The correlation structure of spatial autoregressions

This paper investigates how the correlations implied by a first-order simultaneous autoregressive (SAR(1)) process are affected by the weights matrix and the autocorrelation parameter. A graph theoretic representation of the covariances in terms of walks connecting the spatial units helps to clarify a number of correlation properties of the processes. In particular, we study some implications of row-standardizing the weights matrix, the dependence of the correlations on graph distance, and the behavior of the correlations at the extremes of the parameter space. Throughout the analysis differences between directed and undirected networks are emphasized. The graph theoretic representation also clarifies why it is difficult to relate properties ofW to correlation properties of SAR(1) models defined on irregular lattices.

Correlation shifts and real estate portfolio management

The success of any diversification strategy depends upon the quality of the estimated correlation between assets. It is well known, however, that there is a tendency for the average correlation among assets to increase when the market falls and vice-versa. Thus, assuming that the correlation between assets is a constant over time seems unrealistic. Nonetheless, these changes in the correlation structure as a consequence of changes in the market’s return suggests that correlation shifts can be modelled as a function of the market return. This is the idea behind the model of Spurgin et al (2000), which models the beta or systematic risk, of the asset as a function of the returns in the market. This is an approach that offers particular attractions to fund managers as it suggest ways by which they can adjust their portfolios to benefit from changes in overall market conditions. In this paper the Spurgin et al (2000) model is applied to 31 real estate market segments in the UK using monthly data over the period 1987:1 to 2000:12. The results show that a number of market segments display significant negative correlation shifts, while others show significantly positive correlation shifts. Using this information fund managers can make strategic and tactical portfolio allocation decisions based on expectations of market volatility alone and so help them achieve greater portfolio performance overall and especially during different phases of the real estate cycle.

Stochastic modelling of rainfall from satellite data

Satellite-based rainfall monitoring is widely used for climatological studies because of its full global coverage but it is also of great importance for operational purposes especially in areas such as Africa where there is a lack of ground-based rainfall data. Satellite rainfall estimates have enormous potential benefits as input to hydrological and agricultural models because of their real time availability, low cost and full spatial coverage. One issue that needs to be addressed is the uncertainty on these estimates. This is particularly important in assessing the likely errors on the output from non-linear models (rainfall-runoff or crop yield) which make use of the rainfall estimates, aggregated over an area, as input. Correct assessment of the uncertainty on the rainfall is non-trivial as it must take account of • the difference in spatial support of the satellite information and independent data used for calibration • uncertainties on the independent calibration data • the non-Gaussian distribution of rainfall amount • the spatial intermittency of rainfall • the spatial correlation of the rainfall field This paper describes a method for estimating the uncertainty on satellite-based rainfall values taking account of these factors. The method involves firstly a stochastic calibration which completely describes the probability of rainfall occurrence and the pdf of rainfall amount for a given satellite value, and secondly the generation of ensemble of rainfall fields based on the stochastic calibration but with the correct spatial correlation structure within each ensemble member. This is achieved by the use of geostatistical sequential simulation. The ensemble generated in this way may be used to estimate uncertainty at larger spatial scales. A case study of daily rainfall monitoring in the Gambia, west Africa for the purpose of crop yield forecasting is presented to illustrate the method.

Quantifying uncertainty in critical loads: (B) acidity mass balance critical loads on a sensitive site

This paper reports an uncertainty analysis of critical loads for acid deposition for a site in southern England, using the Steady State Mass Balance Model. The uncertainty bounds, distribution type and correlation structure for each of the 18 input parameters was considered explicitly, and overall uncertainty estimated by Monte Carlo methods. Estimates of deposition uncertainty were made from measured data and an atmospheric dispersion model, and hence the uncertainty in exceedance could also be calculated. The uncertainties of the calculated critical loads were generally much lower than those of the input parameters due to a "compensation of errors" mechanism - coefficients of variation ranged from 13% for CLmaxN to 37% for CL(A). With 1990 deposition, the probability that the critical load was exceeded was > 0.99; to reduce this probability to 0.50, a 63% reduction in deposition is required; to 0.05, an 82% reduction. With 1997 deposition, which was lower than that in 1990, exceedance probabilities declined and uncertainties in exceedance narrowed as deposition uncertainty had less effect. The parameters contributing most to the uncertainty in critical loads were weathering rates, base cation uptake rates, and choice of critical chemical value, indicating possible research priorities. However, the different critical load parameters were to some extent sensitive to different input parameters. The application of such probabilistic results to environmental regulation is discussed.

