The specification of vector autoregressive moving average models

In this paper we propose a new identification method based on the residual white noise autoregressive criterion (Pukkila et al. , 1990) to select the order of VARMA structures. Results from extensive simulation experiments based on different model structures with varying number of observations and number of component series are used to demonstrate the performance of this new procedure. We also use economic and business data to compare the model structures selected by this order selection method with those identified in other published studies.

Integrable eight-state supersymmetric U model with boundary terms and its Bethe ansatz solution

A class of integrable boundary terms for the eight-state supersymmetric U model are presented by solving the graded reflection equations. The boundary model is solved by using the coordinate Bethe ansatz method and the Bethe ansatz equations are obtained. (C) 1998 Elsevier Science B.V.

Quantum integrability and exact solution of the supersymmetric U model with boundary terms

Quantum integrability is established for the one-dimensional supersymmetric U model with boundary terms by means of the quantum inverse-scattering method. The boundary supersymmetric U chain is solved by using the coordinate-space Bethe-ansatz technique and Bethe-ansatz equations are derived. This provides us with a basis for computing the finite-size corrections to the low-lying energies in the system. [S0163-1829(98)00425-1].

Modeling of hepatic elimination and organ distribution kinetics with the extended convection-dispersion model

The conventional convection-dispersion (also called axial dispersion) model is widely used to interrelate hepatic availability (F) and clearance (Cl) with the morphology and physiology of the liver and to predict effects such as changes in liver blood flow on F and Cl. An extended form of the convection-dispersion model has been developed to adequately describe the outflow concentration-time profiles for vascular markers at both short and long times after bolus injections into perfused livers. The model, based on flux concentration and a convolution of catheters and large vessels, assumes that solute elimination in hepatocytes follows either fast distribution into or radial diffusion in hepatocytes. The model includes a secondary vascular compartment, postulated to be interconnecting sinusoids. Analysis of the mean hepatic transit time (MTT) and normalized variance (CV2) of solutes with extraction showed that the discrepancy between the predictions of MTT and CV2 for the extended and conventional models are essentially identical irrespective of the magnitude of rate constants representing permeability, volume, and clearance parameters, providing that there is significant hepatic extraction. In conclusion, the application of a newly developed extended convection-dispersion model has shown that the unweighted conventional convection-dispersion model can be used to describe the disposition of extracted solutes and, in particular, to estimate hepatic availability and clearance in booth experimental and clinical situations.

Integrability and exact solution of an electronic model with long range interactions

We present an electronic model with long range interactions. Through the quantum inverse scattering method, integrability of the model is established using a one-parameter family of typical irreducible representations of gl(211). The eigenvalues of the conserved operators are derived in terms of the Bethe ansatz, from which the energy eigenvalues of the Hamiltonian are obtained.

Long-term survivor mixture model with random effects: application to a multi-centre clinical trial of carcinoma

A mixture model incorporating long-term survivors has been adopted in the field of biostatistics where some individuals may never experience the failure event under study. The surviving fractions may be considered as cured. In most applications, the survival times are assumed to be independent. However, when the survival data are obtained from a multi-centre clinical trial, it is conceived that the environ mental conditions and facilities shared within clinic affects the proportion cured as well as the failure risk for the uncured individuals. It necessitates a long-term survivor mixture model with random effects. In this paper, the long-term survivor mixture model is extended for the analysis of multivariate failure time data using the generalized linear mixed model (GLMM) approach. The proposed model is applied to analyse a numerical data set from a multi-centre clinical trial of carcinoma as an illustration. Some simulation experiments are performed to assess the applicability of the model based on the average biases of the estimates formed. Copyright (C) 2001 John Wiley & Sons, Ltd.

Optimal debt, endogenous fertility, and human capital externalities in a model with altruistic bequests

and human capital externalities. Because of such externalities, education investment is too low and fertility is too high. While education subsidies are the conventional means to deal with these problems, we show that the optimal policy also comprises debt even when distortionary taxes are used. The reason is that debt tips the usual trade-off between children's quantity and quality in favor of the latter by increasing the bequest cost of children. The optimal debt-output ratio exceeds 10% for plausible parameterization. (C) 2002 Elsevier B.V. All rights reserved.

