Vlprq Jlofkulvw/ HF :3</ Idoo 53341

+zulwwhq mrlqwo| zlwk Fkduohv Klpphoehuj,

+vwloo vxemhfw wr uhylvlrq,

Ohfwxuh 7= K|srwkhvlv Whvwlqj zlwk JPP

4 Whvwv ri Ryhulghqwli|lqj Uhvwulfwlrqv

Zh ehjlq zlwk d xvhixo sursrvlwlrq wkdw doorzv xv wr fkdudfwhul}h doo whvw
vwdwlvwlfv frqvlghuhg lq wklv ohfwxuh dv kdylqj d fkl0vtxduhg glvwulexwlrq1
Sursrvlwlrq= Frqvlghu dq q{ yhfwru }  Q Ef> l zlwk l qrqvlqjxodu/
wkhq } l  }  {2 Eq1
 3

Surri= Li q ' / }@  Q Ef>  wkhq E} 2 @ 2   "2 E1 Li q A > l

v|pphwulf dqg qrq0vlqjxodu lpsolhv

l ' S \S 

zkhuh S S ' Lq dqg \ lv d gldjrqdo pdwul{ frqwdlqlqj il jql' / wkh hljhqydo0


xhv ri l=l lv srvlwlyh0ghqlwh lpsolhv l A f/ l ' ==q1 Wklv lpsolhv

] l  ] ' ] ES \S 
 3   ]
3
+4,
' ] ES   \   3  S ] 
3 3 3

' Z \ Z  3

[q
' zl2 @l
l'

iru Z ' S  ]1 Wkxv ] l  ] fdq eh ruwkrjdqdol}hg lqwr wkh vxp ri vtxduhv

3  3

ri q lqghshqgdqw QEf>  udqgrp yduldeohv1

s g
Wklv sursrvlwlrq frpelqhg zlwk wkh FOW uhvxow W jW Ef  $ Q Ef> V
lpsolhv wkdw s  s 
W jW E f  V  

W jW Ef  $ "2 Eu

3 g
+5,

zkhuh jW Er  lv dq u{ yhfwru ri vdpsoh prphqwv1 Hydoxdwhg dw wkh wkh wuxh
f / wkh vtxduh ri wkh vdpsoh prphqwv zhljkwhg e| wkh lqyhuvh ri wkhlu yduldqfh
lv glvwulexwhg dv d "2 vwdwlvwlf zlwk u ghjuhhv ri iuhhgrp1 Zkhq hydoxdwhg dw
wkh sdudphwhu hvwlpdwh W zh kdyh douhdg| vhw d prphqwv lghqwlfdoo| htxdo

4
wr }hur wkurxjk rxu JPP fulwhulrq1 Wkhuh duh u  d udqgrp yduldeohv ohiw
ryhu1 Dffruglqjo|
s  s 

g
W jW E W  V  3
W jW E  W  $ "2 Eu  d +6,

Wkh ohiw kdqg vlgh ri htxdwlrq 6 lv vlpso| W wlphv wkh remhfwlyh ixqfwlrq1 Li
wkh plqlpl}hg ydoxh ri wkh remhfwlyh ixqfwlrq lv wrr kljk/ zh uhmhfw wkh qxoo
k|srwkhvlv wkdw HEkE> zw  ' f xvhg wr lghqwli| wkh prgho1 Wklv whvw pd|
wkhuhiruh eh ylhzhg dv dv d jhqhudo whvw ri prgho plvshflfdwlrq1
H{dpsoh= 5VOV +Wkh olqhdu prgho zlwk krprvnhgdvwlf huuruv dqg qr vhuldo
fruuhodwlrq,1 Lq wklv fdvh
]]


V ' v2
W
iru W v2 ' X X
 wkh vxp ri vtxduhg uhvlgxdov1 Wkh plqlpl}hg ydoxh ri wkh
remhfwlyh ixqfwlrq lv
s  s  ] ]   ] X
2X ]
  3 


