Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Lost in Hanoi : disorientation, travel, and urban space

Using a 2010 trip to Hanoi, Vietnam, this article looks at the ways that disorientation is used as a  trope within the urban environment and to create the traveling subject. Suggesting that travel is a form of deliberate disorientation/ orientation, the article focuses on ideas of disorientation within the urban environment and the ways they have been portrayed in Western cultural forms (the flâneur; the dérive) while suggesting these forms are not sufficient to understand the dynamics of travel. Moreover, the article focuses on two forms of travel as disorientation derived from John Zilcosky—the trope of being “lost and found” and that of  “the return.” Finally, the article suggests that Marcus Auge’s idea of non-place is not only a sufficient way of conceptualizing contemporary notions of travel, but is also an indicator of something beyond its scope—that of globalization.

Non-centrosymmetric crystals of new N-benzylideneaniline derivatives as potential materials for non-linear optics

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Computational Techniques for Spatial Logistic Regression with Large Datasets

In epidemiological work, outcomes are frequently non-normal, sample sizes may be large, and effects are often small. To relate health outcomes to geographic risk factors, fast and powerful methods for fitting spatial models, particularly for non-normal data, are required. We focus on binary outcomes, with the risk surface a smooth function of space. We compare penalized likelihood models, including the penalized quasi-likelihood (PQL) approach, and Bayesian models based on fit, speed, and ease of implementation. A Bayesian model using a spectral basis representation of the spatial surface provides the best tradeoff of sensitivity and specificity in simulations, detecting real spatial features while limiting overfitting and being more efficient computationally than other Bayesian approaches. One of the contributions of this work is further development of this underused representation. The spectral basis model outperforms the penalized likelihood methods, which are prone to overfitting, but is slower to fit and not as easily implemented. Conclusions based on a real dataset of cancer cases in Taiwan are similar albeit less conclusive with respect to comparing the approaches. The success of the spectral basis with binary data and similar results with count data suggest that it may be generally useful in spatial models and more complicated hierarchical models.

A Generalized Regression Methodology for Bivariate Heteroscedastic Data

We present a methodology for reducing a straight line fitting regression problem to a Least Squares minimization one. This is accomplished through the definition of a measure on the data space that takes into account directional dependences of errors, and the use of polar descriptors for straight lines. This strategy improves the robustness by avoiding singularities and non-describable lines. The methodology is powerful enough to deal with non-normal bivariate heteroscedastic data error models, but can also supersede classical regression methods by making some particular assumptions. An implementation of the methodology for the normal bivariate case is developed and evaluated.

The magnetic exchange interactions in chromium chalcogenide spinels

The chromium chalcogenide spinels, MCr2X4 (M = Zn, Cd, Hg; X = O, S, Se), have been the subject of considerable interest in recent years. In each case the crystal structure is that of a normal spinel with the chromium ions exclusively occupying the octahedral (B) sites, so that when diamagnetic ions are located at the tetrahedral (A) sites the only magnetic interactions present are those between B-site ions. Despite such apparently simple circumstances a rich variety of magnetic behaviour is exhibited. For the oxides the ground state spin configurations are antiferromagnetic whilst for the selenides ferromagnetic interactions dominate and several authors have drawn attention to the fact that the nature of the dominant interaction is a function of the nearest neighbour chromium - chromium separation. However, at least two of the compounds exhibit spiral structures and it has been proved difficult to account for the various spin configurations within a unified theory of the magnetic interactions involved. More recently, the possibility of formulating a simplified interpretation of the magnetic interactions has been provided by the discovery that the crystal struture of spinels does not always conform to the centrosymmetrical symmetry Fd3m that has been conventionally assumed. The deviation from this symmetry is associated with small < 111> displacements of the octahedrally coordinated metal ions and the structures so obtained are more correctly referred to the non-centrosymmetrical space group F43m. In the present study, therefore, extensive X-ray diffraction data have been collected from four chromium chalcogenide specimens and used to refine the corresponding structural parameters assuming F43m symmetry and also with conventional symmetry. The diffracted intensities from three of the compounds concerned cannot be satisfactorily accounted for on the basis of conventional symmetry and new locations have been found for the chromium ions in these cases. It is shown, however, that these displacements in chromium positions only partially resolve the difficulties in interpreting the magnetic behaviour. A re-examination of the magnetic data from different authors indicates much greater uncertainty in their measurements than they had claimed. By taking this into consideration it is shown that a unified theory of magnetic behaviour for the chromium chalcogenide spinels is a real possibility.

Statnote 4: what if the data are not normal?

