A graded scale of parametric families of distributions,and parameter estimates based on the sample mean

Summary Denote by _k a class of familiesP={P} of distributions on the line R¹ depending on a general scalar parameter , being an interval of R¹, and such that the moments µ₁()=xdP ,...,µ_2k ()=x ^2k dP are finite, ₁ (), ..., _k (), _k+1 () ..., _k () exist and are continuous, with ₁ () 0, and _j +1 ()= ₁ () _j () +[₂() -₁()²] _j ()/ ₁ (), J=2, ..., k. Let ₁=¯x=x ₁ + ... +x _n/n, ₂=x ₁ ² + ... +x _n ²/n, ..., _k =(x ₁ ^k + ... +x _n ^k/n denote the sample moments constructed for a sample x₁, ..., x_n from a population with distribution Pg. We prove that the estimator of the parameter by the method of moments determined from the equation ₁= ₁() and depending on the observations x₁, ..., x_n only via the sample mean ¯x is asymptotically admissible (and optimal) in the class _k of the estimators determined by the estimator equations of the form ₀ () + ₁ () ₁ + ... + _k () _k =0 if and only ifP _k .The asymptotic admissibility (respectively, optimality) means that the variance of the limit, as n (normal) distribution of an estimator normalized in a standard way is less than the same characteristic for any estimator in the class under consideration for at least one 9 (respectively, for every ).The scales arise of classes _{1 2}... of parametric families and of classes _{1 2} ... of estimators related so that the asymptotic admissibility of an estimator by the method of moments in the class _k is equivalent to the membership of the familyP in the class _k .The intersection consists only of the families of distributions with densities of the form h(x) exp {C₀() + C₁() x } when for the latter the problem of moments is definite, that is, there is no other family with the same moments ₁ (), ₂ (), ...Such scales in the problem of estimating the location parameter were predicted by Linnik about 20 years ago and were constructed by the author in [1] (see also [2, 3]) in exact, not asymptotic, formulation.Translated from Problemy Ustoichivosti Stokhasticheskikh Modelei, pp. 41–47, 1981.     

Superlinear convergence of Broyden's boundedθ-class of methods

In this paper the so-called Broyden's bounded-class of methods is considered. It contains as a subclass Broyden's restricted-class of methods, in which the updating matrices retain symmetry and positive definiteness. These iteration methods are used for solving unconstrained minimization problems of the following form: It is assumed that the step-size coefficient _k = 1 in each iteration and the functionalf : R ⁿ R¹ satisfies the standard assumptions, viz.f is twice continuously differentiable and the Hessian matrix is uniformly positive definite and bounded (there exist constantsm, M > 0 such that my² y, for ally R ⁿ) and satisfies a Lipschitz-like condition at the optimal point , the gradient vanishes at Under these assumptions the local convergence of Broyden's methods is proved. Furthermore, the Q-superlinear convergence is shown.     

On the speed of convergence in the central limit theorem of log-likelihood ratio processes

Let , the parameter space, be an open subset ofR ^k ,k1. For each , let the r.v.'sX _n ,n=1, 2,... be defined on the probability space (X, P ) and take values in (S,S,L) whereS is a Borel subset of a Euclidean space andL is the -field of Borel subsets ofS. ForhR _k and a sequence of p.d. normalizing matrices _n = _n ^{k × k} (₀ set _n ^* = ^* = ₀ + _n h, where ₀ is the true value of , such that ^*, . Let _n (^*, _*)( be the log-likelihood ratio of the probability measure with respect to the probability measure , whereP _n is the restriction ofP over _n = (X ₁,X ₂,...,X _n . In this paper we, under a very general dependence setup obtain a rate of convergence of the normalized log-likelihood ratio statistic to Standard Normal Variable. Two examples are taken into account.     

