvalue problem with an indefinite and unbounded potential

2020

Abstract We consider a two phase eigenvalue problem driven by the ( p , q ) -Laplacian plus an indefinite and unbounded potential, and Robin boundary condition. Using a modification of the Nehari manifold method, we show that there exists a nontrivial open interval I ⊆ R such that every λ ∈ I is an eigenvalue with positive eigenfunctions. When we impose additional regularity conditions on the potential function and the boundary coefficient, we show that we have smooth eigenfunctions.

Information Decomposition in Multivariate Systems: Definitions, Implementation and Application to Cardiovascular Networks

2016

The continuously growing framework of information dynamics encompasses a set of tools, rooted in information theory and statistical physics, which allow to quantify different aspects of the statistical structure of multivariate processes reflecting the temporal dynamics of complex networks. Building on the most recent developments in this field, this work designs a complete approach to dissect the information carried by the target of a network of multiple interacting systems into the new information produced by the system, the information stored in the system, and the information transferred to it from the other systems; information storage and transfer are then further decomposed into amou…