Bayesian model comparison with un-normalised likelihoods

Models for which the likelihood function can be evaluated only up to a parameter-dependent unknown normalizing constant, such as Markov random field models, are used widely in computer science, statistical physics, spatial statistics, and network analysis. However, Bayesian analysis of these models using standard Monte Carlo methods is not possible due to the intractability of their likelihood functions. Several methods that permit exact, or close to exact, simulation from the posterior distribution have recently been developed. However, estimating the evidence and Bayes’ factors for these models remains challenging in general. This paper describes new random weight importance sampling and sequential Monte Carlo methods for estimating BFs that use simulation to circumvent the evaluation of the intractable likelihood, and compares them to existing methods. In some cases we observe an advantage in the use of biased weight estimates. An initial investigation into the theoretical and empirical properties of this class of methods is presented. Some support for the use of biased estimates is presented, but we advocate caution in the use of such estimates.

Essays on robust portfolio selection and pension finance

This thesis examines three different, but related problems in the broad area of portfolio management for long-term institutional investors, and focuses mainly on the case of pension funds. The first idea (Chapter 3) is the application of a novel numerical technique – robust optimization – to a real-world pension scheme (the Universities Superannuation Scheme, USS) for first time. The corresponding empirical results are supported by many robustness checks and several benchmarks such as the Bayes-Stein and Black-Litterman models that are also applied for first time in a pension ALM framework, the Sharpe and Tint model and the actual USS asset allocations. The second idea presented in Chapter 4 is the investigation of whether the selection of the portfolio construction strategy matters in the SRI industry, an issue of great importance for long term investors. This study applies a variety of optimal and naïve portfolio diversification techniques to the same SRI-screened universe, and gives some answers to the question of which portfolio strategies tend to create superior SRI portfolios. Finally, the third idea (Chapter 5) compares the performance of a real-world pension scheme (USS) before and after the recent major changes in the pension rules under different dynamic asset allocation strategies and the fixed-mix portfolio approach and quantifies the redistributive effects between various stakeholders. Although this study deals with a specific pension scheme, the methodology can be applied by other major pension schemes in countries such as the UK and USA that have changed their rules.

Conservative force fields in non-Gaussian statistics

In this Letter, we determine the kappa-distribution function for a gas in the presence of an external field of force described by a potential U(r). In the case of a dilute gas, we show that the kappa-power law distribution including the potential energy factor term can rigorously be deduced in the framework of kinetic theory with basis on the Vlasov equation. Such a result is significant as a preliminary to the discussion on the role of long range interactions in the Kaniadakis thermostatistics and the underlying kinetic theory. (C) 2008 Elsevier B.V. All rights reserved.

Programs to compute magnetization to density ratio and the magnetization inclination from 3-D gravity and magnetic anomalies

Vector field formulation based on the Poisson theorem allows an automatic determination of rock physical properties (magnetization to density ratio-MDR-and the magnetization inclination-MI) from combined processing of gravity and magnetic geophysical data. The basic assumptions (i.e., Poisson conditions) are: that gravity and magnetic fields share common sources, and that these sources have a uniform magnetization direction and MDR. In addition, the previously existing formulation was restricted to profile data, and assumed sufficiently elongated (2-D) sources. For sources that violate Poisson conditions or have a 3-D geometry, the apparent values of MDR and MI that are generated in this way have an unclear relationship to the actual properties in the subsurface. We present Fortran programs that estimate MDR and MI values for 3-D sources through processing of gridded gravity and magnetic data. Tests with simple geophysical models indicate that magnetization polarity can be successfully recovered by MDR-MI processing, even in cases where juxtaposed bodies cannot be clearly distinguished on the basis of anomaly data. These results may be useful in crustal studies, especially in mapping magnetization polarity from marine-based gravity and magnetic data. (c) 2007 Elsevier Ltd. All rights reserved.

