Ratios of ordered points of point processes with regularly varying intensity measures

We study limiting properties of ratios of ordered points of point processes whose intensity measures have regularly varying tails, giving a systematic treatment which points the way to “large-trimming” properties of extremal processes and a variety of applications. Our point process approach facilitates a connection with the negative binomial process of Gregoire (1984) and consequently to certain generalised versions of the Poisson–Dirichlet distribution.     

On Complex Formation between 5-Fluorouracil and β-Cyclodextrin in Solution and in the Solid State: IR Markers and Detection of Short-Lived Complexes by Diffusion NMR

In this work, the nuclear magnetic resonance (NMR) and IR spectroscopic markers of the complexation between 5-fluorouracil (5-FU) and β-cyclodextrin (β-CD) in solid state and in aqueous solution are investigated. In the attenuated total reflectance(ATR) spectra of 5-FU/β-CD products obtained by physical mixing, kneading and co-precipitation, we have identified the two most promising marker bands that could be used to detect complex formations: the C=O and C-F stretching bands of 5-FU that experience a blue shift by ca. 8 and 2 cm⁻¹ upon complexation. The aqueous solutions were studied by NMR spectroscopy. As routine NMR spectra did not show any signs of complexation, we have analyzed the diffusion attenuation of spin–echo signals and the dependence of the population factor of slowly diffusing components on the diffusion time (diffusion NMR of pulsed-field gradient (PFG) NMR). The analysis has revealed that, at each moment, ~60% of 5-FU molecules form a complex with β-CD and its lifetime is ca. 13.5 ms. It is likely to be an inclusion complex, judging from the independence of the diffusion coefficient of β-CD on complexation. The obtained results could be important for future attempts of finding better methods of targeted anticancer drug delivery.     

A generalized skewness statistic for stationary ergodic martingale differences

We present a class of generalized skewness statistics depending on a parameter β > 0 and containing the usual skewness statistic when β = 3, but providing greater flexibility for modelling and testing skewness when β ≠ 3. The statistics’ suitability for financial applications is illustrated using a large data set from the Australian share market. Data is assumed to be observations on stationary ergodicmartingale differences with possibly leptokurtic marginals, rather than independent identically distributed samples. The statistics can be studentized for use in hypothesis testing. Proof is provided of their asymptotic distributions undermild assumptions. Rates of convergence and power of the tests against skewed alternatives are assessed using simulation.     

Ratio of Diffusion Coefficient to Mobility for Electrons in SF6-Air and Freon-Nitrogen Mixtures

The ratio of diffusion coefficient to mobility (D/?) for electrons has been measured in SF6-air and freon-nitrogen mixtures for various concentrations of SF6 and freon in the mixtures over the range 140? E/p? 220 V.cm-1 - torr-1. In SF6-air mixtures, the values of D/? were always observed to lie intermediate between the values for the pure gases. However, in freon-nitrogen mixtures, with a small concentration (10 percent) of freon in the mixture, the values of D/? are found to lie above the boundaries determined by the pure gases. In this mixture, over the lower E/p range (140 to 190) the electrons appear to lose a large fraction of their energy by the excitation of the complex freon molecules, while at higher E/p values (200 to 240), the excitation and consequent deexcitation of nitrogen molecules and its metastables seem to cause an increased rate of ionization of freon molecules.     

Divergence of a Random Walk Through Deterministic and Random Subsequences

Let {S _n} _n0 be a random walk on the line. We give criteria for the existence of a nonrandom sequence n _i for which respectively We thereby obtain conditions for to be a strong limit point of {S _n} or {S _n /n}. The first of these properties is shown to be equivalent to for some sequence a _i , where T(a) is the exit time from the interval [–a,a]. We also obtain a general equivalence between and for an increasing function fand suitable sequences n _i and a _i. These sorts of properties are of interest in sequential analysis. Known conditions for and (divergence through the whole sequence n) are also simplified.     

Asymptotic Properties of a Class of Mixture Models for Failure Data: The Interior and Boundary Cases

We analyse an exponential family of distributions which generalises the exponential distribution for censored failure time data, analogous to the way in which the class of generalised linear models generalises the normal distribution. The parameter of the distribution depends on a linear combination of covariates via a possibly nonlinear link function, and we allow another level of heterogeneity: the data may contain "immune" individuals who are not subject to failure. Thus the data is modelled by a mixture of a distribution from the exponential family and a "mass at infinity" representing individuals who never fail. Our results include large sample distributions for parameter estimators and for hypothesis test statistics obtained by maximising the likelihood of a sample. The asymptotic distribution of the likelihood ratio test statistic for the hypothesis that there are no immunes present in the population is shown to be "non-standard"; it is a 50-50 mixture of a chi-squared distribution on 1 degree of freedom and a point mass at 0. Our analysis clearly shows how "negligibility" of individual covariate values and "sufficient followup" conditions are required for the asymptotic properties.     

Random Walks Crossing High Level Curved Boundaries

Let {S _n} be a random walk, generated by i.i.d. increments X _i which drifts weakly to in the sense that as n . Suppose k0, k1, and E|X ₁|^1\k = if k>1. Then we show that the probability that S. crosses the curve nan ^K before it crosses the curve n –an ^k tends to 1 as a . This intuitively plausible result is not true for k = 1, however, and for 1/2 <k<1, the converse results are not true in general, either. More general boundaries g(n) than g(n) = n ^k are also considered, and we also prove similar results for first passages out of regions like { (n, y): n1, |y| (a + n) ^k } as a .     

A local limit theorem for independent random variables

A local limit theorem is given for independent noninteger random variables under a condition which is more general than one previously given, and which reduces, in the case of identically distributed random variables, to a well-known result.     

Processes of <Emphasis Type="Italic">r</Emphasis><Superscript><Emphasis Type="Italic">t</Emphasis><Emphasis Type="Italic">h</Emphasis></Superscript> largest

For integers n ≥ r, we treat the rth largest of a sample of size n as an \(\mathbb {R}^{\infty }\)-valued stochastic process in r which we denote as M^(r). We show that the sequence regarded in this way satisfies the Markov property. We go on to study the asymptotic behavior of M^(r) as r → ∞, and, borrowing from classical extreme value theory, show that left-tail domain of attraction conditions on the underlying distribution of the sample guarantee weak limits for both the range of M^(r) and M^(r) itself, after norming and centering. In continuous time, an analogous process Y^(r) based on a two-dimensional Poisson process on \(\mathbb {R}_{+}\times \mathbb {R}\) is treated similarly, but we note that the continuous time problems have a distinctive additional feature: there are always infinitely many points below the rth highest point up to time t for any t >?0. This necessitates a different approach to the asymptotics in this case.     

Passage times of random walks and Lévy processes across power law boundaries

We establish an integral test involving only the distribution of the increments of a random walk S which determines whether limsup _n→∞(S_n/n^κ) is almost surely zero, finite or infinite when 1/2<κ<1 and a typical step in the random walk has zero mean. This completes the results of Kesten and Maller [9] concerning finiteness of one-sided passage times over power law boundaries, so that we now have quite explicit criteria for all values of κ≥0. The results, and those of [9], are also extended to Lévy processes.This work is partially supported by ARC Grant DP0210572.