W jW EW  V 3
W jW EW  ' W v
W W W
' v2 EX ]E] ]  E] ]E] ]  E] X 
  3   3 

' v2 d]E] ]  ] X o d]E] ]  ] X o

 3    3 

S S}x 

' W }x
X X 

]zkhuh S}x lv wkh surmhfwlrq ri wkh uhvlgxdo yhfwru X rqwr wkh lqvwuxphqw
vhw ]1 Wkh qxphudwru ri wklv h{suhvvlrq lv wkh vtxduhg wwhg ydoxhv zkloh
wkh ghqrplqdwru lv wkh wrwdo vxp ri vtxduhv iru d uhjuhvvlrq ri X rq ]1 Wkh
whvw vwdwlvwlf lv W U2 zkhuh U2 lv wkh xqdgmxvwhg U2 iurp d uhjuhvvlrq ri
X rq ]1 Vlqfh zh duh xvlqj wkh hvwlpdwhg uhvlgxdov/ X lv e| frqvwuxfwlrq
ruwkrjrqdo wr d +olqhduo| lqghshqgdqw, olqhdu frpelqdwlrqv ri wkh lqvwuxphqwv
]/ dqg khqfh fruuhodwhg zlwk u  d olqhdu frpelqdwlrqv ri ]> jxdudqwhhlqj
wkdw W U2 A f iru u A d1 Li wkh U2 iurp vxfk d uhjuhvvlrq lv kljk hqrxjk/
zh uhmhfw wkh qxoo k|srwkhvlv wkdw wkh uhvlgxdov duh xqfruuhodwhg zlwk wkh
lqvwuxphqwv/ l1h1 zh uhmhfw wkh lghqwli|lqj dvvxpswlrq wkdw HExw }w  ' f1 Lq
wklv vlwxdwlrq/ wkh prgho lv plvshflhg dqg rxu sdudphwhu hvwlpdwhv vkrxog
qrw eh ylhzhg dv frqvlvwhqw hvwlpdwhv ri wkh wuxh ydoxh ri r 1 Pruh jhqhudoo|/
wkh ryhulghqwli|lqj whvw lv d whvw ri wkh ruwkrjrqdolw| ehwzhhq huuruv dqg
lqvwuxphqwv/ dowkrxjk lw uhgxfhv wr W U2 rqo| xqghu uhvwulfwlyh dvvxpswlrqv
qhfhvvdu| iru 5VOV wr eh wkh rswlpdo JPP hvwlpdwru1

5
 Dowkrxjk wkh ryhulghqwli|lqj whvw surylghv d xvhixo gldjqrvwlf/ lw grhv
qrw dozd|v surylgh d jrrg lqglfdwru ri prgho plvshflfdwlrq1 Iru h{dpsoh/
e| h{sdqglqj wkh lqvwuxphqw olvw wr lqfoxgh dgglwlrqdo lqvwuxphqwv wkdw duh
xqfruuhodwhg zlwk X zh zloo qrw udlvh wkh ydoxh ri wkh whvw vwdwlvwlf exw zh
zloo lqfuhdvh wkh ghjuhhv ri iuhhgrp xvhg wr frqvwuxfw uhjlrqv ri uhmhfwlrq1
Wklv duwlfldoo| orzhuv wkh s0ydoxh ri wkh fkl0vtxduhg vwdwlvwlf dqg pdnhv
uhmhfwlrq ohvv olnho|1 Lw pd| dovr eh wkh fdvh wkdw wkh vpdoo vdpsoh surshuwlhv
ri wkh zhljkwlqj pdwul{ fdxvh xv wr ryhuuhmhfw wkh prgho lq vrph lqvwdqfhv1 Lq
qhlwkhu fdvh/ gr zh jhw d jrrg vhqvh ri zk| wkh prgho lv uhmhfwhg ru dffhswhg1
Dq dujxdeo| pruh frqylqflqj phwkrgrorj| zrxog eh wr hpehg wkh prgho ri
lqwhuhvw zlwklq d eurdghu prgholqj iudphzrun wkdw h{solflwo| dgplwv d zhoo0
vshflhg dowhuqdwlyh prgho1 Li wklv dowhuqdwlyh prgho lv qrw uhmhfwhg xvlqj
wkh ryhulghqwli|lqj whvw zh wkhq kdyh vrph frqghqfh wkdw wkh dgglwlrqdo
uhvwulfwlrqv zh zlvk wr lpsrvh duh edvhg rq dq xquhvwulfwhg prgho wkdw zdv
rewdlqhg xvlqj d ydolg vhw ri lqvwuxphqwv dqg khqfh lghqwli|lqj dvvxpswlrqv1
Zlwk wklv dssurdfk/ zh wkhq ghvluh d phwkrg wr whvw grzq wkh prgho1 Lq
wkh qh{w vhfwlrqv zh glvfxvv wkuhh vxfk phwkrgv= Zdog whvwv/ G0whvwv/ dqg
plqlpxp glvwdqfh hvwlpdwruv1 Dowkrxjk dv|pswrwlfdoo| htxlydohqw/ wkhvh
whvwv pd| glhu lq qlwh vdpsohv1 Lq dgglwlrq/ vrph duh hdvlhu wr lpsrvh wkdq
rwkhuv ghshqglqj rq wkh frqwh{w dqg hvwlpdwlrq vwudwhj| ehlqj frqvlghuhg1

