Response theory for equilibrium and non-equilibrium statistical mechanics: causality and generalized Kramers-Kronig relations

We consider the general response theory recently proposed by Ruelle for describing the impact of small perturbations to the non-equilibrium steady states resulting from Axiom A dynamical systems. We show that the causality of the response functions entails the possibility of writing a set of Kramers-Kronig (K-K) relations for the corresponding susceptibilities at all orders of nonlinearity. Nonetheless, only a special class of directly observable susceptibilities obey K-K relations. Specific results are provided for the case of arbitrary order harmonic response, which allows for a very comprehensive K-K analysis and the establishment of sum rules connecting the asymptotic behavior of the harmonic generation susceptibility to the short-time response of the perturbed system. These results set in a more general theoretical framework previous findings obtained for optical systems and simple mechanical models, and shed light on the very general impact of considering the principle of causality for testing self-consistency: the described dispersion relations constitute unavoidable benchmarks that any experimental and model generated dataset must obey. The theory exposed in the present paper is dual to the time-dependent theory of perturbations to equilibrium states and to non-equilibrium steady states, and has in principle similar range of applicability and limitations. In order to connect the equilibrium and the non equilibrium steady state case, we show how to rewrite the classical response theory by Kubo so that response functions formally identical to those proposed by Ruelle, apart from the measure involved in the phase space integration, are obtained. These results, taking into account the chaotic hypothesis by Gallavotti and Cohen, might be relevant in several fields, including climate research. In particular, whereas the fluctuation-dissipation theorem does not work for non-equilibrium systems, because of the non-equivalence between internal and external fluctuations, K-K relations might be robust tools for the definition of a self-consistent theory of climate change.

Does increased hydrochemical model complexity decrease robustness?

The aim of this study was, within a sensitivity analysis framework, to determine if additional model complexity gives a better capability to model the hydrology and nitrogen dynamics of a small Mediterranean forested catchment or if the additional parameters cause over-fitting. Three nitrogen-models of varying hydrological complexity were considered. For each model, general sensitivity analysis (GSA) and Generalized Likelihood Uncertainty Estimation (GLUE) were applied, each based on 100,000 Monte Carlo simulations. The results highlighted the most complex structure as the most appropriate, providing the best representation of the non-linear patterns observed in the flow and streamwater nitrate concentrations between 1999 and 2002. Its 5% and 95% GLUE bounds, obtained considering a multi-objective approach, provide the narrowest band for streamwater nitrogen, which suggests increased model robustness, though all models exhibit periods of inconsistent good and poor fits between simulated outcomes and observed data. The results confirm the importance of the riparian zone in controlling the short-term (daily) streamwater nitrogen dynamics in this catchment but not the overall flux of nitrogen from the catchment. It was also shown that as the complexity of a hydrological model increases over-parameterisation occurs, but the converse is true for a water quality model where additional process representation leads to additional acceptable model simulations. Water quality data help constrain the hydrological representation in process-based models. Increased complexity was justifiable for modelling river-system hydrochemistry. Increased complexity was justifiable for modelling river-system hydrochemistry.

A unified neurofuzzy model for classification

This work proposes a unified neurofuzzy modelling scheme. To begin with, the initial fuzzy base construction method is based on fuzzy clustering utilising a Gaussian mixture model (GMM) combined with the analysis of covariance (ANOVA) decomposition in order to obtain more compact univariate and bivariate membership functions over the subspaces of the input features. The mean and covariance of the Gaussian membership functions are found by the expectation maximisation (EM) algorithm with the merit of revealing the underlying density distribution of system inputs. The resultant set of membership functions forms the basis of the generalised fuzzy model (GFM) inference engine. The model structure and parameters of this neurofuzzy model are identified via the supervised subspace orthogonal least square (OLS) learning. Finally, instead of providing deterministic class label as model output by convention, a logistic regression model is applied to present the classifier’s output, in which the sigmoid type of logistic transfer function scales the outputs of the neurofuzzy model to the class probability. Experimental validation results are presented to demonstrate the effectiveness of the proposed neurofuzzy modelling scheme.

