Equivalence of truncated count mixture distributions and mixtures of truncated count distributions

This article is about modeling count data with zero truncation. A parametric count density family is considered. The truncated mixture of densities from this family is different from the mixture of truncated densities from the same family. Whereas the former model is more natural to formulate and to interpret, the latter model is theoretically easier to treat. It is shown that for any mixing distribution leading to a truncated mixture, a (usually different) mixing distribution can be found so. that the associated mixture of truncated densities equals the truncated mixture, and vice versa. This implies that the likelihood surfaces for both situations agree, and in this sense both models are equivalent. Zero-truncated count data models are used frequently in the capture-recapture setting to estimate population size, and it can be shown that the two Horvitz-Thompson estimators, associated with the two models, agree. In particular, it is possible to achieve strong results for mixtures of truncated Poisson densities, including reliable, global construction of the unique NPMLE (nonparametric maximum likelihood estimator) of the mixing distribution, implying a unique estimator for the population size. The benefit of these results lies in the fact that it is valid to work with the mixture of truncated count densities, which is less appealing for the practitioner but theoretically easier. Mixtures of truncated count densities form a convex linear model, for which a developed theory exists, including global maximum likelihood theory as well as algorithmic approaches. Once the problem has been solved in this class, it might readily be transformed back to the original problem by means of an explicitly given mapping. Applications of these ideas are given, particularly in the case of the truncated Poisson family.

Diversification when it hurts? The joint distributions of real estate and equity markets

Much of the literature on the construction of mixed asset portfolios and the case for property as a risk diversifier rests on correlations measured over the whole of a given time series. Recent developments in finance, however, focuses on dependence in the tails of the distribution. Does property offer diversification from equity markets when it is most needed - when equity returns are poor. The paper uses an empirical copula approach to test tail dependence between property and equity for the UK and for a global portfolio. Results show strong tail dependence: in the UK, the dependence in the lower tail is stronger than in the upper tail, casting doubt on the defensive properties of real estate stocks.

Understanding distributions of chess performances

This paper presents evidence for several features of the population of chess players, and the distribution of their performances measured in terms of Elo ratings and by computer analysis of moves. Evidence that ratings have remained stable since the inception of the Elo system in the 1970’s is given in several forms: by showing that the population of strong players fits a simple logistic-curve model without inflation, by plotting players’ average error against the FIDE category of tournaments over time, and by skill parameters from a model that employs computer analysis keeping a nearly constant relation to Elo rating across that time. The distribution of the model’s Intrinsic Performance Ratings can hence be used to compare populations that have limited interaction, such as between players in a national chess federation and FIDE, and ascertain relative drift in their respective rating systems.

Model simulations and aircraft measurements of vertical, seasonal and latitudinal O3 and CO distributions over Europe

During a series of 8 measurement campaigns within the SPURT project (2001-2003), vertical profiles of CO and O3 have been obtained at subtropical, middle and high latitudes over western Europe, covering the troposphere and lowermost stratosphere up to ~14 km altitude during all seasons. The seasonal and latitudinal variation of the measured trace gas profiles are compared to simulations with the chemical transport model MATCH. In the troposphere reasonable agreement between observations and model predictions is achieved for CO and O3, in particular at subtropical and mid-latitudes, while the model overestimates (underestimates) CO (O3 in the lowermost stratosphere particularly at high latitudes, indicating too strong simulated bi-directional exchange across the tropopause. By the use of tagged tracers in the model, long-range transport of Asian air masses is identified as the dominant source of CO pollution over Europe in the free troposphere.

Radar studies of the vertical distribution of insects migrating over southern Britain: the influence of temperature inversions on nocturnal layer concentrations

Insects migrating over two sites in southern UK (Malvern in Worcestershire, and Harpenden in Hertfordshire) have been monitored continuously with nutating vertical-looking radars (VLRs) equipped with powerful control and analysis software. These observations make possible, for the first time, a systematic investigation of the vertical distribution of insect aerial density in the atmosphere, over temporal scales ranging from the short (instantaneous vertical profiles updated every 15 min) to the very long (profiles aggregated over whole seasons or even years). In the present paper, an outline is given of some general features of insect stratification as revealed by the radars, followed by a description of occasions during warm nights in the summer months when intense insect layers developed. Some of these nocturnal layers were due to the insects flying preferentially at the top of strong surface temperature inversions, and in other cases, layering was associated with higher-altitude temperature maxima, such as those due to subsidence inversions. The layers were formed from insects of a great variety of sizes, but peaks in the mass distributions pointed to a preponderance of medium-sized noctuid moths on certain occasions.

Quasi-biennial oscillation and tracer distributions in a coupled chemistry-climate model

[ 1] We have used a fully coupled chemistry-climate model (CCM), which generates its own wind and temperature quasi-biennial oscillation (QBO), to study the effect of coupling on the QBO and to examine the QBO signals in stratospheric trace gases, particularly ozone. Radiative coupling of the interactive chemistry to the underlying general circulation model tends to prolong the QBO period and to increase the QBO amplitude in the equatorial zonal wind in the lower and middle stratosphere. The model ozone QBO agrees well with Stratospheric Aerosol and Gas Experiment II and Total Ozone Mapping Spectrometer satellite observations in terms of vertical and latitudinal structure. The model captures the ozone QBO phase change near 28 km over the equator and the column phase change near +/- 15 degrees latitude. Diagnosis of the model chemical terms shows that variations in NOx are the main chemical driver of the O-3 QBO around 35 km, i.e., above the O-3 phase change.