5 Whvwv ri Sdudphwhu Uhvwulfwlrqv

514 Uhvwulfwhg JPP Hvwlpdwlrq xvlqj Zdog Whvwv
51414 Olqhdu Uhvwulfwlrqv
Dvvxph zh kdyh hvwlpdwhg wkh sdudphwhu  xvlqj JPP/ vr wkdw
s g
W Ee   $ Q Ef> P 1

Qrz vxssrvh zh duh lqwhuhvwhg lq whvwlqj olqhdu k|srwkhvlv rq furvv0sdudphwhu

uhvwulfwlrqv ri wkh jhqhudo irup

Kf G U  t ' f>

zkhuh U lv u  N dqg t lv u  1

6
H{dpsoh 4 Vxssrvh N ' > dqg vxssrvh zh zdqw wr whvw wkh k|srwkhvlv wkdw
  '  2 1 Wkhq  
U '   f > t ' f=

H{dpsoh 5 Vxssrvh N ' > dqg vxssrvh zh zdqw wr whvw wkh mrlqw k|srwkhvlv
wkdw   '  2 dqg   ' 21 Wkhq
   
  f f
U' >t' =
f f  2

Qrwlfh wkdw zh fdq frqvwuxfw wkh udqgrp yduldeoh

v ' Ue  t=

Lw iroorzv lpphgldwho| wkdw

s g
W v $ Q Ef> UPU  1 

Li v zhuh vfdodu/ wkhq zh frxog frqvwuxfw d frqyhqwlrqdo w0whvw1 D pruh

jhqhudo vwudwhj| zklfk lv ydolgsiru wkh fdvh zkhuh u pd| eh odujhu wkdq rqh
lv wr frqvwuxfw d txdgudwlf lq W v xvlqj EUPU   dv wkh zhljkwlqj pdwul{1
 3

D jhqhudo uhvxow iurp glvwulexwlrq wkhru| vd|v wkh iroorzlqj=

Ghqh wkh Zdog vwdwlvwlf dv
   3

Z  W EUe  t UPU 

EUe  t 1

Wkhq xvlqj wkh suhylrxv uhvxow/ zh fdq uhdglo| yhuli| wkdw

g
Z $ "2 Eu 1

51415 Qrqolqhdu Uhvwulfwlrqv

Pruh jhqhudoo|/ zh fdq whvw k|srwkhvhv rq qrqolqhdu uhvwulfwlrqv ri wkh irup

Kf G u E ' f1

Wkh wulfn lv wr frqvwuxfw d orfdo dssur{lpdwlrq iru wkh glvwulexwlrq ri u Ee

lq d qhljkerukrrg ri u E1 Wr gr wklv/ zh xvh wkh uvw0rughu Wd|oru vhulhv
dssur{lpdwlrq
u Ee * u E n U Ee   >

