Comparing time-varying autoregressive structures of locally stationary processes

In this paper, a novel statistical test is introduced to compare two locally stationary time series. The proposed approach is a Wald test considering time-varying autoregressive modeling and function projections in adequate spaces. The covariance structure of the innovations may be also time- varying. In order to obtain function estimators for the time- varying autoregressive parameters, we consider function expansions in splines and wavelet bases. Simulation studies provide evidence that the proposed test has a good performance. We also assess its usefulness when applied to a financial time series.

Evaluating the efficiency of fractional integration parameter estimators

This article deals with the efficiency of fractional integration parameter estimators. This study was based on Monte Carlo experiments involving simulated stochastic processes with integration orders in the range]-1,1[. The evaluated estimation methods were classified into two groups: heuristics and semiparametric/maximum likelihood (ML). The study revealed that the comparative efficiency of the estimators, measured by the lesser mean squared error, depends on the stationary/non-stationary and persistency/anti-persistency conditions of the series. The ML estimator was shown to be superior for stationary persistent processes; the wavelet spectrum-based estimators were better for non-stationary mean reversible and invertible anti-persistent processes; the weighted periodogram-based estimator was shown to be superior for non-invertible anti-persistent processes.

Shared information in stationary states of stochastic processes

We present four estimators of the shared information (or interdepency) in ground states given that the coefficients appearing in the wave function are all real non-negative numbers and therefore can be interpreted as probabilities of configurations. Such ground states of Hermitian and non-Hermitian Hamiltonians can be given, for example, by superpositions of valence bond states which can describe equilibrium but also stationary states of stochastic models. We consider in detail the last case, the system being a classical not a quantum one. Using analytical and numerical methods we compare the values of the estimators in the directed polymer and the raise and peel models which have massive, conformal invariant and nonconformal invariant massless phases. We show that like in the case of the quantum problem, the estimators verify the area law with logarithmic corrections when phase transitions take place.

Hitting and returning to rare events for all alpha-mixing processes

We prove that for any a-mixing stationary process the hitting time of any n-string A(n) converges, when suitably normalized, to an exponential law. We identify the normalization constant lambda(A(n)). A similar statement holds also for the return time. To establish this result we prove two other results of independent interest. First, we show a relation between the rescaled hitting time and the rescaled return time, generalizing a theorem of Haydn, Lacroix and Vaienti. Second, we show that for positive entropy systems, the probability of observing any n-string in n consecutive observations goes to zero as n goes to infinity. (c) 2010 Elsevier B.V. All rights reserved.

Gibbs random graphs on point processes

Consider a discrete locally finite subset Gamma of R(d) and the cornplete graph (Gamma, E), with vertices Gamma and edges E. We consider Gibbs measures on the set of sub-graphs with vertices Gamma and edges E` subset of E. The Gibbs interaction acts between open edges having a vertex in common. We study percolation properties of the Gibbs distribution of the graph ensemble. The main results concern percolation properties of the open edges in two cases: (a) when Gamma is sampled from a homogeneous Poisson process; and (b) for a fixed Gamma with sufficiently sparse points. (c) 2010 American Institute of Physics. [doi:10.1063/1.3514605]

Singular Perturbation for the Discounted Continuous Control of Piecewise Deterministic Markov Processes

This paper deals with the expected discounted continuous control of piecewise deterministic Markov processes (PDMP`s) using a singular perturbation approach for dealing with rapidly oscillating parameters. The state space of the PDMP is written as the product of a finite set and a subset of the Euclidean space a""e (n) . The discrete part of the state, called the regime, characterizes the mode of operation of the physical system under consideration, and is supposed to have a fast (associated to a small parameter epsilon > 0) and a slow behavior. By using a similar approach as developed in Yin and Zhang (Continuous-Time Markov Chains and Applications: A Singular Perturbation Approach, Applications of Mathematics, vol. 37, Springer, New York, 1998, Chaps. 1 and 3) the idea in this paper is to reduce the number of regimes by considering an averaged model in which the regimes within the same class are aggregated through the quasi-stationary distribution so that the different states in this class are replaced by a single one. The main goal is to show that the value function of the control problem for the system driven by the perturbed Markov chain converges to the value function of this limit control problem as epsilon goes to zero. This convergence is obtained by, roughly speaking, showing that the infimum and supremum limits of the value functions satisfy two optimality inequalities as epsilon goes to zero. This enables us to show the result by invoking a uniqueness argument, without needing any kind of Lipschitz continuity condition.

