Memory properties of transformations of linear processes

In this paper, we study the memory properties of transformations of linear processes. Dittmann and Granger (J Econ 110:113–133, 2002) studied the polynomial transformations of Gaussian FARIMA(0, d, 0) processes by applying the orthonormality of the Hermite polynomials under the measure for the standard normal distribution. Nevertheless, the orthogonality does not hold for transformations of non-Gaussian linear processes. Instead, we use the decomposition developed by Ho and Hsing (Ann Stat 24:992–1024, 1996; Ann Probab 25:1636–1669, 1997) to study the memory properties of nonlinear transformations of linear processes, which include the FARIMA(p, d, q) processes, and obtain consistent results as in the Gaussian case. In particular, for stationary processes, the transformations of short-memory time series still have short-memory and the transformation of long-memory time series may have different weaker memory parameters which depend on the power rank of the transformation. On the other hand, the memory properties of transformations of non-stationary time series may not depend on the power ranks of the transformations. This study has application in econometrics and financial data analysis when the time series observations have non-Gaussian heavy tails. As an example, the memory properties of call option processes at different strike prices are discussed in details.     

Accusation probabilities in Tardos codes: beyond the Gaussian approximation

We study the probability distribution of user accusations in the q-ary Tardos fingerprinting system under the Marking Assumption, in the restricted digit model. In particular, we look at the applicability of the so-called Gaussian approximation, which states that accusation probabilities tend to the normal distribution when the fingerprinting code is long. We introduce a novel parametrization of the attack strategy which enables a significant speedup of numerical evaluations. We set up a method, based on power series expansions, to systematically compute the probability of accusing innocent users. The ‘small parameter’ in the power series is 1/m, where m is the code length. We use our method to semi-analytically study the performance of the Tardos code against majority voting and interleaving attacks. The bias function ‘shape’ parameter k{{\kappa}} strongly influences the distance between the actual probabilities and the asymptotic Gaussian curve. The impact on the collusion-resilience of the code is shown. For some realistic parameter values, the false accusation probability is even lower than the Gaussian approximation predicts.     

Quadratic transformations of the sixth Painlevé equation with application to algebraic solutions

In 1991, one of the authors showed the existence of quadratic transformations between the Painlevé VI equations with local monodromy differences (1/2, a, b, ±1/2) and (a, a, b, b). In the present paper we give concise forms of these transformations. They are related to the quadratic transformations obtained by Manin and Ramani–Grammaticos–Tamizhmani via Okamoto transformations. To avoid cumbersome expressions with differentiation, we use contiguous relations instead of the Okamoto transformations. The 1991 transformation is particularly important as it can be realized as a quadratic‐pull back transformation of isomonodromic Fuchsian equations. The new formulas are illustrated by derivation of explicit expressions for several complicated algebraic Painlevé VI functions. (© 2007 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

The retraction algorithm for factoring banded symmetric matrices

Let A be an n × n symmetric matrix of bandwidth 2m + 1. The matrix need not be positive definite. In this paper we will present an algorithm for factoring A which preserves symmetry and the band structure and limits element growth in the factorization. With this factorization one may solve a linear system with A as the coefficient matrix and determine the inertia of A, the number of positive, negative, and zero eigenvalues of A. The algorithm requires between 1/2nm² and 5/4nm² multiplications and at most (2m + 1)n locations compared to non‐symmetric Gaussian elimination which requires between nm² and 2nm² multiplications and at most (3m + 1)n locations. Our algorithm reduces A to block diagonal form with 1 × 1 and 2 × 2 blocks on the diagonal. When pivoting for stability and subsequent transformations produce non‐zero elements outside the original band, column/row transformations are used to retract the bandwidth. To decrease the operation count and the necessary storage, we use the fact that the correction outside the band is rank‐1 and invert the process, applying the transformations that would restore the bandwidth first, followed by a modified correction. This paper contains an element growth analysis and a computational comparison with LAPACKs non‐symmetric band routines and the Snap‐back code of Irony and Toledo. Copyright © 2007 John Wiley & Sons, Ltd.     