A self-similar expansion model for use in solar wind transient propogation studies

Since the advent of wide-angle imaging of the inner heliosphere, a plethora of techniques have been developed to investigate the three-dimensional structure and kinematics of solar wind transients, such as coronal mass ejections, from their signatures in single- and multi-spacecraft imaging observations. These techniques, which range from the highly complex and computationally intensive to methods based on simple curve fitting, all have their inherent advantages and limitations. In the analysis of single-spacecraft imaging observations, much use has been made of the fixed φ fitting (FPF) and harmonic mean fitting (HMF) techniques, in which the solar wind transient is considered to be a radially propagating point source (fixed φ, FP, model) and a radially expanding circle anchored at Sun centre (harmonic mean, HM, model), respectively. Initially, we compare the radial speeds and propagation directions derived from application of the FPF and HMF techniques to a large set of STEREO/Heliospheric Imager (HI) observations. As the geometries on which these two techniques are founded constitute extreme descriptions of solar wind transients in terms of their extent along the line of sight, we describe a single-spacecraft fitting technique based on a more generalized model for which the FP and HM geometries form the limiting cases. In addition to providing estimates of a transient’s speed and propagation direction, the self-similar expansion fitting (SSEF) technique provides, in theory, the capability to estimate the transient’s angular extent in the plane orthogonal to the field of view. Using the HI observations, and also by performing a Monte Carlo simulation, we assess the potential of the SSEF technique.

Controls on inorganic nitrogen leaching from Finnish catchments assessed using a sensitivity and uncertainty analysis of the INCA-N model

The semi-distributed, dynamic INCA-N model was used to simulate the behaviour of dissolved inorganic nitrogen (DIN) in two Finnish research catchments. Parameter sensitivity and model structural uncertainty were analysed using generalized sensitivity analysis. The Mustajoki catchment is a forested upstream catchment, while the Savijoki catchment represents intensively cultivated lowlands. In general, there were more influential parameters in Savijoki than Mustajoki. Model results were sensitive to N-transformation rates, vegetation dynamics, and soil and river hydrology. Values of the sensitive parameters were based on long-term measurements covering both warm and cold years. The highest measured DIN concentrations fell between minimum and maximum values estimated during the uncertainty analysis. The lowest measured concentrations fell outside these bounds, suggesting that some retention processes may be missing from the current model structure. The lowest concentrations occurred mainly during low flow periods; so effects on total loads were small.

Calibration of structure in a distributed forecasting model for a semiarid flash flood: dynamic surface storage and channel roughness

Flash floods pose a significant danger for life and property. Unfortunately, in arid and semiarid environment the runoff generation shows a complex non-linear behavior with a strong spatial and temporal non-uniformity. As a result, the predictions made by physically-based simulations in semiarid areas are subject to great uncertainty, and a failure in the predictive behavior of existing models is common. Thus better descriptions of physical processes at the watershed scale need to be incorporated into the hydrological model structures. For example, terrain relief has been systematically considered static in flood modelling at the watershed scale. Here, we show that the integrated effect of small distributed relief variations originated through concurrent hydrological processes within a storm event was significant on the watershed scale hydrograph. We model these observations by introducing dynamic formulations of two relief-related parameters at diverse scales: maximum depression storage, and roughness coefficient in channels. In the final (a posteriori) model structure these parameters are allowed to be both time-constant or time-varying. The case under study is a convective storm in a semiarid Mediterranean watershed with ephemeral channels and high agricultural pressures (the Rambla del Albujón watershed; 556 km 2 ), which showed a complex multi-peak response. First, to obtain quasi-sensible simulations in the (a priori) model with time-constant relief-related parameters, a spatially distributed parameterization was strictly required. Second, a generalized likelihood uncertainty estimation (GLUE) inference applied to the improved model structure, and conditioned to observed nested hydrographs, showed that accounting for dynamic relief-related parameters led to improved simulations. The discussion is finally broadened by considering the use of the calibrated model both to analyze the sensitivity of the watershed to storm motion and to attempt the flood forecasting of a stratiform event with highly different behavior.

