Cochran's statistical theorem for outer inverses of matrices and matrix quadratic forms

We extend the matrix version of Cochran's statistical theorem to outer inverses of a matrix. As applications, we investigate the Wishartness and independence of matrix quadratic forms for Kronecker product covariance structures.     

加权二次有理Bézier插值曲线

在本文中,给定一组有序空间数据点列及每个数据点的切矢向量,利用加权二次有理Bézier曲线对数据点作插值曲线,使该曲线具有C1连续性,并且权因子只是对相应顶点曲线附近产生影响,同调整两个相邻的权因子可以调整这两个相邻顶点之间的曲线和它的控制多边形.     

Ergodic properties and thermodynamic behavior of elementary reversible cellular automata. I. Basic properties

This is the first part of a series devoted to the study of thermodynamic behavior of large dynamical systems with the use of a family of fully-discrete and conservative models named elementary reversible cellular automata (ERCAs). In this paper, basic properties such as conservation laws and phase space structure are investigated in preparation for the later studies. ERCAs are a family of one-dimensional reversible cellular automata having two Boolean variables on each site. Reflection and Boolean conjugation symmetries divide them into 88 equivalence classes. For each rule, additive conserved quantities written in a certain form are regarded as a kind of energy, if they exist. By the aid of the discreteness of the variables, every ERCA satisfies the Liouville theorem or the preservation of phase space volume. Thus, if an energy exists in the above sense, statistical mechanics of the model can formally be constructed. If a locally defined quantity is conserved, however, it prevents the realization of statistical mechanics. The existence of such a quantity is examined for each class and a number of rules which have at least one energy but no local conservation laws are selected as hopeful candidates for the realization of thermodynamic behavior. In addition, the phase space structure of ERCAs is analyzed by enumerating cycles exactly in the phase space for systems of comparatively small sizes. As a result, it is revealed that a finite ERCA is not ergodic, that is, a large number of orbits coexist on an energy surface. It is argued that this fact does not necessarily mean the failure of thermodynamic behavior on the basis of an analogy with the ergodic nature of infinite systems.     

Estimation in the continuous time mover‐stayer model with an application to bond ratings migration

The usual tool for modelling bond ratings migration is a discrete, time‐homogeneous Markov chain. Such model assumes that all bonds are homogeneous with respect to their movement behaviour among rating categories and that the movement behaviour does not change over time. However, among recognized sources of heterogeneity in ratings migration is age of a bond (time elapsed since issuance). It has been observed that young bonds have a lower propensity to change ratings, and thus to default, than more seasoned bonds. The aim of this paper is to introduce a continuous, time‐non‐homogeneous model for bond ratings migration, which also incorporates a simple form of population heterogeneity. The specific form of heterogeneity postulated by the proposed model appears to be suitable for modelling the effect of age of a bond on its propensity to change ratings. This model, called a mover–stayer model, is an extension of a Markov chain. This paper derives the maximum likelihood estimators for the parameters of a continuous time mover–stayer model based on a sample of independent continuously monitored histories of the process, and develops the likelihood ratio statistic for discriminating between the Markov chain and the mover–stayer model. The methods are illustrated using a sample of rating histories of young corporate issuers. For these issuers the default probabilities predicted by the Markov chain and mover–stayer models are different. In particular for 1–4 years old bonds the mover–stayer model estimates substantially lower default probabilities from rating C than a Markov chain. Copyright © 2004 John Wiley & Sons, Ltd.     

WKB Wave Function of the General Time-Dependent Quadratic Hamiltonian System

We derived the WKB wave function for the general time-dependent quadratic Hamiltonian system using a unitary transformation method. We applied our research to sinusodially drived Caldirola–Kanai oscillator and confirmed that the time evolution of our approximated WKB wave function is similar to that of the exact one. This wave function can be used to analyze the interference between the probability amplitudes contributed by the area of overlap in phase space of quantum states.     

On Bayes and unbiased estimators of loss

We consider estimation of loss for generalized Bayes or pseudo-Bayes estimators of a multivariate normal mean vector, θ. In 3 and higher dimensions, the MLEX is UMVUE and minimax but is inadmissible. It is dominated by the James-Stein estimator and by many others. Johnstone (1988, On inadmissibility of some unbiased estimates of loss,Statistical Decision Theory and Related Topics, IV (eds. S. S. Gupta and J. O. Berger), Vol. 1, 361–379, Springer, New York) considered the estimation of loss for the usual estimatorX and the James-Stein estimator. He found improvements over the Stein unbiased estimator of risk. In this paper, for a generalized Bayes point estimator of θ, we compare generalized Bayes estimators to unbiased estimators of loss. We find, somewhat surprisingly, that the unbiased estimator often dominates the corresponding generalized Bayes estimator of loss for priors which give minimax estimators in the original point estimation problem. In particular, we give a class of priors for which the generalized Bayes estimator of θ is admissible and minimax but for which the unbiased estimator of loss dominates the generalized Bayes estimator of loss. We also give a general inadmissibility result for a generalized Bayes estimator of loss. Research supported by NSF Grant DMS-97-04524.     

Krylov subspaces and the analytic grade

Typical behaviour of the solution of a linear system of equations obtained iteratively by Krylov methods can be characterized by three stages. Initially the residual diminishes steadily; this is followed by stagnation and finally rapid convergence near the algebraic grade. This study examines this behaviour in terms of the concepts of approximately invariant subspace and what we have called the analytic grade of a Krylov sequence. It is shown how the small Ritz values play a vital role in the convergence and how this knowledge helps in the construction of an effective preconditioner. Copyright © 2004 John Wiley & Sons, Ltd.     

OU型Markov过程的不变测度及弱对偶性

本文研究ＯＵ型Ｍａｒｋｏｖ过程的不变测度、参考测度和弱对偶半群的存在性问题，并得出了不变测度的唯一性。     

On weak spreadability of distributed-parameter systems and its achievement via linear--quadratic control techniques

In this paper, the concept of weak spreadability is introduced.It constitutes an extension of the idea developed by El Jai& Kassara. In the case of linear distributed systems weconsider quadratic control techniques with a conveniently penalizedcriterion which makes the system weakly spreadable. The approachis outlined for a convection—diffusion system, and theresults of a numerical study are also included to illustratethe main features of the considered problem.     

A globally convergent Newton method for solving strongly monotone variational inequalities

Variational inequality problems have been used to formulate and study equilibrium problems, which arise in many fields including economics, operations research and regional sciences. For solving variational inequality problems, various iterative methods such as projection methods and the nonlinear Jacobi method have been developed. These methods are convergent to a solution under certain conditions, but their rates of convergence are typically linear. In this paper we propose to modify the Newton method for variational inequality problems by using a certain differentiable merit function to determine a suitable step length. The purpose of introducing this merit function is to provide some measure of the discrepancy between the solution and the current iterate. It is then shown that, under the strong monotonicity assumption, the method is globally convergent and, under some additional assumptions, the rate of convergence is quadratic. Limited computational experience indicates the high efficiency of the proposed method.