Conditional mean functions of non-linear models of US output

We compare a number of models of post War US output growth in terms of the degree and pattern of non-linearity they impart to the conditional mean, where we condition on either the previous period's growth rate, or the previous two periods' growth rates. The conditional means are estimated non-parametrically using a nearest-neighbour technique on data simulated from the models. In this way, we condense the complex, dynamic, responses that may be present in to graphical displays of the implied conditional mean.

A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure

We test whether there are nonlinearities in the response of short- and long-term interest rates to the spread in interest rates, and assess the out-of-sample predictability of interest rates using linear and nonlinear models. We find strong evidence of nonlinearities in the response of interest rates to the spread. Nonlinearities are shown to result in more accurate short-horizon forecasts, especially of the spread.

Spectra of a class of non-self-adjoint matrices

We consider a new class of non-self-adjoint matrices that arise from an indefinite self- adjoint linear pencil of matrices, and obtain the spectral asymptotics of the spectra as the size of the matrices diverges to infinity. We prove that the spectrum is qualitatively different when a certain parameter c equals 0, and when it is non-zero, and that certain features of the spectrum depend on Diophantine properties of c.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

On the spectra and pseudospectra of a class of non-self-adjoint random matrices and operators

In this paper we develop and apply methods for the spectral analysis of non-selfadjoint tridiagonal infinite and finite random matrices, and for the spectral analysis of analogous deterministic matrices which are pseudo-ergodic in the sense of E. B. Davies (Commun. Math. Phys. 216 (2001), 687–704). As a major application to illustrate our methods we focus on the “hopping sign model” introduced by J. Feinberg and A. Zee (Phys. Rev. E 59 (1999), 6433–6443), in which the main objects of study are random tridiagonal matrices which have zeros on the main diagonal and random ±1’s as the other entries. We explore the relationship between spectral sets in the finite and infinite matrix cases, and between the semi-infinite and bi-infinite matrix cases, for example showing that the numerical range and p-norm ε - pseudospectra (ε > 0, p ∈ [1,∞] ) of the random finite matrices converge almost surely to their infinite matrix counterparts, and that the finite matrix spectra are contained in the infinite matrix spectrum Σ. We also propose a sequence of inclusion sets for Σ which we show is convergent to Σ, with the nth element of the sequence computable by calculating smallest singular values of (large numbers of) n×n matrices. We propose similar convergent approximations for the 2-norm ε -pseudospectra of the infinite random matrices, these approximations sandwiching the infinite matrix pseudospectra from above and below.

Observation impact in data assimilation: the effect of non-Gaussian observation error.

Data assimilation methods which avoid the assumption of Gaussian error statistics are being developed for geoscience applications. We investigate how the relaxation of the Gaussian assumption affects the impact observations have within the assimilation process. The effect of non-Gaussian observation error (described by the likelihood) is compared to previously published work studying the effect of a non-Gaussian prior. The observation impact is measured in three ways: the sensitivity of the analysis to the observations, the mutual information, and the relative entropy. These three measures have all been studied in the case of Gaussian data assimilation and, in this case, have a known analytical form. It is shown that the analysis sensitivity can also be derived analytically when at least one of the prior or likelihood is Gaussian. This derivation shows an interesting asymmetry in the relationship between analysis sensitivity and analysis error covariance when the two different sources of non-Gaussian structure are considered (likelihood vs. prior). This is illustrated for a simple scalar case and used to infer the effect of the non-Gaussian structure on mutual information and relative entropy, which are more natural choices of metric in non-Gaussian data assimilation. It is concluded that approximating non-Gaussian error distributions as Gaussian can give significantly erroneous estimates of observation impact. The degree of the error depends not only on the nature of the non-Gaussian structure, but also on the metric used to measure the observation impact and the source of the non-Gaussian structure.

