Improved omnibus test statistic for normality

We propose a new omnibus test statistic for normality based on the Jarque–Bera test statistic. We give the exact first four moments of the null distribution for the statistic using a computer algebra system. Our proposed statistic is an improvement of Jarque–Bera test statistic. Then the cumulants of the standardized statistic satisfy the Cornish–Fisher assumption. We give a normalizing transformation of the statistic based on the Wilson–Hilferty transformation.     

Regular Score Tests of Independence in Multivariate Extreme Values

The score tests of independence in multivariate extreme values derived by Tawn (Tawn, J.A., “Bivariate extreme value theory: models and estimation,” Biometrika 75, 397–415, 1988) and Ledford and Tawn (Ledford, A.W. and Tawn, J.A., “Statistics for near independence in multivariate extreme values,” Biometrika 83, 169–187, 1996) have non-regular properties that arise due to violations of the usual regularity conditions of maximum likelihood. Two distinct types of regularity violation are encountered in each of their likelihood frameworks: independence within the underlying model corresponding to a boundary point of the parameter space and the score function having an infinite second moment. For applications, the second form of regularity violation has the more important consequences, as it results in score statistics with non-standard normalisation and poor rates of convergence. The corresponding tests are difficult to use in practical situations because their asymptotic properties are unrepresentative of their behaviour for the sample sizes typical of applications, and extensive simulations may be needed in order to evaluate adequately their null distribution. Overcoming this difficulty is the primary focus of this paper. We propose a modification to the likelihood based approaches used by Tawn (Tawn, J.A., “Bivariate extreme value theory: models and estimation,” Biometrika 75, 397–415, 1988) and Ledford and Tawn (Ledford, A.W. and Tawn, J.A., “Statistics for near independence in multivariate extreme values,” Biometrika 83, 169–187, 1996) that provides asymptotically normal score tests of independence with regular normalisation and rapid convergence. The resulting tests are straightforward to implement and are beneficial in practical situations with realistic amounts of data. AMS 2000 Subject Classification Primary—60G70 Secondary—62H15     

N-distance tests for a composite hypothesis of goodness of fit

In this paper, we consider an application of N-distance theory for testing composite hypotheses of goodness of fit. This work is a continuation of our research started in [A. Bakshaev, Goodness of fit and homogeneity tests on the basis of N-distances, J. Stat. Plan. Inference, 139(11):3750–3758, 2009; A. Bakshaev, Nonparametric tests based on N-distances, Lith. Math. J., 48(4):368–379, 2008]. Particular attention is paid to normality and exponentiality tests. A comparative Monte Carlo power study for the proposed criteria is provided. Different alternatives in uni- and bivariate cases are investigated.     

Long-Term Prediction of Creep Strain of Expanded Polystyrene

Data obtained in investigating the creep of expanded polystyrene in compression are discussed. An analysis of the results of creep tests 65–608 days long showed that the creep can be predicted for 50 years based on experiments of less duration than the 605 days indicated in EN 13163. For this purpose, it is suggested to employ a 95-fold extrapolation in time if the creep curves are described by a power function (as recommended by EN 13163) or a 50-fold extrapolation if the exponential equation proposed in the present paper is used. __________ Translated from Mekhanika Kompozitnykh Materialov, Vol. 41, No. 6, pp. 795–802, November–December, 2005.     

Interlaminar fracture and low-velocity impact of carbon/epoxy composite materials