A Parameter Selection Method for Wavelet Shrinkage Denoising

Thresholding estimators in an orthonormal wavelet basis are well established tools for Gaussian noise removal. However, the universal threshold choice, suggested by Donoho and Johnstone, sometimes leads to over-smoothed approximations.For the denoising problem this paper uses the deterministic approach proposed by Chambolle et al., which handles it as a variational problem, whose solution can be formulated in terms of wavelet shrinkage. This allows us to use wavelet shrinkage successfully for more general denoising problems and to propose a new criterion for the choice of the shrinkage parameter, which we call H-curve criterion. It is based on the plot, for different parameter values, of the B ₁ ¹(L ₁)-norm of the computed solution versus the L ₂-norm of the residual, considered in logarithmic scale. Extensive numerical experimentation shows that this new choice of shrinkage parameter yields good results both for Gaussian and other kinds of noise.     

Symmetry analysis of the charged squashed Kaluza–Klein black hole metric

In this research article, a complete analysis of symmetries and conservation laws for the charged squashed Kaluza–Klein black hole space‐time in a Riemannian space is discussed. First, a comprehensive group analysis of the underlying space‐time metric using Lie point symmetries is presented, and then the n‐dimensional optimal system of this space‐time metric, for n = 1,…,4, are computed. It is shown that there is no any n‐dimensional optimal system of Lie symmetry subalgebra associated to the system of geodesic for n≥5. Then the point symmetries of the one‐parameter Lie groups of transformations that leave invariant the action integral corresponding to the Lagrangian that means Noether symmetries are found, and then the conservation laws associated to the system of geodesic equations are calculated via Noether's theorem. Copyright © 2015 John Wiley & Sons, Ltd.     

Transformation and reduction formulae for double q‐Clausen hypergeometric series

By means of the Sears transformations, we establish eight general transformation theorems on bivariate basic hypergeometric series. Several transformation, reduction and summation formulae on the double q‐Clausen hypergeometric series are derived as consequences. Copyright © 2007 John Wiley & Sons, Ltd.     

Space and time inversions of stochastic processes and Kelvin transform

Let X be a standard Markov process. We prove that a space inversion property of X implies the existence of a Kelvin transform of X‐harmonic, excessive and operator‐harmonic functions and that the inversion property is inherited by Doob h‐transforms. We determine new classes of processes having space inversion properties amongst transient processes satisfying the time inversion property. For these processes, some explicit inversions, which are often not the spherical ones, and excessive functions are given explicitly. We treat in details the examples of free scaled power Bessel processes, non‐colliding Bessel particles, Wishart processes, Gaussian Ensemble and Dyson Brownian Motion.     

Reliable gain‐scheduled control design for networked control systems

In this article, the problem of reliable gain‐scheduled H_∞ performance optimization and controller design for a class of discrete‐time networked control system (NCS) is discussed. The main aim of this work is to design a gain‐scheduled controller, which consists of not only the constant parameters but also the time‐varying parameter such that NCS is asymptotically stable. In particular, the proposed gain‐scheduled controller is not only based on fixed gains but also the measured time‐varying parameter. Further, the result is extended to obtain a robust reliable gain‐scheduled H_∞ control by considering both unknown disturbances and linear fractional transformation parametric uncertainties in the system model. By constructing a parameter‐dependent Lyapunov–Krasovskii functional, a new set of sufficient conditions are obtained in terms of linear matrix inequalities (LMIs). The existence conditions for controllers are formulated in the form of LMIs, and the controller design is cast into a convex optimization problem subject to LMI constraints. Finally, a numerical example based on a station‐keeping satellite system is given to demonstrate the effectiveness and applicability of the proposed reliable control law. © 2014 Wiley Periodicals, Inc. Complexity 21: 214–228, 2015     

Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the hurst parameter

In this contribution, the statistical performance of the wavelet-based estimation procedure for the Hurst parameter is studied for non-Gaussian long-range dependent processes obtained from point transformations of Gaussian processes. The statistical properties of the wavelet coefficients and the estimation performance are compared both for processes having the same covariance but different marginal distributions and for processes having the same covariance and same marginal distributions but obtained from different point transformations, analyzed using mother wavelets with different number of vanishing moments. It is shown that the reduction of the dependence range from long to short by increasing the number of vanishing moments, observed for Gaussian processes, and at the origin of the popularity of the wavelet-based estimator, does not hold in general for non-Gaussian processes. Crucially, it is also observed that the Hermite rank of the point transformation impacts significantly the statistical properties of the wavelet coefficients and the estimation performance and also that processes having identical marginal distributions and covariance function can yet yield significantly different estimation performance. These results are interpreted in the light of central and noncentral limit theorems that are fundamental when dealing with long-range dependent processes. Moreover, it will be shown that, on condition that estimation is performed using a range of scales restricted to the coarsest practically available, an approximate, yet analytical and simple to use in practice, formula can be proposed for the evaluation of the variance of the wavelet-based estimator of the Hurst parameter.     

Estimating long-range dependence in the presence of periodicity: An empirical study

Recent results in applied statistics have shown that the presence of periodicity in a time series may have an influence on the estimation of the long memory (long-range dependence) parameter H. In particular, some estimators falsely detect the presence of long-range dependence when periodicity is present. In this paper, we apply various estimation procedures to synthetic periodic time series in order to verify the performance of each estimation method and to determine which estimators should be used when periodicity may be present.     

Four‐terminal reducibility and projective‐planar wye‐delta‐wye‐reducible graphs

A graph is YΔY‐reducible if it can be reduced to a vertex by a sequence of series‐parallel reductions and YΔY‐transformations. Terminals are distinguished vertices, that cannot be deleted by reductions and transformations. In this article, we show that four‐terminal planar graphs are YΔY‐reducible when at least three of the vertices lie on the same face. Using this result, we characterize YΔY‐reducible projective‐planar graphs. We also consider terminals in projective‐planar graphs, and establish that graphs of crossing‐number one are YΔY‐reducible. © 2000 John Wiley & Sons, Inc. J Graph Theory 33: 83–93, 2000     

Complete enumeration of pure‐level and mixed‐level orthogonal arrays

We specify an algorithm to enumerate a minimum complete set of combinatorially non‐isomorphic orthogonal arrays of given strength t, run‐size N, and level‐numbers of the factors. The algorithm is the first one handling general mixed‐level and pure‐level cases. Using an implementation in C, we generate most non‐trivial series for t=2, N≤28, t=3, N≤64, and t=4, N≤168. The exceptions define limiting run‐sizes for which the algorithm returns complete sets in a reasonable amount of time. © 2009 Wiley Periodicals, Inc. J Combin Designs 18: 123–140, 2010     

Semi‐linear wave models with power non‐linearity and scale‐invariant time‐dependent mass and dissipation,II

This paper is a continuation of our recent paper 8 . We will consider the semi‐linear Cauchy problem for wave models with scale‐invariant time‐dependent mass and dissipation and power non‐linearity. The goal is to study the interplay between the coefficients of the mass and the dissipation term to prove global existence (in time) of small data energy solutions assuming suitable regularity on the L² scale with additional L¹ regularity for the data. In order to deal with this L² regularity in the non‐linear part, we will develop and employ some tools from Harmonic Analysis.     

Maxwell and Lamé eigenvalues on polyhedra

In a convex polyhedron, a part of the Lamé eigenvalues with hard simple support boundary conditions does not depend on the Lamé coefficients and coincides with the Maxwell eigenvalues. The other eigenvalues depend linearly on a parameter s linked to the Lamé coefficients and the associated eigenmodes are the gradients of the Laplace–Dirichlet eigenfunctions. In a non‐convex polyhedron, such a splitting of the spectrum disappears partly or completely, in relation with the non‐H² singularities of the Laplace–Dirichlet eigenfunctions. From the Maxwell equations point of view, this means that in a non‐convex polyhedron, the spectrum cannot be approximated by finite element methods using H¹ elements. Similar properties hold in polygons. We give numerical results for two L‐shaped domains. Copyright © 1999 John Wiley & Sons, Ltd.     

