Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

Breath Testing by Fourier Transform Infrared Spectroscopy for Solvent Intoxication Diagnostics

Technical or contaminated ethanol products are sometimes ingested either accidentally or on purpose. Typical misused products are black-market liquor and automotive products, e.g., windshield washer fluids. In addition to less toxic solvents, these liquids may contain the deadly methanol. Symptoms of even lethal solvent poisoning are often non-specific at the early stage. The present series of studies was carried out to develop a method for solvent intoxication breath diagnostics to speed up the diagnosis procedure conventionally based on blood tests. Especially in the case of methanol ingestion, the analysis method should be sufficiently sensitive and accurate to determine the presence of even small amounts of methanol from the mixture of ethanol and other less-toxic components. In addition to the studies on the FT-IR method, the Dräger 7110 evidential breath analyzer was examined to determine its ability to reveal a coexisting toxic solvent. An industrial Fourier transform infrared analyzer was modified for breath testing. The sample cell fittings were widened and the cell size reduced in order to get an alveolar sample directly from a single exhalation. The performance and the feasibility of the Gasmet FT-IR analyzer were tested in clinical settings and in the laboratory. Actual human breath screening studies were carried out with healthy volunteers, inebriated homeless men, emergency room patients and methanol-intoxicated patients. A number of the breath analysis results were compared to blood test results in order to approximate the blood-breath relationship. In the laboratory experiments, the analytical performance of the Gasmet FT-IR analyzer and Dräger 7110 evidential breath analyzer was evaluated by means of artificial samples resembling exhaled breath. The investigations demonstrated that a successful breath ethanol analysis by Dräger 7110 evidential breath analyzer could exclude any significant methanol intoxication. In contrast, the device did not detect very high levels of acetone, 1-propanol and 2-propanol in simulated breath. The Dräger 7110 evidential breath ethanol analyzer was not equipped to recognize the interfering component. According to the studies the Gasmet FT-IR analyzer was adequately sensitive, selective and accurate for solvent intoxication diagnostics. In addition to diagnostics, the fast breath solvent analysis proved feasible for controlling the ethanol and methanol concentration during haemodialysis treatment. Because of the simplicity of the sampling and analysis procedure, non-laboratory personnel, such as police officers or social workers, could also operate the analyzer for screening purposes.

Japanese Video Game Localization : A Case Study of Sony's Sairen Series

This thesis is a comparative case study in Japanese video game localization for the video games Sairen, Sairen 2 and Sairen Nyûtoransurêshon, and English-language localized versions of the same games as published in Scandinavia and Australia/New Zealand. All games are developed by Sony Computer Entertainment Inc. and published exclusively for Playstation2 and Playstation3 consoles. The fictional world of the Sairen games draws much influence from Japanese history, as well as from popular and contemporary culture, and in doing so caters mainly to a Japanese audience. For localization, i.e. the adaptation of a product to make it accessible to users outside the original market it was intended for in the first place, this is a challenging issue. Video games are media of entertainment, and therefore localization practice must preserve the games’ effects on the players’ emotions. Further, video games are digital products that are comprised of a multitude of distinct elements, some of which are part of the game world, while others regulate the connection between the player as part of the real world and the game as digital medium. As a result, video game localization is also a practice that has to cope with the technical restrictions that are inherent to the medium. The main theory used throughout the thesis is Anthony Pym’s framework for localization studies that considers the user of the localized product as a defining part of the localization process. This concept presupposes that localization is an adaptation that is performed to make a product better suited for use during a specific reception situation. Pym also addresses the factor that certain products may resist distribution into certain reception situations because of their content, and that certain aspects of localization aim to reduce this resistance through significant alterations of the original product. While Pym developed his ideas with mainly regular software in mind, they can also be adapted well to study video games from a localization angle. Since modern video games are highly complex entities that often switch between interactive and non-interactive modes, Pym’s ideas are adapted throughout the thesis to suit the particular elements being studied. Instances analyzed in this thesis include menu screens, video clips, in-game action and websites. The main research questions focus on how the games’ rules influence localization, and how the games’ fictional domain influences localization. Because there are so many peculiarities inherent to the medium of the video game, other theories are introduced as well to complement the research at hand. These include Lawrence Venuti’s discussions of foreiginizing and domesticating translation methods for literary translation, and Jesper Juul’s definition of games. Additionally, knowledge gathered from interviews with video game localization professionals in Japan during September and October 2009 is also utilized for this study. Apart from answering the aforementioned research questions, one of this thesis’ aims is to enrich the still rather small field of game localization studies, and the study of Japanese video games in particular, one of Japan’s most successful cultural exports.

