The exponentiated generalized inverse Gaussian distribution

The modeling and analysis of lifetime data is an important aspect of statistical work in a wide variety of scientific and technological fields. Good (1953) introduced a probability distribution which is commonly used in the analysis of lifetime data. For the first time, based on this distribution, we propose the so-called exponentiated generalized inverse Gaussian distribution, which extends the exponentiated standard gamma distribution (Nadarajah and Kotz, 2006). Various structural properties of the new distribution are derived, including expansions for its moments, moment generating function, moments of the order statistics, and so forth. We discuss maximum likelihood estimation of the model parameters. The usefulness of the new model is illustrated by means of a real data set. (c) 2010 Elsevier B.V. All rights reserved.

Central limit theorem for asymmetric kernel functionals

Asymmetric kernels are quite useful for the estimation of density functions with bounded support. Gamma kernels are designed to handle density functions whose supports are bounded from one end only, whereas beta kernels are particularly convenient for the estimation of density functions with compact support. These asymmetric kernels are nonnegative and free of boundary bias. Moreover, their shape varies according to the location of the data point, thus also changing the amount of smoothing. This paper applies the central limit theorem for degenerate U-statistics to compute the limiting distribution of a class of asymmetric kernel functionals.

The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes

This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series.

Studies in non-Gaussian analysis

This thesis presents general methods in non-Gaussian analysis in infinite dimensional spaces. As main applications we study Poisson and compound Poisson spaces. Given a probability measure μ on a co-nuclear space, we develop an abstract theory based on the generalized Appell systems which are bi-orthogonal. We study its properties as well as the generated Gelfand triples. As an example we consider the important case of Poisson measures. The product and Wick calculus are developed on this context. We provide formulas for the change of the generalized Appell system under a transformation of the measure. The L² structure for the Poisson measure, compound Poisson and Gamma measures are elaborated. We exhibit the chaos decomposition using the Fock isomorphism. We obtain the representation of the creation, annihilation operators. We construct two types of differential geometry on the configuration space over a differentiable manifold. These two geometries are related through the Dirichlet forms for Poisson measures as well as for its perturbations. Finally, we construct the internal geometry on the compound configurations space. In particular, the intrinsic gradient, the divergence and the Laplace-Beltrami operator. As a result, we may define the Dirichlet forms which are associated to a diffusion process. Consequently, we obtain the representation of the Lie algebra of vector fields with compact support. All these results extends directly for the marked Poisson spaces.

Estimates for the Poisson kernel and Hardy spaces on compact manifolds

We study Hardy spaces on the boundary of a smooth open subset or R-n and prove that they can be defined either through the intrinsic maximal function or through Poisson integrals, yielding identical spaces. This extends to any smooth open subset of R-n results already known for the unit ball. As an application, a characterization of the weak boundary values of functions that belong to holomorphic Hardy spaces is given, which implies an F. and M. Riesz type theorem. (C) 2004 Elsevier B.V. All rights reserved.

Prolapse-free relativistic Gaussian basis sets for the superheavy elements up to Uuo (Z=118) and Lr (Z=103)

Prolapse-free basis sets suitable for four-component relativistic quantum chemical calculations are presented for the superheavy elements UP to (118)Uuo ((104)Rf, (105)Db, (106)Sg, (107)Bh, (108)Hs, (109)Mt, (110)Ds, (111)Rg, (112)Uub, (113)Uut, (114)Uuq, (115)Uup, (116)Uuh, (117)Uus, (118)Uuo) and Lr-103. These basis sets were optimized by minimizing the absolute values of the energy difference between the Dirac-Fock-Roothaan total energy and the corresponding numerical value at a milli-Hartree order of magnitude, resulting in a good balance between cost and accuracy. Parameters for generating exponents and new numerical data for some superheavy elements are also presented. (c) 2007 Elsevier B.V. All rights reserved.

Gaussian quadrature rules with simple node-weight relations

In this paper, we consider the symmetric Gaussian and L-Gaussian quadrature rules associated with twin periodic recurrence relations with possible variations in the initial coefficient. We show that the weights of the associated Gaussian quadrature rules can be given as rational functions in terms of the corresponding nodes where the numerators and denominators are polynomials of degree at most 4. We also show that the weights of the associated L-Gaussian quadrature rules can be given as rational functions in terms of the corresponding nodes where the numerators and denominators are polynomials of degree at most 5. Special cases of these quadrature rules are given. Finally, an easy to implement procedure for the evaluation of the nodes is described.

Characterization of the Pulp and Kernel Oils from Syagrus oleracea, Syagrus romanzoffiana, and Acrocomia aculeata

Vegetable oils are important sources of essential fatty acids. It is, therefore, important to characterize plant species that can be used as new oil sources. This study aimed to characterize the oils from guariroba (Syagrus oleracea), jeriva (Syagrus romanzoffiana), and macauba (Acrocomia aculeata). The physicochemical characterization was performed using official analytical methods for oils and fats, free fatty acids, peroxide value, refractive index, iodine value, saponification number, and unsaponifiable matter. The oxidative stability was determined using the Rancimat at 110 degrees C. The fatty acid composition was performed by gas chromatography. The results were submitted to Tukey's test for the medium to 5% using the ESTAT program. The pulp oils were more unsaturated than kernel oils, as evidenced by the higher refractive index and iodine value, especially the macauba pulp oil which gave 1.4556 and 80 g I(2)/100 g, respectively, for these indices. The kernel oils were less altered by oxidative process and had high induction period, free fatty acids below 0.5%, and peroxide value around 0.19 meq/kg. The guariroba kernel oil showed the largest induction period, 91.82 h.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Rational approximations of the Arrhenius integral using Jacobi fractions and gaussian quadrature

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Gaussian basis sets to the theoretical study of the electronic structure of perovskite (LaMnO3)

The Generator Coordinate Hartree-Fock (GCHF) method is applied to generate extended (20s14p), (30s19p13d), and (31s23p18d) Gaussian basis sets for the 0, Mn, and La atoms, respectively. The role of the weight functions (WFs) in the assessment of the numerical integration range of the GCHF equations is shown. These basis sets are then contracted to [5s3p] and [11s6p6d] for 0 and Mn atoms, respectively, and [17s11p7d] for La atom by a standard procedure. For quality evaluation of contracted basis sets in molecular calculations, we have accomplished calculations of total and orbital energies in the Hartree-Fock-Roothaan (HFR) method for (MnO1+)-Mn-5 and (LaO1+)-La-1 fragments. The results obtained with the contracted basis sets are compared with values obtained with the extended basis sets. The addition of one d polarization function in the contracted basis set for 0 atom and its utilization with the contracted basis sets for Mn and La atoms leads to the calculations of dipole moment and total atomic charges of perovskite (LaMnO3). The calculations were performed at the HFR level with the crystal [LaMnO3](2) fragment in space group C-2v the values of dipole moment, total energy, and total atomic charges showed that it is reasonable to believe that LaMnO3 presents behaviour of piezoelectric material. (C) 2003 Elsevier B.V. All rights reserved.