The interlaminar fracture and the low-velocity impact behavior of carbon/epoxy composite materials have been studied using width-tapered double cantilever beam (WTDCB), end-notched flexure (ENF), and Boeing impact specimens. The objectives of this research are to determine the essential parameters governing interlaminar fracture and damage of realistic laminated composites and to characterize a correlation between the critical strain energy release rates measured by interlaminar fracture and by low-velocity impact tests. The geometry and the lay-up sequence of specimens are designed to probe various conditions such as the skewness parameter, beam volume, and test fixture. The effect of interfacial ply orientations and crack propagation directions on interlaminar fracture toughness and the effect of ply orientations and thickness on impact behavior are examined. The critical strain energy release rate was calculated from the respective tests: in the interlaminar fracture test, the compliance method and linear beam theory are used; the residual energy calculated from the impact test and the total delamination area estimated by ultrasonic inspection are used in the low-velocity impact test. Results show that the critical strain energy release rate is affected mainly by ply orientations. The critical strain energy release rate measured by the low-velocity impact test lies between the mode I and mode II critical strain energy release rates obtained by the interlaminar fracture test. Submitted to the 11th International Conference on Mechanics of Composite Materials (Riga, June 11–15, 2000). Published in Mekhanika Kompozitnykh Materialov, Vol. 36, No. 2, pp. 195–214, March–April, 2000.     

Scenario reduction in stochastic programming

 Given a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a probability measure based on this set that is the closest to the initial distribution in terms of a natural (or canonical) probability metric. Arguments from stability analysis indicate that Fortet-Mourier type probability metrics may serve as such canonical metrics. Efficient algorithms are developed that determine optimal reduced measures approximately. Numerical experience is reported for reductions of electrical load scenario trees for power management under uncertainty. For instance, it turns out that after 50% reduction of the scenario tree the optimal reduced tree still has about 90% relative accuracy. Received: July 2000 / Accepted: May 2002 Published online: February 14, 2003 Key words. stochastic programming – quantitative stability – Fortet-Mourier metrics – scenario reduction – transportation problem – electrical load scenario tree Mathematics Subject Classification (1991): 90C15, 90C31     

The behaviour of the modified Levene’s test when data are not normally distributed

This is a simulation study that analyzes the robustness properties of tests for equality of variances in terms of both, Type I error rate and power. The well-known Levene’s and Bartlett’s tests, along with different modifications proposed for Levene’s test with and without bootstrapping are examined. Without bootstrapping, some of the modifications may produce better homogeneity tests. Bootstrapping Levene’s test based on the median and this test simultaneously modified by Keyes–Levy’s adjustment and Satterthwaite’s correction are always robust for the significance level under any kind of distribution and combination of sample sizes. None of the tests examined provides protection against extreme values in symmetric distributions.     

Determining <Emphasis Type="Italic">p</Emphasis>-values for systems cointegration tests with a prior adjustment for deterministic terms

Following Doornik (J Econ Surv 12:573–593, 1998) I present a procedure to approximate the asymptotic distributions of systems cointegration tests with a prior adjustment for deterministic terms suggested by Lütkepohl (Econometrica 72:647–662, 2004), Saikkonen and Lütkepohl (Econometric Theory 16:373–406, 2000a, J Business Econ Stat 18:451–464, 2000b, Time Series Anal 21:435–456, 2000c) and Saikkonen and Luukkonen (J Econ 81:93–126, 1997). These tests rely upon different assumptions as to the inclusion of deterministic components such as a constant, a linear trend or a level shift. The asymptotic distributions, which are functions of Brownian motions, are approximated by Gamma distributions. Only estimates of the mean and variance of the asymptotic test distributions are needed to fit the Gamma distributions. Such estimates are obtained from response surfaces. The required coefficients to compute the asymptotic moments are presented in this paper. Via the fitted Gamma distributions one can, then, easily derive p-values or arbitrary percentiles.     

An Asymmetric Shapley–Shubik Power Index

This paper extends the traditional “pivoting” and “swing” schemes in the Shapley–Shubik (S-S) power index and the Banzhaf index to the case of “blocking”. Voters are divided into two groups: those who vote for the bill and those against the bill. The uncertainty of the division is described by a probability distribution. We derive the S-S power index, based on a priori ignorance about the random bipartition.     

