A Weighted Goodness-of-Fit Test for GARCH(1,1) Specification

Suppose that (j) is the lag-j autocorrelation of the squared residuals computed from a realization of length n under the assumption that the observations follow a GARCH(1,1) model. We study the asymptotic distribution of the statistics of the form , where the _j are nonnegative summable weights and the matrix , can be estimated from the data. We show that, under weak assumptions on model errors, the statistic Q _n converges in distribution to , where the N _i are iid standard normal. We discuss choices of the weights _j for which the distribution of Q is tabulated. Our results lead to and provide a rigorous justification for Portmanteau goodness-of-fit tests for GARCH(1,1) specification.     

On the Normal Order of ϕk+1(n)/ϕk(n), where ϕk is the k-Fold Iterate of Euler's Function

Let be the j-fold iterated function of . Let and > 0 be fixed, Q be a prime, and let N _k(Q|x) denote the number of those nx for which Q . We give the asymptotics of N _k(Q|x) in the range .     

Generalized Quasi-Variational Inequalities Without Continuities

Given a nonempty set and two multifunctions , we consider the following generalized quasi-variational inequality problem associated with X, : Find such that . We prove several existence results in which the multifunction is not supposed to have any continuity property. Among others, we extend the results obtained in Ref. 1 for the case (x(X.     

Existence of a Phase Transition for the Potts p-adic Model on the Set ℤ

We consider the Potts model on the set in the field Q _p of p-adic numbers. The range of the spin variables (n), , in this model is . We show that there are some values q=q(p) for which phase transitions occur.     

The Law of Iterated Logarithm of Rescaled Range Statistics for AR（1） Model

Let {Xn,n ≥ 0} be an AR（1） process. Let Q（n） be the rescaled range statistic, or the R/S statistic for {Xn} which is given by （max1≤k≤n（∑j=1^k（Xj - ^-Xn）） - min 1≤k≤n（∑j=1^k（ Xj - ^Xn ））） /（n ^-1∑j=1^n（Xj -^-Xn）^2）^1/2 where ^-Xn = n^-1 ∑j=1^nXj. In this paper we show a law of iterated logarithm for rescaled range statistics Q（n） for AR（1） model.     

On Conservative Confidence Intervals

The subject of the paper – (conservative) confidence intervals – originates in applications to auditing. Auditors are interested in upper confidence bounds for an unknown mean for all sample sizes n. The samples are drawn from populations such that often only a few observations are nonzero. The conditional distribution of an observation given that it is nonzero usually has a very irregular shape. However, it can be assumed that observations are bounded. We propose a way to reduce the problem to inequalities for tail probabilities of certain relevant statistics. Note that a traditional approach involving limit theorems forces to impose additional conditions on regularity of samples and leads to approximate or asymptotic bounds. In the case of , as a statistic we can use sample mean, say , and we have to use Hoeffding [7] inequalities, since currently they are the best available. This leads to upper confidence bounds for which are of (asymptotic) size at most in the case of risk =0.05, where is the unknown standard deviation. We have , where is the bound in a model with normally distributed observations. It seems that the bound is very robust and can be improved replacing Hoeffding's inequalities by more refined ones. The commonly used Stringer bound (it is still not known whether it is an upper confidence bound) is of asymptotic size c with equality only for Bernoulli distributions, and the ratio c / can be arbitrary large already for rather simple distributions. Our bounds can involve a priori information (professional judgment of an auditor) of type ₀ or/and ₀, which leads to improvements. Most of the results also hold for sampling without replacement from finite populations. The i.i.d. condition can be replaced by a martingale-type dependence assumption. Finally, the results can be extended to the noni.i.d. case and for settings with several samples.     

Extrapolation of transformations of random processes perturbed by white noise

We consider the problem of linear mean square optimal estimation of transformation of a stationary random process (t) in observations of process (t) + n(t) for t < – 0, where (t) is white noise uncorrelated with (t). We find least favorable spectral densities f₀() D and minimax (robust) spectral characteristics of an optimal estimator of transformation A for various classesD of densities.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 43, No. 2, pp. 216–223, February, 1991.     

Implicit functions and sensitivity of stationary points

We consider the spaceL(D) consisting of Lipschitz continuous mappings fromD to the Euclideann-space ⁿ ,D being an open bounded subset of ⁿ . LetF belong toL(D) and suppose that solves the equationF(x) = 0. In case that the generalized Jacobian ofF at is nonsingular (in the sense of Clarke, 1983), we show that forG nearF (with respect to a natural norm) the systemG(x) = 0 has a unique solution, sayx(G), in a neighborhood of Moreover, the mapping which sendsG tox(G) is shown to be Lipschitz continuous. The latter result is connected with the sensitivity of strongly stable stationary points in the sense of Kojima (1980); here, the linear independence constraint qualification is assumed to be satisfied.     