Impact of non-hydrostatic effects and trapped lee waves on mountain wave drag in directionally sheared flow

The orographic gravity wave drag produced in flow over an axisymmetric mountain when both vertical wind shear and non-hydrostatic effects are important was calculated using a semi-analytical two-layer linear model, including unidirectional or directional constant wind shear in a layer near the surface, above which the wind is constant. The drag behaviour is determined by partial wave reflection at the shear discontinuity, wave absorption at critical levels (both of which exist in hydrostatic flow), and total wave reflection at levels where the waves become evanescent (an intrinsically non-hydrostatic effect), which produces resonant trapped lee wave modes. As a result of constructive or destructive wave interference, the drag oscillates with the thickness of the constant-shear layer and the Richardson number within it (Ri), generally decreasing at low Ri and when the flow is strongly non-hydrostatic. Critical level absorption, which increases with the angle spanned by the wind velocity in the constant-shear layer, shields the surface from reflected waves, keeping the drag closer to its hydrostatic limit. While, for the parameter range considered here, the drag seldom exceeds this limit, a substantial drag fraction may be produced by trapped lee waves, particularly when the flow is strongly non-hydrostatic, the lower layer is thick and Ri is relatively high. In directionally sheared flows with Ri = O(1), the drag may be misaligned with the surface wind in a direction opposite to the shear, a behaviour which is totally due to non-trapped waves. The trapped lee wave drag, whose reaction force on the atmosphere is felt at low levels, may therefore have a distinctly different direction from the drag associated with vertically propagating waves, which acts on the atmosphere at higher levels.

Radar observations of non-thermal plasmas at different aspect angles

Data are presented from the EISCAT CP-3-E experiment which show the presence of non-thermal plasma over a range of latitudes. The O+ ion-velocity distribution function is almost toroidal when the electric field reaches values of 125 mV m−1. The ion temperature derived from such data assuming a Maxwellian distribution function will overestimate the true ion temperature when the observing angle is large with respect to the magnetic field, and underestimate the temperature when the aspect angle is small. When the expressions for the distribution function are extended to include mixed ion composition, an improvement is sometimes found in fitting the observed data, and estimates of the composition can be made. Such an analysis suggests that N2+ can occasionally form a significant part of the total ion density in a narrow height region centred at 275 km.

Incoherent scatter radar observations of non-Maxwellian ion velocity distributions in the auroral F-region

Observations by the EISCAT experiments “POLAR” and Common Programme CP-3 reveal non-Maxwellian ion velocity distributions in the auroral F-region ionosphere. Analysis of data from three periods is presented. During the first period, convection velocities are large (≈2 km s-1) and constant over part of a CP-3 latitude scan; the second period is one of POLAR data containing a short-lived (<1 min.) burst of rapid (>1.5 km s-1) flow. We concentrate on these two periods as they allow the study of a great many features of the ion-neutral interactions which drive the plasma non-thermal and provide the best available experimental test for models of the 3-dimensional ion velocity distribution function. The third period is included to illustrate the fact that non-thermal plasma frequently exists in the auroral ionosphere: the data, also from the POLAR experiment, cover a three-hour period of typical auroral zone flow and analysis reveals that the ion distribution varies from Maxwellian to the threshold of a toroidal form.

Model predictions of the occurrence of non-Maxwellian plasmas, and analysis of their effects on EISCAT data

The recent identification of non-thermal plasmas using EISCAT data has been made possible by their occurrence during large, short-lived flow bursts. For steady, yet rapid, ion convection the only available signature is the shape of the spectrum, which is unreliable because it is open to distortion by noise and sampling uncertainty and can be mimicked by other phenomena. Nevertheless, spectral shape does give an indication of the presence of non-thermal plasma, and the characteristic shape has been observed for long periods (of the order of an hour or more) in some experiments. To evaluate this type of event properly one needs to compare it to what would be expected theoretically. Predictions have been made using the coupled thermosphere-ionosphere model developed at University College London and the University of Sheffield to show where and when non-Maxwellian plasmas would be expected in the auroral zone. Geometrical and other factors then govern whether these are detectable by radar. The results are applicable to any incoherent scatter radar in this area, but the work presented here concentrates on predictions with regard to experiments on the EISCAT facility.