The hidden diversity of Coleodactylus amazonicus (Sphaerodactylinae, Gekkota) revealed by molecular data

Coleodactylus amazonicus, a small leaf-litter diurnal gecko widely distributed in Amazon Basin has been, considered a single species with no significant morphological differences between populations along its range. A recent molecular study, however, detected large genetic differences between populations of central Amazonia and those in the easternmost part of the Amazon Basin, suggesting the presence of taxonomically unrecognised diversity. In this study, DNA sequences of three mitochondrial (165, cytb, and ND4) and two nuclear genes (RAG-1, c-mos) were used to investigate whether the species currently identified as C. amazonicus contains morphologically cryptic species lineages. The present phylogenetic analysis reveals further genetic subdivision including at least five potential species lineages, restricted to northeastern (lineage A), southeastern (lineage B), central-northern (lineage E) and central-southern (lineages C and D) parts of Amazon Basin. All clades are characterized by exclusive groups of alleles for both nuclear genes and highly divergent mitochondrial haplotype clades, with corrected pairwise net sequence divergence between sister lineages ranging from 9.1% to 20.7% for the entire mtDNA dataset. Results of this study suggest that the real diversity of ""C. amazonicus"" has been underestimated due to its apparent cryptic diversification. (C) 2009 Elsevier Inc. All rights reserved.

Bayesian network classifiers: Beyond classification accuracy

This work proposes and discusses an approach for inducing Bayesian classifiers aimed at balancing the tradeoff between the precise probability estimates produced by time consuming unrestricted Bayesian networks and the computational efficiency of Naive Bayes (NB) classifiers. The proposed approach is based on the fundamental principles of the Heuristic Search Bayesian network learning. The Markov Blanket concept, as well as a proposed ""approximate Markov Blanket"" are used to reduce the number of nodes that form the Bayesian network to be induced from data. Consequently, the usually high computational cost of the heuristic search learning algorithms can be lessened, while Bayesian network structures better than NB can be achieved. The resulting algorithms, called DMBC (Dynamic Markov Blanket Classifier) and A-DMBC (Approximate DMBC), are empirically assessed in twelve domains that illustrate scenarios of particular interest. The obtained results are compared with NB and Tree Augmented Network (TAN) classifiers, and confinn that both proposed algorithms can provide good classification accuracies and better probability estimates than NB and TAN, while being more computationally efficient than the widely used K2 Algorithm.

On the influence of imputation in classification: practical issues

The substitution of missing values, also called imputation, is an important data preparation task for many domains. Ideally, the substitution of missing values should not insert biases into the dataset. This aspect has been usually assessed by some measures of the prediction capability of imputation methods. Such measures assume the simulation of missing entries for some attributes whose values are actually known. These artificially missing values are imputed and then compared with the original values. Although this evaluation is useful, it does not allow the influence of imputed values in the ultimate modelling task (e.g. in classification) to be inferred. We argue that imputation cannot be properly evaluated apart from the modelling task. Thus, alternative approaches are needed. This article elaborates on the influence of imputed values in classification. In particular, a practical procedure for estimating the inserted bias is described. As an additional contribution, we have used such a procedure to empirically illustrate the performance of three imputation methods (majority, naive Bayes and Bayesian networks) in three datasets. Three classifiers (decision tree, naive Bayes and nearest neighbours) have been used as modelling tools in our experiments. The achieved results illustrate a variety of situations that can take place in the data preparation practice.

ON INTEGRABLE CODIMENSION ONE ANOSOV ACTIONS OF R(k)

In this paper, we consider codimension one Anosov actions of R(k), k >= 1, on closed connected orientable manifolds of dimension n vertical bar k with n >= 3. We show that the fundamental group of the ambient manifold is solvable if and only if the weak foliation of codimension one is transversely affine. We also study the situation where one 1-parameter subgroup of R(k) admits a cross-section, and compare this to the case where the whole action is transverse to a fibration over a manifold of dimension n. As a byproduct, generalizing a Theorem by Ghys in the case k = 1, we show that, under some assumptions about the smoothness of the sub-bundle E(ss) circle plus E(uu), and in the case where the action preserves the volume, it is topologically equivalent to a suspension of a linear Anosov action of Z(k) on T(n).

