Lévy homeomorphic parametrization and exponential families

Summary Let P={P : } be an exponential family of probability distributions with the canonical parameter and consider the one to one mapping : P . It is shown that, under mild regularity assumptions, and ^–1 are continuous with respect to the Lévy metric in P and Euclidean metric in .     

A Comparison of Methods for Estimating the Extremal Index

The extremal index, (01), is the key parameter when extending discussions of the limiting behavior of the extreme values from independent and identically distributed sequences to stationary sequences. As measures the limiting dependence of exceedances over a threshold u, as u tends to the upper endpoint of the distribution, it may not always be informative about the extremal dependence at levels of practical interest. Therefore we also consider a threshold-based extremal index, (u). We compare the performance of a range of different estimators for and (u) covering processes with < 1 and = 1. We find that the established methods for estimating actually estimate (u), so perform well only when (u) . For Markov processes, we introduce an estimator which is as good as the established methods when (u) but provides an improvement when (u) < = 1. We illustrate our methods using simulated data and daily rainfall measurements.     

Inner functions and related spaces of pseudocontinuable functions

Let be an inner function, let C, ¦¦=1. Then the harmonic function [(+)]/(–)] is the Poisson integral of a singular measure D. N. Clark's known theorem enables us to identify in a natural manner the space H² H² with the space L² ( ).Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova Akademii Nauk SSSR, Vol. 170, pp. 7–33, 1989.     

Recurrence vs. transience for spatially inhomogeneous birth and death in a random environment

Summary We consider birth and death in a random environment, having probabilitiesp(,x) andq(,x) of a step to the right or left, respectively, from statex in environment. Under several sets of conditions involving the existence of limp(,x) and limq(,x) asx, we give conditions for certain extinction or escape to when 0 is absorbing, corresponding to recurrence or transience when 0 is reflecting. The environmental sequence is assumed to be stationary ergodic, and for some results stronger assumptions are required.     

On the construction and calculation of optimal nonlifting critical airfoils

Numerical calculations are carried out in the hodograph plane to construct optimal critical airfoil shapes and the flow about them. These optimal airfoil shapes give the highest free-stream Mach numberM for a given thickness ratio and tail angle _t (nonlifting) for which the flow is nowhere supersonic. A relationship betweenM and for various _t is given. Analytical and numerical solutions to the same problem are found on the basis of transonic small-disturbance theory. These results provide a limiting case asM 1, 0 and agree well with the calculations of the full problem. Using a numerical method to calculate the flow about general (subsonic) airfoils, a comparison is made between the critical free-stream Mach numbers for some standard airfoil shapes and the optimal free stream Mach number of the corresponding and _t . A significant increase in the critical free-stream Mach number is found for the optimal airfoils.     

Similarity solutions of radially symmetric two-phase flow

When both the diffusivityD and fractional flow functionf have a power law dependence on the water content , i.e.D=D _o andf=⁺¹, the nonlinear transport equation for radially symmetric two phase flow can, in certain circumstances, be reduced to a weakly coupled system of two first order nonlinear ordinary differential equations. Numerical solutions of these equations for a constant flux boundary conditionV _wo and comparison with experimental data are given. In particular, when the fluxV _wo and a are related byV _wo( + 1)/D _o=2, a new fully explicit analytical solution is found as (r, t)=(1 – r ²/4D _ot)^1/ forr ² < 4D _ot/ and (r, t)=0 forr ² 4D _ot/ We show that the existence of this exact soution is due to the presence of a Lagrangian symmetry.     