A formula for deficiency (L-andR-tests)

In this paper an analogue of the formulas [D. M. Chibisov,Teor. Veroyatn. Primen.,30, 269–288 (1985);Izv. Akad. Nauk UzSSR,6, 23–30 (1982)] for the difference between the power of a given asymptotically efficient test and that of the most powerful test is justified for one-sample L-and R-tests, i.e., tests based on linear combinations of order statistics and linear rank statistics. This formula directly yields the Hodges-Lehmann deficiency of corresponding tests. A general theorem is stated which is applied to L-and R-tests. The explicit expressions given by this formula for L- and R-tests are also presented. The expression related to R-tests agrees with the one obtained in [W. Albers, P. J. Bickel, and W. R. Van Zwet,Ann. Statist.,4, 108–156 (1976);6, 1170–1171 (1978)]. We present here a nontechnical (heuristic) proof of these results. Supported by the Russian Foundation for Fundamental Research (grant No. 93-011-1446). Proceedings of the XVI Seminar on Stability Problems for Stochastic Models, Part II, Eger, Hungary, 1994.     

A general divergence criterion for prior selection

The paper revisits the problem of selection of priors for regular one-parameter family of distributions. The goal is to find some “objective” or “default” prior by approximate maximization of the distance between the prior and the posterior under a general divergence criterion as introduced by Amari (Ann Stat 10:357–387, 1982) and Cressie and Read (J R Stat Soc Ser B 46:440–464, 1984). The maximization is based on an asymptotic expansion of this distance. The Kullback–Leibler, Bhattacharyya–Hellinger and Chi-square divergence are special cases of this general divergence criterion. It is shown that with the exception of one particular case, namely the Chi-square divergence, the general divergence criterion yields Jeffreys’ prior. For the Chi-square divergence, we obtain a prior different from that of Jeffreys and also from that of Clarke and Sun (Sankhya Ser A 59:215–231, 1997).     

Dynamic allocation indices for restless projects and queueing admission control: a polyhedral approach

 This paper develops a polyhedral approach to the design, analysis, and computation of dynamic allocation indices for scheduling binary-action (engage/rest) Markovian stochastic projects which can change state when rested (restless bandits (RBs)), based on partial conservation laws (PCLs). This extends previous work by the author [J. Ni?o-Mora (2001): Restless bandits, partial conservation laws and indexability. Adv. Appl. Probab. 33, 76–98], where PCLs were shown to imply the optimality of index policies with a postulated structure in stochastic scheduling problems, under admissible linear objectives, and they were deployed to obtain simple sufficient conditions for the existence of Whittle's (1988) RB index (indexability), along with an adaptive-greedy index algorithm. The new contributions include: (i) we develop the polyhedral foundation of the PCL framework, based on the structural and algorithmic properties of a new polytope associated with an accessible set system -extended polymatroid}); (ii) we present new dynamic allocation indices for RBs, motivated by an admission control model, which extend Whittle's and have a significantly increased scope; (iii) we deploy PCLs to obtain both sufficient conditions for the existence of the new indices (PCL-indexability), and a new adaptive-greedy index algorithm; (iv) we interpret PCL-indexability as a form of the classic economics law of diminishing marginal returns, and characterize the index as an optimal marginal cost rate; we further solve a related optimal constrained control problem; (v) we carry out a PCL-indexability analysis of the motivating admission control model, under time-discounted and long-run average criteria; this gives, under mild conditions, a new index characterization of optimal threshold policies; and (vi) we apply the latter to present new heuristic index policies for two hard queueing control problems: admission control and routing to parallel queues; and scheduling a multiclass make-to-stock queue with lost sales, both under state-dependent holding cost rates and birth-death dynamics. Received: April 2000 / Accepted: October 2002 Published online: December 9, 2002 RID="★" ID="★" Work partly supported by the Spanish Ministry of Science and Technology (grant BEC2000-1027), NATO (Collaborative Linkage Grant PST.CLG.976568), and the Joint Spanish-US (Fulbright) Commission for Scientific and Technical Exchange (project 2000-20132) Key words. Markov decision process – restless bandits – polyhedral combinatorics – extended polymatroid – adaptive-greedy algorithm – dynamic allocation index – stochastic scheduling – threshold policy – index policy – Gittins index – Klimov index – Whittle index – control of queues – admission control – routing – make-to-stock – multiclass queue – finite buffers – conservation laws – achievable performance Mathematics Subject Classification (1991): (AMS 2000 Subject Classification): 90B36, 90B22, 90C40, 90C57, 90C08     