Stationarizing two classes of nonstationary processes by wavelet

The main purpose of this paper is to discuss the stationarity of two classes of nonstationary processes after wavelet transformations. Owing to the fact that the wavelet transformation possesses localization and implicit differencing property, the authors show that after wavelet transformation, the fractionally differenced process and the harmonizable periodically correlated process may be changed into stationary processes. Selected from Acta Scientiarum Naturalium Universitatis Pekinensis, 2004, 40(1): 19–28. This project was supported by the National Nataral Science Foundations of China under grant number 10171005     

Score tests for inverse Gaussian mixtures

The mixed inverse Gaussian given by Whitmore (biScand. J. Statist., 13 , 1986, 211–220) provides a convenient way for testing the goodness‐of‐fit of a pure inverse Gaussian distribution. The test is a one‐sided score test with the null hypothesis being the pure inverse Gaussian (i.e. the mixing parameter is zero) and the alternative a mixture. We devise a simple score test and study its finite sample properties. Monte Carlo results show that it compares favourably with the smooth test of Ducharme ( Test , 10 , 2001, 271‐290). In practical applications, when the pure inverse Gaussian distribution is rejected, one is interested in making inference about the general values of the mixing parameter. However, as it is well known that the inverse Gaussian mixture is a defective distribution; hence, the standard likelihood inference cannot be applied. We propose several alternatives and provide score tests for the mixing parameter. Finite sample properties of these tests are examined by Monte Carlo simulation. Copyright © 2010 John Wiley & Sons, Ltd.     

Ritz–Galerkin method for solving a parabolic equation with non‐local and time‐dependent boundary conditions

The paper is devoted to the investigation of a parabolic partial differential equation with non‐local and time‐dependent boundary conditions arising from ductal carcinoma in situ model. Approximation solution of the present problem is implemented by the Ritz–Galerkin method, which is a first attempt at tackling parabolic equation with such non‐classical boundary conditions. In the process of dealing with the difficulty caused by integral term in non‐local boundary condition, we use a trick of introducing the transition function G(x,t) to convert non‐local boundary to another non‐classical boundary, which can be handled with the Ritz–Galerkin method. Illustrative examples are included to demonstrate the validity and applicability of the technique in this paper. Copyright © 2015 John Wiley & Sons, Ltd.     

Analytical approach to heat and mass transfer in MHD free convection from amoving permeable vertical surface

An analytical study is performed on heat and mass transfer in MHD‐free convection from a moving permeable vertical surface and the results are compared with previous works on this phenomenon to test the validity. The coupled equations of boundary layer are transformed from their non‐linear form to ordinary form using similarity transformation and then are solved by a newly developed method, homotopy analysis method. Having different base functions, homotopy analysis method provides us with great freedom in choosing the solution of a nonlinear problem. Solving the boundry layer equations, the effects of different parameters such as magnetic field strength parameter (M), Prandtl number (Pr), Schmidt number (Sc), buoyancy ratio and suction/blowing parameter (f_w) on velocity, temperature, and concentration profiles are taken into consideration. Obtained results show that increment of magnetic field strength parameter (M) leads to decrease in velocity profile. Copyright © 2011 John Wiley & Sons, Ltd.     

Phase‐field systems for multi‐dimensional Prandtl–Ishlinskii operators with non‐polyhedral characteristics

Hysteresis operators have recently proved to be a powerful tool in modelling phase transition phenomena which are accompanied by the occurrence of hysteresis effects. In a series of papers, the present authors have proposed phase‐field models in which hysteresis non‐linearities occur at several places. A very important class of hysteresis operators studied in this connection is formed by the so‐called Prandtl–Ishlinskii operators. For these operators, the corresponding phase‐field systems are in the multi‐dimensional case only known to admit unique solutions if the characteristic convex sets defining the operators are polyhedrons. In this paper, we use approximation techniques to extend the known results to multi‐dimensional Prandtl–Ishlinskii operators having non‐polyhedral convex characteristicsets. Copyright © 2002 John Wiley & Sons, Ltd.