Change points in heavy‐tailed multivariate time series: Methods using precision matrices

We propose two robust data‐driven techniques for detecting network structure change points between heavy‐tailed multivariate time series for situations where both the placement and number of change points are unknown. The first technique utilizes the graphical lasso method to estimate the change points, whereas the second technique utilizes the tlasso method. The techniques not only locate the change points but also estimate an undirected graph (or precision matrix) representing the relationship between the time series within each interval created by pairs of adjacent change points. An inference procedure on the edges is used in the graphs to effectively remove false‐positive edges, which are caused by the data deviating from normality. The techniques are compared using simulated multivariate t‐distributed (heavy‐tailed) time series data and the best method is applied to two financial returns data sets of stocks and indices. The results illustrate the method's ability to determine how the dependence structure of the returns changes over time. This information could potentially be used as a tool for portfolio optimization.     

Phase segregation of metastable quenched liquid mixtures and the effect of the quenching rate

The effect of the quenching rate on the phase separation of partially miscible liquid mixtures is studied, showing that it may influence the growth rate of single-phase domains. In particular, the phase separation of metastable binary mixtures in the presence of strong emulsifiers appears to be heavily retarded. These effects constitute an important limitation to the phase transition extraction process introduced by the authors in previous works, which is based on the fact that phase separation of unstable mixtures is rapid, even in the presence of surface active compounds.     

一类变号(k,n-k)共轭边值问题正解的存在性

通过构造一个特殊的锥,利用范数形式的锥拉伸锥压缩不动点定理,在允许非线性项变号无下界且没有任何单调性假设的条件下,得出了一类高阶(k,n-k)共轭两点边值问题方程组正解的存在性结论.     

B(X)上保持约当积的固定点的满射

设B(X)是维数大于等于3的复Banach空间X上有界线性算子全体构成的代数.设A∈B(X),若Ax=x,则称x∈X是算子A的固定点.Fix(A)表示A的所有固定点的集合.本文刻画了B(X)上保持算子的Jordan积的固定点的满射.