Asymptotic behavior of general M-estimates for regression and scale with random carriers

Summary Let (xini, y _i be a sequence of independent identically distributed random variables, where x _i R ^p and y _i R, and let R ^p be an unknown vector such that y _i =x _i +u _i (^*), where u _i is independent of x _i and has distribution function F(u/), where >0 is an unknown parameter. This paper deals with a general class of M-estimates of regression and scale, ( ^*,^*), defined as solutions of the system: , where r= (y _i –x _i ^1*/)^*, with R ^p ×RR and RR. This class contains estimators of (, ) proposed by Huber, Mallows and Krasker and Welsch. The consistency and asymptotic normality of the general M-estimators are proved assuming general regularity conditions on and and assuming the joint distribution of (x _i , y _i ) to fulfill the model (^*) only approximately.     

Solution of the nonlinear functional equations representing the roll gap relationships in a cold mill

In the development of a roll force model for cold rolling, techniques were developed for solving the system equations which are of general interest. This paper gives a brief introduction to the physical model but concentrates on the solution of the model equations and the simulation. An unusual feature of the model was that the calculated profiles had to satisfy a number of boundary conditions at different points throughout the roll arc. A new method was developed for calculating these profiles and for determining the gradient functions which satisfied the boundary constraints.Nomenclature p() pressure at roll angle - h() gauge - a() roll radius - y() yield stress - g _i () gradient function on iterationi - e() gauge error - (, ) transition function - H(–) Heaviside unit step function at = - (–) unit impulse function at = - H(, ₁, ₂) defined asH( – ₁) –H( – ₂) - angular position from the roll center line - _T angular limits of roll arc represented - _n angular position of the neutral angle - _i angular position ofith strip elastic-plastic boundary - _pi pressure change at the boundaryi - _i , _i , _i constants defined in Appendix A - k ₁,k ₂ elastic region constants - k total number of strip boundaries (elastic-plastic and entry and exit points) - R undeformed work roll radius - R _s roll separation—distance between roll centers - h ₀₁ unstrained gauge in an elastic region - h _in gauge of the strip at the entry to the roll gap - J gauge error cost function - <x, y> inner product ofx andy - x norm ofx - L ₂[0, _T ] the space of Lebesgue square-integrable functions defined on the interval [0, _T ] - JUVY denotes (Dx)() =dx()/d The author would like to acknowledge the help given by Dr. G. F. Bryant, Director, and Mr. M. A. Fuller, Senior Research Engineer, the Industrial Automation Group, Imperial College of Science and Technology, London. He is also grateful to M. J. G. Henderson of the University of Birmingham for his advice and encouragement during the project. He would like to thank the Directors of GEC Electrical Projects Limited for allowing him to undertake the work and also Mr. J. McTaggart and Mr. C. McKenzie (GEC), Professor H. A. Prime of the University of Birmingham, and Dr. G. F. Bryant for arranging the project.     

Asymptotic properties of local densities of measures generated by semimartingales

For families of probability measures (P , )) generated by semimartingales, we consider the local density)(y, )= _t (y, )) _t0 of a, measureP _y with respect to the measureP whose logarithm is the difference of a local martingale and a positive predictable increasing locally bounded process. Conditions are obtained under which the relations and hold, wherey _t depends in some way ont, while _t ast . Applications of these relations are exhibited and an example is given when the hypotheses of the theorems proved can be verified.Translated fromTeoriya Sluchaínykh Protsessov, Vol. 14, pp. 48–55, 1986.     

Asymptotic Formulae and Divisor Problems

We investigate the asymptotic behaviour of the summatory functions of _z(n, ), _k(n, ) z ⁽ⁿ⁾ and _k(n, ) z ⁽ⁿ⁾.     

Quasisimilarity of model contractions with unequal defects

Let T and T be C₁₀ contractions with characteristic functions H (ⁿⁿ⁺¹), H (^mm+1). The fundamental result is: T and T are quasisimilar if and only if The paper contains an analysis of this condition; examples are given.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 149, pp. 24–37, 1986.     