The interannual variability of energy transports within and over the Atlantic Ocean in a coupled climate model

To gain a new perspective on the interaction of the Atlantic Ocean and the atmosphere, the relationship between the atmospheric and oceanic meridional energy transports is studied in a version of HadCM3, the U.K. Hadley Centre's coupled climate model. The correlation structure of the energy transports in the atmosphere and Atlantic Ocean as a function of latitude, and the cross correlation between the two systems are analyzed. The processes that give rise to the correlations are then elucidated using regression analyses. In northern midlatitudes, the interannual variability of the Atlantic Ocean energy transport is dominated by Ekman processes. Anticorrelated zonal winds in the subtropics and midlatitudes, particularly associated with the North Atlantic Oscillation (NAO), drive anticorrelated meridional Ekman transports. Variability in the atmospheric energy transport is associated with changes in the stationary waves, but is only weakly related to the NAO. Nevertheless, atmospheric driving of the oceanic Ekman transports is responsible for a bipolar pattern in the correlation between the atmosphere and Atlantic Ocean energy transports. In the Tropics, the interannual variability of the Atlantic Ocean energy transport is dominated by an adjustment of the tropical ocean to coastal upwelling induced along the Venezuelan coast by a strengthening of the easterly trade winds. Variability in the atmospheric energy transport is associated with a cross-equatorial meridional overturning circulation that is only weakly associated with variability in the trade winds along the Venezuelan coast. In consequence, there is only very limited correlation between the atmosphere and Atlantic Ocean energy transports in the Tropics of HadCM3

O_3-N_2O correlations from the Atmospheric Chemistry Experiment: revisiting a diagnostic of transport and chemistry in the stratosphere

Our knowledge of stratospheric O3-N2O correlations is extended, and their potential for model-measurement comparison assessed, using data from the Atmospheric Chemistry Experiment (ACE) satellite and the Canadian Middle Atmosphere Model (CMAM). ACE provides the first comprehensive data set for the investigation of interhemispheric, interseasonal, and height-resolved differences of the O_3-N_2O correlation structure. By subsampling the CMAM data, the representativeness of the ACE data is evaluated. In the middle stratosphere, where the correlations are not compact and therefore mainly reflect the data sampling, joint probability density functions provide a detailed picture of key aspects of transport and mixing, but also trace polar ozone loss. CMAM captures these important features, but exhibits a displacement of the tropical pipe into the Southern Hemisphere (SH). Below about 21 km, the ACE data generally confirm the compactness of the correlations, although chemical ozone loss tends to destroy the compactness during late winter/spring, especially in the SH. This allows a quantitative comparison of the correlation slopes in the lower and lowermost stratosphere (LMS), which exhibit distinct seasonal cycles that reveal the different balances between diabatic descent and horizontal mixing in these two regions in the Northern Hemisphere (NH), reconciling differences found in aircraft measurements, and the strong role of chemical ozone loss in the SH. The seasonal cycles are qualitatively well reproduced by CMAM, although their amplitude is too weak in the NH LMS. The correlation slopes allow a "chemical" definition of the LMS, which is found to vary substantially in vertical extent with season.

Data assimilation with correlated observation errors: experiments with a 1-D shallow water model

Remote sensing observations often have correlated errors, but the correlations are typically ignored in data assimilation for numerical weather prediction. The assumption of zero correlations is often used with data thinning methods, resulting in a loss of information. As operational centres move towards higher-resolution forecasting, there is a requirement to retain data providing detail on appropriate scales. Thus an alternative approach to dealing with observation error correlations is needed. In this article, we consider several approaches to approximating observation error correlation matrices: diagonal approximations, eigendecomposition approximations and Markov matrices. These approximations are applied in incremental variational assimilation experiments with a 1-D shallow water model using synthetic observations. Our experiments quantify analysis accuracy in comparison with a reference or ‘truth’ trajectory, as well as with analyses using the ‘true’ observation error covariance matrix. We show that it is often better to include an approximate correlation structure in the observation error covariance matrix than to incorrectly assume error independence. Furthermore, by choosing a suitable matrix approximation, it is feasible and computationally cheap to include error correlation structure in a variational data assimilation algorithm.

