Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series

Let S = (1/n) Σ_t=1ⁿ X(t) X(t)′, where X(1), …, X(n) are p × 1 random vectors with mean zero. When X(t) (t = 1, …, n) are independently and identically distributed (i.i.d.) as multivariate normal with mean vector 0 and covariance matrix Σ, many authors have investigated the asymptotic expansions for the distributions of various functions of the eigenvalues of S. In this paper, we will extend the above results to the case when {X(t)} is a Gaussian stationary process. Also we shall derive the asymptotic expansions for certain functions of the sample canonical correlations in multivariate time series. Applications of some of the results in signal processing are also discussed.     

An analysis of (h,k, 1)-Shellsort

One classical sorting algorithm, whose performance in many cases remains unanalyzed, is Shellsort. Let h be a t-component vector of positive integers. An h-Shellsort will sort any given n elements in t passes, by means of comparisons and exchanges of elements. Let S>_j(h; n) denote the average number of element exchanges in the jth pass, assuming that all the n! initial orderings are equally likely. In this paper we derive asymptotic formulas of S_j(h; n) for any fixed h = (h, k, l), making use of a new combinatorial interpretation of S₃. For the special case h = (3, 2, 1), the analysis is further sharpened to yield exact expressions.     

Factorizing multivariate time series operators

Motivated by problems occurring in the empirical identification and modelling of a n-dimensional ARMA time series X(t) we study the possibility of obtaining a factorization (I + a₁B + … + a_pB^p) X(t) = [Π_i=1^p (I ? α_iB)] X(t), where B is the backward shift operator. Using a result in [3] we conclude that as in the univariate case such a factorization always exists, but unlike the univariate case in general the factorization is not unique for given a₁, a₂,…, a_p. In fact the number of possibilities is limited upwards by $\text{(np)!}\text{(n!)}{}^{\mathrm{p}}$, there being cases, however, where this maximum is not reached. Implications for the existence and possible use of transformations which removes nonstationarity (or almost nonstationarity) of X(t) are mentioned.     

Antichains in the set of subsets of a multiset

A set F of distinct subsets x of a finite multiset M (that is, a set with several different kinds of elements) is a c-antichain if for no c + 1 elements x₀, x₁, …, x_c of F does x₀ ? x₁ ? ··· ? x_c hold. The weight of F, wF, is the total number of elements of M in the various elements x of F. For given integers f and c, we find min wF, where the minimum is taken over all f-element c-antichains F. Daykin [9, 10] has solved this problem for ordinary sets and Clements [3] has solved it for multisets, but only for c = 1.     

A characterization of the multivariate normal distribution

Let X_j (j = 1,…,n) be i.i.d. random variables, and let Y′ = (Y₁,…,Y_m) and X′ = (X₁,…,X_n) be independently distributed, and A = (a_jk) be an n × n random coefficient matrix with a_jk = a_jk(Y) for j, k = 1,…,n. Consider the equation U = AX, Kingman and Graybill [Ann. Math. Statist.41 (1970)] have shown U ～ N(O,I) if and only if X ～ N(O,I). provided that certain conditions defined in terms of the a_jk are satisfied. The task of this paper is to delete the identical assumption on X₁,…,X_n and then generalize the results to the vector case. Furthermore, the condition of independence on the random components within each vector is relaxed, and also the question raised by the above authors is answered.     

Simple components of group algebras Q[G] central over real quadratic fields

Let k be a real quadratic field, and $\text{U}$ a central division quaternion algebra over k. In this paper sufficient conditions are given to insure that $\text{U}$ appears in a simple component of the group algebra Q[G] of some finite group G over the rational field Q. In particular, when k is assumed to be Q(√2) or Q(√5), the necessary and sufficient conditions for $\text{U}$ to appear in some Q[G] are given.     