The asymptotic representation at a point of the derivative of orthonormal polynomials

A theorem is proved on the asymptotic representation at the pointe ^io of the first derivative of polynomials, orthonormal on the unit circumference, under the following conditions: the weight (gq) is bounded from above, the function ^–2() is summable on the segment [-, ]; at the no neighborhood of the point = _o the weight is bounded from below by a positive constant and has a bounded variation; the trigonometric conjugate exists. These restrictions are less restrictive than those in Ch. Hörup's similar theorem.Translated from Matematicheskie Zametki, Vol. 19, No. 5, pp. 659–672, May, 1976.     

A Large Sample Approximation to the Profile Plug-in Upper Confidence Limit

We consider the problem of constructing a 1– upper confidence limit for the scalar parameter ₀ in the presence of the nuisance parameter vector ₀, when the data are discrete. The 'profile plug-in' upper confidence limit is introduced by Kabaila and Lloyd. This confidence limit is based on computing a P-value from an estimator of ₀, replacing the nuisance parameter by the profile maximum likelihood estimate for known, and equating to . Theoretical and numerical evidence for the good coverage properties of this confidence limit is presented by Kabaila and Lloyd. An upper confidence limit should be assessed not only by its coverage properties but also by how large this confidence limit is. We measure how large the profile plug-in upper limit is by using a large sample approximation to it. This large sample approximation is used to delineate further the good properties of this confidence limit.     

Prediction Problems for Square-Transformed Stationary Processes

This paper discusses the prediction problems for square-transformed process, Y _t = X _t ², where X _t is a stationary process with spectral density g(). The square-transformation is important in prediction of the volatility of ARCH models. First, we evaluate the mean square prediction error for square-transformed process when the predictor is constructed from the true spectral density g(). However, it is often that the true structure g() is not completely specified. Hence, we consider the problem of misspecified prediction when a conjectured spectral density f (), , is fitted to g(). Then, constructing the best linear predictor based on f (), we can evaluate the prediction error for square-transformed process. Also, we consider a bias adjusted prediction problem for the above two cases. Furthermore, we may suppose that X _t is a non-Gaussian process. Then, we evaluate the mean square prediction errors when the best linear predictor is constructed by the true spectral density g() and the conjectured spectral density f (), respectively. Since is usually unknown we estimate it by a quasi-MLE . The second-order asymptotic approximations of the mean square errors of the predictors based on g() and f () are given. Finally, we provide some numerical examples, which show some unexpected features.     

Recurrence vs. transience for spatially inhomogeneous birth and death in a random environment

Summary We consider birth and death in a random environment, having probabilitiesp(,x) andq(,x) of a step to the right or left, respectively, from statex in environment. Under several sets of conditions involving the existence of limp(,x) and limq(,x) asx, we give conditions for certain extinction or escape to when 0 is absorbing, corresponding to recurrence or transience when 0 is reflecting. The environmental sequence is assumed to be stationary ergodic, and for some results stronger assumptions are required.     

The CMP and Banach Spaces with unique metric lines

This paper is concerned with characterizing the class of Banach Spaces with unique metric lines in the class of complete metric spaces with unique lines.The concept utilized to prove the major theorem is theConsistent Midpoint Property (CMP). We define a binary operation (+) in metric spaces with unique lines and show that, under suitable assumptions, the space is a Banach Space with + as the vector addition and a=d(a, ) for some fixed .     

Admissibility of unbiased tests for a composite hypothesis with a restricted alternative

This paper discusses -admissiblility and d-admissiblity which are important concepts in studying the performance of statistical tests for composite hypotheses. A sufficient condition for -admissibility is presented. When =1/m, the Nomakuchi-Sakata test, which is uniformly more powerful than the likelihood ratio test for hypotheses min (₁, ₁) = 0 versus min (₁, ₁) > 0, is generalized for a class of distributions in an exponential family, and its unbiasedness and -admissibility are shown. Finally, the case of 1/m is discussed in brief.     

