Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models

Two tests for multivariate conditional heteroscedastic models are proposed. One is based on the cross-correlations of standardized squared residuals and the other is a score (Lagrange multiplier) test. The cross-correlations test can be used to detect the presence of multivariate conditional heteroscedasticity whereas the other test can be used for diagnostic checking. Simulation studies on the size and power of the test statistics are reported. The application of the tests is illustrated by an example using the S & P 500 and Sydney All Ordinary Indexes.     

Propagation of mesons in asymmetric nuclear matter in a density-dependent coupling model

We study the propagation of the light mesons σ,ω,ρ, and a₀(980) in dense hadronic matter in an extended derivative scalar coupling model. Within the scheme proposed it is possible to unambiguously define effective density-dependent couplings at the Lagrangian level. We first apply the model to study asymmetric nuclear matter with fixed isospin asymmetry, and then we pay particular attention to hypermatter in β-equilibrium. The equation of state and the potential contribution to the symmetry coefficient arising from the mean-field approximation are investigated. Received: 16 October 2001 / Accepted: 10 January 2002     

Phase Transition in Vertex-Reinforced Random Walks on {\mathbb{Z}} with Non-linear Reinforcement

Vertex-reinforced random walk is a random process which visits a site with probability proportional to the weight w _k of the number k of previous visits. We show that if w _k ∼ k ^α, then there is a large time T ₀ such that after T ₀ the walk visits 2, 5, or ∞ sites when α < 1, = 1, or > 1, respectively. More general results are also proven.      

Zero weights and non-zero slacks: Different solutions to the same problem

This paper re-assesses three independently developed approaches that are aimed at solving the problem of zero-weights or non-zero slacks in Data Envelopment Analysis (DEA). The methods are weights restricted, non-radial and extended facet DEA models. Weights restricted DEA models are dual to envelopment DEA models with restrictions on the dual variables (DEA weights) aimed at avoiding zero values for those weights; non-radial DEA models are envelopment models which avoid non-zero slacks in the input-output constraints. Finally, extended facet DEA models recognize that only projections on facets of full dimension correspond to well defined rates of substitution/transformation between all inputs/outputs which in turn correspond to non-zero weights in the multiplier version of the DEA model. We demonstrate how these methods are equivalent, not only in their aim but also in the solutions they yield. In addition, we show that the aforementioned methods modify the production frontier by extending existing facets or creating unobserved facets. Further we propose a new approach that uses weight restrictions to extend existing facets. This approach has some advantages in computational terms, because extended facet models normally make use of mixed integer programming models, which are computationally demanding.     

Non-Parametric Regression Methods

The nature of the financial time series is complex, continuous interchange of stochastic and deterministic regimes. Therefore, it is difficult to forecast with parametric techniques. Instead of parametric models, we propose three techniques and compare with each other. Neural networks and support vector regression (SVR) are two universally approximators. They are data-driven non parametric models. ARCH/GARCH models are also investigated. Our assumption is that the future value of Istanbul Stock Exchange 100 index daily return depends on the financial indicators although there is no known parametric model to explain this relationship. This relationship comes from the technical analysis. Comparison shows that the multi layer perceptron networks overperform the SVR and time series model (GARCH).     

Mechanistic Insights into the Reversible Formation of Iodosylarene–Iron Porphyrin Complexes in the Reactions of Oxoiron(IV) Porphyrin π‐Cation Radicals and Iodoarenes: Equilibrium,Epoxidizing Intermediate,and Oxygen Exchange

We have shown previously that iodosylbenzene–iron(III ) porphyrin intermediates ( 2 ) are generated in the reactions of oxoiron(IV ) porphyrin π‐cation radicals ( 1 ) and iodobenzene (PhI), that 1 and 2 are at equilibrium in the presence of PhI, and that the epoxidation of olefins by 2 affords high yields of epoxide products. In the present work, we report detailed mechanistic studies on the nature of the equilibrium between 1 and 2 in the presence of iodoarenes (ArI), the determination of reactive species responsible for olefin epoxidation when two intermediates (i.e., 1 and 2 ) are present in a reaction solution, and the fast oxygen exchange between 1 and H₂¹⁸O in the presence of ArI. In the first part, we have provided strong evidence that 1 and 2 are indeed at equilibrium and that the equilibrium is controlled by factors such as the electronic nature of iron porphyrins, the electron richness of ArI, and the concentration of ArI. Secondly, we have demonstrated that 1 is the sole active oxidant in olefin epoxidation when 1 and 2 are present concurrently in a reaction solution. Finally, we have shown that the presence of ArI in a reaction solution containing 1 and H₂¹⁸O facilitates the oxygen exchange between the oxo group of 1 and H₂¹⁸O and that the oxygen exchange is markedly influenced by factors such as ArI incubation time, the amounts of ArI and H₂¹⁸O used, and the electronic nature of ArI. The latter results are rationalized by the formation of an undetectable amount of 2 from the reaction of 1 and ArI through equilibrium that leads to a fast oxygen exchange between 2 and H₂¹⁸O.     

Estimating Sampling Errors in REA Survey: A Model Approach for the Synthetic Presentation of Results for Main Variables Involved in Economic Analysis

A new sample business survey for agriculture, the REA survey, and a project of integration with the FADN network (RICA in Italy) have significantly changed the production of statistical information nowadays available with reference to the agricultural sector. On the basis of this relevant information, new economic analyses are being developed on farms’ performance, agricultural households’ income and the Common Agricultural Policy (CAP). In this paper the authors estimate the relationship between the levels of variables of interest and their sampling errors using models in order to improve the accessibility of the information on estimates accuracy to the final users (agricultural analysts, policy makers). The paper is the result of a joint research of the three authors. Sections 1–3 and 6 by Pizzoli, Sects. 4 and 5 by Rondinelli, Sect. 7 by Filiberti, conclusions joint to the three authors.     

Scalar Perturbations in Inflationary Models Based on the Non-Linear Sigma Model

The inflationary models based on the non-linear sigma model with the self-coupling potential are considered. The slow-roll solutions for long-wavelength inhomogeneities in general two-component chiral models and diagonal three-component chiral model of a special case are obtained. Scalar perturbations are calculated for two examples.     

广义线性模型(六)

本讲座是广义线性模型这个题目的一个比较系统的介绍。主要分 3部分 :建模、统计分析与模型选择和诊断。写作时依据的主要参考资料是L .Fahrmeir等人的 :《MultivariateStatisticalModel ingBasedonGeneralizedLinearModles》。     

Formulation for XPS spectral change of oxides by ion bombardment as a function of sputtering time

XPS measurement revealed that the original state of TiO₂ was changed to Ti₂O₃ and TiO by ion bombardment. TiO₂ decreased and Ti₂O₃ increased at the initial stage. TiO increased at a later stage than Ti₂O₃. Each of them saturated after enough sputtering time.A formulation was proposed in order to explain the change of XPS spectra for oxides as a function of ion sputtering time. This formulation was based on reaction equations that contain two reduction processes (from TiO₂ to Ti₂O₃ and from Ti₂O₃ to TiO), and sputtering effects. Using four fitting parameters (two reduction coefficients, sputtering yield and information depth), the present formula was fitted to the experimental results. The fitting results agree satisfactorily with the experimental results. The calculation shows that the reduction coefficient from TiO₂ to Ti₂O₃ is about ten times larger than that from Ti₂O₃ to TiO. This calculation predicts that surface composition of an oxide that is changed by ion bombardment will reach a different value depending on its bulk composition. Moreover, the present formulation can determine the chemical states of compounds changed by ion bombardment.