Order Determination for Multivariate Autoregressive Processes Using Resampling Methods

LetX₁, …, X_nbe observations from a multivariate AR(p) model with unknown orderp. A resampling procedure is proposed for estimating the orderp. The classical criteria, such as AIC and BIC, estimate the orderpas the minimizer of the function[formula]wherenis the sample size,kis the order of the fitted model, Σ²_kis an estimate of the white noise covariance matrix, andC_nis a sequence of specified constants (for AIC,C_n=2m²/n, for Hannan and Quinn's modification of BIC,C_n=2m²(ln ln n)/n, wheremis the dimension of the data vector). A resampling scheme is proposed to estimate an improved penalty factorC_n. Conditional on the data, this procedure produces a consistent estimate ofp. Simulation results support the effectiveness of this procedure when compared with some of the traditional order selection criteria. Comments are also made on the use of Yule–Walker as opposed to conditional least squares estimations for order selection.     

Dual-Sampling-Rate Moving-Horizon Control of a Class of Linear Systems with Input Saturation and Plant Uncertainty

Moving-horizon control is a type of sampled-data feedback control in which the control over each sampling interval is determined by the solution of an open-loop optimal control problem. We develop a dual-sampling-rate moving-horizon control scheme for a class of linear, continuous-time plants with strict input saturation constraints in the presence of plant uncertainty and input disturbances. Our control scheme has two components: a slow-sampling moving-horizon controller for a nominal plant and a fast-sampling state-feedback controller whose function is to force the actual plant to emulate the nominal plant. The design of the moving-horizon controller takes into account the nonnegligible computation time required to compute the optimal control trajectory.We prove the local stability of the resulting feedback system and illustrate its performance with simulations. In these simulations, our dual-sampling-rate controller exhibits performance that is considerably superior to its single-sampling-rate moving-horizon controller counterpart.     

On the approximation of continuous time threshold ARMA processes

Threshold autoregressive (AR) and autoregressive moving average (ARMA) processes with continuous time parameter have been discussed in several recent papers by Brockwellet al. (1991,Statist. Sinica,1, 401–410), Tong and Yeung (1991,Statist. Sinica,1, 411–430), Brockwell and Hyndman (1992,International Journal Forecasting,8, 157–173) and Brockwell (1994,J. Statist. Plann. Inference,39, 291–304). A threshold ARMA process with boundary width 2>0 is easy to define in terms of the unique strong solution of a stochastic differential equation whose coefficients are piecewise linear and Lipschitz. The positive boundary-width is a convenient mathematical device to smooth out the coefficient changes at the boundary and hence to ensure the existence and uniqueness of the strong solution of the stochastic differential equation from which the process is derived. In this paper we give a direct definition of a threshold ARMA processes with =0 in the important case when only the autoregressive coefficients change with the level of the process. (This of course includes all threshold AR processes with constant scale parameter.) The idea is to express the distributions of the process in terms of the weak solution of a certain stochastic differential equation. It is shown that the joint distributions of this solution with =0 are the weak limits as 0 of the distributions of the solution with >0. The sense in which the approximating sequence of processes used by Brockwell and Hyndman (1992,International Journal Forecasting,8, 157–173) converges to this weak solution is also investigated. Some numerical examples illustrate the value of the latter approximation in comparison with the more direct representation of the process obtained from the Cameron-Martin-Girsanov formula. It is used in particular to fit continuous-time threshold models to the sunspot and Canadian lynx series.Research partially supported by National Science Foundation Research Grants DMS 9105745 and 9243648.     

Force mode atomic force microscopy as a tool for protein folding studies

The advent of a new class of force microscopes designed specifically to “pull” biomolecules has allowed non-specialists to use force microscopy as a tool to study single-molecule protein unfolding. This powerful new technique has the potential to explore regions of the protein energy landscape that are not accessible in conventional bulk studies. It has the added advantage of allowing direct comparison with single-molecule simulation experiments. However, as with any new technique, there is currently no well described consensus for carrying out these experiments. Adoption of standard schemes of data selection and analysis will facilitate comparison of data from different laboratories and on different proteins. In this review, some guidelines and principles, which have been adopted by our laboratories, are suggested. The issues associated with collecting sufficient high quality data and the analysis of those data are discussed. In single-molecule studies, there is an added complication since an element of judgement has to be applied in selecting data to analyse; we propose criteria to make this process more objective. The principal sources of error are identified and standardised methods of selecting and analysing the data are proposed. The errors associated with the kinetic parameters obtained from such experiments are evaluated. The information that can be obtained from dynamic force experiments is compared, both quantitatively and qualitatively to that derived from conventional protein folding studies.     

Existence and uniqueness of stationary Lévy-driven CARMA processes

Necessary and sufficient conditions for the existence of a strictly stationary solution of the equations defining a general Lévy-driven continuous-parameter ARMA process with index set R$\mathbb{R}$ are determined. Under these conditions the solution is shown to be unique and an explicit expression is given for the process as an integral with respect to the background driving Lévy process. The results generalize results obtained earlier for second-order processes and for processes defined by the Ornstein–Uhlenbeck equation.     

Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise

We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of multivariate ARMA equations with independent and identically distributed driving noise. For general ARMA(p, q) equations these conditions are expressed in terms of the coefficient polynomials of the defining equations and moments of the driving noise sequence, while for p =?1 an additional characterization is obtained in terms of the Jordan canonical decomposition of the autoregressive matrix, the moving average coefficient matrices and the noise sequence. No a priori assumptions are made on either the driving noise sequence or the coefficient matrices.     

Acknowledgement of priority to: “Universal residuals: A multivariate transformation. Statistics & Probability Letters 27, 2007, 1473–1478”

This is an acknowledgement of priority about a paper that was published in 2007.