Index of exponential growth for a class of stochastic semigroups

We consider finite-dimensional homogeneous stochastic semigroups X _s ^t , 0 s t < assuming values in the space of real square matrices. For stochastic semigroups assuming values in the class of upper triangular matrices we compute the index of exponential growth , where · is the operator norm of a matrix. The answer is given in terms of the characteristic Y_t of the generating process Y_t of the semigroup X_s ^t:x=–(1/2), where is the smallest eigenvalue of the matrix B which defines the characteristic Y_t=Bt.Translated from Teoriya Sluchainykh Protsessov, No. 16, pp. 78–84, 1988.     

Regularity and Unit-regularity of Generalized Semigroups of Linear Transformations

Let V and W be vector spaces over a division ring D and L_D (V, W) the set of all linear transformations from V into W. For L_D(W, V), let (L_D (V, W), ) denote the semigroup L_D (V, W) with the operation * defined by * = for all , L_D(V, W). By a unit-regular semigroup we mean a semigroup S with identity having the property that for each a S, a = aua for some unit u S. The main purpose of this paper is to prove the following statements. The semigroup (L_D(V, W), ) is regular if and only if V = {0}, W = {0} or is an isomorphism from W onto V. The semigroup (L_D (V, W), ) is unit-regular if and only if (i) V = {0}, (ii) W = {0} or (iii) is an isomorphism from W onto V and dim_D V .     

Minimality of root vectors of operator functions analytic in an angle

We study the minimality of elementsx _h,j,k of canonical systems of root vectors. These systems correspond to the characteristic numbers _k of operator functionsL() analytic in an angle; we assume that operators act in a Hilbert space . In particular, we consider the case whereL()=I+T()c, >0,I is an identity operator,C is a completely continuous operator, (I- C)^–1c for ¦arg¦, 0<<, the operator functionT() is analytic, and T()c for ¦arg¦<. It is proved that, in this case, there exists >0 such that the system of vectorsC ^v x _h,j,k is minimal in for arbitrary positive <1+, provided that ¦_k¦>.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 46, No. 5, pp. 545–566, May, 1994.This research was partially supported by the Ukrainian State Committee of Science and Technology.     

Diffusion Equations and Geometric Inequalities

Let =(₀, ₁) be a fixed vector in R ² with strictly positive components and suppose ₀, ₁ > 0. Set = _{0 0} + _{1 1} and, if x ₀, x ₁ R ⁿ , set x = ₀ x ₀ + ₁ x ₁. Moreover, for any j {0, 1, }, let c _j : R ⁿ R be a continuous, bounded function and denote by p _j , c _j (t, x, y) the fundamental solution of the diffusion equation

Durch graduierte Lie-Algebren definierte Paar-Algebren

Pair algebras which have a non degenerate (left- and right-) invariant bilinear form and for which the inner derivation algebra is completely reducible are characterised by pairs (C,), where C is a n×n matrix satisfying certain conditions and is a sequence of n integers equal to 0 or 1. They occur as pair algebras of type (S(C,)_–1,S(C,)₁), xuy=[[x,u],y], where (S(C,)_r)_r is the gradation induced by . in the Kac-Moody algebraS(C). If C is an affin Cartan matrix (as in the case of Lie triple systems), there exists a finite dimensional simple Lie algebrag and a Aut (g), ord =m< such that the pair algebra is isomorphic to the pair algebra (g _–1,g ₁), xuy=[[x,u],y] (product ing), whereg _i. is the eigenspace of of eigenvalue ⁱ, a primitive m-th root of unity.     

A Comparison of Methods for Estimating the Extremal Index

The extremal index, (01), is the key parameter when extending discussions of the limiting behavior of the extreme values from independent and identically distributed sequences to stationary sequences. As measures the limiting dependence of exceedances over a threshold u, as u tends to the upper endpoint of the distribution, it may not always be informative about the extremal dependence at levels of practical interest. Therefore we also consider a threshold-based extremal index, (u). We compare the performance of a range of different estimators for and (u) covering processes with < 1 and = 1. We find that the established methods for estimating actually estimate (u), so perform well only when (u) . For Markov processes, we introduce an estimator which is as good as the established methods when (u) but provides an improvement when (u) < = 1. We illustrate our methods using simulated data and daily rainfall measurements.