Bayesian analysis of constant elasticity of variance models

This paper focuses on the estimation of some models in finance and in particular, in interest rates. We analyse discretized versions of the constant elasticity of variance (CEV) models where the normal law showing up in the usual discretization of the diffusion part is replaced by a range of heavy‐tailed distributions. A further extension of the model is to allow the elasticity of variance to be a parameter itself. This generalized model allows great flexibility in modelling and simplifies the model implementation considerably using the scale mixtures representation. The mixing parameters provide a means to identify possible outliers and protect inference by down‐weighting the distorting effects of these outliers. For parameter estimation, Bayesian approach is adopted and implemented using the software WinBUGS (Bayesian inference using Gibbs sampler). Results from a real data analysis show that an exponential power distribution with a random shape parameter, which is highly leptokurtic compared with the normal distribution, forms the best CEV model for the data. Copyright © 2006 John Wiley & Sons, Ltd.     

Influence of root resistivity on plant water uptake mechanism,part I: numerical solution

The issue of water flow through the root zone of field crops represents a complex problem requiring knowledge of a large spectrum of phenomena from various disciplines. Although many investigations have been devoted to gain better understanding of water dynamics in the root zone, the problem is still insufficiently understood. The main objective of the presented work was to analyze the importance of root water resistivity in the plant water extraction process. The problem was solved numerically for a wide range of the soil–root conductivity ratio (SRCR). Two different types of root water uptake (RWU) mechanisms were obtained. The first one is related to low root resistivity or low SRCR, and, thus, exhibits a so-called “moving uptake front” (MUF) effect observed previously in several experimental studies. The second one is inherent in large values of root resistivity or high values of SRCR (larger than 10⁴), and is strongly dependent on the root density distribution. Deceased.     

Optical characterization of pigments by reflectance spectroscopy in support of UV laser cleaning treatments

The study of optical properties of artwork materials is of fundamental importance for laser-based restoration techniques. In this work, reflectance spectroscopic measurements and colorimetric analyses of painted wooden models were performed to discriminate between pigments on the basis of their spectral features. In particular, the spectral reflection factors of different white pigments were recorded with a fibre optics reflectance spectroscopy module, both before and after excimer laser (248 nm) irradiation. Colour data were obtained and monitored with an integrating sphere spectrophotometer and expressed with the CIE L^*a^*b^* colour coordinates. Moreover, the laser-induced morphological changes of the samples were investigated by scanning electron microscopy. PACS  42.62-b; 61.80.Ba; 07.60.Dq     

Aptasensor for Thrombin Based on Carbon Nanotubes‐Methylene Blue Composites

The amperometric and EQCM aptasensors based on DNA aptamers immobilized by avidin‐biotin method or by electrostatic adsorption onto multiwalled carbon nanotube layer contained methylene blue (MB) have been developed and examined for thrombin detection in buffer and in spiked blood serum. The presence of MB increases the binding capacity of the surface layer and enhances the range of thrombin concentrations to be determined. This results in significant improvement of analytical characteristics of thrombin detection. The EQCM aptasensors allowed us to detect 0.3–100 nM and amperometric aptasensors 10–1000 nM of thrombin.     

Some less usual properties of tetracyano complexes

The structure and reactivity of one unique molecule may be understood only in relation to its molecular surroundings. The non-stoichiometric forms of the tetracyano complexes M(B) _mM (CN)₄·nG (B=nitrogen or oxygen containing base; G=aromatic compound or H₂O,m0,n>0) are understood in this respect. Their stoichiometric or non-stoichiometric forms, with voids either completely or more often partially occupied, are responsible for their observed sorptive and resorptive abilities. The effects of the surroundings are correlated with the results of thermal analysis, magnetic measurements and their sorptive abilities.Dedicated to Professor H. M. Powell.     

The nonparametric integral of the Calculus of Variations as a Weierstrass integral: Existence and representation

The definition and properties of an abstract and very general nonparametric integral of the Calculus of Variations is presented. In harmony with the Lewy-McShane approach, the nonparametric integral ∝ f, for set functions ? taking their values in a Banach space E, is defined in terms of its associated parametric integral. For the latter use is made of the abstract parametric integral proposed by Cesari in Rⁿ and then extended to Banach spaces by Breckenridge, Warner, and the authors. A condition (c) is shown to be relevant for the existence of the integral, and is preserved by the nonlinear operation f. Also, for f nonnegative, a Tonelli-type theorem is proved in the sense that the so defined Weierstrass integral ∝ f is always larger than or equal to the corresponding Lebesgue integral, and equality holds if and only if absolute continuity conditions hold. In the proof a suitable martingale is associated and a convergence theorem for martingales is applied. Applications to the calculus of variations will follow.     

A fuzzy approach to the transportation problem

The transportation problem with fuzzy supply values of the deliverers and with fuzzy demand values of the receivers is analysed. For the solution of the problem the technique of parametric programming is used. This makes it possible to obtain not only the maximizing solution (according to the Bellman-Zadeh criterion) but also other alternatives close to the optimal solution.     

Generalized roughening transition and its effect on the string tension

The well-understood roughening transition of an interface in the d = 3 Ising model implies an essential singularity in the string tension of the dual Z₂ gauge model. The roughening transition corresponds to the delocalization of the string due to strong long-wavelength fluctuations, and this reformulation can be generalized to other gauge groups and to d = 4 also. It is not a deconfining transition - it is expected to occur deep in the confining region - but its presence would raise serious questions about the continuation of strong coupling expansions of the tension beyond this point. In this paper predictions on the roughening transition are confronted with the available information on the string tension for different gauge groups in three dimensions.