The iterative instrumental variables method and the full information maximum likelihood method for estimating interdependent systems

The “iterative instrumental variables” (IIV) method for estimating interdependent systems, originally referred to as a symmetric counterpart to the “fix-point” (FP) method, shares its symmetry properties with Durbin's iterative method for performing the “full information maximum likelihood” (FIML) estimation. Classical interdependent systems are considered and identities may occur among the structural equations. Alternative symmetric procedures for obtaining FIML estimates are also dealt with, including the sequential maximization of the likelihood function with respect to the coefficients of one structural equation at a time.Two recent estimation methods developed by Brundy and Jorgenson (1971, Review of Economics and Statistics53, 207–224) as well as Dhrymes (1971, Austral. J. Statist.13, 168–175) can be considered the second approximation of the IIV method and Durbin's method respectively with the first approximation obtained by the “ordinary instrumental variables” (OIV) method. In practice the second approximation depends heavily on the choice of initial instrumental variables, although the asymptotic distribution is not changed by the continued iteration.     

Robust regression function estimation

A robust estimator of the regression function is proposed combining kernel methods as introduced for density estimation and robust location estimation techniques. Weak and strong consistency and asymptotic normality are shown under mild conditions on the kernel sequence. The asymptotic variance is a product from a factor depending only on the kernel and a factor similar to the asymptotic variance in robust estimation of location. The estimation is minimax robust in the sense of Huber (1964). Robust estimation of a location parameter. Ann. Math. Statist.33 73–101.     

Non-Liouville numbers and a Theorem of Hörmander

It is shown in this paper that Theorem 1 of [G. H. Meisters, “Translation-invariant linear forms and a formula for the Dirac measure,” J. Functional Analysis 8 (1971), 173–188] can be deduced from a very general result of Lars Hörmander, namely, Theorem 1 of “Generators for some rings of analytic functions” [Bull. Amer. Math. Soc.73 (1967), 943–949]. However, Hörmander's theorem is evidently not applicable in several other cases where Meisters'-type results have been obtained (e.g., Theorem 1 of G.H. Meisters and Wolfgang M. Schmidt, “Translation-invariant linear forms on L²(G) for compact abelian groups G,” J. Functional Analysis11 (1972), 407–424).     

Existence results without convexity conditions for general problems of optimal control with singular components

This note presents a new, quick approach to existence results without convexity conditions for optimal control problems with singular components in the sense of E. J. McShane (SIAM J. Control5 (1967), 438–485). Starting from the resolvent kernel representation of the solutions of a linear integral equation, a version of Fatou's lemma in several dimensions is shown to lead directly to a compactness result for the attainable set and an existence result for a Mayer problem. These results subsume those of L. W. Neustadt (J. Math. Anal. Appl.7 (1963), 110–117), C. Olech (J. Differential Equations2 (1966), 74–101), M. Q. Jacobs (“Mathematical Theory of Control,” pp. 46–53, Academic Press, 1967), L. Cesari (SIAM J. Control12 (1974), 319–331) and T. S. Angell (J. Optim. Theory Appl.19 (1976), 63–79).     

Applications of autoreproducing kernel grammian moduli to S (U,H)-valued stationary random functions

It is shown that the analytical characterizations of q-variate interpolable and minimal stationary processes obtained by H. Salehi (Ark. Mat., 7 (1967), 305–311; Ark. Mat., 8 (1968), 1–6; J. Math. Anal. Appl., 25 (1969), 653–662), and later by A. Weron (Studia Math., 49 (1974), 165–183), can be easily extended to Hilbert space valued stationary processes when using the two grammian moduli that respectively autoreproduce their correlation kernel and their spectral measure. Furthermore, for these processes, a Wold-Cramér concordance theorem is obtained that generalizes an earlier result established by H. Salehi and J. K. Scheidt (J. Multivar. Anal., 2 (1972), 307–331) and by A. Makagon and A. Weron (J. Multivar. Anal., 6 (1976), 123–137).     

Projection theorems for hitting probabilities and a theorem of Littlewood

Littlewood (Proc. London Math. Soc. (2), 28 1928, 383–394) showed that a positive superharmonic function u on the unit disc has radial limits a.e. Using techniques due to Doob this result is extended to all rank one symmetric spaces. In addition simplifications are obtained of Doob's (Ann. Inst. Fourier (Grenoble), 15 1965, 113–135) proof of normal convergence a.e. of a positive superharmonic function on a half space. The symmetric space analogue of this half space result is also obtained. The methods used are shown to fail for the potential theory on $\text{R}$ⁿ associated with Δu = αu (α > 4 0). It is an open question as to whether Littlewood's theorem holds in this context.     