The analytic torsion of a cone over an odd dimensional manifold

We study the analytic torsion of a cone over an orientable odd dimensional compact connected Riemannian manifold W. We prove that the logarithm of the analytic torsion of the cone decomposes as the sum of the logarithm of the root of the analytic torsion of the boundary of the cone, plus a topological term, plus a further term that is a rational linear combination of local Riemannian invariants of the boundary. We show that this last term coincides with the anomaly boundary term appearing in the Cheeger Muller theorem [3, 2] for a manifold with boundary, according to Bruning and Ma (2006) [5]. We also prove Poincare duality for the analytic torsion of a cone. (C) 2010 Elsevier B.V. All rights reserved.

C(0) and bi-Lipschitz K-equivalence of mappings

In this paper we investigate the classification of mappings up to K-equivalence. We give several results of this type. We study semialgebraic deformations up to semialgebraic C(0) K-equivalence and bi-Lipschitz K-equivalence. We give an algebraic criterion for bi-Lipschitz K-triviality in terms of semi-integral closure (Theorem 3.5). We also give a new proof of a result of Nishimura: we show that two germs of smooth mappings f, g : R(n) -> R(n), finitely determined with respect to K-equivalence are C(0)-K-equivalent if and only if they have the same degree in absolute value.

Mixed multiplicities and the minimal number of generator of modules

Let (R, m) be a d-dimensional Noetherian local ring. In this work we prove that the mixed Buchsbaum-Rim multiplicity for a finite family of R-submodules of R(p) of finite colength coincides with the Buchsbaum-Rim multiplicity of the module generated by a suitable superficial sequence, that is, we generalize for modules the well-known Risler-Teissier theorem. As a consequence, we give a new proof of a generalization for modules of the fundamental Rees` mixed Multiplicity theorem, which was first proved by Kirby and Rees in (1994, [8]). We use the above result to give an upper bound for the minimal number of generators of a finite colength R-submodule of R(p) in terms of mixed multiplicities for modules, which generalize a similar bound obtained by Cruz and Verma in (2000, [5]) for m-primary ideals. (C) 2009 Elsevier B.V. All rights reserved.

Soliton solutions for quasilinear Schrodinger equations with critical growth

In this paper we establish the existence of standing wave solutions for quasilinear Schrodinger equations involving critical growth. By using a change of variables, the quasilinear equations are reduced to semilinear one. whose associated functionals are well defined in the usual Sobolev space and satisfy the geometric conditions of the mountain pass theorem. Using this fact, we obtain a Cerami sequence converging weakly to a solution v. In the proof that v is nontrivial, the main tool is the concentration-compactness principle due to P.L. Lions together with some classical arguments used by H. Brezis and L. Nirenberg (1983) in [9]. (C) 2009 Elsevier Inc. All rights reserved.

Horo-tight spheres in hyperbolic space

We study horo-tight immersions of manifolds into hyperbolic spaces. The main result gives several characterizations of horo-tightness of spheres, answering a question proposed by Cecil and Ryan. For instance, we prove that a sphere is horo-tight if and only if it is tight in the hyperbolic sense. For codimension bigger than one, it follows that horo-tight spheres in hyperbolic space are metric spheres. We also prove that horo-tight hyperspheres are characterized by the property that both of its total absolute horospherical curvatures attend their minimum value. We also introduce the notion of weak horo-tightness: an immersion is weak horo-tight if only one of its total absolute curvature attends its minimum. We prove a characterization theorem for weak horo-tight hyperspheres.

Positive solutions of the p-Laplacian involving a superlinear nonlinearity with zeros

Using a combination of several methods, such as variational methods. the sub and supersolutions method, comparison principles and a priori estimates. we study existence, multiplicity, and the behavior with respect to lambda of positive solutions of p-Laplace equations of the form -Delta(p)u = lambda h(x, u), where the nonlinear term has p-superlinear growth at infinity, is nonnegative, and satisfies h(x, a(x)) = 0 for a suitable positive function a. In order to manage the asymptotic behavior of the solutions we extend a result due to Redheffer and we establish a new Liouville-type theorem for the p-Laplacian operator, where the nonlinearity involved is superlinear, nonnegative, and has positive zeros. (C) 2009 Elsevier Inc. All rights reserved.

On C(r)-closing for flows on orientable and non-orientable 2-manifolds

We provide an affirmative answer to the C(r)-Closing Lemma, r >= 2, for a large class of flows defined on every closed surface.