When testing the difference between two groups, if previous data indicate non-normality, then either transform the data if they comprise percentages, integers or scores or use a non-parametric test. If there is uncertainty whether the data are normally distributed, then deviations from normality are likely to be small if the data are measurements to three significant figures. Unless there is clear evidence that the distribution is non-normal, it is more efficient to use the conventional t-tests. It is poor statistical practice to carry out both the parametric and non-parametric tests on a set of data and then choose the result that is most convenient to the investigator!

Influence of tilt and surface roughness on the outflow wind field of an impinging jet

A physical and numerical steady flow impinging jet has been used to simulate the bulk characteristics of a downburst-like wind field. The influence of downdraft tilt and surface roughness on the ensuing wall jet flow has been investigated. It was found that a simulated downdraft impinging the surface at a non-normal angle has the potential for causing larger structural loads than the normal impingement case. It was also found that for the current impinging jet simulations, surface roughness played a minor role in determining the storm maximum wind structure, but this influence increased as the wall jet diverged. However, through comparison with previous research it was found that the influence of surface roughness is Reynolds number dependent and therefore may differ from that reported herein for full-scale downburst cases. Using the current experimental results an empirical model has been developed for laboratory-scale impinging jet velocity structure that includes the influence of both jet tilt and surface roughness.

Absent interiors

Anuradha Mathur and Dilip da Cunha theorise in their work on cities and flooding that it is not the floodwaters that threaten lives and homes, the real cause of danger in natural disaster is the fixity of modern civilisation. Their work traces the fluidity of the boundaries between 'dry' and 'wet' land challenging the deficiencies of traditional cartography in representing the extents of bodies of water. Mathur and da Cunha propose a process of unthinking to address the redevelopment of communities in the aftermath of natural disaster. By documenting the path of floodwaters in non-Euclidean space they propose a more appropriate response to flooding. This research focuses on the documentation of flooding in the interior of dwellings, which is an extreme condition of damage by external conditions in an environment designed to protect from these very elements. Because the floodwaters don't discriminate between the interior and the exterior, they move between structures with disregard for the systems of space we have in place. With the rapid clean up that follows flood damage, little material evidence is left for post mortem examination. This is especially the case for the flood damaged interior, piles of materials susceptible to the elements, furniture, joinery and personal objects line curbsides awaiting disposal. There is a missed opportunity in examining the interior in the after math of flood, in the way that Mathur and Dilip investigate floods and the design of cities, the flooded interior proffers an undersigned interior to study. In the absence of intact flood damaged interior, this research relies on two artists' documentation of the flooded interior. The first case study is the mimetic scenographic interiors of a flood-damaged office exhibited in the Bangkok art gallery by the group _Proxy in 2011. The second case study is Robert Polidori's photographic exhibition in New Orleans, described by Julianna Preston as, 'a series of interiors undetected by satellite imaging or storm radar. More telling, more dramatic, more unnerving, more alarming, they force a disturbance of what is familiar'.

Hydrostratigraphic analysis of the MADE site with full-resolution GPR and direct-push hydraulic profiling

Full-resolution 3D Ground-Penetrating Radar (GPR) data were combined with high-resolution hydraulic conductivity (K) data from vertical Direct-Push (DP) profiles to characterize a portion of the highly heterogeneous MAcro Dispersion Experiment (MADE) site. This is an important first step to better understand the influence of aquifer heterogeneities on observed anomalous transport. Statistical evaluation of DP data indicates non-normal distributions that have much higher similarity within each GPR facies than between facies. The analysis of GPR and DP data provides high-resolution estimates of the 3D geometry of hydrostratigraphic zones, which can then be populated with stochastic K fields. The lack of such estimates has been a significant limitation for testing and parameterizing a range of novel transport theories at sites where the traditional advection-dispersion model has proven inadequate.

A preference-based semantics for CTD reasoning

In [8] the authors developed a logical system based on the definition of a new non-classical connective ⊗ capturing the notion of reparative obligation. The system proved to be appropriate for handling well-known contrary-to-duty paradoxes but no model-theoretic semantics was presented. In this paper we fill the gap and define a suitable possible-world semantics for the system for which we can prove soundness and completeness. The semantics is a preference-based non-normal one extending and generalizing semantics for classical modal logics.

