Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients

For about thirty years, time series models with time-dependent coefficients have sometimes been considered as an alternative to models with constant coefficients or non-linear models. Analysis based on models with time-dependent models has long suffered from the absence of an asymptotic theory except in very special cases. The purpose of this paper is to provide such a theory without using a locally stationary spectral representation and time rescaling. We consider autoregressive-moving average (ARMA) models with time-dependent coefficients and a heteroscedastic innovation process. The coefficients and the innovation variance are deterministic functions of time which depend on a finite number of parameters. These parameters are estimated by maximising the Gaussian likelihood function. Deriving conditions for consistency and asymptotic normality and obtaining the asymptotic covariance matrix are done using some assumptions on the functions of time in order to attenuate non-stationarity, mild assumptions for the distribution of the innovations, and also a kind of mixing condition. Theorems from the theory of martingales and mixtingales are used. Some simulation results are given and both theoretical and practical examples are treated. Received 2004; Final version 23 December 2004     

Corrigendum to the paper ``Adjoining an Order Unit to a Matrix Ordered Space'

An error has been detected (and also corrected) in Theorem 2.8 of the paper entitled “Adjoining an Order Unit to a Matrix Ordered Space” (Positivity, (2005)9: 207–223; DOI ). Accordingly, some of the results of the paper have been modified. Also, a notion of C*-matricially, Riesz normed spaces has been introduced.     

Two-Dimensional Coulomb Systems on a Surface of Constant Negative Curvature

We study the equilibrium statistical mechanics of classical two-dimensional Coulomb systems living on a pseudosphere (an infinite surface of constant negative curvature). The Coulomb potential created by one point charge exists and goes to zero at infinity. The pressure can be expanded as a series in integer powers of the density (the virial expansion). The correlation functions have a thermodynamic limit, and remarkably that limit is the same one for the Coulomb interaction and some other interaction law. However, special care is needed for defining a thermodynamic limit of the free energy density. There are sum rules expressing the property of perfect screening. These generic properties can be checked on the Debye–Hückel approximation, and on two exactly solvable models, the one-component plasma and the two-component plasma, at some special temperature.     

On a diophantine problem of P. Erdös

Research supported in part by Grant 4055 from the Hungarian National Foundation for Scientific Research and by Kereskedelmi és Hitelbank Rt. Universitas Foundation.     

Critical thickness and stress relaxation in YBaCuO (123) strained epitaxial layers and YBaCuO based strained superlattices

An energy model has been used to calculate the critical thickness h _c of YBaCuO thin films and YBaCuO based superlattices within an isotropic or anisotropic approximation. The critical thickness of single layers calculated from the anisotropic model (16 nm) is in good agreement with the previously published experimental values which are spread out from 4 to 20 nm. In the case of superlattices, relaxation appears to be governed by the critical thickness of the elementary sub-layers and is then better evaluated through the calculation performed for YBaCuO single layers. XRD measurements on YBa₂Cu₃O₇/PrBa₂Cu_3?xGa_xO₇ superlattices grown on {100{ SrTiO₃ have evidenced a tetragonal stress in the YBaCuO ab plane which remains expanded when the YBaCuO elementary layer thickness is lower than 4.8 nm (4 YBaCuO cells). However the critical temperature of the shortest period superlattices is only slightly affected by this expanded stress in contrast to the effect of an elastic stress externally applied along the ab plane of YBaCuO thin films.     

Seven novel seco-prezizaane-type sesquiterpenes from the pericarps of Illicium merrillianum

Seven new seco-prezizaane-type sesquiterpenes were isolated from the methanol extract of the pericarps of Illicium merrillianum. Their structures were elucidated as 3-deoxypseudoanisatin (1), 2beta-hydroxy-3,6-dedioxypseudoanisatin (2), 8alpha-hydroxy-10-deoxycyclomerrillianolide (3), 10beta-hydroxypseudoanisatin (4), 10beta-hydroxycyclopseudoanisatin (5), 1,6-dihydroxy-3-deoxyminwanensin (6), and 8-deoxymerrilliortholactone (7) by analyses of their spectroscopic data and chemical transformation. Compounds 4 and 5 as well as 6 and 7 coexist as a keto/acetal equilibrated mixture in methanol solution.     

Density estimation and adaptive control of markov processes: Average and discounted criteria

We consider a class of discrete-time Markov control processes with Borel state and action spaces, and ^d i.i.d. disturbances with unknown distribution . Under mild semi-continuity and compactness conditions, and assuming that is absolutely continuous with respect to Lebesgue measure, we establish the existence of adaptive control policies which are (1) optimal for the average-reward criterion, and (2) asymptotically optimal in the discounted case. Our results are obtained by taking advantage of some well-known facts in the theory of density estimation. This approach allows us to avoid restrictive conditions on the state space and/or on the system's transition law imposed in recent works, and on the other hand, it clearly shows the way to other applications of nonparametric (density) estimation to adaptive control.Research partially supported by The Third World Academy of Sciences under Research Grant No. MP 898-152.