Cubical sperner lemmas as applications of generalized complementary pivoting

Two cubical versions of Sperner's lemma, due to Kuhn and Fan, are proved constructively without resorting to a simplicial decomposition of the cube, presenting examples of generalized complementary pivoting discussed by Todd (Math. Programming6 (1974)). The first version is essentially equivalent to Sperner's lemma in that it implies Brouwer's fixed point theorem, thereby answering a question raised by Kuhn (IBM J. Res. Develop.4 (1960)). The second has the property that although the structure is that of generalized complementarity, there is a uniquely defined path or algorithm associated with it. The basic structure used is a cubical decomposition of the cube, a special case of a cubical pseudomanifold, presented by Fan (Arch. Math.11 (1960)). Given the existence of a constructive algorithm for Sperner's lemma (see Cohen, J. Combinatorial Theory2 (1967)) and its generalization by Fan J. Combinatorial Theory2 (1967)) allied to the large amount of recent progress in complementary pivot theory, resulting in particular from the works of Lemke (Manage. Sci.11 (1965)) and Scarf (“The Computation of Economic Equilibria”) the computational attractions of a simplicial decomposition have become apparent. However, a cubical decomposition leads to certain advantages when a search for more than one “completely labeled” region is required, and no simplicial construction for the Fan lemma is known.     

Asymptotic expansions of the distributions of estimators in canonical correlation analysis under nonnormality

Asymptotic expansions of the distributions of typical estimators in canonical correlation analysis under nonnormality are obtained. The expansions include the Edgeworth expansions up to order O(1/n) for the parameter estimators standardized by the population standard errors, and the corresponding expansion by Hall's method with variable transformation. The expansions for the Studentized estimators are also given using the Cornish-Fisher expansion and Hall's method. The parameter estimators are dealt with in the context of estimation for the covariance structure in canonical correlation analysis. The distributions of the associated statistics (the structure of the canonical variables, the scaled log likelihood ratio and Rozeboom's between-set correlation) are also expanded. The robustness of the normal-theory asymptotic variances of the sample canonical correlations and associated statistics are shown when a latent variable model holds. Simulations are performed to see the accuracy of the asymptotic results in finite samples.     

On Darboux continuity and continuity

Lipinski's (Colloq. Math.19 (1968), 251–253) theorem for a Darboux function to be continuous is extended and a question raised by him is partially answered.     

The infinitesimal Lefschetz formulas: A heat equation proof

In this paper, the Lefschetz formulas of Atiyah and Bott (Ann. of Math.86 (1967), 374–407; 88 (1968), 451–491) and Atiyah and Singer (Ann. of Math.87 (1968), 546–604; 93 (1971), 119–138) are proved by heat equation methods in infinitesimal form, i.e., without using the usual localization on the fixed point set. The proof is obtained by a homotopic deformation of the Dirac operator and uses probabilistic methods. The main applications are potentially in noncompact situations where fixed point formulas do not always hold, while their infinitesimal analogues are still valid.     

Representations of best linear unbiased estimators in the Gauss-Markoff model with a singular dispersion matrix

In the general Gauss-Markoff model (Y, Xβ, σ²V), when V is singular, there exist linear functions of Y which vanish with probability 1 imposing some restrictions on Y as well as on the unknown β. In all earlier work on linear estimation, representations of best-linear unbiased estimators (BLUE's) are obtained under the assumption: “L′Y is unbiased for Xβ ? L′X = X.” Such a condition is not, however, necessary. The present paper provides all possible representations of the BLUE's some of which violate the condition L′X = X. Representations of X for given classes of BLUE's are also obtained.     

The entropy condition and the admissibility of shocks

The author proposed (Trans. Amer. Math. Soc.199 (1974), 89–112) the extended entropy condition (E) and solved the Riemann problem for general 2 × 2 conservation laws. The Riemann problem for 3 × 3 gas dynamics equations was treated by the author (J. Differential Equations18 (1975), 218–231). In this paper we justify condition (E) by the viscosity method in the spirit of Gelfand [Uspehi Mat. Nauk14 (1959), 87–158]. We show that a shock satisfies condition (E) if and only if the shock is admissible, that is, it is the limit of progressive wave solutions of the associated viscosity equations. For the “genuinely nonlinear” 2 × 2 conservation laws, Conley and Smoller [Comm. Pure Appl. Math.23 (1970), 867–884] proved that a shock satisfies Lax's shock inequalities [cf. Comm. Pure Appl. Math.14 (1957), 537–566] if and only if it is admissible. In this paper, we consider systems that are not necessarily genuinely nonlinear.     