Habitat dynamics in the bed sediments of an intermittent upland stream

The effects of the hydrological regime on temporal changes to physical characteristics of substratum habitat, sediment texture of surface sediments (<10 cm), were investigated in a sub-tropical headwater stream over four years. Surface discharge was measured together with vertical hydraulic gradient and groundwater depth in order to explore features of sediment habitat that extend beyond the streambed surface. Whilst the typical discharge pattern was one of intermittent base flows and infrequent flow events associated with monsoonal rain patterns, the study period also encompassed a drought and a one-in-a-hundred-year flood. Rainfall and discharge did not necessarily reflect the actual conditions in the stream. Although surface waters were persistent long after discharge ceased, the streambed was completely dry on several occasions. Shallow groundwater was present at variable depths throughout the study period, being absent only at the height of the drought. The streambed sediments were mainly gravels, sand and clay. Finer sediment fractions showed a marked change in grain size over time, although bedload movement was limited to a single high discharge event. In response to a low discharge regimen (drought), sediments characteristically showed non-normal distributions and were dominated by finer materials. A high-energy discharge event produced a coarsening of sands and a diminished clay fraction in the streambed. Particulate organic matter from sediments showed trends of build-up and decline with the high and low discharge regimes, respectively. Within the surface sediment intersticies three potential categories of invertebrate habitat were recognised, each with dynamic spatial and temporal boundaries.

Crystal Structures of a New Polymorphic Form of Gabapentin Monohydrate and the E and Z Isomers of 4-Tertiarybutylgabapentin

Gabapentin, a widely used antiepileptic drug, crystallizes in multiple polymorphic forms. A new crystal form of gabapentin monohydrate in the space group Pbca is reported and the packing arrangement compared with that of a previously reported polymorph in the space group P2(1)/c [Ibers, J.A. (2001) Acta Crystallogr; C57:641]. Gabapentin polymorphs can also occur from a selection of one of the two distinct chair forms of the 1,1-disubstituted cyclohexane. Crystal structures of the E and Z isomers of 4-tert-butylgabapentin provide models for analyzing anticipated packing modes in the conformational isomers of gabapentin. The E isomer crystallized in the space group Pca2(1), while the Z isomer crystallized in the space group P2(1)/c. The crystal structure of E-4-tert-butylgabapentin provides the only example of a structure in a non-centrosymmetric space group. Crystal structures of the hydrochloride and hydrobromide salts of 4-tert-butyl derivatives are reported. The results suggest that for gabapentin, a large 'polymorph-space' may be anticipated, in view of the multiple conformational states that are accessible to the molecule.

On the mechanical behavior of compacted pack ice : A theoretical and numerical investigation

Pack ice is an aggregate of ice floes drifting on the sea surface. The forces controlling the motion and deformation of pack ice are air and water drag forces, sea surface tilt, Coriolis force and the internal force due to the interaction between ice floes. In this thesis, the mechanical behavior of compacted pack ice is investigated using theoretical and numerical methods, focusing on the three basic material properties: compressive strength, yield curve and flow rule. A high-resolution three-category sea ice model is applied to investigate the sea ice dynamics in two small basins, the whole Gulf Riga and the inside Pärnu Bay, focusing on the calibration of the compressive strength for thin ice. These two basins are on the scales of 100 km and 20 km, respectively, with typical ice thickness of 10-30 cm. The model is found capable of capturing the main characteristics of the ice dynamics. The compressive strength is calibrated to be about 30 kPa, consistent with the values from most large-scale sea ice dynamic studies. In addition, the numerical study in Pärnu Bay suggests that the shear strength drops significantly when the ice-floe size markedly decreases. A characteristic inversion method is developed to probe the yield curve of compacted pack ice. The basis of this method is the relationship between the intersection angle of linear kinematic features (LKFs) in sea ice and the slope of the yield curve. A summary of the observed LKFs shows that they can be basically divided into three groups: intersecting leads, uniaxial opening leads and uniaxial pressure ridges. Based on the available observed angles, the yield curve is determined to be a curved diamond. Comparisons of this yield curve with those from other methods show that it possesses almost all the advantages identified by the other methods. A new constitutive law is proposed, where the yield curve is a diamond and the flow rule is a combination of the normal and co-axial flow rule. The non-normal co-axial flow rule is necessary for the Coulombic yield constraint. This constitutive law not only captures the main features of forming LKFs but also takes the advantage of avoiding overestimating divergence during shear deformation. Moreover, this study provides a method for observing the flow rule for pack ice during deformation.

Statistical tools for analyzing water quality data

Water quality data are often collected at different sites over time to improve water quality management. Water quality data usually exhibit the following characteristics: non-normal distribution, presence of outliers, missing values, values below detection limits (censored), and serial dependence. It is essential to apply appropriate statistical methodology when analyzing water quality data to draw valid conclusions and hence provide useful advice in water management. In this chapter, we will provide and demonstrate various statistical tools for analyzing such water quality data, and will also introduce how to use a statistical software R to analyze water quality data by various statistical methods. A dataset collected from the Susquehanna River Basin will be used to demonstrate various statistical methods provided in this chapter. The dataset can be downloaded from website http://www.srbc.net/programs/CBP/nutrientprogram.htm.