Point process diagnostics based on weighted second-order statistics and their asymptotic properties

A new approach for point process diagnostics is presented. The method is based on extending second-order statistics for point processes by weighting each point by the inverse of the conditional intensity function at the point’s location. The result is generalized versions of the spectral density, R/S statistic, correlation integral and K-function, which can be used to test the fit of a complex point process model with an arbitrary conditional intensity function, rather than a stationary Poisson model. Asymptotic properties of these generalized second-order statistics are derived, using an approach based on martingale theory.     

The spectral radius of matrix continuous refinement operators

A simple analytic formula for the spectral radius of matrix continuous refinement operators is established. On the space L₂^m(\mathbb R^s)L_2^m({{\mathbb R}}^s), m ≥ 1 and s ≥ 1, their spectral radius is equal to the maximal eigenvalue in magnitude of a number matrix, obtained from the dilation matrix M and the matrix function c defining the corresponding refinement operator. A similar representation is valid for the continuous refinement operators considered on spaces L _p for p ∈ [1, ∞ ), p ≠ 2. However, additional restrictions on the kernel c are imposed in this case.     

A simpler characterization of a spectral lower bound on the clique number

Given a simple, undirected graph G, Budinich (Discret Appl Math 127:535–543, 2003) proposed a lower bound on the clique number of G by combining the quadratic programming formulation of the clique number due to Motzkin and Straus (Can J Math 17:533–540, 1965) with the spectral decomposition of the adjacency matrix of G. This lower bound improves the previously known spectral lower bounds on the clique number that rely on the Motzkin–Straus formulation. In this paper, we give a simpler, alternative characterization of this lower bound. For regular graphs, this simpler characterization allows us to obtain a simple, closed-form expression of this lower bound as a function of the positive eigenvalues of the adjacency matrix. Our computational results shed light on the quality of this lower bound in comparison with the other spectral lower bounds on the clique number.     

Testing for serial correlation of unknown form in cointegrated time series models

Portmanteau test statistics are useful for checking the adequacy of many time series models. Here we generalized the omnibus procedure proposed by Duchesne and Roy (2004,Journal of Multivariate Analysis,89, 148–180) for multivariate stationary autoregressive models with exogenous variables (VARX) to the case of cointegrated (or partially nonstationary) VARX models. We show that for cointegrated VARX time series, the test statistic obtained by comparing the spectral density of the errors under the null hypothesis of non-correlation with a kernel-based spectral density estimator, is asymptotically standard normal. The parameters of the model can be estimated by conditional maximum likelihood or by asymptotically equivalent estimation procedures. The procedure relies on a truncation point or a smoothing parameter. We state conditions under which the asymptotic distribution of the test statistic is unaffected by a data-dependent method. The finite sample properties of the test statistics are studied via a small simulation study.     

The uniqueness of a solution to the renewal type system of integral equations on the line

We study the uniqueness of a solution to a renewal type system of integral equations z=g+F * z on the line ℝ; here z is the unknown vector function, g is a known vector function, and F is a nonlattice matrix of finite measures on ℝ such that the matrix F(ℝ) is of spectral radius 1 and indecomposable. We show that in a certain class of functions each solution to the corresponding homogeneous system coincides almost everywhere with a right eigenvector of F(ℝ) with eigenvalue 1.     

Local Whittle likelihood estimators and tests for non-Gaussian stationary processes

In this paper, we propose a local Whittle likelihood estimator for spectral densities of non-Gaussian processes and a local Whittle likelihood ratio test statistic for the problem of testing whether the spectral density of a non-Gaussian stationary process belongs to a parametric family or not. Introducing a local Whittle likelihood of a spectral density f _θ (λ) around λ, we propose a local estimator [^(q)] = [^(q)] (l){\hat{\theta } = \hat{\theta } (\lambda ) } of θ which maximizes the local Whittle likelihood around λ, and use f_{[^(q)] (l)} (l){f_{\hat{\theta } (\lambda )} (\lambda )} as an estimator of the true spectral density. For the testing problem, we use a local Whittle likelihood ratio test statistic based on the local Whittle likelihood estimator. The asymptotics of these statistics are elucidated. It is shown that their asymptotic distributions do not depend on non-Gaussianity of the processes. Because our models include nonlinear stationary time series models, we can apply the results to stationary GARCH processes. Advantage of the proposed estimator is demonstrated by a few simulated numerical examples.     