7
zkhuh
gu E
U =
g 

Zlwk wklv dssur{lpdwlrq/ u Ee lv d olqhdu ixqfwlrq ri e> khqfh lw iroorzv lp0
phgldwho| +dqdorjrxv wr wkh olqhdu fdvh, wkdw zh fdq ghqh wkh Zdog vwdwlvwlf
dv   
g 3

Z  W u Ee UPU
u Ee $ "2 Eu 1


Wkhq mxvw dv lq wkh olqhdu fdvh/ zh fdq uhdglo| yhuli| wkdw

g
Z $ "2 Eu 1

515 Wkh G0Whvw

Zh djdlq frqvlghu lpsrvlqj uhvwulfwlrqv ri wkh irup u E ' f jlyhq d sdudp0
hwhu hvwlpdwh e rewdlqhg iurp
 W ' @h} 4? jW EV  jW E 3
W

iru VW $ V ' W HEjW Er jW Er  1 Wr rewdlq wkh G0whvw/ zh uhvwlpdwh wkh


prgho e| vroylqj
W ' @h} 4? jW EV  jW E 3
W
vxemhfw wr uE ' f

Wkh G  whvw
G ' jW EV W  jW E  jW E V W  jW E
3 3

lv edvhg rq wkh glhuhqfh ehwzhhq wkh ydoxh ri wkh remhfwlyh ixqfwlrq rewdlqhg
xqghu wkh uhvwulfwlrq dqg wkh ydoxh rewdlqhg iurp wkh xquhvwulfwhg prgho1
Jlyhq wkdw zh duh xvlqj wkh vdph zhljkwlqj pdwul{ lq erwk fdvhv +wkh rswlpdo
zhljkwlqj pdwul{ lq wkh xquhvwulfwhg prgho,/ wkh G vwdwlvwlf lv zloo dozd|v eh
srvlwlyh/ l1h1 wkh plqlpl}hg ydoxh pxvw ulvh zkhq zh lpsrvh uhvwulfwlrqv rq
1 Ixuwkhupruh/ zh djdlq rewdlq wkh uhvxow wkdw

G  {2 Eu

zkhuh u lv wkh qxpehu ri uhvwulfwlrqv1 Djdlq/ wklv uhvxow iroorzv lphgldwho|

iurp d Wd|oru vhulhv h{sdqvlrq frpelqhg zlwk wkh sursrvlwlrq dw wkh ehjlq0
qlqj ri wklv ohfwxuh1

8
 Qrwh= wkh G0whvw lv wkh JPP dqdorj wr wkh olnholkrrg udwlr whvw lq pd{0
lpxp olnholkrrg1 Wr rewdlq wkh G0whvw zh pxvw hvwlpdwh wkh prgho xqghu
erwk wkh qxoo dqg wkh dowhuqdwlyh/ dqg wkhq frpsduh wkh lqfuhphqwdo lqfuhdvh
lq wkh fulwhulrq ixqfwlrq1 Li lw ulvhv e| d vwdwlvwlfdoo| vljqlfdqw dprxqw/ zh
uhmhfw wkh qxoo k|srwkhvlv wkdw wkh uhvwulfwlrqv duh ydolg1 Lq frqwudvw wr wkh
G0whvw/ wkh Zdog whvw rqo| uhtxluhv hvwlpdwlrq ri wkh prgho xqghu wkh dowhu0
qdwlyh +zlwkrxw lpsrvlqj wkh uhvwulfwlrqv,1 Lq doo fdvhv/ wkh G0whvw dqg wkh
Zdog whvw duh dv|pswrwlfdoo| htxlydohqw1 Lq wkh olqhdu frqwh{w/ wkh| pd| dovr
wxuq rxw wr eh qxphulfdo| lghqwlfdo1

