Uniform asymptotic joint normality of sample quantities in censored cases

Summary The asymptotic joint distribution of an increasing number of sample quantiles as the sample size increases, when the underlying sample is censored, is shown to be asymptotically uniformly (or type (B) _d ) normally distributed under fairly general conditions. The discussions for uncensored cases have been given by [4].     

Bivariate Recursive Equations on Excess-of-loss Reinsurance

This paper investigates bivariate recursive equations on excess-of-loss reinsurance. For an insurance portfolio, under the assumptions that the individual claim severity distribution has bounded continuous density and the number of claims belongs to R1 （a, b） family, bivariate recursive equations for the joint distribution of the cedent＇s aggregate claims and the reinsurer＇s aggregate claims are obtained.     

A class of multivariate skew-normal models

The existing model for multivariate skew normal data does not cohere with the joint distribution of a random sample from a univariate skew normal distribution. This incoherence causes awkward interpretation for data analysis in practice, especially in the development of the sampling distribution theory. In this paper, we propose a refined model that is coherent with the joint distribution of the univariate skew normal random sample, for multivariate skew normal data. The proposed model extends and strengthens the multivariate skew model described in Azzalini (1985,Scandinavian Journal of Statistics,12, 171–178). We present a stochastic representation for the newly proposed model, and discuss a bivariate setting, which confirms that the newly proposed model is more plausible than the one given by Azzalini and Dalla Valle (1996,Biometrika,83, 715–726).     

Distribution Functions in Quantum Mechanics and Wigner Functions

We formulate and solve the problem of finding a distribution function F(r,p,t) such that calculating statistical averages leads to the same local values of the number of particles, the momentum, and the energy as those in quantum mechanics. The method is based on the quantum mechanical definition of the probability density not limited by the number of particles in the system. The obtained distribution function coincides with the Wigner function only for spatially homogeneous systems. We obtain the chain of Bogoliubov equations, the Liouville equation for quantum distribution functions with an arbitrary number of particles in the system, the quantum kinetic equation with a self-consistent electromagnetic field, and the general expression for the dielectric permittivity tensor of the electron component of the plasma. In addition to the known physical effects that determine the dispersion of longitudinal and transverse waves in plasma, the latter tensor contains a contribution from the exchange Coulomb correlations significant for dense systems.     

Bifurcations on hemispheres

Summary It is now well known that the number of parameters and symmetries of an equation affects the bifurcation structure of that equation. The bifurcation behavior of reaction-diffusion equations on certain domains with certain boundary conditions isnongeneric in the sense that the bifurcation of steady states in these equations is not what would be expected if one considered only the number of parameters in the equations and the type of symmetries of the equations. This point was made previously in work by Fujii, Mimura, and Nishiura [6] and Armbruster and Dangelmayr [1], who considered reaction-diffusion equations on an interval with Neumann boundary conditions.As was pointed out by Crawford et al. [5], the source of this nongenericity is that reaction-diffusion equations are invariant under translations and reflections of the domain and, depending on boundary conditions, may naturally and uniquely be extended to larger domains withlarger symmetry groups. These extra symmetries are the source of the nongenericity. In this paper we consider in detail the steady-state bifurcations of reaction-diffusion equations defined on the hemisphere with Neumann boundary conditions along the equator. Such equations have a naturalO(2)-symmetry but may be extended to the full sphere where the natural symmetry group isO(3). We also determine a large class of partial differential equations and domains where this kind of extension is possible for both Neumann and Dirichlet boundary conditions.     

On the uniform asymptotic joint normality of sample quantiles

Summary Uniform (or type (B) _d ) asymptotic normality of the joint distribution of an increasing number of sample quantiles as the sample size increases is investigated in both cases where the basic distributions are equal and are unequal. Under fairly general assumptions, sufficient conditions are derived for the asymptotic normality of sample quantiles. Type (B) _d asymptotic normality is a strictly stronger notion than the usual one which is based on the convergence in law, and the results obtained in this article will be helpful to widen the applicability of results on asymptotic normality of sample quantiles to related statistical inferences.     

An Inventory System with Postponed Demands

Abstract

In this article we consider a continuous review perishable inventory system in which the demands arrive according to a Markovian arrival process (MAP). The items in the inventory have shelf life times that are assumed to follow an exponential distribution. The inventory is replenished according to an (s, S) policy and the replenishing times are assumed to follow a phase type distribution. The demands that occur during stock out periods either enter a pool which has capacity N (<∞) or leave the system. Any demand that arrives when the pool is full and the inventory level is zero, is also assumed to be lost. The demands in the pool are selected one by one, if the replenished stock is above s, with interval time between any two successive selections is distributed as exponential with parameter depending on the number of customers in the pool. The joint probability distribution of the number of customers in the pool and the inventory level is obtained in the steady state case. The measures of system performance in the steady state are derived and the total expected cost rate is also calculated. The results are illustrated numerically.     