Use of a predictive model for food insecurity estimates in Brazil

In 2004 the National Household Survey (Pesquisa Nacional par Amostras de Domicilios - PNAD) estimated the prevalence of food and nutrition insecurity in Brazil. However, PNAD data cannot be disaggregated at the municipal level. The objective of this study was to build a statistical model to predict severe food insecurity for Brazilian municipalities based on the PNAD dataset. Exclusion criteria were: incomplete food security data (19.30%); informants younger than 18 years old (0.07%); collective households (0.05%); households headed by indigenous persons (0.19%). The modeling was carried out in three stages, beginning with the selection of variables related to food insecurity using univariate logistic regression. The variables chosen to construct the municipal estimates were selected from those included in PNAD as well as the 2000 Census. Multivariate logistic regression was then initiated, removing the non-significant variables with odds ratios adjusted by multiple logistic regression. The Wald Test was applied to check the significance of the coefficients in the logistic equation. The final model included the variables: per capita income; years of schooling; race and gender of the household head; urban or rural residence; access to public water supply; presence of children; total number of household inhabitants and state of residence. The adequacy of the model was tested using the Hosmer-Lemeshow test (p=0.561) and ROC curve (area=0.823). Tests indicated that the model has strong predictive power and can be used to determine household food insecurity in Brazilian municipalities, suggesting that similar predictive models may be useful tools in other Latin American countries.

Exact Search Directions for Optimization of Linear and Nonlinear Models Based on Generalized Orthonormal Functions

A novel technique for selecting the poles of orthonormal basis functions (OBF) in Volterra models of any order is presented. It is well-known that the usual large number of parameters required to describe the Volterra kernels can be significantly reduced by representing each kernel using an appropriate basis of orthonormal functions. Such a representation results in the so-called OBF Volterra model, which has a Wiener structure consisting of a linear dynamic generated by the orthonormal basis followed by a nonlinear static mapping given by the Volterra polynomial series. Aiming at optimizing the poles that fully parameterize the orthonormal bases, the exact gradients of the outputs of the orthonormal filters with respect to their poles are computed analytically by using a back-propagation-through-time technique. The expressions relative to the Kautz basis and to generalized orthonormal bases of functions (GOBF) are addressed; the ones related to the Laguerre basis follow straightforwardly as a particular case. The main innovation here is that the dynamic nature of the OBF filters is fully considered in the gradient computations. These gradients provide exact search directions for optimizing the poles of a given orthonormal basis. Such search directions can, in turn, be used as part of an optimization procedure to locate the minimum of a cost-function that takes into account the error of estimation of the system output. The Levenberg-Marquardt algorithm is adopted here as the optimization procedure. Unlike previous related work, the proposed approach relies solely on input-output data measured from the system to be modeled, i.e., no information about the Volterra kernels is required. Examples are presented to illustrate the application of this approach to the modeling of dynamic systems, including a real magnetic levitation system with nonlinear oscillatory behavior.

A new family of generalized distributions

Kumaraswamy [Generalized probability density-function for double-bounded random-processes, J. Hydrol. 462 (1980), pp. 79-88] introduced a distribution for double-bounded random processes with hydrological applications. For the first time, based on this distribution, we describe a new family of generalized distributions (denoted with the prefix `Kw`) to extend the normal, Weibull, gamma, Gumbel, inverse Gaussian distributions, among several well-known distributions. Some special distributions in the new family such as the Kw-normal, Kw-Weibull, Kw-gamma, Kw-Gumbel and Kw-inverse Gaussian distribution are discussed. We express the ordinary moments of any Kw generalized distribution as linear functions of probability weighted moments (PWMs) of the parent distribution. We also obtain the ordinary moments of order statistics as functions of PWMs of the baseline distribution. We use the method of maximum likelihood to fit the distributions in the new class and illustrate the potentiality of the new model with an application to real data.