Optimal UMP test for parameter in the exponential family

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On the Embedding of an Affine Space into a Projective Space

Let k, K be fields, and assume that |k| 4 and n, m 2, or |k| = 3 and n 3, m 2. Then, for any embedding of AG(n, k) into PG(m, K), there exists an isomorphism from k into K and an (n+1) × (m+1) matrix B with entries in K such that can be expressed as (x₁,x₂,...,x_n) = [(1,x₁ ,x₂ ,...,x_n )B], where the right-hand side is the equivalence class of (1,x₁ ,x₂ ,...,x_n )B. Moreover, in this expression, is uniquely determined, and B is uniquely determined up to a multiplication of element of K*. Let l 1, and suppose that there exists an embedding of AG(m+l, k) into PG(m, K) which has the above expression. If we put r = dim _k K, then we have r 3 and m > 2 l-1)/(r-2). Conversely, there exists an embedding of AG(l+m, k) into PG(m, K) with the above expression if K is a cyclic extension of k with dim _k K=r 3, and if m 2l/(r-2) with m even or if m 2l/(r-2) +1 with m odd.     

A graded scale of parametric families of distributions,and parameter estimates based on the sample mean

Summary Denote by _k a class of familiesP={P} of distributions on the line R¹ depending on a general scalar parameter , being an interval of R¹, and such that the moments µ₁()=xdP ,...,µ_2k ()=x ^2k dP are finite, ₁ (), ..., _k (), _k+1 () ..., _k () exist and are continuous, with ₁ () 0, and _j +1 ()= ₁ () _j () +[₂() -₁()²] _j ()/ ₁ (), J=2, ..., k. Let ₁=¯x=x ₁ + ... +x _n/n, ₂=x ₁ ² + ... +x _n ²/n, ..., _k =(x ₁ ^k + ... +x _n ^k/n denote the sample moments constructed for a sample x₁, ..., x_n from a population with distribution Pg. We prove that the estimator of the parameter by the method of moments determined from the equation ₁= ₁() and depending on the observations x₁, ..., x_n only via the sample mean ¯x is asymptotically admissible (and optimal) in the class _k of the estimators determined by the estimator equations of the form ₀ () + ₁ () ₁ + ... + _k () _k =0 if and only ifP _k .The asymptotic admissibility (respectively, optimality) means that the variance of the limit, as n (normal) distribution of an estimator normalized in a standard way is less than the same characteristic for any estimator in the class under consideration for at least one 9 (respectively, for every ).The scales arise of classes _{1 2}... of parametric families and of classes _{1 2} ... of estimators related so that the asymptotic admissibility of an estimator by the method of moments in the class _k is equivalent to the membership of the familyP in the class _k .The intersection consists only of the families of distributions with densities of the form h(x) exp {C₀() + C₁() x } when for the latter the problem of moments is definite, that is, there is no other family with the same moments ₁ (), ₂ (), ...Such scales in the problem of estimating the location parameter were predicted by Linnik about 20 years ago and were constructed by the author in [1] (see also [2, 3]) in exact, not asymptotic, formulation.Translated from Problemy Ustoichivosti Stokhasticheskikh Modelei, pp. 41–47, 1981.     

A decomposition for the exponential dispersion model generated by the invariant measure on the hyperboloid

For = ₀, ₁, ₂) andx=(x₀, x₁, x₂) in R³, define [,x] = ₀ x ₀ – ₁ x ₁ – ₂ x ₂,C = {x³:x ₀ > 0 and [x, x]>0},R(x)=([x, x]) ^1/2 forx inC andH ₁={xC: x₀>0,R(x)=1}. Define the measure onH ₁ such that if is inC and =R(), then exp (–[,x])(dx = ( exp )^–1. Therefore, is invariant under the action ofSO (1, 2), the connected component ofO(1, 2) containing the identity. We first prove that there exists a positive measure in ³ such that its Laplace transform is ( exp )^– if and only if >1. Finally, for 1 and inC, denotingP(,)(dx) = ( exp )^– exp (–[,x])(dx, we show that ifY ₀,...,Y _n aren+1 independent variables with densityP(,),j=0,...,n and ifS _k =X ₀ + ... +X _k andQ _k =R(S _k) –R(S _k–1) –R(Y _k),k=1,...,n, then then+1 statisticsD _n = [/,S _k ] –R _{k – 1} ),Q ₁,...,Q _n are independent random variables with the exponential () or gamma (1,1/) distribution.This research has been partially funded by NSERC Grant A8947.     