An ansatz for sl<Subscript>2</Subscript>-invariant <Emphasis Type="Italic">R</Emphasis>-matrices

We study spectral decomposition of regular sl ₂-invariant R-matrices R(λ) by the method of reduction of the Yang-Baxter equation to subspaces of a given spin. Restrictions on the possible structure of several leading coefficients in the spectral decomposition are derived. The origin and structure of the exceptional solution for spin s = 3 are explained. A similar analysis is performed for constant R-matrices. In particular, it is shown that the permutation matrix ℙ is a “rigid” solution. Bibliography: 6 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 335, 2006, pp. 100–118.     

To solving multiparameter problems of algebra. 6. Spectral characteristics of polynomial matrices

For a q-parameter polynomial m × n matrix F of rank ρ, solutions of the equation Fx = 0 at points of the spectrum of the matrix F determined by the (q −1)-dimensional solutions of the system Z[F] = 0 are considered. Here, Z[F] is the polynomial vector whose components are all possible minors of order ρ of the matrix F. A classification of spectral pairs in terms of the matrix A[F], with which the vector Z[F] is associated, is suggested. For matrices F of full rank, a classification and properties of spectral pairs in terms of the so-called levels of heredity of points of the spectrum of F are also presented. Bibliography: 4 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 323, 2005, pp. 132–149.     

The generalized monotonicity property of the Perron root

The paper presents a new monotonicity property of the Perron root of a nonnegative matrix. It is shown that this new property implies known monotonicity properties and also the Chistyakov two-sided bounds for the Perron root of a block-partitioned nonnegative matrix. Moreover, based on the monotonicity property suggested, the equality cases in Chistyakov’s theorem are analyzed. Applications to bounding above the spectral radius of a complex matrix are presented. Bibliography: 9 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 334, 2006, pp. 13–29.     

Spectral Theory for Discrete Laplacians

We give the spectral representation for a class of selfadjoint discrete graph Laplacians Δ, with Δ depending on a chosen graph G and a conductance function c defined on the edges of G. We show that the spectral representations for Δ fall in two model classes, (1) tree-graphs with N-adic branching laws, and (2) lattice graphs. We show that the spectral theory of the first class may be computed with the use of rank-one perturbations of the real part of the unilateral shift, while the second is analogously built up with the use of the bilateral shift. We further analyze the effect on spectra of the conductance function c: How the spectral representation of Δ depends on c.     

Poisson Statistics of Eigenvalues in the Hierarchical Anderson Model

We study the eigenvalue statistics for the hieracharchial Anderson model of Molchanov [21–23,27,28]. We prove Poisson fluctuations at arbitrary disorder, when the the model has a spectral dimension d < 1. The proof is based on Minami’s technique [25] and we give an elementary exposition of the probabilistic arguments. Submitted: October 8, 2007. Accepted: December 17, 2007.     

A study of shifting models in life tests via bayesian approach using semi-or-used priors (SOUPS)

Summary This paper analyses the shift in parameter of a life test model. This analysis depends on the prediction of order statistics in future samples based on order statistics in a series of earlier samples in life tests having a general exponential model. While a series ofk samples are being drawn, model itself undergoes a change. Firstly, a single shift is considered and the effect of this shift on the variance is discussed. Generalisation withs shifts (s≦k) ink samples in also taken up and the semi-or-used priors (SOUPS) have been used to get predictive distributions. Finally, shift afteri (i≦k) stages, from exponential to gamma model is considered and for this case effect of the shift on the variance as well as on the Bayesian prediction region (BPR) is analysed along with set of tables.     

Generalized Jacobians of spectral curves and completely integrable systems

Consider an ordinary differential equation which has a Lax pair representation , where A(x) is a matrix polynomial with a fixed regular leading coefficient and the matrix B(x) depends only on A(x). Such an equation can be considered as a completely integrable complex Hamiltonian system. We show that the generic complex invariant manifold of this Lax pair is an affine part of a non-compact commutative algebraic group – the generalized Jacobian of the spectral curve with its points at “infinity” identified. Moreover, for suitable B(x), the Hamiltonian vector field defined by the Lax pair on the generalized Jacobian is translation-invariant. Received April 29, 1997; in final form September 22, 1997     

The effect of punishment duration of trigger strategies and quasifinite continuation probabilities for Prisoners' Dilemmas

Limiting inspection to publicly correlated strategies linearizes the problem of finding subgame perfect equilibria for indefinitely repeated Prisoners' Dilemmas. Equilibrium strategies satisfy a matrix inequality; the matrix depends on the duration of the punishment mechanism. The existence of subgame perfect equilibria is determined by comparing a parameter of the stage game to the spectral radius of the matrix. The spectral radii are found for the matrices associated with every possible duration of punishment.  Quasifinite continuation probabilities are defined to be the set of continuation probabilities where the sole subgame perfect equilibrium is noncooperative for any Prisoners' Dilemma stage game. The defining property of quasifinite continuation probabilities is determined by a common factor of the different spectral radii. Additional properties of quasifinite continuation probabilities are examined. Received: January 1996/final version: January 1999     