Evaluating multivariate forecast densities: a comparison of two approaches

We consider methods of evaluating multivariate density forecasts. A recently proposed method is found to lack power when the correlation structure is mis-specified. Tests that have good power to detect mis-specifications of this sort are described. We also consider the properties of the tests in the presence of more general mis-specifications.

Correlation-type structure activity relationships for the kinetics of gas-phase RO2 self-reactions and reaction with HO2

Structure activity relationships (SARs) are presented for the gas-phase reactions of RO2 with HO2, and the self- and cross-reactions of RO2. For RO2+HO2 the SAR is based upon a correlation between the logarithm of the measured rate coefficient and a calculated ionisation potential for the molecule R-CH=CH2, R being the same group in both the radical and molecular analogue. The correlation observed is strong and only for one RO2 species does the measured rate coefficient deviate by more than a factor of two from the linear least-squares regression line. For the self- and cross-reactions of RO2 radicals, the SAR is based upon a correlation between the logarithm of the measured rate coefficient and the calculated electrostatic potential (ESP) at the equivalent carbon atom in the RH molecule to which oxygen is attached in RO2, again R being the same group in the molecule and the radical. For cases where R is a simple alkyl-group, a strong linear correlation observed. For RO2 radicals which contain lone pair-bearing substituents and for which the calculated ESP<-0.05 self-reaction rate coefficients appear to be insensitive to the value of the ESP. For RO2 of this type with ESP>-0.05 a linear relationship between log k and the ESP is again observed. Using the relationships, 84 out of the 85 rate coefficients used to develop the SARs are predicted to within a factor of three of their measured values. A relationship is also presented that allows the prediction of the Arrhenius parameters for the self-reactions of simple alkyl RO2 radicals. On the basis of the correlations, predictions of room-temperature rate coefficients are made for a number of atmospherically important peroxyl-peroxyl radical reactions. (C) 2003 Elsevier Ltd. All rights reserved.

Asset allocation, cross-class correlation and the structure of property returns

Practical applications of portfolio optimisation tend to proceed on a “top down” basis where funds are allocated first at asset class level (between, say, bonds, cash, equities and real estate) and then, progressively, at sub-class level (within property to sectors, office, retail, industrial for example). While there are organisational benefits from such an approach, it can potentially lead to sub-optimal allocations when compared to a “global” or “side-by-side” optimisation. This will occur where there are correlations between sub-classes across the asset divide that are masked in aggregation – between, for instance, City offices and the performance of financial services stocks. This paper explores such sub-class linkages using UK monthly stock and property data. Exploratory analysis using clustering procedures and factor analysis suggests that property performance and equity performance are distinctive: there is little persuasive evidence of contemporaneous or lagged sub-class linkages. Formal tests of the equivalence of optimised portfolios using top-down and global approaches failed to demonstrate significant differences, whether or not allocations were constrained. While the results may be a function of measurement of market returns, it is those returns that are used to assess fund performance. Accordingly, the treatment of real estate as a distinct asset class with diversification potential seems justified.

Correlation of magnetic field intensities and solar wind speeds of events observed by ACE

The relationship between the magnetic field intensity and speed of solar wind events is examined using ∼3 years of data from the ACE spacecraft. No preselection of coronal mass ejections (CMEs) or magnetic clouds is carried out. The correlation between the field intensity and maximum speed is shown to increase significantly when |B| > 18 nT for 3 hours or more. Of the 24 events satisfying this criterion, 50% are magnetic clouds, the remaining half having no ordered field structure. A weaker correlation also exists between southward magnetic field and speed. Sixteen of the events are associated with halo CMEs leaving the Sun 2 to 4 days prior to the leading edge of the events arriving at ACE. Events selected by speed thresholds show no significant correlation, suggesting different relations between field intensity and speed for fast solar wind streams and ICMEs.