A statistical estimate of the structure of multi-extremal problems

The solution of ak-extremal problem is defined as the set of pairs (x _i ^* , _i),i = 1, ,k, where x _t ^* isi ^th local minimum and _i is the volume of the set of attraction of this minimum. A Bayesian estimate ofk and ( ₁ , , _k ) is constructed.This paper has been written while the author was a CNR visiting professor at the Institute of Mathematics of the Milano University.     

Diffusion Equations and Geometric Inequalities

Let =(₀, ₁) be a fixed vector in R ² with strictly positive components and suppose ₀, ₁ > 0. Set = _{0 0} + _{1 1} and, if x ₀, x ₁ R ⁿ , set x = ₀ x ₀ + ₁ x ₁. Moreover, for any j {0, 1, }, let c _j : R ⁿ R be a continuous, bounded function and denote by p _j , c _j (t, x, y) the fundamental solution of the diffusion equation

Admissibility of unbiased tests for a composite hypothesis with a restricted alternative

This paper discusses -admissiblility and d-admissiblity which are important concepts in studying the performance of statistical tests for composite hypotheses. A sufficient condition for -admissibility is presented. When =1/m, the Nomakuchi-Sakata test, which is uniformly more powerful than the likelihood ratio test for hypotheses min (₁, ₁) = 0 versus min (₁, ₁) > 0, is generalized for a class of distributions in an exponential family, and its unbiasedness and -admissibility are shown. Finally, the case of 1/m is discussed in brief.     

Extreme points of convex sets of doubly stochastic matrices. I

Summary It is shown that there are no extreme elements (other than the permutation matrices) in certain naturally occurring convex sets of doubly stochastic matrices, including the set of all such matrices whose entries are all strictly less than (1), provided that is rational.It is conjectured that this last result is false for infinite matrices whenever is irrational.     

Nonlinear instability of superposed magnetic fluids in the presence of an oblique magnetic field

The nonlinear evolution of interfacial waves separating two magnetic fluids subjected to an oblique magnetic field is studied in two dimensions, with the use of the method of multiple scales. It is shown that the evolution of the envelope is governed by two partial differential equations. These equations can be combined to yield two alternate Schrödinger equations with cubic nonlinearity; one of them leads to the determination of the cutoff wave number separating stable from unstable deformations while the other Schrödinger equation is used to analyze the stability of the system. The stability of the system is discussed both theoretically and computationally, and the stability diagrams are obtained. It is found in the linear theory that the oblique magnetic field has a stabilizing influence if 0 ₁ + ₂ < /2, or 3/2 < ₁ + ₂ 2 and a destabilizing influence if /2 < ₁ + ₂ < 3/2, where 0 _j , (j=1, 2) and , is the angle between the field and the horizontal axis.In the nonlinear theory, the stability analysis reveals that there exist different regions of stability and instability. It is reported that the oblique magnetic field plays a dual role in the stability criterion and the angles ₁ and ₂ play a distinctive role in this analysis besides the effect of the variation of the magnetic permeabilities.     

The Parameters of Bipartite Q-polynomial Distance-Regular Graphs

Let denote a bipartite distance-regular graph with diameter D 3 and valency k 3. Suppose ₀, ₁, ..., _D is a Q-polynomial ordering of the eigenvalues of . This sequence is known to satisfy the recurrence _{i – 1} – _i + _{i + 1} = 0 (0 > i > D), for some real scalar . Let q denote a complex scalar such that q + q ^–1 = . Bannai and Ito have conjectured that q is real if the diameter D is sufficiently large.We settle this conjecture in the bipartite case by showing that q is real if the diameter D 4. Moreover, if D = 3, then q is not real if and only if ₁ is the second largest eigenvalue and the pair (, k) is one of the following: (1, 3), (1, 4), (1, 5), (1, 6), (2, 4), or (2, 5). We observe that each of these pairs has a unique realization by a known bipartite distance-regular graph of diameter 3.     