On statistical manifolds of solutions of martingale problems

We consider geometrically regular statistical models defined by local densities of probability measures corresponding to discrete or continuous time Markov processes and smoothly depending on a finite dimensional parameter. Evolution equations are derived in terms of the generators of the underlying Markov additive processes for the elements of the related Fisher information matrix and the skewness tensor defining the Riemannian metric and the Amari-Chentsov's affine α-connections as functions of time and starting points of Markov processes. Institute of Mathematics and Informatics, Akademijos 4, 2600 Vilnius, Lithuania. Published in Lietuvos Matematikes Rinkinys, Vol. 35, No. 4, pp. 456–468, October–December, 1995.     

The elliptic Apostol–Dedekind sums generate odd Dedekind symbols with Laurent polynomial reciprocity laws

Dedekind symbols are generalizations of the classical Dedekind sums (symbols). There is a natural isomorphism between the space of Dedekind symbols with Laurent polynomial reciprocity laws and the space of modular forms. We will define a new elliptic analogue of the Apostol–Dedekind sums. Then we will show that the newly defined sums generate all odd Dedekind symbols with Laurent polynomial reciprocity laws. Our construction is based on Machide’s result (J Number Theory 128:1060–1073, 2008) on his elliptic Dedekind–Rademacher sums. As an application of our results, we discover Eisenstein series identities which generalize certain formulas by Ramanujan (Collected Papers of Srinivasa Ramanujan, pp. 136–162. AMS Chelsea Publishing, Providence, 2000), van der Pol (Indag Math 13:261–271, 272–284, 1951), Rankin (Proc R Soc Edinburgh Sect A 76:107–117, 1976) and Skoruppa (J Number Theory 43:68–73, 1993).     

Detecting and modeling nonlinearity in the gas furnace data

Using a modification of the Hinich, J Time Ser Anal 3(3):169–176, (1982) bispectrum test for nonlinearity and Gaussianity, the residuals of the Tiao and Box, J Am Stat Assoc 76:802–816, (1981) constrained and unconstrained VAR models for the gas furnace data reject the assumption of Gaussianity and linearity over a grid of bandwidths for estimating the bispectrum. These findings call into question the specification of the linear VAR and VARMA models assumed by Tiao and Box, J Am Stat Assoc 76:802–816, (1981). Utilizing the alternative Hinich J Nonparametr Stat 6:205–221, (1996) nonlinearity test, the residuals of the VAR model were shown to exhibit episodic nonlinearity. The sensitivity of the findings to outliers is investigated by estimating and testing the residuals of L1 and MINIMAX models from 1–6 lags. Building on the linear dynamic specification, a multivariate adaptive regression splines (MARS) model is estimated, using two software implementations, and shown to remove the nonlinearity in the residuals. Leverage plots were used to illustrate the “cost” of imposing a linearity assumption. Out-of-sample forecasting tests from 1–6 periods ahead found that using the sum-of-squared errors criteria, the MARS model out performed ACE, GAM and projection pursuit models.     

On testing extreme value conditions

Applications of univariate extreme value theory rely on certain as- sumptions. Recently, two methods for testing these extreme value conditions are derived by [Dietrich, D., de Haan, L., Hüsler, J., Extremes 5: 71–85, (2002)] and [Drees, H., de Haan, L., Li, D., J. Stat. Plan. Inference, 136: 3498–3538, (2006)]. In this paper we compare the two tests by simulations and investigate the effect of a possible weight function by choosing a parameter, the test error and the power of each test. The conclusions are useful for extreme value applications.     