Matricial logarithmic derivatives

If θ is a norm on Cⁿ, then the mapping $\text{A→}\text{lim}{}_{\mathrm{h\downarrow 0}}\text{6I+hA6}{}_{\mathrm{\theta }}\text{?1}\text{/h}$ from M_n(C) (=C^{n × n}) into R is called the logarithmic derivative induced by the vector norm θ. In this paper we generalize this concept to a mapping γ from M_n(C) into M_k(R), where k ? n. Denoting by α(B) the spectral abscissa of a square matrix B (the largest of the real parts of the eigenvalues), we show, in particular, that α(A) ?α(γ(A)). As a byproduct we obtain simple sufficient conditions for the stability of a matrix.     

On linear forms with algebraic coefficients and diophantine equations

In my paper, [Man. Math.18 (1976), Satz 1.1] I proved a result on simultaneous diophantine inequalities for p-adic linear forms with algebraic coefficients. In this paper I shall generalize this result and give a necessary and sufficient criterion for the estimation of a product of complex and p-adic linear forms with algebraic coefficients, implying a theorem of Schmidt, [Math. Ann.191 (1971), Satz 1]. Using this estimate I shall obtain the p-adic generalization of Schmidt's theorems on diophantine equations of norm form type [Ann. of Math.96 (1972)].     

A duality principle for lattices and categories of modules

Let R be a ring with 1, R^op the opposite ring, and R-Mod the category of left unitary R-modules and R-linear maps. A characterization of well-powered abelian categories $\text{A}$ such that there exists an exact embedding functor $\text{A}$→R-Mod is given. Using this characterization and abelian category duality, the following duality principles can be established.Theorem. There exists an exact embedding functor $\text{A}$→R-Mod if and only if there exists an exact embedding functor $\text{A}$^op→R^op-Mod.Corollary. If R-Mod has a specified diagram-chasing property, then R^op-Mod has the dual property.A lattice L is representable by R-modules if it is embeddable in the lattice of submodules of some unitary left R-module; $\text{L}$(R) denotes the quasivariety of all lattices representable by R-modules.Theorem. A lattice L is representable by R-modules if and only if its order dual L¹ is representable by R^op-modules. That is, $\text{L}\text{(}\text{R}{}^{\mathrm{op}}\text{)={L}{}^1\text{:L?}\text{L}\text{(}\text{R}\text{)}}$.If $\text{R}$ is a commutative ring with 1 and a specified diagram-chasing result is satisfied in R-Mod, then the dual result is also satisfied in R-Mod. Furthermore, $\text{L}\text{(}\text{R}\text{)}$ is self-dual: $\text{L}\text{(}\text{R}\text{)= {L}{}^1\text{:L?}\text{L}\text{(}\text{R}\text{)}.}$     

Bilattices for deductions in multi-valued logic

In this exploratory paper we propose a framework for the deduction apparatus of multi-valued logics based on the idea that a deduction apparatus has to be a tool to manage information on truth values and not directly truth values of the formulas. This is obtained by embedding the algebraic structure V defined by the set of truth values into a bilattice B. The intended interpretation is that the elements of B are pieces of information on the elements of V. The resulting formalisms are particularized in the framework of fuzzy logic programming. Since we see fuzzy control as a chapter of multi-valued logic programming, this suggests a new and powerful approach to fuzzy control based on positive and negative conditions.     

On the structure of the Wishart distribution

In this paper it is shown that every nonnegative definite symmetric random matrix with independent diagonal elements and at least one nondegenerate nondiagonal element has a noninfinitely divisible distribution. Using this result it is established that every Wishart distribution W_p(k, Σ, M) with both p and rank (Σ) ≥ 2 is noninfinitely divisible. The paper also establishes that any Wishart matrix having distribution W_p(k, Σ, 0) has the joint distribution of its elements in the rth row and rth column to be infinitely divisible for every r = 1,2,…,p.     

On the existence of free topological groups

Given a Tychonoff space X and classes U and V of topological groups, we say that a topological group G = G(X, U, V) is a free (U,V)-group over X if (a) X is a subspace of G, (b) G ϵ U, and (c) every continuous f: X → H with H ϵ V extends uniquely to a continuous homomorphism f̄: G→H. For certain classes U and V, we consider the question of the existence of free (U,V)- groups. Our principal results are the following. Let PA and CA denote, respectively, the class ofpseudocompact Abelian groups and the class of compact Abelian groups. Then

• 1.(a) there is a free (PA,PA)-group over X iff; X=Ø and
• 2.(b) there is for each X a free (PA,CA)-group over X in which X is closed.

