Asymptotic robustness in multi-sample analysis of multivariate linear relations

Standard methods for the analysis of linear latent variable models oftenrely on the assumption that the vector of observed variables is normallydistributed. This normality assumption (NA) plays a crucial role inassessingoptimality of estimates, in computing standard errors, and in designinganasymptotic chi-square goodness-of-fit test. The asymptotic validity of NAinferences when the data deviates from normality has been calledasymptoticrobustness. In the present paper we extend previous work on asymptoticrobustnessto a general context of multi-sample analysis of linear latent variablemodels,with a latent component of the model allowed to be fixed across(hypothetical)sample replications, and with the asymptotic covariance matrix of thesamplemoments not necessarily finite. We will show that, under certainconditions,the matrix $\Gamma$ of asymptotic variances of the analyzed samplemomentscan be substituted by a matrix $\Omega$ that is a function only of thecross-product moments of the observed variables. The main advantage of thisis thatinferences based on $\Omega$ are readily available in standard softwareforcovariance structure analysis, and do not require to compute samplefourth-order moments. An illustration with simulated data in the context ofregressionwith errors in variables will be presented.

Finite sample nonparametric tests for linear regressions

We introduce several exact nonparametric tests for finite sample multivariatelinear regressions, and compare their powers. This fills an important gap inthe literature where the only known nonparametric tests are either asymptotic,or assume one covariate only.

On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Testing Spatial Autocorrelation in Weighted Networks : the Modes Permutation Test

In a weighted spatial network, as specified by an exchange matrix, the variances of the spatial values are inversely proportional to the size of the regions. Spatial values are no more exchangeable under independence, thus weakening the rationale for ordinary permutation and bootstrap tests of spatial autocorrelation. We propose an alternative permutation test for spatial autocorrelation, based upon exchangeable spatial modes, constructed as linear orthogonal combinations of spatial values. The coefficients obtain as eigenvectors of the standardised exchange matrix appearing in spectral clustering, and generalise to the weighted case the concept of spatial filtering for connectivity matrices. Also, two proposals aimed at transforming an acessibility matrix into a exchange matrix with with a priori fixed margins are presented. Two examples (inter-regional migratory flows and binary adjacency networks) illustrate the formalism, rooted in the theory of spectral decomposition for reversible Markov chains.

The role of soil in vegetated gravelly river braid plains: more than just a passive response?

This paper reviews the role of alluvial soils in vegetated gravelly river braid plains. When considering decadal time scales of river evolution, we argue that it becomes vital to consider soil development as an emergent property of the developing ecosystem. Soil processes have been relatively overlooked in accounts of the interactions between braided river processes and vegetation, although soils have been observed on vegetated fluvial landforms. We hypothesise that soil development plays a major role in the transition (speed and pathway) from a fresh sediment deposit to a vegetated soil-covered landform. Disturbance (erosion and/or deposition), vertical sediment structure (process history), vegetation succession, biological activity and water table fluctuation are seen as the main controls on early alluvial soil evolution. Erosion and deposition processes may not only act as soil disturbing agents, but also as suppliers of ecosystem resources, because of their role in delivering and changing access (e.g. through avulsion) to fluxes of water, fine sediments and organic matter. In turn, the associated initial ecosystem may influence further fluvial landform development, such as through the trapping of fine-grained sediments (e.g. sand) by the engineering action of vegetation and the deposit stabilisation by the developing above and belowground biomass. This may create a strong feedback between geomorphological processes, vegetation succession and soil evolution which we summarise in a conceptual model. We illustrate this model by an example from the Allondon River (CH) and identify the research questions that follow.

Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

Fate of linear and supercoiled multinucleosomic templates during transcription.

Electron microscopy was used to monitor the fate of reconstituted nucleosome cores during in vitro transcription of long linear and supercoiled multinucleosomic templates by the prokaryotic T7 RNA polymerase and the eukaryotic RNA polymerase II. Transcription by T7 RNA polymerase disrupted the nucleosomal configuration in the transcribed region, while nucleosomes were preserved upstream of the transcription initiation site and in front of the polymerase. Nucleosome disruption was independent of the topology of the template, linear or supercoiled, and of the presence or absence of nucleosome positioning sequences in the transcribed region. In contrast, the nucleosomal configuration was preserved during transcription from the vitellogenin B1 promoter with RNA polymerase II in a rat liver total nuclear extract. However, the persistence of nucleosomes on the template was not RNA polymerase II-specific, but was dependent on another activity present in the nuclear extract. This was demonstrated by addition of the extract to the T7 RNA polymerase transcription reaction, which resulted in retention of the nucleosomal configuration. This nuclear activity, also found in HeLa cell nuclei, is heat sensitive and could not be substituted by nucleoplasmin, chromatin assembly factor (CAF-I) or a combination thereof. Altogether, these results identify a novel nuclear activity, called herein transcription-dependent chromatin stabilizing activity I or TCSA-I, which may be involved in a nucleosome transfer mechanism during transcription.