The modelled occurrence of non-thermal plasma in the ionospheric F-region and the possible consequences for ion outflows into the magnetosphere

A global, time-dependent, three-dimensional, coupled ionosphere-thermosphere model is used to predict the spatial distribution of non-thermal plasma in the F-layer. It is shown that, even for steady-state conditions with Kp as low as 3, the difference between the ion and neutral velocities often exceeds the neutral thermal speed by a factor, D', which can be as large as 4. Theoretically, highly non-Maxwellian, and probably toroidal, ion velocity distributions are expected when D' exceeds about 1.5. The lack of response of the neutral winds to sunward ion drifts in the dawn sector of the auroral oval cause this to be the region most likely to contain toroidal distributions. The maximum in D' is found in the throat region of the convection pattern, where the strong neutral winds of the afternoon sector meet the eastward ion flows of the morning sector. These predictions are of interest, not only to radar scientists searching for non-thermal ionospheric plasma, but also as one possible explanation of the initial heating and upward flows of ions in the cleft ion fountain and nightside auroral oval, both of which are a major source of plasma for the magnetosphere.

Potential anti-obesogenic properties of non-digestible carbohydrates: specific focus on resistant dextrin

Alterations in the composition and metabolic activity of the gut microbiota appear to contribute to the development of obesity and associated metabolic diseases. However, the extent of this relationship remains unknown. Modulating the gut microbiota with non-digestible carbohydrates (NDC) may exert anti-obesogenic effects through various metabolic pathways including changes to appetite regulation, glucose and lipid metabolism and inflammation. The NDC vary in physicochemical structure and this may govern their physical properties and fermentation by specific gut bacterial populations. Much research in this area has focused on established prebiotics, especially fructans (i.e. inulin and fructo-oligosaccharides); however, there is increasing interest in the metabolic effects of other NDC, such as resistant dextrin. Data presented in this review provide evidence from mechanistic and intervention studies that certain fermentable NDC, including resistant dextrin, are able to modulate the gut microbiota and may alter metabolic process associated with obesity, including appetite regulation, energy and lipid metabolism and inflammation. To confirm these effects and elucidate the responsible mechanisms, further well-controlled human intervention studies are required to investigate the impact of NDC on the composition and function of the gut microbiota and at the same time determine concomitant effects on host metabolism and physiology.

Bargaining over strategies of non-cooperative games

We propose a bargaining process supergame over the strategies to play in a non-cooperative game. The agreement reached by players at the end of the bargaining process is the strategy profile that they will play in the original non-cooperative game. We analyze the subgame perfect equilibria of this supergame, and its implications on the original game. We discuss existence, uniqueness, and efficiency of the agreement reachable through this bargaining process. We illustrate the consequences of applying such a process to several common two-player non-cooperative games: the Prisoner’s Dilemma, the Hawk-Dove Game, the Trust Game, and the Ultimatum Game. In each of them, the proposed bargaining process gives rise to Pareto-efficient agreements that are typically different from the Nash equilibrium of the original games.

On the possibility of non-fat frying using molten glucose

Fried products impose a health concerns due to considerable amount of oil they contain. Production of snack foods with minimal oil content and good management of oil during frying to minimise the production of toxic compounds continue to be challenging aims. This paper aims to investigate the possibility of producing a fat-free food snack by replacing frying oil with a non-fat medium. Glucose was melted and its temperature was then brought to 185°C and used to fry potato strips, to obtain a product referred here as glucose fries. The resulting product was compared with French fries prepared conventionally under conditions that resulted in similar final moisture content. The resulting products were also examined for crust formation, texture parameters, colour development and glucose content. Stereo microscope images showed that similar crusts were formed in the glucose fries and French fries. Texture parameters were found to be similar for both products at 5mm and 2 mm penetration depth. The maximum hardness at 2mm penetration depth was also similar for both products, but different from cooked potato. The colour development which characterised French fries was also observed in glucose fries. The glucose content in glucose fries was found to be twice the content of French fries, which is to be expected since glucose absorbed or adhered to the surface. In conclusion, glucose fries, with similar texture and colour characteristics to that of French fries, can be prepared by using a non-fat frying medium.