New approach for the nonlinear programming with transient stability constraints arising from power systems

This paper presents a new approach for solving a class of complicated nonlinear programming problems arises from optimal power flow with transient stability constraints (denoted by OTS) in power systems. By using a functional transformation technology proposed in Chen et al. (IEEE Trans. Circuits Syst. I Fundam. Theory Appl. 48:327–339, [2001]), the OTS problem is transformed to a semi-infinite programming (SIP). Then based on the KKT (Karush-Kuhn-Tucker) system of the reformulated SIP problem and the finite approximation technology, an iterative method is presented, which develops Wu-Li-Qi-Zhou’ (Optim. Methods Softw. 20:629–643, [2005]) method. In order to save the computing cost, some typical computing technologies, such as active set strategy, quasi-Newton method for the subproblems coming from the finite approximation model, are addressed. The global convergence of the proposed algorithm is established. Numerical examples from power systems are tested. The computing results show the efficiency of the new approach.     

Réalisation ℓ-adique des motifs triangulés géométriques II

For geometrical triangulated motives with rational coefficients over a ground field of characteristic zero which is embeddable into \mathbbC{\mathbb{C}} , Huber (J. Algebraic Geom. 9(4):755–799, 2000; J. Algebraic Geom. 13(1):195–207, 2004) has constructed a realization functor with values in the category of mixed realization of Huber (Mixed motives and their realization in derived categories. Lecture Notes in Mathematics, vol. 1604. Springer, Berlin, 1995). In this sequel to Ivorra (Doc Math 12:607–671, 2007), we prove that the ℓ-adic realization functor obtained in Theorem 4.3 of Ivorra (Doc Math 12:607–671, 2007) is the same up to a canonical isomorphism as the ℓ-adic component of A. Huber’s construction. In this way (Ivorra in Doc Math 12:607–671, 2007) might be viewed as an integral generalization to all noetherian separed schemes of the work (Huber in J. Algebraic Geom. 9(4):755–799, 2000; J. Algebraic Geom. 13(1):195–207, 2004) as far as the ℓ-adic setting is concerned. We also prove a comparison theorem with the classical ℓ-adic cycle class map over a perfect field using a naive motivic cycle class map.     

A Poincar�� Inequality for Orlicz�CSobolev Functions with Zero Boundary Values on Metric Spaces

We prove a Poincaré inequality for Orlicz–Sobolev functions with zero boundary values in bounded open subsets of a metric measure space. This result generalizes the (p, p)-Poincaré inequality for Newtonian functions with zero boundary values in metric measure spaces, as well as a Poincaré inequality for Orlicz–Sobolev functions on a Euclidean space, proved by Fuchs and Osmolovski (J Anal Appl (Z.A.A.) 17(2):393–415, 1998). Using the Poincaré inequality for Orlicz–Sobolev functions with zero boundary values we prove the existence and uniqueness of a solution to an obstacle problem for a variational integral with nonstandard growth.     

Hyperbolic conservation laws with vanishing nonlinear diffusion and linear dispersion in heterogeneous media

We analyze family of solutions to multidimensional scalar conservation law, with flux depending on the time and space explicitly, regularized with vanishing diffusion and dispersion terms. Under a condition on the balance between diffusion and dispersion parameters, we prove that the family of solutions is precompact in L¹_loc{L^1_{\rm loc}}. Our proof is based on the methodology developed in Sazhenkov (Sibirsk Math Zh 47(2):431–454, 2006), which is in turn based on Panov’s extension (Panov and Yu in Mat Sb 185(2):87–106, 1994) of Tartar’s H-measures (Tartar in Proc R Soc Edinb Sect A 115(3–4):193–230, 1990), or Gerard’s micro-local defect measures (Gerard Commun Partial Differ Equ 16(11):1761–1794, 1991). This is new approach for the diffusion–dispersion limit problems. Previous results were restricted to scalar conservation laws with flux depending only on the state variable.