Signifying Angels : Analyses and Interpretations of Rautavaara s Instrumental Compositions

The subject of doctoral thesis is the analysis and interpretation of instrumental pieces composed by Einojuhani Rautavaara (b. 1928) that have been given angelic titles: Archangel Michael Fighting the Antichrist from the suite Icons (1955)/Before the Icons (2006), Angels and Visitations (1978), the Double Bass Concerto Angel of Dusk (1980), Playgrounds for Angels (1981)and the Seventh Symphony Angel of Light (1994). The aim of the work is to find those musical elements common to these pieces that distinguish them from Rautavaara s other works and to determine if they could be thought of as a series. I prove that behind the common elements and titles stands the same extramusical idea the figure of an angel that the composer has described in his commentaries. The thesis is divided into three parts. Since all of the compositions possess titles that refer to the spiritual symbol of an angel, the first part offers a theoretical background to demonstrate the significant role played by angels in various religions and beliefs, and the means by which music has attempted to represent this symbol throughout history. This background traces also Rautavaara s aesthetic attitude as a spiritual composer whose output can be studied with reference to his extramusical interests including literature, psychology, painting, philosophy and myths. The second part focuses on the analysis of the instrumental compositions with angelic titles, without giving consideration to their commentaries and titles. The analyses concentrate in particular on those musical features that distinguish these pieces from Rautavaara s other compositions. In the third part these musical features are interpreted as symbols of the angel through comparison with vocal and instrumental pieces which contain references to the character of an angel, structures of mythical narration, special musical expressions, use of instruments and aspects of brightness. Finally I explore the composer s interpretative codes, drawing on Rilke s cycle of poems Ten Duino Elegies and Jung s theory of archetypes, and analyze the instrumental pieces with angelic titles in the light of the theory of musical ekphrasis.

Double-Edged Imitation : Theories and Practices of Pastiche in Literature

This study concentrates on the contested concept of pastiche in literary studies. It offers the first detailed examination of the history of the concept from its origins in the seventeenth century to the present, showing how pastiche emerged as a critical concept in interaction with the emerging conception of authorial originality and the copyright laws protecting it. One of the key results of this investigation is the contextualisation of the postmodern debate on pastiche. Even though postmodern critics often emphasise the radical novelty of pastiche, they in fact resuscitate older positions and arguments without necessarily reflecting on their historical conditions. This historical background is then used to analyse the distinction between the primarily French conception of pastiche as the imitation of style and the postmodern notion of it as the compilation of different elements. The latter s vagueness and inclusiveness detracts from its value as a critical concept. The study thus concentrates on the notion of stylistic pastiche, challenging the widespread prejudice that it is merely an indication of lack of talent. Because it is multiply based on repetition, pastiche is in fact a highly ambiguous or double-edged practice that calls into question the distinction between repetition and original, thereby undermining the received notion of individual unique authorship as a fundamental aesthetic value. Pastiche does not, however, constitute a radical upheaval of the basic assumptions on which the present institution of literature relies, since, in order to mark its difference, pastiche always refers to a source outside itself against which its difference is measured. Finally, the theoretical analysis of pastiche is applied to literary works. The pastiches written by Marcel Proust demonstrate how it can become an integral part of a writer s poetics: imitation of style is shown to provide Proust with a way of exploring the role of style as a connecting point between inner vision and reality. The pastiches of the Sherlock Holmes stories by Michael Dibdin, Nicholas Meyer and the duo Adrian Conan Doyle and John Dickson Carr illustrate the functions of pastiche within a genre detective fiction that is itself fundamentally repetitive. A.S. Byatt s Possession and D.M. Thomas s Charlotte use Victorian pastiches to investigate the conditions of literary creation in the age of postmodern suspicion of creativity and individuality. The study thus argues that the concept of pastiche has valuable insights to offer to literary criticism and theory, and that literary pastiches, though often dismissed in reviews and criticism, are a particularly interesting object of study precisely because of their characteristic ambiguity.