Stability and forced oscillations

In this paper we derive a differential-difference equation for a circuit involving a lossless transmission line and we give conditions for global asymptotic stability of an equilibrium point, existence and stability of forced oscillations. Some of such problems have been investigated for an equation obtained by R. K. Brayton [Quart. J. Appl. Math.24 (1967), 289–301; O. Lopes, SIAM J. Appl. Math., to appear; M. Slemrod, J. Math. Anal. Appl.36 (1971), 22–40] but, for ours (which governs the same physical problem), better results can be proved. By using suitable Liapunov functionals, we reduce the problem of stability and uniform ultimate boundedness to a scalar ordinary differential inequality.     

Singular perturbation of an infinite interval linear state regulator problem in optimal control

The corresponding problem on a finite interval has been studied by O'Malley and Kung using two different methods, namely: (1) the two-point boundary value method (O'Malley and Kung, SIAM J. Control13 (1975), 327–337) and (2) The Riccati gain method (O'Malley and Kung, J. Differential Eqs.16 (1974), 413–427). For the infinite interval, the two-point boundary value method is no longer relevant. However, the Riccati gain method can be applied. The conditions are changed slightly from those for the finite interval case. Some conditions are eliminated and some new conditions are added.     

Quasicrystals are sets of stable sampling

Irregular sampling and “stable sampling” of band-limited functions have been studied by H.J. Landau [H.J. Landau, Necessary density conditions for sampling and interpolation of certain entire functions, Acta Math. 117 (1967) 37–52]. We prove that quasicrystals are sets of stable sampling. To cite this article: B. Matei, Y. Meyer, C. R. Acad. Sci. Paris, Ser. I 346 (2008).     

Quasi-free quantum stochastic integrals for the CAR and CCR

A theory of quantum martingales and quantum stochastic integrals in quasi-free representations of the CAR and CCR is presented. For the CAR, the results generalize some of those developed in Barnett, Streater, and Wilde (J. Funct. Anal.48 (1982), 172–212, J. London Math. Soc.27 (1983), 373–384) and for the CCR, the results contain the standard Itô theory of stochastic integration with respect to Brownian motion as a special case.     

HAC estimation and strong linearity testing in weak ARMA models

In the framework of ARMA models, we consider testing the reliability of the standard asymptotic covariance matrix (ACM) of the least-squares estimator. The standard formula for this ACM is derived under the assumption that the errors are independent and identically distributed, and is in general invalid when the errors are only uncorrelated. The test statistic is based on the difference between a conventional estimator of the ACM of the least-squares estimator of the ARMA coefficients and its robust HAC-type version. The asymptotic distribution of the HAC estimator is established under the null hypothesis of independence, and under a large class of alternatives. The asymptotic distribution of the proposed statistic is shown to be a standard χ² under the null, and a noncentral χ² under the alternatives. The choice of the HAC estimator is discussed through asymptotic power comparisons. The finite sample properties of the test are analyzed via Monte Carlo simulation.     

On the enumeration of certain sets of planted plane trees

Using the definition of planted plane trees given by D. A. Klarner (“A correspondence between sets of trees,” Indag. Math.31 (1969), 292–296) the number of nonisomorphic classes of certain sets of these trees is enumerated by obtaining a one-to-one correspondence between these classes and certain sets of nondecreasing vectors with integral components. A one-to-one correspondence between sets of (r + 1)-ary sequences and a certain set of planted plane trees is also established, which permits enumeration of this set. Finally, a natural generalization of Klarner's one-to-one correspondence between the above sets of trees and certain sets of edge-chromatic trees is obtained.     

Determining the form of the mean of a stochastic process

Let μ be the mean function of an observable stochastic process whose sample paths fall in some Banach space with a basis and assume μ is also in this space. A procedure like Cover's (Ann. Statist.1, 862–871, 1973) is given which has the property that if the last nonzero coordinate of μ is the mth then with probability one this is discovered after at most a finite number of erros. If μ has an infinite number of nonzero coordinates, then with probability one this is discovered after at most a finite number of errors except for a set of μ of prior probability zero.     

Extremals of functions on graphs with applications to graphs and hypergraphs

The method used in an article by T. S. Matzkin and E. G. Straus [Canad. J. Math.17 (1965), 533–540] is generalized by attaching nonnegative weights to t-tuples of vertices in a hypergraph subject to a suitable normalization condition. The edges of the hypergraph are given weights which are functions of the weights of its t-tuples and the graph is given the sum of the weights of its edges. The extremal values and the extremal points of these functions are determined. The results can be applied to various extremal problems on graphs and hypergraphs which are analogous to P. Turán's Theorem [Colloq. Math.3 (1954), 19–30: (Hungarian) Mat. Fiz. Lapok48 (1941), 436–452].