Stability and cycles in a cobweb model with heterogeneous expectations

We investigate the dynamics of a cobweb model with heterogeneous beliefs, generalizing the example of Brock and Hommes (1997). We examine situations where the agents form expectations by using either rational expectations, or a type of adaptive expectations with limited memory defined from the last two prices. We specify conditions that generate cycles. These conditions depend on a set of factors that includes the intensity of switching between beliefs and the adaption parameter. We show that both Flip bifurcation and Neimark-Sacker bifurcation can occur as primary bifurcation when the steady state is unstable.

Adsorption in mesopores: A molecular-continuum model with application to MCM-41

The classical model of surface layering followed by capillary condensation during adsorption in mesopores, is modified here by consideration of the adsorbate solid interaction potential. The new theory accurately predicts the capillary coexistence curve as well as pore criticality, matching that predicted by density functional theory. The model also satisfactorily predicts the isotherm for nitrogen adsorption at 77.4 K on MCM-41 material of various pore sizes, synthesized and characterized in our laboratory, including the multilayer region, using only data on the variation of condensation pressures with pore diameter. The results indicate a minimum mesopore diameter for the surface layering model to hold as 14.1 Å, below which size micropore filling must occur, and a minimum pore diameter for mechanical stability of the hemispherical meniscus during desorption as 34.2 Å. For pores in-between these two sizes reversible condensation is predicted to occur, in accord with the experimental data for nitrogen adsorption on MCM-41 at 77.4 K.

Exact solution of the A(n-1)((1)) trigonometric vertex model with non-diagonal open boundaries

The A(n-1)((1)) trigonometric vertex model with generic non-diagonal boundaries is studied. The double-row transfer matrix of the model is diagonalized by algebraic Bethe ansatz method in terms of the intertwiner and the corresponding face-vertex relation. The eigenvalues and the corresponding Bethe ansatz equations are obtained.

Likelihood-based estimation of the regression model with scrambled responses

A significant problem in the collection of responses to potentially sensitive questions, such as relating to illegal, immoral or embarrassing activities, is non-sampling error due to refusal to respond or false responses. Eichhorn & Hayre (1983) suggested the use of scrambled responses to reduce this form of bias. This paper considers a linear regression model in which the dependent variable is unobserved but for which the sum or product with a scrambling random variable of known distribution, is known. The performance of two likelihood-based estimators is investigated, namely of a Bayesian estimator achieved through a Markov chain Monte Carlo (MCMC) sampling scheme, and a classical maximum-likelihood estimator. These two estimators and an estimator suggested by Singh, Joarder & King (1996) are compared. Monte Carlo results show that the Bayesian estimator outperforms the classical estimators in almost all cases, and the relative performance of the Bayesian estimator improves as the responses become more scrambled.

Integrability of a t - J model with impurities

A t - J model for correlated electrons with impurities is proposed. The impurities are introduced in such a way that integrability of the model in one dimension is not violated. The algebraic Bethe ansatz solution of the model is also given and it is shown that the Bethe states are highest weight states with respect to the supersymmetry algebra gl(2/1).

Grazers and diggers: Exploitation competition and coexistence among foragers with different feeding strategies on a single resource

A mathematical model is presented that describes a system where two consumer species compete exploitatively for a single renewable resource. The resource is distributed in a patchy but homogeneous environment; that is, all patches are intrinsically identical. The two consumer species are referred to as diggers and grazers, where diggers deplete the resource within a patch to lower densities than grazers. We show that the two distinct feeding strategies can produce a heterogeneous resource distribution that enables their coexistence. Coexistence requires that grazers must either move faster than diggers between patches or convert the resources to population growth much more efficiently than diggers. The model shows that the functional form of resource renewal within a patch is also important for coexistence. These results contrast with theory that considers exploitation competition for a single resource when the resource is assumed to be well mixed throughout the system.

The q-deformed supersymmetric t-J model with a boundary

The q-deformed supersymmetric t-J model on a semi-infinite lattice is diagonalized by using the level-one vertex operators of the quantum affine superalgebra U-q[sl(2\1)]. We. give the bosonization of the boundary states. We give an integral expression for the correlation functions of the boundary model, and derive the difference equations which they satisfy.