Kampen om Eros : Om kön och kärlek i Pahlensviten

The Struggle for Eros: On Love and Gender in the Pahlen Series The present dissertation examines how gender, sexuality and motherhood are constructed in the novel series Fröknarna von Pahlen (The Misses von Pahlen, I VII, 1930 1935) by the Swedish author Agnes von Krusenstjerna. The aim of the study is to analyze how the Pahlen series relates to the discourses on gender and sexuality circulating in the 1930s, and how the series opens a dialogue with the feminist thinking of the time especially with the book Lifslinjer I (Love and Marriage, 1903) by the Swedish author Ellen Key. Fröknarna von Pahlen holds a central position in the research on Agnes von Krusenstjerna partly due to the literary debate that the novel series triggered. The debate was connected to the development taking place in the Swedish society in the beginning of the 1930s, in the so-called second phase of the Modern Breakthrough. Sweden was at that time characterized by struggle over the definitions of gender, sexuality and parenthood, and this struggle is also visible in the Pahlen series. The literary debate took place in 1934 1935 and it began after an article by the modernist writer Karin Boye was published in Social-Demokraten on 28 January 1934. In her polemic article, Boye saw the Pahlen series as a sign that the family institution is on the verge of a breakdown and with it the whole moral system that has come to existence through it . Boye went on to state that Krusenstjerna only sees and describes and that she explores neither new literary forms nor new values. Boye wrote the article before the last two parts of the novel series were published, so obviously she could not discuss the utopian vision characterizing those parts. This study, however, strives to demonstrate that Krusenstjerna not only sees and describes, but that she like many of her contemporary female colleagues appears to take the request of Friedrich Nietzsche to revaluate all values seriously. Like the works of her contemporaries, Krusenstjerna s Pahlen series is marked by a double vision on the one hand a critique of the prevailing social order, and on the other hand a dream of a new world and a new human being. In this research the vision of the Pahlen series is characterized as queer in order to emphasize that the series not only criticizes the prevailing gender order and its morals, but is also open for new ways of doing gender, parenthood, and family.

Methodological and Empirical Advances in the Quantitative Analysis of Spontaneous Responses in Psychophysiological Time Series

The aim of the present study was to advance the methodology and use of time series analysis to quantify dynamic structures in psychophysiological processes and thereby to produce information on spontaneously coupled physiological responses and their behavioral and experiential correlates. Series of analyses using both simulated and empirical cardiac (IBI), electrodermal (EDA), and facial electromyographic (EMG) data indicated that, despite potential autocorrelated structures, smoothing increased the reliability of detecting response coupling from an interindividual distribution of intraindividual measures and that especially the measures of covariance produced accurate information on the extent of coupled responses. This methodology was applied to analyze spontaneously coupled IBI, EDA, and facial EMG responses and vagal activity in their relation to emotional experience and personality characteristics in a group of middle-aged men (n = 37) during the administration of the Rorschach testing protocol. The results revealed new characteristics in the relationship between phasic end-organ synchronization and vagal activity, on the one hand, and individual differences in emotional adjustment to novel situations on the other. Specifically, it appeared that the vagal system is intimately related to emotional and social responsivity. It was also found that the lack of spontaneously synchronized responses is related to decreased energetic arousal (e.g., depression, mood). These findings indicate that the present process analysis approach has many advantages for use in both experimental and applied research, and that it is a useful new paradigm in psychophysiological research. Keywords: Autonomic Nervous System; Emotion; Facial Electromyography; Individual Differences; Spontaneous Responses; Time Series Analysis; Vagal System

