HAC estimation and strong linearity testing in weak ARMA models

In the framework of ARMA models, we consider testing the reliability of the standard asymptotic covariance matrix (ACM) of the least-squares estimator. The standard formula for this ACM is derived under the assumption that the errors are independent and identically distributed, and is in general invalid when the errors are only uncorrelated. The test statistic is based on the difference between a conventional estimator of the ACM of the least-squares estimator of the ARMA coefficients and its robust HAC-type version. The asymptotic distribution of the HAC estimator is established under the null hypothesis of independence, and under a large class of alternatives. The asymptotic distribution of the proposed statistic is shown to be a standard χ² under the null, and a noncentral χ² under the alternatives. The choice of the HAC estimator is discussed through asymptotic power comparisons. The finite sample properties of the test are analyzed via Monte Carlo simulation.     

On the bidirectional vortex and other similarity solutions in spherical coordinates

The bidirectional vortex refers to the bipolar, coaxial swirling motion that can be triggered, for example, in cyclone separators and some liquid rocket engines with tangential aft-end injectors. In this study, we present an exact solution to describe the corresponding bulk motion in spherical coordinates. To do so, we examine both linear and nonlinear solutions of the momentum and vorticity transport equations in spherical coordinates. The assumption will be that of steady, incompressible, inviscid, rotational, and axisymmetric flow. We further relate the vorticity to some power of the stream function. At the outset, three possible types of similarity solutions are shown to fulfill the momentum equation. While the first type is incapable of satisfying the conditions for the bidirectional vortex, it can be used to accommodate other physical settings such as Hill’s vortex. This case is illustrated in the context of inviscid flow over a sphere. The second leads to a closed-form analytical expression that satisfies the boundary conditions for the bidirectional vortex in a straight cylinder. The third type is more general and provides multiple solutions. The spherical bidirectional vortex is derived using separation of variables and the method of variation of parameters. The three-pronged analysis presented here increases our repertoire of general mean flow solutions that rarely appear in spherical geometry. It is hoped that these special forms will permit extending the current approach to other complex fluid motions that are easier to capture using spherical coordinates.     

Equivariant fixed-point indices of iterated maps

We describe an equivariant version (for actions of a finite group G) of Dold’s index theory, [10], for iterated maps. Equivariant Dold indices are defined, in general, for a G-map U → X defined on an open G-subset of a G-ANR X (and satisfying a suitable compactness condition). A local index for isolated fixed-points is introduced, and the theorem of Shub and Sullivan on the vanishing of all but finitely many Dold indices for a continuously differentiable map is extended to the equivariant case. Homotopy Dold indices, arising from the equivariant Reidemeister trace, are also considered.      

Magnetic behaviour of TbMnFe

Neutron diffraction and M?ssbauer measurements have been carried out on the cubic Laves phase intermetallic TbMnFe. The magnetic moment on the transition metal atom is found to be low, 0.2μ _B, at room temperature. This moment is temperature independent down to 10 K. Magnetic moment on the rare earth atom varies from 2.5μ _B at 296 K to 7.27μ _B at 10 K. M?ssbauer spectra recorded at 298 K and 78 K have magnetic character but there is a large distribution of hyperfine field values. Both these features arise due to magnetic frustration created in the sample due to the competing ferro and antiferromagnetic interactions between the transition metal atoms.     

Non-local approximation of the Mumford-Shah functional

The Mumford-Shah functional, introduced to study image segmentation problems, is approximated in the sense of -convergence by a sequence of non-local integral functionals. Received June 6, 1996 / Accepted July 11, 1996     

Classification of real moduli spaces over genus 2 curves

We classify, in terms of simple algebraic equations, the fixed point sets of the moduli space of stable bundles over genus 2 curves with anti-holomorphic involutions.Research supported by SRF of University of Missouri.     

Estimation of intrinsic processes affected by additive fractal noise

Fractal Gaussian models have been widely used to represent the singular behavior of phenomena arising in different applied fields; for example, fractional Brownian motion and fractional Gaussian noise are considered as monofractal models in subsurface hydrology and geophysical studies Mandelbrot [The Fractal Geometry of Nature, Freeman Press, San Francisco, 1982 [13]]. In this paper, we address the problem of least-squares linear estimation of an intrinsic fractal input random field from the observation of an output random field affected by fractal noise (see Angulo et al. [Estimation and filtering of fractional generalised random fields, J. Austral. Math. Soc. A 69 (2000) 1-26 [2]], Ruiz-Medina et al. [Fractional generalized random fields on bounded domains, Stochastic Anal. Appl. 21 (2003a) 465-492], Ruiz-Medina et al. [Fractional-order regularization and wavelet approximation to the inverse estimation problem for random fields, J. Multivariate Anal. 85 (2003b) 192-216]. Conditions on the fractality order of the additive noise are studied to obtain a bounded inversion of the associated Wiener-Hopf equation. A stable solution is then obtained in terms of orthogonal bases of the reproducing kernel Hilbert spaces associated with the random fields involved. Such bases are constructed from orthonormal wavelet bases (see Angulo and Ruiz-Medina [Multiresolution approximation to the stochastic inverse problem, Adv. in Appl. Probab. 31 (1999) 1039-1057], Angulo et al. [Wavelet-based orthogonal expansions of fractional generalized random fields on bounded domains, Theoret. Probab. Math. Stat. (2004), in press]). A simulation study is carried out to illustrate the influence of the fractality orders of the output random field and the fractal additive noise on the stability of the solution derived.     

Regular variation of order 1 nonlinear AR-ARCH models

We prove both geometric ergodicity and regular variation of the stationary distribution for a class of nonlinear stochastic recursions that includes nonlinear AR-ARCH models of order 1. The Lyapounov exponent for the model, the index of regular variation and the spectral measure for the regular variation all are characterized by a simple two-state Markov chain.