Tail index estimation for heavy tails: accommodation of bias in the excesses over a high threshold

In statistics of extremes, inference is often based on the excesses over a high random threshold. Those excesses are approximately distributed as the set of order statistics associated to a sample from a generalized Pareto model. We then get the so-called “maximum likelihood” estimators of the tail index γ. In this paper, we are interested in the derivation of the asymptotic distributional properties of a similar “maximum likelihood” estimator of a positive tail index γ, based also on the excesses over a high random threshold, but with a trial of accommodation of bias in the Pareto model underlying those excesses. We next proceed to an asymptotic comparison of the two estimators at their optimal levels. An illustration of the finite sample behaviour of the estimators is provided through a small-scale Monte Carlo simulation study. Research partially supported by FCT/POCTI and POCI/FEDER.     

To solving spectral problems for <Emphasis Type="Italic">q</Emphasis>-parameter polynomial matrices

The method of hereditary pencils, originally suggested by the author for solving spectral problems for two-parameter matrices (pencils of matrices), is extended to the case of q-parameter, q ≥ 2, polynomial matrices. Algorithms for computing points of the finite regular and singular spectra of a q-parameter polynomial matrix and their theoretical justification are presented. Bibliography: 2 titles.     

Quantum matrix algebras of the GL(m|n) type: The structure and spectral parameterization of the characteristic subalgebra

We continue the study of quantum matrix algebras of the GL(m|n) type. We find three alternative forms of the Cayley-Hamilton identity; most importantly, this identity can be represented in a factored form. The factorization allows naturally dividing the spectrum of a quantum supermatrix into subsets of “even” and “odd” eigenvalues. This division leads to a parameterization of the characteristic subalgebra (the subalgebra of spectral invariants) in terms of supersymmetric polynomials in the eigenvalues of the quantum matrix. Our construction is based on two auxiliary results, which are independently interesting. First, we derive the multiplication rule for Schur functions s _λ (M) that form a linear basis of the characteristic subalgebra of a Hecke-type quantum matrix algebra; the structure constants in this basis coincide with the Littlewood-Richardson coefficients. Second, we prove a number of bilinear relations in the graded ring Λ of symmetric functions of countably many variables. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 147, No. 1, pp. 14–46, April, 2006.     

On spectral properties of periodic polyharmonic matrix operators

We consider a matrix operatorH = (-Δ)^l +V inR ⁿ, wheren ≥ 2,l ≥ 1, 4l > n + 1, andV is the operator of multiplication by a periodic inx matrixV(x). We study spectral properties ofH in the high energy region. Asymptotic formulae for Bloch eigenvalues and the corresponding spectral projections are constructed. The Bethe-Sommerfeld conjecture, stating that the spectrum ofH can have only a finite number of gaps, is proved.     

An approach to solving multiparameter algebraic problems

An approach to solving the following multiparameter algebraic problems is suggested: (1) spectral problems for singular matrices polynomially dependent on q≥2 spectral parameters, namely: the separation of the regular and singular parts of the spectrum, the computation of the discrete spectrum, and the construction of a basis that is free of a finite regular spectrum of the null-space of polynomial solutions of a multiparameter polynomial matrix; (2) the execution of certain operations over scalar and matrix multiparameter polynomials, including the computation of the GCD of a sequence of polynomials, the division of polynomials by their common divisor, and the computation of relative factorizations of polynomials; (3) the solution of systems of linear algebraic equations with multiparameter polynomial matrices and the construction of inverse and pseudoinverse matrices. This approach is based on the so-called ΔW-q factorizations of polynomial q-parameter matrices and extends the method for solving problems for one- and two-parameter polynomial matrices considered in [1–3] to an arbitrary q≥2. Bibliography: 12 titles. Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 229, 1995, pp. 191–246. Translated by V. N. Kublanovskaya.     

Joint bounds for the Perron roots of nonnegative matrices with applications

Given a finite set {A_x}_{x ∈ X} of nonnegative matrices, we derive joint upper and lower bounds for the row sums of the matrices D⁻¹ A^(x) D, x ∈ X, where D is a specially chosen nonsingular diagonal matrix. These bounds, depending only on the sparsity patterns of the matrices A^(x) and their row sums, are used to obtain joint two-sided bounds for the Perron roots of given nonnegative matrices, joint upper bounds for the spectral radii of given complex matrices, bounds for the joint and lower spectral radii of a matrix set, and conditions sufficient for all convex combinations of given matrices to be Schur stable. Bibliography: 20 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 334, 2006, pp. 30–56.