Glycoalkaloid Content and Starch Structure in Solanum Species and Interspecific Somatic Potato Hybrids

When genome sections of wild Solanum species are bred into the cultivated potato (S. tuberosum L.) to obtain improved potato cultivars, the new cultivars must be evaluated for their beneficial and undesirable traits. Glycoalkaloids present in Solanum species are known for their toxic as well as for beneficial effects on mammals. On the other hand, glycoalkaloids in potato leaves provide natural protection against pests. Due to breeding, glycoalkaloid profile of the plant is affected. In addition, the starch properties in potato tubers can be affected as a result of breeding, because the crystalline properties are determined by the botanical source of the starch. Starch content and composition affect the texture of cooked and processed potatoes. In order to determine glycoalkaloid contents in Solanum species, simultaneous separation of glycoalkaloids and aglycones using reversed-phase high-performance liquid chromatography (HPLC) was developed. Clean-up of foliage samples was improved using a silica-based strong cation exchanger instead of octadecyl phases in solid-phase extraction. Glycoalkaloids alpha-solanine and alpha-chaconine were detected in potato tubers of cvs. Satu and Sini. The total glycoalkaloid concentration of non-peeled and immature tubers was at an acceptable level (under 20 mg/100 g of FW) in the cv. Satu, whereas concentration in cv. Sini was 23 mg/100 g FW. Solanum species (S. tuberosum, S. brevidens, S. acaule, and S. commersonii) and interspecific somatic hybrids (brd + tbr, acl + tbr, cmm + tbr) were analyzed for their glycoalkaloid contents using liquid chromatography-electrospray ionization-mass spectrometry (LC-ESI-MS). The concentrations in the tubers of the brd + tbr and acl + tbr hybrids remained under 20 mg/100 g FW. Glycoalkaloid concentration in the foliage of the Solanum species was between 110 mg and 890 mg/100 g FW. However, the concentration in the foliage of S. acaule was as low as 26 mg/100 g FW. The total concentrations of brd + tbr, acl + tbr, and cmm + tbr hybrid foliages were 88 mg, 180 mg, and 685 mg/100 g FW, respectively. Glycoalkaloids of both parental plants as well as new combinations of aglycones and saccharides were detected in somatic hybrids. The hybrids contained mainly spirosolanes, and glycoalkaloid structures having no 5,6-double bond in the aglycone. Based on these results, the glycoalkaloid profiles of the hybrids may represent a safer and more beneficial spectrum of glycoalkaloids than that found in currently cultivated varieties. Starch nanostructure of three different cultivars (Satu, Saturna, and Lady Rosetta), a wild species S. acaule, and interspecific somatic hybrids were examined by wide-angle and small-angle X-ray scattering (WAXS, SAXS). For the first time, the measurements were conducted on fresh potato tuber samples. Crystallinity of starch, average crystallite size, and lamellar distance were determined from the X-ray patterns. No differences in the starch nanostructure between the three different cultivars were detected. However, tuber immaturity was detected by X-ray scattering methods when large numbers of immature and mature samples were measured and the results were compared. The present study shows that no significant changes occurred in the nanostructures of starches resulting from hybridizations of potato cultivars.

Topological Quantum Computation - An Analysis of an Anyon Model Based on Quantum Double Symmetries