Demuškin Groups with Group Actions and Applications to Deformations of Galois Representations

We determine the universal deformation ring, in the sense of Mazur, of a residual representation , where k is a finite field of characteristic p and K is a local field of residue characteristic p. As one might hope for, but is not proven in the global case, the deformation ring is a complete intersection, flat over W(k), with the exact number of equations given by the dimension of . We then go on to determine the ordinary locus inside the deformation space and, using ideas of Mazur, apply this to compare the universal and the universal ordinary deformation spaces. Provided that the universal ring for ordinary deformations with fixed determinant is finite flat over W(k), as was shown in many cases by Diamond, Fujiwara, Taylor–Wiles and Wiles, we show that the corresponding universal deformation ring – with no restriction of ordinariness or fixed determinant – is a complete intersection, finite flat over W(k) of the dimension conjectured by Mazur, provided that the restriction of to the inertia subgroup is different from the inverse cyclotomic character.     

Numerical Optimization of the Two-Dimensional Transformation of Arguments in the Functional-Differential Diffusion Equation

We consider the optimization of the two-dimensional transformation of the spatial arguments of the sought function in the mixed initial boundary-value problem for the functional-differential diffusion equation

A 2-extension of the field ℚ of rational numbersof rational numbers

It is proved that the rational number field has one, and only one, normal 2-extension (_{2, t8)}/with group isomorphic to .If is the maximal subfield of a real-closed field, which does not contain ,then the algebraic closure of is isomorphic to the field .Bibliography: 7titles.Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 236, 1997, pp. 192–196.     

Asymptotic Distribution of Quadratic Forms and Applications

We consider the quadratic formsQ X _j X _k+ (X _j ² -E X _j ² )where X _j are i.i.d. random variables with finite sixth moment. For a large class of matrices (a _jk ) the distribution of Q can be approximated by the distribution of a second order polynomial in Gaussian random variables. We provide optimal bounds for the Kolmogorov distance between these distributions, extending previous results for matrices with zero diagonals to the general case. Furthermore, applications to quadratic forms of ARMA-processes, goodness-of-fit as well as spacing statistics are included.     

Ideals of the semigroup of ultrafilters of a topological group

We construct two new series of closed left ideals of the semigroup of ultrafilters of a topological group (G, ). The first series gives a disjunctive decomposition of -absorbing ultrafilters. Under certain restrictions on the topology of the group (G, ), the second series gives a disjunctive decomposition of the semigroup of free ultrafilters. For a nondiscrete metrizable topological group (G, ), we construct a large free subsemigroup of the semigroup .Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 4, pp. 506–511, April, 1995.     

Totally P-posinormal operators are subscalar

LetH be a complex infinite-dimensional separable Hilbert space. An operatorT inL(H) is called totally P-posinormal (see [9]) iff there is a polynomialP with zero constant term such that for each , whereT _z =T–zI andM(z) is bounded on the compacts of C. In this paper we prove that every totally P-posinormal operator is subscalar, i.e. it is the restriction of a generalized scalar operator to an invariant subspace. Further, a list of some important corollaries about Bishop's property and the existence of invariant subspaces is presented.     

Some properties of the moduli of families of curves

Let A={a₁,...,a_n} and B={b₁,...,b_m} be systems of distinct points in , let be a family of homotopic classes H_i,i=1,..., j+m, of closed Jordan curves on, where the classes H_j+l, l=1,...,m, consist of curves that are homotopic to a point curve in b. Let =₁,..., _j+m be a system of positive numbers and letU be the modulus of the extremal-metric problem for the family and the system . In this paper we investigate the dependence of the modulusU=U(,A,B) on the parameters _i and on the disposition of the points a_k and b. One shows thatU is a smooth function of the indicated arguments and one obtains expressions for the derivatives U, U, and U. One gives some applications of these results.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 144, pp. 72–82, 1985.     

A factorization result for generalized Nevanlinna functions of the classN k

LetQN _k. It is shown that if is a nonreal pole or a real generalized pole of nonpositive type and is a nonreal zero or a real generalized zero of nonpositive type of the functionQ then the function

Variants of Robinson's essentially undecidable theoryR

Cobham has observed that Raphael Robinson's well known essentially undecidable theoryR remains essentially undecidable if the fifth axiom scheme is omitted. We note that whether the resulting system is in a sense minimal essentially undecidable depends on what the basic constants are taken to be. We give an essentially undecidable theory based on three axiom schemes involving only multiplication and less than or equals.     

An Extension of a Class of Iterative Procedures for Nonlinear Quasivariational Inequalities

Consider the convergence of the projection methods based on an extension of a special class of algorithms for the approximation--solvability of the following class of nonlinear quasivariational inequality (NQVI) problems: find an element such that and

Regular Unitarily Invariant Spaces on the Complex Sphere

Let K be a compact space, let X be a closed subspace of C(K), and let be a positive measure on K. The triple is said to be regular if, for any positive function and for any , there exists a function such that on K and . The case where K is the unit sphere in and the subspace X is invariant with respect to the unitary group is investigated. Sufficient spectral conditions and a necessary condition for the regularity of a triple are obtained. Connections with compactness of certain Hankel operators and applications to interpolation problems are presented. Bibliography: 16 titles.