MECHANISMS OF THE ICOSAHEDRAL COMPOUND OF TEN TETRAHEDRA

Ten regular tetrahedra can be arranged in such a way that their vertices are coincident with the vertices of a regular dodecahedron and that two tetrahedra meet at each vertex of the dodecahedron. If the resultant structure is considered as a bar-and-joint structure, there will be 60 bars, lying along the edges of the tetrahedra, and 20 joints at the vertices of the dodecahedra; six bars meet at each joint. Although the structure more than satisfies Maxwell's rule, it is known to admit finite mechanisms. Recently, a new method for detecting symmetric finite mechanisms in symmetric bar-and-node structures has been developed. The method only requires a count of the number of bars, and the number of nodes, that are left unmoved by each of the symmetry operations allowable for the structure. This paper will describe the application of this method to the structure described above. The structure has icosahedral symmetry, I _h , and the analysis confirms the existence of the mechanisms with C _3v and C _5v symmetry that have previously been detected using ad-hoc methods. This revised version was published online in August 2006 with corrections to the Cover Date.     

An optimality criterion for a limited capacity queueing system

A single server, limited capacity queueing system with Poisson arrivals and exponential service is studied. The joint probability distribution of the number of times the system reaches its capacity in time interval (0t] and the number of customers in the system at time i has been obtained. From, the joint probability, the probability that the system has reached its capacity m times in time interval (0t] has been determined and the expectation and variance have been found explicitly. A criterion for the system to be optimum is established and is illustrated numerically.     

Branching structure of uniform recursive trees

The branching structure of uniform recursive trees is investigated in this paper. Using the method of sums for a sequence of independent random variables, the distribution law of ηn, the number of branches of the uniform recursive tree of size n are given first. It is shown that the strong law of large numbers, the central limit theorem and the law of iterated logarithm for ηn follow easily from this method. Next it is shown that ηn and ξn, the depth of vertex n, have the same distribution, and the distribution law of ζn,m, the number of branches of size m, is also given, whose asymptotic distribution is the Poisson distribution with parameter λ= 1/m. In addition, the joint distribution and the asymptotic joint distribution of the numbers of various branches are given. Finally, it is proved that the size of the biggest branch tends to infinity almost sure as n→∞.     

On the joint distribution of studentized order statistics

In this paper, the joint distribution of some special linear combinations of the (internally) studentized order statistics are derived for both normal and exponential populations; the exact relationship between their pdf's is also obtained. The exact sampling distributions of studentized extreme deviation statistic, which has been proposed by Pearson and Chandra Sekar (1936,Biometrika,28, 308–320), are derived for these two populations. An application to the most powerful location and scale invariant test is discussed briefly.     

Some Properties of The Solutions of Higher Analogue of The Painlevé Equation

Abstract In this paper, we investigate the value distribution properties for the solution w(z) of higher-order Painlevé equations. We prove that the Nevanlinna’s second main inequality for w(z) is reduced to an asymptotic equality. Supported by the Mathematical Tianyuan Foundation of China (No.10426007) and the National Natural Science Foundation of China (No.10272017, No.10471028)     

Using Forward Accumulation for Automatic Differentiation of Implicitly-Defined Functions

This paper deals with the calculation of partial derivatives (w.r.t. the independent variables, x) of a vec of dependent variables y which satisfy a system of nonlinear equations g(u(x), y) = 0 . A number of authors have suggested that the forward accumulation method of automatic differentiation can be applied to a suitable iterative scheme for solving the nonlinear system with a view to giving simultaneous convergence both to the correct value y and also to its Jacobian matrix y _x . It is known, however, that convergence of the derivatives may not occur at the same rate as the convergence of the y values. In this paper we avoid both the difficulty and the potential cost of iterating the gradient part of the calculation to sufficient accuracy. We do this by observing that forward accumulation need only be applied to the functions g after the dependent variables, y, have been computed in standard real arithmetic usin g any appropriate method. This so-called Post-Differentiation (PD) technique is shown, on a number of examples, to have an advantage in terms of both accuracy and speed over approaches where forward accumulation is applied over the entire iterative process. Moreover, the PD technique can be implemented in such a way as to provide a friendly interface for non-specialist users.     

On the well-posedness of the vacuum Einstein��s equations

The Cauchy problem of the vacuum Einstein’s equations aims to find a semi-metric g _αβ of a spacetime with vanishing Ricci curvature R _α,β and prescribed initial data. Under the harmonic gauge condition, the equations R _α,β  = 0 are transferred into a system of quasi-linear wave equations which are called the reduced Einstein equations. The initial data for Einstein’s equations are a proper Riemannian metric h _ab and a second fundamental form K _ab . A necessary condition for the reduced Einstein equation to satisfy the vacuum equations is that the initial data satisfy Einstein constraint equations. Hence the data (h _ab , K _ab ) cannot serve as initial data for the reduced Einstein equations. Previous results in the case of asymptotically flat spacetimes provide a solution to the constraint equations in one type of Sobolev spaces, while initial data for the evolution equations belong to a different type of Sobolev spaces. The goal of the present article is to resolve this incompatibility and to show that under the harmonic gauge the vacuum Einstein equations are well-posed in one type of Sobolev spaces.     