Structure of AuCN determined from total neutron diffraction

The structure of gold cyanide, AuCN, has been determined at 10 and 300 K using total neutron diffraction. The structure consists of infinite -Au-(CN)-Au-(CN)-Au-(CN)- linear chains, hexagonally packed, with the gold atoms in sheets. The Au-C and Au-N bond lengths are found to be identical, with d(Au-C/N) = 1.9703(5) Angstrom at 300 K. This work supersedes a previous study, by others, which used Rietveld analysis of neutron Bragg diffraction in isolation, and found these bonds to have significantly different lengths (Deltad = 0.24 Angstrom) at 300 K. The total correlation function, T(r), at 10 and 300 K, has been modeled using information derived from total diffraction. The broadening of inter- and intrachain correlations differs markedly due to random displacements of the chains in the direction of the chain axes. This is a consequence of the relatively weak bonding between the chains. An explanation for the negative thermal expansion in the c-direction, which occurs between 10 and 300 K, is presented.

Gas-phase rate coefficients for the reactions of NO3, OH and O-3 with alpha,beta-unsaturated esters and ketones: structure-activity relations (SARs)

Gas-phase rate coefficients for the atmospherically important reactions of NO3, OH and O-3 are predicted for 55 alpha,beta-unsaturated esters and ketones. The rate coefficients were calculated using a correlation described previously [Pfrang, C., King, M.D., C. E. Canosa-Mas, C.E., Wayne, R.P., 2006. Atmospheric Environment 40, 1170-1179]. These rate coefficients were used to extend structure-activity relations for predicting the rate coefficients for the reactions of NO3, OH or O-3 with alkenes to include alpha,beta-unsaturated esters and ketones. Conjugation of an alkene with an alpha,beta-keto or alpha,beta-ester group will reduce the value of a rate coefficient by a factor of similar to 110, similar to 2.5 and similar to 12 for reaction with NO3, OH or O-3, respectively. The actual identity of the alkyl group, R, in -C(O)R or -C(O)OR has only a small influence. An assessment of the reliability of the SAR is given that demonstrates that it is useful for reactions involving NO3 and OH, but less valuable for those of O-3 or peroxy nitrate esters. (c) 2006 Elsevier Ltd. All rights reserved.

Structure determination, magnetic and optical properties of a new chromium(II) thioantimonate, [Cr((NH2CH2CH2)(3)N)]Sb4S7

The chromium(II) antimony(III) sulphicle, [Cr((NH2CH2CH2)(3)N)]Sb4S7, was synthesised under solvothermal conditions from the reaction of Sb2S3. Cr and S dissolved in tris(2-aminoethyl)amine (tren) at 438 K. The products were characterised by single-crystal X-ray diffraction. elemental analysis, SQUID magnetometry and diffuse reflectance spectroscopy. The compound crystallises in the monoclinic space group P2(1)/n with a = 7.9756(7), b = 10.5191(9), c = 25.880(2) angstrom and beta = 90.864(5)degrees. Alternating SbS33- trigonal pyramids and Sb36 semi-cubes generate Sb4S72- chains which are directly bonded to Cr(tren pendant units. The effective magnetic moment of 4.94(6)mu(B) shows a negligible orbital contribution, in agreement with expectations for Cr(II):d(4) in a (5)A ground state. The measured band gap of 2.14(3) eV is consistent with a correlation between optical band gap and framework density that is established from analysis of a wide range of antimony sulphides. (C) 2007 Elsevier Ltd. All rights reserved.

Efficient on the fly calculation of time correlation functions in computer simulations

Time correlation functions yield profound information about the dynamics of a physical system and hence are frequently calculated in computer simulations. For systems whose dynamics span a wide range of time, currently used methods require significant computer time and memory. In this paper, we discuss the multiple-tau correlator method for the efficient calculation of accurate time correlation functions on the fly during computer simulations. The multiple-tau correlator is efficacious in terms of computational requirements and can be tuned to the desired level of accuracy. Further, we derive estimates for the error arising from the use of the multiple-tau correlator and extend it for use in the calculation of mean-square particle displacements and dynamic structure factors. The method described here, in hardware implementation, is routinely used in light scattering experiments but has not yet found widespread use in computer simulations.