Robust inference in an heteroscedastic measurement error model

In this paper we deal with robust inference in heteroscedastic measurement error models Rather than the normal distribution we postulate a Student t distribution for the observed variables Maximum likelihood estimates are computed numerically Consistent estimation of the asymptotic covariance matrices of the maximum likelihood and generalized least squares estimators is also discussed Three test statistics are proposed for testing hypotheses of interest with the asymptotic chi-square distribution which guarantees correct asymptotic significance levels Results of simulations and an application to a real data set are also reported (C) 2009 The Korean Statistical Society Published by Elsevier B V All rights reserved

A Bayesian Long-term Survival Model Parametrized in the Cured Fraction

The main goal of this paper is to investigate a cure rate model that comprehends some well-known proposals found in the literature. In our work the number of competing causes of the event of interest follows the negative binomial distribution. The model is conveniently reparametrized through the cured fraction, which is then linked to covariates by means of the logistic link. We explore the use of Markov chain Monte Carlo methods to develop a Bayesian analysis in the proposed model. The procedure is illustrated with a numerical example.

Generalized log-gamma regression models with cure fraction

In this paper, the generalized log-gamma regression model is modified to allow the possibility that long-term survivors may be present in the data. This modification leads to a generalized log-gamma regression model with a cure rate, encompassing, as special cases, the log-exponential, log-Weibull and log-normal regression models with a cure rate typically used to model such data. The models attempt to simultaneously estimate the effects of explanatory variables on the timing acceleration/deceleration of a given event and the surviving fraction, that is, the proportion of the population for which the event never occurs. The normal curvatures of local influence are derived under some usual perturbation schemes and two martingale-type residuals are proposed to assess departures from the generalized log-gamma error assumption as well as to detect outlying observations. Finally, a data set from the medical area is analyzed.

Bayesian analysis for a skew extension of the multivariate null intercept measurement error model

Skew-normal distribution is a class of distributions that includes the normal distributions as a special case. In this paper, we explore the use of Markov Chain Monte Carlo (MCMC) methods to develop a Bayesian analysis in a multivariate, null intercept, measurement error model [R. Aoki, H. Bolfarine, J.A. Achcar, and D. Leao Pinto Jr, Bayesian analysis of a multivariate null intercept error-in -variables regression model, J. Biopharm. Stat. 13(4) (2003b), pp. 763-771] where the unobserved value of the covariate (latent variable) follows a skew-normal distribution. The results and methods are applied to a real dental clinical trial presented in [A. Hadgu and G. Koch, Application of generalized estimating equations to a dental randomized clinical trial, J. Biopharm. Stat. 9 (1999), pp. 161-178].

Fock space for fermion-like lattices and the linear Glauber model

The concept of Fock space representation is developed to deal with stochastic spin lattices written in terms of fermion operators. A density operator is introduced in order to follow in parallel the developments of the case of bosons in the literature. Some general conceptual quantities for spin lattices are then derived, including the notion of generating function and path integral via Grassmann variables. The formalism is used to derive the Liouvillian of the d-dimensional Linear Glauber dynamics in the Fock-space representation. Then the time evolution equations for the magnetization and the two-point correlation function are derived in terms of the number operator. (C) 2008 Elsevier B.V. All rights reserved.

Random number generators for the generalized Birnbaum-Saunders distribution

The generalized Birnbaum-Saunders distribution pertains to a class of lifetime models including both lighter and heavier tailed distributions. This model adapts well to lifetime data, even when outliers exist, and has other good theoretical properties and application perspectives. However, statistical inference tools may not exist in closed form for this model. Hence, simulation and numerical studies are needed, which require a random number generator. Three different ways to generate observations from this model are considered here. These generators are compared by utilizing a goodness-of-fit procedure as well as their effectiveness in predicting the true parameter values by using Monte Carlo simulations. This goodness-of-fit procedure may also be used as an estimation method. The quality of this estimation method is studied here. Finally, through a real data set, the generalized and classical Birnbaum-Saunders models are compared by using this estimation method.