Some autoregressive moving average processes with generalized Poisson marginal distributions

Some simple models are introduced which may be used for modelling or generating sequences of dependent discrete random variables with generalized Poisson marginal distribution. Our approach for building these models is similar to that of the Poisson ARMA processes considered by Al-Osh and Alzaid (1987,J. Time Ser. Anal.,8, 261–275; 1988,Statist. Hefte,29, 281–300) and McKenzie (1988,Adv. in Appl. Probab.,20, 822–835). The models have the same autocorrelation structure as their counterparts of standard ARMA models. Various properties, such as joint distribution, time reversibility and regression behavior, for each model are investigated.     

(s,S) Inventory System with Postponed Demands

Abstract

This paper analyzes an (s, S) Inventory system where arrivals of customers form a Poisson process. When inventory level reaches zero due to demands, further demands are sent to a pool which has capacity M(<∞). Service to the pooled customers will be provided after replenishment against the order placed on reaching that level s. Further they are served only if the inventory level is at least s + 1. The lead-time is exponentially distributed. The joint probability distribution of the number of customers in the pool and the Inventory level is obtained in both the transient and steady state cases. Some measures of the system performance in the steady state are derived and some numerical illustrations are provided.     

Perishable Inventory System at Service Facilities with N Policy

Abstract

This article presents a perishable stochastic inventory system under continuous review at a service facility in which the waiting hall for customers is of finite size M. The service starts only when the customer level reaches N (< M), once the server has become idle for want of customers. The maximum storage capacity is fixed as S. It is assumed that demand for the commodity is of unit size. The arrivals of customers to the service station form a Poisson process with parameter λ. The individual customer is issued a demanded item after a random service time, which is distributed as negative exponential. The items of inventory have exponential life times. It is also assumed that lead time for the reorders is distributed as exponential and is independent of the service time distribution. The demands that occur during stock out periods are lost.The joint probability distribution of the number of customers in the system and the inventory levels is obtained in steady state case. Some measures of system performance in the steady state are derived. The results are illustrated with numerical examples.     

Asymptotic conditional distribution of exceedance counts: fragility index with different margins

We consider a random vector X, whose components are neither necessarily independent nor identically distributed. The fragility index (FI), if it exists, is defined as the limit of the expected number of exceedances among the components of X above a high threshold, given that there is at least one exceedance. It measures the asymptotic stability of the system of components. The system is called stable if the FI is one and fragile otherwise. In this paper, we show that the asymptotic conditional distribution of exceedance counts exists, if the copula of X is in the domain of attraction of a multivariate extreme value distribution, and if the marginal distribution functions satisfy an appropriate tail condition. This enables the computation of the FI corresponding to X and of the extended FI as well as of the asymptotic distribution of the exceedance cluster length also in that case, where the components of X are not identically distributed.     

Weingarten surfaces and nonlinear partial differential equations

The sine-Gordon equation has been known for a long time as the equation satisfied by the angle between the two asymptotic lines on a surface inR ³ with constant Gauss curvature –1. In this paper, we consider the following question: Does any other soliton equation have a similar geometric interpretation? A method for finding all the equations that have such an interpretation using Weingarten surfaces inR ³ is given. It is proved that the sine-Gordon equation is the only partial differential equation describing a class of Weingarten surfaces inR ³ and having a geometricso(3)-scattering system. Moreover, it is shown that the elliptic Liouville equation and the elliptic sinh-Gordon equation are the only partial differential equations describing classes of Weingarten surfaces inR ³ and having geometricso(3,C)-scattering systems.     

Barotropic-Baroclinic Formulation of the Primitive Equations of the Ocean

In this article, we present an equivalent barotropic-baroclinic formulation of the primitive equations (PEs) of the ocean given in [J.L. Lions, R. Temam and S. Wang (<citeref rid="bib5">1992</citeref>). On the equations of large-scale ocean. Nonlinearity, 5, 1007-1053.]. From the numerical point of view, the main advantage of this new formulation is that the incompressibility condition appearing in the PEs in [J.L. Lions, R. Temam and S. Wang (<citeref rid="bib5">1992</citeref>). On the equations of large-scale ocean. Nonlinearity, 5, 1007-1053.] is automatically satisfied without being explicitly imposed at any stage. Some numerical schemes for the time integration of the PEs are presented and their numerical stability is discussed. These schemes are reminiscent of other schemes that have been used for other equations in particular the Navier-Stokes equations. We end the article by presenting numerical simulations of a wind-driven ocean model using the new formulation. More extensive numerical simulations and physical aspects will be presented elsewhere.