516 Plqlpxp0glvwdqfh hvwlpdwruv

Iru hdvh ri h{srvlwlrq/ zh qrz irupxodwh wkh sureohp voljkwo| glhuhqwo|1
Jlyhq dq n{ sdudphwhu yhfwru  vxfk wkdw
s g
 f  $
W E Q Ef> V

zh zlvk wr lpsrvh uhvwulfwlrqv ri wkh irup

 ' iE +7,

zkhuh i G Ud $ Un / n A d1 Wr rewdlq rxu plqlpxp glvwdqfh hvwlpdwru zh

 i E xvlqj V  / wkh lqyhuvh yduldqfh
fkrrvh  wr plqlpl}h wkh glvwdqfh  3

ri rxu xquhvwulfwhg sdudphwhu hvwlpdwh dv rxu glvwdqfh phwulf=

 i E V  E
 ' @h} 4?E   i E
3

Xqghu wkh qxoo k|srwkhvlv wkdw wkh uhvwulfwlrqv lpsolhg e| htxdwlrq 7 duh
ydolg zh kdyh s  
W   f $ QEf> EI V  I     3 3

zkhuh
Ci E
I ' m'f
C
r ' i Er 

Dovr
W E   i E   "2 Eu  d
 i E  l  E
3

zkhuh  lv dq u{ dqg  lv dq d{/ d ? u1

9
 Surylqj wkhvh uhvxowv lv djdlq d vwudljkwiruzdug dssolfdwlrq ri wkh Ghowd
phwkrg +uvw0rughu Wd|oru vhulhv h{sdqvlrq wr rewdlq wkh fruuhfw dv|pswrwlf
glvwulexwlrq,1 Wr ghulyh wklv glvwulexwlrq/ zh frqvlghu d jhqhudo zhljkwlqj
pdwul{1 Ohw plqlpxp glvwdqfh hvwlpdwru  vroyh
W  i E ZW E
4? MW E ' E W  i E


Zh pdnh wkh iroorzlqj dvvxpswlrqv=

W $ r ' iEr > ZW $ Z srv1 ghqlwh

D4, 

D5,  ehorqjv wr d frpsdfw vxevhw ri dq u glphqvlrqdo vsdfh1 i E kdv

Ci
frqwlqrxv vhfrqg sduwldo ghulydwlyhv dqg C kdv ixoo froxpq udqn lq dq


rshq qhljkerukrrg ri r 1
s
D6, W EW  i Er  $ Q Ef> V

zklfk lpso| wkh iroorzlqj sursrvlwlrq

Sursrvlwlrq=
s
Li D4, dqg D5, duh vdwlvhg wkhq  $ r 1

Li D40D6, duh vdwlvhg wkhq

s
W E   r  $ Q Ef> P
g

zkhuh
P ' EI Z I   EI Z VZ I EI Z I 
 3   
3

Wr suryh wklv zh djdlq xvh d Wd|oru vhulhv h{sdqvlrq1  vroyhv

 
Ci E W  i E  ' f
gW E ' m ZW E
C '

Wkh phdq0ydoxh wkhuhrp lpsolhv

CgW E  
W 
gW E ' gW Er  n   r
C 

:
  
iru  rq wkh olqh vhjphqw frqqhfwlqj > r 1 Zh kdyh
W

   
CgW E Ci E Ci E

s
m'W $ m  ' f Z m'f ' I Z I 

C 
C 
C 

s  

khqfh W    f kdv wkh vdph olplwlqj glvwulexwlrq dv
 
CgW E s s  
m  ' f W gW Er  ' EI Z I   I Z W 
 3  W  i E 
C 

Zh wkhq dsso| D6, wr jhw wkh uhvxow1

Li V lv srvlwlyh ghqlwh wkhq

EI Z I 
 3  I Z VZ I EI Z I    I V I  
3 3 3

lv srvlwlyh ghqlwh1 Wklv lpsolhv wkdw wkh rswlpdo fkrlfh ri Z lv Z '