     

Quadratic mappings of spheres

In this paper we obtain a basis-free method for determining the general form of quadratic maps over R between spheres. We show that all quadratic maps (over certain R-lattices) between spheres are Hopf maps, and that the classical Hopf fibrations, S^2m?1→S^m, for m=2, 4, 8, are the unique nontrivial maps over Z, up to action by the orthogonal group.     

A generalization of a result of Sylvester's

Let v₁,…,v_n be vectors in Zⁿ with D = det(v₁,…,v_n) > 0. Let v_{n + 1} be in the cone generated by v₁,…,v_n and such that v₁,…,v_v, v_{n + 1} generate Zⁿ as a Z-module. There exists a unique “largest“ χ not expressible as a nonnegative integer combination of v₁,…,v_n, v_{n + 1} and χ = Dv_{n + 1} ? (v₁ + … v_n + v_{n + 1}).     

Construction d’entrelacs hyperpoliques et arithmétiques

In this Note, we continue the study started in [4] about arithmetic hyperbolic links L such that S³\L is homeomorphic to H³/Γ, where Γ is not conjugate to a subgroup of any Bianchi group. One describes the steps of the construction, different from the construction in [4], which permits us to determine the first known examples in M₂(Q (i√39)) and M₂(Q (i√6 respectively.     

L-fuzzy normal spaces and Tietze extension theorem

In this paper we prove a characterization theorem for normal L-fuzzy topological spaces (L is an infinitely distributive lattice with an order-reversing involution). In the particular case L = {0, 1} this theorem reduces to a known result of Katětov (Fund. Math. 38 (1951), 85–91) and Tong (Duke Math. J. 19 (1952), 289–292). As an important application we obtain a fuzzy version of Tietze extension theorem. This yields an affirmative answer to a question raised in a series of papers by Rodabaugh (Fuzzy Sets and Systems 11 (1983), 163–183).     

Matroids with given restrictions and contractions

If M is a matroid on a set S and if X is a subset of S, then there are two matroids on X induced by M: namely, the restriction and the contraction of M onto X. Necessary and sufficient conditions are obtained for two matroids on the same set to be of this form and an analogous result is obtained when (X₁,…, X_t) is a partition of S. The corresponding results when all the matroids are binary are also obtained.     

A topological property enjoyed by near points but not by large points

Let H denote the halfline [0,∞). A point p?βH?H is called a near point if p is in the closure of some countable discrete closed subspace of H. In addition, a point p?βH?H is called a large point if p is not in the closure of a closed subset of H of finite Lebesgue measure. We will show that for every autohomeomorphism ? of βH?H and for each near point p we have that ?(p) is not large. In addition, we establish, under CH, the existence of a point x?βH?H such that for each autohomeomorphism ? of βH?H the point ?(x) is neither large nor near.     

Positive definite rational functions of two variables which are not the sum of three squares

Cassels, Ellison, and Pfister have shown that there is a positive semidefinite function of R(x, y) that is not the sum of three squares. In this paper positive definite functions of R(x, y) are found having the same property. The proof involves showing the nonexistence of points on some elliptic curves defined over C(x), and extends the methods of [1].     

Invariant scale matrix hypothesis tests under elliptical symmetry

The usual assumption in multivariate hypothesis testing is that the sample consists of n independent, identically distributed Gaussian m-vectors. In this paper this assumption is weakened by considering a class of distributions for which the vector observations are not necessarily either Gaussian or independent. This class contains the elliptically symmetric laws with densities of the form f(X(n × m)) = ψ[tr(X ? M)′ (X ? M)Σ^?1]. For testing the equality of k scale matrices and for the sphericity hypothesis it is shown, by using the structure of the underlying distribution rather than any specific form of the density, that the usual invariant normal-theory tests are exactly robust, for both the null and non-null cases, under this wider class.