On the asymptotic behaviour of sums Σg(n){x/n} k

In this paper we estimate the difference between the sum given in the title (whereg(t) is an arbitrary real-valued non-decreasing function,k is a positive integer and summation is extended over all positive integersnx) and the corresponding integral, obtaining the boundO(g(x)x ^1/3logx). Furthermore, we show that these differences (for giveng and varyingk) are all approximately equal, with an error term ofO(g(x)x ^3/10). Finally it is remarked without proof that these estimates can be refined toO(g(x)x ) (with any >0,329...) resp.O(g(x)x ^109/382).     

On asymptotics of solutions to semilinear elliptic equations near the first eigenvalue of the nonperturbed problem

We writef=(g) iff(x)cg(x) with some positive constantc for allx from the domain of functionsf andg. We show that at least (n ² /r) entries must be changed in an arbitrary (generalized) Hadamard matrix in order to reduce its rank belowr. This improves the previously known bound (n ²/r ²). If we additionally know that the changes are bounded above in absolute value by some numbern/r, then the number of these entries is bounded below by (n ³/(r ² )), which improves upon the previously known bound (n ² / ² ).Translated fromMatematicheskie Zametki, Vol. 63, No. 4, pp. 535–540, April, 1998.The research of the first author was supported by the Russian Foundation for Basic Research under grants No. 96-01-00094 and No. 96-15-96102 and by the INTAS Foundation under grant No. 93-1376. The research of the second author was supported by the Russian Foundation for Basic Research under grants No. 96-01-01222 and No. 96-15-96090.     

Asymptotically minimax tests of composite hypotheses

Summary X ₁,,X> _n are independent, identically distributed random variables with common density function f(x¦ ₁ ,, _k , _k+1 ), assumed to satisfy certain standard regularity conditions. The k+1 parameters are unknown, and the problem is to test the hypothesis that _k+1 =b against the alternative that _k+1 =b+cn ^–1/2 . ₁ ,, _k are nuisance parameters. For this problem, the following artificial problem is temporarily substituted. It is known that ¦ ₁ -a _i ¦n ^–1/2 M(n) for i=1,,k, where a ₁ , ,a _k are known, and M(n) approaches infinity as n increases but n ^–1/2 M(n) approaches zero as n increases. A Bayes decision rule is constructed for this artificial problem, relative to the a priori distribution which assigns weight A to _k+1 =b, and weight 1-A to _k+1 =b+cn ^–1/2 , in each case the weight being spread uniformly over the possible values of ₁ ,, _k in the artificial problem. An analysis of the structure of the Bayes rule shows that if estimates of ₁ ,..., _k are substituted for a ₁ ..., a _k respectively, the resulting rule is a solution to the original problem, and this rule has the same asymptotic properties as a solution to the artificial problem as the Bayes rule for the artificial problem, no matter what the values a ₁ ..., a _k are.Research supported by the U.S. Air Force under Grant AF-AFOSR-68-1472.     

The Busy Period of the M/GI/∞ Queue

An equation for the distribution Z() of the duration T of the busy period in a stationary M/GI/ service system is constructed from first principles. Two scenarios are examined, being distinguished by the half-plane Re()>₀ for some ₀0 in which the generic service time random variable S, always assumed to have a finite mean E(S), has an analytic Laplace–Stieltjes transform E(e^–S ). If ₀<0 then E(e^–T ) is analytic in a half-plane (₁,), where ₀₁<0 and ₁ is determined by the distribution of S; then for any 0<s<|₁|.When ₀=0, E(e^–T ) is analytic in (0,), and now more is known about T. Inequalities on the tail () are used to show that for any 1, E(T ) is finite if and only if E(S ) is finite. It follows that the point process consisting of the starting epochs of busy periods is long range dependent if and only if E(S ²)=, in which case it has Hurst index equal to [frac12](3–), where is the moment index of S.If also the tail (x)=Pr{Sx} of the service time distribution satisfies the subexponential density condition ₀ ^x (x–u) (u)du/ (x)2E(S) as x, then (x)/ (x)e^E(S), where is the arrival rate.