VELOCITY FIELD OF COMPRESSIBLE MAGNETOHYDRODYNAMIC TURBULENCE: WAVELET DECOMPOSITION AND MODE SCALINGS

We study compressible magnetohydrodynamic turbulence, which holds the key to many astrophysical processes, including star formation and cosmic-ray propagation. To account for the variations of the magnetic field in the strongly turbulent fluid, we use wavelet decomposition of the turbulent velocity field into Alfven, slow, and fast modes, which presents an extension of the Cho & Lazarian decomposition approach based on Fourier transforms. The wavelets allow us to follow the variations of the local direction of the magnetic field and therefore improve the quality of the decomposition compared to the Fourier transforms, which are done in the mean field reference frame. For each resulting component, we calculate the spectra and two-point statistics such as longitudinal and transverse structure functions as well as higher order intermittency statistics. In addition, we perform a Helmholtz-Hodge decomposition of the velocity field into incompressible and compressible parts and analyze these components. We find that the turbulence intermittency is different for different components, and we show that the intermittency statistics depend on whether the phenomenon was studied in the global reference frame related to the mean magnetic field or in the frame defined by the local magnetic field. The dependencies of the measures we obtained are different for different components of the velocity; for instance, we show that while the Alfven mode intermittency changes marginally with the Mach number, the intermittency of the fast mode is substantially affected by the change.

Aging and stationary properties of non-equilibrium symmetrical three-state models

We consider a non-equilibrium three-state model whose dynamics is Markovian and displays the same symmetry as the three-state Potts model, i.e. the transition rates are invariant under the cyclic permutation of the states. Unlike the Potts model, detailed balance is, in general, not satisfied. The aging and the stationary properties of the model defined on a square lattice are obtained by means of large-scale Monte Carlo simulations. We show that the phase diagram presents a critical line, belonging to the three-state Potts universality class, that ends at a point whose universality class is that of the Voter model. Aging is considered on the critical line, at the Voter point and in the ferromagnetic phase.

Microgranitic Enclaves as Products of Self-mixing Events: a Study of Open-system Processes in the Maua Granite, Sao Paulo, Brazil, Based on in situ Isotopic and Trace Elements in Plagioclase

Felsic microgranular enclaves with structures indicating that they interacted in a plastic state with their chemically similar host granite are abundant in the Maua Pluton, SE Brazil. Larger plagioclase xenocrysts are in textural disequilibrium with the enclave groundmass and show complex zoning patterns with partially resorbed An-rich cores (locally with patchy textures) surrounded by more sodic rims. In situ laser ablation-(multi-collector) inductively coupled plasma mass spectrometry trace element and Sr isotopic analyses performed on the plagioclase xenocrysts indicate open-system crystallization; however, no evidence of derivation from more primitive basic melts is observed. The An-rich cores have more radiogenic initial Sr isotopic ratios that decrease towards the outermost part of the rims, which are in isotopic equilibrium with the matrix plagioclase. These profiles may have been produced by either (1) diffusional re-equilibration after rim crystallization from the enclave-forming magma, as indicated by relatively short calculated residence times, or (2) episodic contamination with a decrease of the contaminant ratio proportional to the extent to which the country rocks were isolated by the crystallization front. Profiles of trace elements with high diffusion coefficients would require unrealistically long residence times, and can be modeled in terms of fractional crystallization. A combination of trace element and Sr isotope data suggests that the felsic microgranular enclaves from the Maua Pluton are the products of interaction between end-member magmas that had similar compositions, thus recording `self-mixing` events.

Billiards in a General Domain with Random Reflections

We study stochastic billiards on general tables: a particle moves according to its constant velocity inside some domain D R(d) until it hits the boundary and bounces randomly inside, according to some reflection law. We assume that the boundary of the domain is locally Lipschitz and almost everywhere continuously differentiable. The angle of the outgoing velocity with the inner normal vector has a specified, absolutely continuous density. We construct the discrete time and the continuous time processes recording the sequence of hitting points on the boundary and the pair location/velocity. We mainly focus on the case of bounded domains. Then, we prove exponential ergodicity of these two Markov processes, we study their invariant distribution and their normal (Gaussian) fluctuations. Of particular interest is the case of the cosine reflection law: the stationary distributions for the two processes are uniform in this case, the discrete time chain is reversible though the continuous time process is quasi-reversible. Also in this case, we give a natural construction of a chord ""picked at random"" in D, and we study the angle of intersection of the process with a (d - 1) -dimensional manifold contained in D.

Wavelet regression with correlated errors on a piecewise Holder class

This paper generalizes the methodology of Cat and Brown [Cai, T., Brown, L.D., 1998. Wavelet shrinkage for nonequispaced samples. The Annals of Statistics 26, 1783-1799] for wavelet shrinkage for nonequispaced samples, but in the presence of correlated stationary Gaussian errors. If the true function is a member of a piecewise Holder class, it is shown that, even for long memory errors, the rate of convergence of the procedure is almost-minimax relative to the independent and identically distributed errors case. (c) 2008 Elsevier B.V. All rights reserved.

