An asymptotic test for the Conditional Value-at-Risk

Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditional Expectation in the case of continuous probability distributions) is an increasingly popular risk measure in the fields of actuarial science, banking and finance, and arguably a more suitable alternative to the currently widespread Value-at-Risk. In my paper, I present a brief literature survey, and propose a statistical test of the location of the CVaR, which may be applied by practising actuaries to test whether CVaR-based capital levels are in line with observed data. Finally, I conclude with numerical experiments and some questions for future research.

Stylization: a method for preserving the character of climate sensitive habitats. A case study of acidofrequent mixed forests

Stylization is a common method of ornamental plant use that imitates nature and evokes the scenery. This paper discloses a not yet proposed aspect of stylization, since the method offers the possibility of preserving the physiognomy of those habitats that seem to vanish due to future climate change. In addition, novelty of the method is founded also on that vulnerability of the Hungarian habitats has been examined by the researchers only from the botanical and ecological point of view so far and not in terms of its landscape design value. In Hungary, acidofrequent mixed forests appear to be highly sensitive to climate change according to ecological models. We are going to discuss the methodology of stylization of climate sensitive habitats and briefly refer to acidofrequent mixed forests as a case study. Those coniferous and deciduous tree species of the studied habitat that are water demanding are proposed to be substituted by drought tolerant ones with similar characteristics, and an optionally expandable list of these taxa is presented. Based on this the authors suggest experimental investigations of those of the proposed taxa for which the higher drought tolerance is based on observations only.

Preserving Beauty

Individuals from the Center for Humanities in an Urban Environment and the Vizcaya Museum and Gardens discuss the issue of "Preservation vs. Beauty". Lecture held on September 18, 2013 at the Vizcaya Museum and Gardens.

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. For this purpose, we use an underlying vector random coefficient autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model, to derive asymptotic theory for the quasi-maximum likelihood estimator. As an extension, we develop a new multivariate asymmetric long memory volatility model, and discuss the associated asymptotic properties.

Geometry of Dirac Operators

Let $M$ be a compact, oriented, even dimensional Riemannian manifold and let $S$ be a Clifford bundle over $M$ with Dirac operator $D$. Then \[ \textsc{Atiyah Singer: } \quad \text{Ind } \mathsf{D}= \int_M \hat{\mathcal{A}}(TM)\wedge \text{ch}(\mathcal{V}) \] where $\mathcal{V} =\text{Hom}_{\mathbb{C}l(TM)}(\slashed{\mathsf{S}},S)$. We prove the above statement with the means of the heat kernel of the heat semigroup $e^{-tD^2}$. The first outstanding result is the McKean-Singer theorem that describes the index in terms of the supertrace of the heat kernel. The trace of heat kernel is obtained from local geometric information. Moreover, if we use the asymptotic expansion of the kernel we will see that in the computation of the index only one term matters. The Berezin formula tells us that the supertrace is nothing but the coefficient of the Clifford top part, and at the end, Getzler calculus enables us to find the integral of these top parts in terms of characteristic classes.

Suggestions to public libraries and local historical societies relative to collecting and preserving materials of local history, 1904

Public libraries and historical societies should work together in collecting and preserving materials of local history. This brochure is a guide for their collaboration.

Asymptotic Change-Point Analysis of the Dependencies in Time Series

In recent papers, Wied and his coauthors have introduced change-point procedures to detect and estimate structural breaks in the correlation between time series. To prove the asymptotic distribution of the test statistic and stopping time as well as the change-point estimation rate, they use an extended functional Delta method and assume nearly constant expectations and variances of the time series. In this thesis, we allow asymptotically infinitely many structural breaks in the means and variances of the time series. For this setting, we present test statistics and stopping times which are used to determine whether or not the correlation between two time series is and stays constant, respectively. Additionally, we consider estimates for change-points in the correlations. The employed nonparametric statistics depend on the means and variances. These (nuisance) parameters are replaced by estimates in the course of this thesis. We avoid assuming a fixed form of these estimates but rather we use "blackbox" estimates, i.e. we derive results under assumptions that these estimates fulfill. These results are supplement with examples. This thesis is organized in seven sections. In Section 1, we motivate the issue and present the mathematical model. In Section 2, we consider a posteriori and sequential testing procedures, and investigate convergence rates for change-point estimation, always assuming that the means and the variances of the time series are known. In the following sections, the assumptions of known means and variances are relaxed. In Section 3, we present the assumptions for the mean and variance estimates that we will use for the mean in Section 4, for the variance in Section 5, and for both parameters in Section 6. Finally, in Section 7, a simulation study illustrates the finite sample behaviors of some testing procedures and estimates.

A Study of Privacy Preserving Queries with Bloom Filters

This thesis focuses on the private membership test (PMT) problem and presents three single server protocols to resolve this problem. In the presented solutions, a client can perform an inclusion test for some record x in a server's database, without revealing his record. Moreover after executing the protocols, the contents of server's database remain secret. In each of these solutions, a different cryptographic protocol is utilized to construct a privacy preserving variant of Bloom filter. The three suggested solutions are slightly different from each other, from privacy perspective and also from complexity point of view. Therefore, their use cases are different and it is impossible to choose one that is clearly the best between all three. We present the software developments of the three protocols by utilizing various pseudocodes. The performance of our implementation is measured based on a real case scenario. This thesis is a spin-off from the Academy of Finland research project "Cloud Security Services".

Asymptotic and structural properties of special cases of the Wright function arising in probability theory

This analysis paper presents previously unknown properties of some special cases of the Wright function whose consideration is necessitated by our work on probability theory and the theory of stochastic processes. Specifically, we establish new asymptotic properties of the particular Wright function 1Ψ1(ρ, k; ρ, 0; x) = X∞ n=0 Γ(k + ρn) Γ(ρn) x n n! (|x| < ∞) when the parameter ρ ∈ (−1, 0)∪(0, ∞) and the argument x is real. In the probability theory applications, which are focused on studies of the Poisson-Tweedie mixtures, the parameter k is a non-negative integer. Several representations involving well-known special functions are given for certain particular values of ρ. The asymptotics of 1Ψ1(ρ, k; ρ, 0; x) are obtained under numerous assumptions on the behavior of the arguments k and x when the parameter ρ is both positive and negative. We also provide some integral representations and structural properties involving the ‘reduced’ Wright function 0Ψ1(−−; ρ, 0; x) with ρ ∈ (−1, 0) ∪ (0, ∞), which might be useful for the derivation of new properties of members of the power-variance family of distributions. Some of these imply a reflection principle that connects the functions 0Ψ1(−−;±ρ, 0; ·) and certain Bessel functions. Several asymptotic relationships for both particular cases of this function are also given. A few of these follow under additional constraints from probability theory results which, although previously available, were unknown to analysts.

Asymptotic scattering and duality in the one-dimensional three-state quantum Potts model on a lattice

We determine numerically the single-particle and the two-particle spectrum of the three-state quantum Potts model on a lattice by using the density matrix renormalization group method, and extract information on the asymptotic (small momentum) S-matrix of the quasiparticles. The low energy part of the finite size spectrum can be understood in terms of a simple effective model introduced in a previous work, and is consistent with an asymptotic S-matrix of an exchange form below a momentum scale p*. This scale appears to vanish faster than the Compton scale, mc, as one approaches the critical point, suggesting that a dangerously irrelevant operator may be responsible for the behaviour observed on the lattice.