There exists various suggestions for building a functional and a fault-tolerant large-scale quantum computer. Topological quantum computation is a more exotic suggestion, which makes use of the properties of quasiparticles manifest only in certain two-dimensional systems. These so called anyons exhibit topological degrees of freedom, which, in principle, can be used to execute quantum computation with intrinsic fault-tolerance. This feature is the main incentive to study topological quantum computation. The objective of this thesis is to provide an accessible introduction to the theory. In this thesis one has considered the theory of anyons arising in two-dimensional quantum mechanical systems, which are described by gauge theories based on so called quantum double symmetries. The quasiparticles are shown to exhibit interactions and carry quantum numbers, which are both of topological nature. Particularly, it is found that the addition of the quantum numbers is not unique, but that the fusion of the quasiparticles is described by a non-trivial fusion algebra. It is discussed how this property can be used to encode quantum information in a manner which is intrinsically protected from decoherence and how one could, in principle, perform quantum computation by braiding the quasiparticles. As an example of the presented general discussion, the particle spectrum and the fusion algebra of an anyon model based on the gauge group S_3 are explicitly derived. The fusion algebra is found to branch into multiple proper subalgebras and the simplest one of them is chosen as a model for an illustrative demonstration. The different steps of a topological quantum computation are outlined and the computational power of the model is assessed. It turns out that the chosen model is not universal for quantum computation. However, because the objective was a demonstration of the theory with explicit calculations, none of the other more complicated fusion subalgebras were considered. Studying their applicability for quantum computation could be a topic of further research.

Integral Transformations of Volterra Gaussian Processes

We study integral representations of Gaussian processes with a pre-specified law in terms of other Gaussian processes. The dissertation consists of an introduction and of four research articles. In the introduction, we provide an overview about Volterra Gaussian processes in general, and fractional Brownian motion in particular. In the first article, we derive a finite interval integral transformation, which changes fractional Brownian motion with a given Hurst index into fractional Brownian motion with an other Hurst index. Based on this transformation, we construct a prelimit which formally converges to an analogous, infinite interval integral transformation. In the second article, we prove this convergence rigorously and show that the infinite interval transformation is a direct consequence of the finite interval transformation. In the third article, we consider general Volterra Gaussian processes. We derive measure-preserving transformations of these processes and their inherently related bridges. Also, as a related result, we obtain a Fourier-Laguerre series expansion for the first Wiener chaos of a Gaussian martingale. In the fourth article, we derive a class of ergodic transformations of self-similar Volterra Gaussian processes.

Improving GPS time series for geodynamic studies

Accurate and stable time series of geodetic parameters can be used to help in understanding the dynamic Earth and its response to global change. The Global Positioning System, GPS, has proven to be invaluable in modern geodynamic studies. In Fennoscandia the first GPS networks were set up in 1993. These networks form the basis of the national reference frames in the area, but they also provide long and important time series for crustal deformation studies. These time series can be used, for example, to better constrain the ice history of the last ice age and the Earth s structure, via existing glacial isostatic adjustment models. To improve the accuracy and stability of the GPS time series, the possible nuisance parameters and error sources need to be minimized. We have analysed GPS time series to study two phenomena. First, we study the refraction in the neutral atmosphere of the GPS signal, and, second, we study the surface loading of the crust by environmental factors, namely the non-tidal Baltic Sea, atmospheric load and varying continental water reservoirs. We studied the atmospheric effects on the GPS time series by comparing the standard method to slant delays derived from a regional numerical weather model. We have presented a method for correcting the atmospheric delays at the observational level. The results show that both standard atmosphere modelling and the atmospheric delays derived from a numerical weather model by ray-tracing provide a stable solution. The advantage of the latter is that the number of unknowns used in the computation decreases and thus, the computation may become faster and more robust. The computation can also be done with any processing software that allows the atmospheric correction to be turned off. The crustal deformation due to loading was computed by convolving Green s functions with surface load data, that is to say, global hydrology models, global numerical weather models and a local model for the Baltic Sea. The result was that the loading factors can be seen in the GPS coordinate time series. Reducing the computed deformation from the vertical time series of GPS coordinates reduces the scatter of the time series; however, the long term trends are not influenced. We show that global hydrology models and the local sea surface can explain up to 30% of the GPS time series variation. On the other hand atmospheric loading admittance in the GPS time series is low, and different hydrological surface load models could not be validated in the present study. In order to be used for GPS corrections in the future, both atmospheric loading and hydrological models need further analysis and improvements.

Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.

Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.