V 1
3

Sursrvlwlrq= Li D  D> V srvlwlyh ghqlwh/ dqg ZW $ V  wkhq

s 3

 i E  $ "2 Eu  d
W  iE ZW E
W E

517 Glvfxvvlrq=
Plqlpxp glvwdqfh hvwlpdwlrq lv dq dv|pswrwlfdoo| h!flhqw phwkrg ri lp0
srvlqj uhvwulfwlrqv rq d sdudphwhu yhfwru W 1 Djdlq/ zh iroorz wkh JPP
sulqflsoh ri plqlpl}lqj wkh glvwdqfh ehwzhhq vdpsoh prphqwv dqg srsxodwlrq
prphqwv1 Lq wklv fdvh/ wkh vdpsoh prphqwv duh ri wkh irup jW E '  W i E 
zklfk duh phdq }hur xqghu wkh qxoo wkdw wkdw wkh uhvwulfwlrqv duh ydolg1 Wkh
yluwxh ri wklv dssurdfk lv wkdw lw pd| lq sulqflsoh eh frpsxwdwlrqdoo| exu0
ghqvrph wr rewdlq dq hvwlpdwh ri  xvlqj wkh vwdqgdug JPP phwkrg exw
frpsxwdwlrqdoo| hdv| wr rewdlq dq hvwlpdwh ri 1 Iru h{dpsoh/ li wkh prgho
lv qrq0olqhdu lq wkh sdudphwhu yhfwru  exw olqhdu lq wkh xquhvwulfwhg sdudp0
hwhu yhfwru 1 Lq wklv fdvh/ zh xvh wkh gdwd wr frqvwuxfw rxu xquhvwulfwhg
hvwlpdwh  dqg rewdlq dq hvwlpdwh ri wkh yduldqfh0fryduldqfh V ri wklv sd0
udphwhu yhfwru1 Rqfh dfklhyhg zh pd| qrz sxw wkh gdwd dvlgh/ dqg fkrrvh
rxu uhvwulfwhg sdudphwhu hvwlpdwh  e| plqlpl}lqj MW E1

;
 Dowhuqdwlyh uhvwulfwlrqv rq  pd| eh frqvlghuhg zlwkrxw kdylqj wr xvh
wkh gdwd wr uhhvwlpdwh wkh prgho1 Lq sduwlfxodu/ rqh pd| frqvlghu d vhulhv
ri qhvwhg prghov i E > i2 E2 > === Vxssrvh wkh ruljlqdo sdudphwhu yhfwru  lv
dq u{>dqg   lv dq d { zklfk vdwlvhv wkh k|srwkhvlv

Kr G   i E  ' f=

Frqglwlrqdo rq qrw uhmhfwlqj Kr > zh qrz frqvlghu ixuwkhu uhvwulfwlrqv ri wkh

irup zklfk vdwlvhv wkh uhvwulfwlrqv

K G i E2   i E  ' f

2 lv dq d2 { zlwk d2 ? d 1 Wkhvh uhvwulfwlrqv pd| djdlq eh lpsrvhg e|

fkrrvlqj 2 wr vroyh

M2 E2  ' 4?Ei E   i2 E 2 V 23 Ei E    i2 E2 

zkhuh V23 pd| eh rewdlqhg xvlqj wkh xquhvwulfwhg sdudphwhu hvwlpdwh 

+xqghu hlwkhu wkh qxoo ru wkh dowhuqdwlyh/ wklv lv vwloo d ydolg hvwlpdwh ri wkh
yduldqfh ri erwk i E  dqg i E2 1 Wkh whvw vwdwlvwlf

W M2 E2   "2 Ed  d2 

suyrylghv dq dv|pswrwlfdoo| h!flhqw whvw ri K frqglwlrqdo rq Kr 1

<