Geometric and long run aspects of Granger causality

This paper extends multivariate Granger causality to take into account the subspacesalong which Granger causality occurs as well as long run Granger causality. The propertiesof these new notions of Granger causality, along with the requisite restrictions, are derivedand extensively studied for a wide variety of time series processes including linear invertibleprocess and VARMA. Using the proposed extensions, the paper demonstrates that: (i) meanreversion in L2 is an instance of long run Granger non-causality, (ii) cointegration is a specialcase of long run Granger non-causality along a subspace, (iii) controllability is a special caseof Granger causality, and finally (iv) linear rational expectations entail (possibly testable)Granger causality restriction along subspaces.

Otimização Não Linear de Mínimos Quadrados

O problema de otimização de mínimos quadrados e apresentado como uma classe importante de problemas de minimização sem restrições. A importância dessa classe de problemas deriva das bem conhecidas aplicações a estimação de parâmetros no contexto das analises de regressão e de resolução de sistemas de equações não lineares. Apresenta-se uma revisão dos métodos de otimização de mínimos quadrados lineares e de algumas técnicas conhecidas de linearização. Faz-se um estudo dos principais métodos de gradiente usados para problemas não lineares gerais: Métodos de Newton e suas modificações incluindo os métodos Quasi-Newton mais usados (DFP e BFGS). Introduzem-se depois métodos específicos de gradiente para problemas de mínimos quadrados: Gauss-Newton e Levenberg-Larquardt. Apresenta-se uma variedade de exemplos selecionados na literatura para testar os diferentes métodos usando rotinas MATLAB. Faz-se uma an alise comparativa dos algoritmos baseados nesses ensaios computacionais que exibem as vantagens e desvantagens dos diferentes métodos.

Unravelling the enigmatic origin of calcitic nanofibres in soils and caves: purely physicochemical or biogenic processes?

Calcitic nanofibres are ubiquitous habits of sec- ondary calcium carbonate (CaCO3 ) accumulations observed in calcareous vadose environments. Despite their widespread occurrence, the origin of these nanofeatures remains enig- matic. Three possible mechanisms fuel the debate: (i) purely physicochemical processes, (ii) mineralization of rod-shaped bacteria, and (iii) crystal precipitation on organic templates. Nanofibres can be either mineral (calcitic) or organic in na- ture. They are very often observed in association with needle fibre calcite (NFC), another typical secondary CaCO3 habit in terrestrial environments. This association has contributed to some confusion between both habits, however they are truly two distinct calcitic features and their recurrent asso- ciation is likely to be an important fact to help understanding the origin of nanofibres. In this paper the different hypotheses that currently exist to explain the origin of calcitic nanofibres are critically reviewed. In addition to this, a new hypothe- sis for the origin of nanofibres is proposed based on the fact that current knowledge attributes a fungal origin to NFC. As this feature and nanofibres are recurrently observed together, a possible fungal origin for nanofibres which are associated with NFC is investigated. Sequential enzymatic digestion of the fungal cell wall of selected fungal species demonstrates that the fungal cell wall can be a source of organic nanofibres. The obtained organic nanofibres show a striking morpho- logical resemblance when compared to their natural coun- terparts, emphasizing a fungal origin for part of the organic nanofibres observed in association with NFC. It is further hy- pothesized that these organic nanofibres may act as templates for calcite nucleation in a biologically influenced mineraliza- tion process, generating calcitic nanofibres. This highlights the possible involvement of fungi in CaCO3 biomineraliza- tion processes, a role still poorly documented. Moreover, on a global scale, the organomineralization of organic nanofi- bres into calcitic nanofibres might be an overlooked process deserving more attention to specify its impact on the biogeo- chemical cycles of both Ca and C.