Iteration of closed geodesics in stationary Lorentzian manifolds

Following the lines of Bott in (Commun Pure Appl Math 9:171-206, 1956), we study the Morse index of the iterates of a closed geodesic in stationary Lorentzian manifolds, or, more generally, of a closed Lorentzian geodesic that admits a timelike periodic Jacobi field. Given one such closed geodesic gamma, we prove the existence of a locally constant integer valued map Lambda(gamma) on the unit circle with the property that the Morse index of the iterated gamma(N) is equal, up to a correction term epsilon(gamma) is an element of {0,1}, to the sum of the values of Lambda(gamma) at the N-th roots of unity. The discontinuities of Lambda(gamma) occur at a finite number of points of the unit circle, that are special eigenvalues of the linearized Poincare map of gamma. We discuss some applications of the theory.

Análise de um ciclone semi-estacionário na costa sul do Brasil associado a bloqueio atmosférico

Na primeira semana de maio de 2008, durante quatro dias, um ciclone em superfície permaneceu semi-estacionário na costa da região sul do Brasil. Este sistema foi responsável por chuvas e ventos fortes no Rio Grande do Sul e Santa Catarina, os quais causaram muitos danos (queda de árvores, enchentes e desabamentos). O objetivo deste trabalho é avaliar o processo de formação e entender os mecanismos responsáveis pelo lento deslocamento do ciclone, já que a maioria dos ciclones nesta região possui deslocamento mais rápido. A equação de desenvolvimento de Sutcliffe mostrou que a advecção de vorticidade absoluta ciclônica na média troposfera e a advecção de ar quente na camada entre 1000-500 hPa foram mecanismos importantes para a ciclogênese. Neste período, o intenso aquecimento diabático também contribuiu para a ciclogênese, à medida que se contrapôs ao intenso resfriamento adiabático devido aos movimentos verticais ascendentes. A advecção de vorticidade absoluta ciclônica que favoreceu a ciclogênese esteve associada a um Vórtice Ciclônico em Altos Níveis (VCAN), que se formou numa região de anomalia de vorticidade potencial. O VCAN se manteve semi-estacionário e compôs o setor norte de um bloqueio do tipo dipolo. Tal bloqueio intensificou um anticiclone em superfície, situado a sul/leste do ciclone, o que contribuiu para o ciclone se manter semi-estacionário. O movimento atípico e lento do ciclone para sul, e em alguns períodos para sudoeste, esteve associado com advecções de vorticidade absoluta ciclônica na média troposfera e de ar quente no seu setor sul. Somente quando o bloqueio em níveis médios e a anomalia de vorticidade potencial em níveis médios/altos se enfraqueceram, o ciclone em superfície se afastou da costa sul do Brasil.

Scavenging processes of atmospheric particulate matter: a numerical modeling of case studies

Below cloud scavenging processes have been investigated considering a numerical simulation, local atmospheric conditions and particulate matter (PM) concentrations, at different sites in Germany. The below cloud scavenging model has been coupled with bulk particulate matter counter TSI (Trust Portacounter dataset, consisting of the variability prediction of the particulate air concentrations during chosen rain events. The TSI samples and meteorological parameters were obtained during three winter Campaigns: at Deuselbach, March 1994, consisting in three different events; Sylt, April 1994 and; Freiburg, March 1995. The results show a good agreement between modeled and observed air concentrations, emphasizing the quality of the conceptual model used in the below cloud scavenging numerical modeling. The results between modeled and observed data have also presented high square Pearson coefficient correlations over 0.7 and significant, except the Freiburg Campaign event. The differences between numerical simulations and observed dataset are explained by the wind direction changes and, perhaps, the absence of advection mass terms inside the modeling. These results validate previous works based on the same conceptual model.

An Eulerian Immersed Boundary Method for flow simulations over stationary and moving rigid bodies

The fluid flow over bodies with complex geometry has been the subject of research of many scientists and widely explored experimentally and numerically. The present study proposes an Eulerian Immersed Boundary Method for flows simulations over stationary or moving rigid bodies. The proposed method allows the use of Cartesians Meshes. Here, two-dimensional simulations of fluid flow over stationary and oscillating circular cylinders were used for verification and validation. Four different cases were explored: the flow over a stationary cylinder, the flow over a cylinder oscillating in the flow direction, the flow over a cylinder oscillating in the normal flow direction, and a cylinder with angular oscillation. The time integration was carried out by a classical 4th order Runge-Kutta scheme, with a time step of the same order of distance between two consecutive points in x direction. High-order compact finite difference schemes were used to calculate spatial derivatives. The drag and lift coefficients, the lock-in phenomenon and vorticity contour plots were used for the verification and validation of the proposed method. The extension of the current method allowing the study of a body with different geometry and three-dimensional simulations is straightforward. The results obtained show a good agreement with both numerical and experimental results, encouraging the use of the proposed method.