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     

Boundary control of a hyperbolic system with time lags

This paper considers an optimal boundary control problem fora hyperbolic system in which constant time lags appear in thestate equation and in the boundary condition simultaneously.Making use of Lion's scheme, necessary and sufficient conditionsof optimality for the Neumann problem are derived.     

Sample-path optimization of convex stochastic performance functions

In this paper we propose a method for optimizing convex performance functions in stochastic systems. These functions can include expected performance in static systems and steady-state performance in discrete-event dynamic systems; they may be nonsmooth. The method is closely related to retrospective simulation optimization; it appears to overcome some limitations of stochastic approximation, which is often applied to such problems. We explain the method and give computational results for two classes of problems: tandem production lines with up to 50 machines, and stochastic PERT (Program Evaluation and Review Technique) problems with up to 70 nodes and 110 arcs. Sponsored by the National Science Foundation under grant number CCR-9109345, by the Air Force Systems Command, USAF, under grant numbers F49620-93-1-0068 and F49620-95-1-0222, by the U.S. Army Research Office under grant number DAAL03-92-G-0408, and by the U.S. Army Space and Strategic Defense Command under contract number DASG60-91-C-0144. The U.S. Government has certain rights in this material, and is authorized to reproduce and distribute reprints for Governmental purposes notwithstanding any copyright notation thereon. Sponsored by a Wisconsin/Hilldale Research Award, by the U.S. Army Space and Strategic Defense Command under contract number DASG60-91-C-0144, and the Air Force Systems Command, USAF, under grant number F49620-93-1-0068. Sponsored by the National Science Foundation under grant number DDM-9201813.     

Markovian network processes: Congestion-dependent routing and processing

A Markovian network process describes the movement of discrete units among a set of nodes that process the units. There is considerable knowledge of such networks, often called queueing networks, in which the nodes operate independently and the routes of the units are independent. The focus of this study, in contrast, is on networks with dependent nodes and routings. Examples of dependencies are parallel processing across several nodes, blocking of transitions because of capacity constraints on nodes, alternate routing of units to avoid congestion, and accelerating or decelerating the processing rate at a node depending on downstream congestion. We introduce a general network process representing the numbers of units at the nodes and derive its equilibrium distribution. This distribution takes the form of a product of functions of vectors in which the arguments of the functions satisfy an interchangeability property. This new type of distribution may apply to other multi-variate processes as well. A basic idea in our approach is a linking of certain micro-level balance properties of the network routing to the processing rates at the nodes. The link is via routing-balance partitions of nodes that are inherent in any network. A byproduct of this approach is a general characterization of blocking of transitions without the restriction that the process is reversible, which had been a standard assumption. We also give necessary and sufficient conditions under which a unit moving in the network sees a time average for the unmoved units (called the MUSTA property). Finally, we discuss when certain flows between nodes in an open network are Poisson processes.This research was sponsored in part by Air Force Office of Scientific Research contract 84-0367.     

对NO生理作用的新认识及其电化学实时检测

本文综述了近年来学术界对ＮＯ生理作用的新认识，并介绍了现场实时检测生物活体中释放的ＮＯ浓度的电化学方法．     

Multistage Electrochemical Reactions with the Transfer of Intermediates between Near-Electrode Layer and Bulk Solution: Analysis of a Kinetic Model and Computer-Aided Modeling

Kinetic equations for a multistage electrode process complicated by the transfer of intermediates between the near-electrode layer and bulk solution are derived and analyzed. Computer-aided modeling of the kinetics of processes of this kind is performed. Conditions under which the share of diffused intermediates is no longer vanishingly small are determined. Effect of various factors on the individual stages is established. Techniques of processing experimental data for determining kinetic parameters of separate stages are suggested.     

Modeling Studies of the Formation and Destruction of NO in Pulsed Barrier Discharges in Nitrogen and Air

This paper presents the results of modeling studies on the formation and destruction of NO in pulsed barrier discharges in nitrogen and air. The goals of this work are to identify the major processes involved in the formation and destruction of NO in air discharges, to distinguish between oxidative and reductive paths for NO destruction, to explore the potential importance of excited state reactions, to evaluate the role of water in such systems, and to identify the final products in the absence of heterogeneous processes. In all cases, the systems were modeled with 100×10^–4% (100 ppm) of added NO, with and without 3% added water. The focus in all of this work is chemistry in the post-pulse regime.     

Molecular modeling study of the differential ligand–receptor interaction at the μ, δ and κ opioid receptors

3D models of the opioid receptors , and were constructed using BUNDLE, an in-house program to build de novo models of G-protein coupled receptors at the atomic level. Once the three opioid receptors were constructed and before any energy refinement, models were assessed for their compatibility with the results available from point-site mutations carried out on these receptors. In a subsequent step, three selective antagonists to each of three receptors (naltrindole, naltrexone and nor-binaltorphamine) were docked onto each of the three receptors and subsequently energy minimized. The nine resulting complexes were checked for their ability to explain known results of structure-activity studies. Once the models were validated, analysis of the distances between different residues of the receptors and the ligands were computed. This analysis permitted us to identify key residues tentatively involved in direct interaction with the ligand.     

A Three-Dimensional Two-Phase Model for Thermal Plasma Chemical Vapor Deposition with Liquid Feedstock Injection

In this paper, a comprehensive model for thermal plasma chemical vapor deposition (TPCVD) with liquid feedstock injection is documented. The gas flow is assumed to be steady, of a single temperature. Radiation and charged species contributions are excluded, but extensive homogeneous and heterogeneous chemistry is included. The liquid phase is traced by considering individual droplets. Discussion on the model's application to diamond production from acetone in a hydrogen–argon plasma is included. The major conclusions are: (1) Liquid injection possesses a capability to deliver the hydrocarbon precursor directly onto the deposition target. (2) For the case of complete evaporation of the droplet before reaching the substrate, the deposition rate is similar to that obtained with gaseous precursors. (3) The computational results compare well with experimental data. The modeling results can be used to optimize the injection parameters with regard to the deposition rate.