NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY

The stochastic nature of oil price fluctuations is investigated over a twelve-year period, borrowing feedback from an existing database (USA Energy Information Administration database, available online). We evaluate the scaling exponents of the fluctuations by employing different statistical analysis methods, namely rescaled range analysis (R/S), scale windowed variance analysis (SWV) and the generalized Hurst exponent (GH) method. Relying on the scaling exponents obtained, we apply a rescaling procedure to investigate the complex characteristics of the probability density functions (PDFs) dominating oil price fluctuations. It is found that PDFs exhibit scale invariance, and in fact collapse onto a single curve when increments are measured over microscales (typically less than 30 days). The time evolution of the distributions is well fitted by a Levy-type stable distribution. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer. Our results also exhibit a degree of multifractality as the PDFs change and converge toward to a Gaussian distribution at the macroscales.

Early-type stars observed in the ESO UVES Paranal Observatory Project - III. Sub-parsec and AU-scale structure in the interstellar medium

UVES interstellar observations from the Paranal Observatory Project are presented for early-type stars located in the line of sight to the nearby open clusters IC 2391 (Omni Vel) and NGC 6475 (M7), with spectroscopic resolution R similar to 80 000 and signal-to-noise ratios in the Ti II (3383 angstrom), Ca II K, CH+ (4232 angstrom), Na I D and K I (7698 angstrom) lines of several hundred. The sightlines are a mixture of cluster and non-cluster objects. A total of 22 early-type stars (A and B type) are present in our sample towards IC 2391, with 21 towards NGC 6475/M7, and enable us to probe for differences in column density on scales from similar to 0.07 to 7.3 and similar to 0.05 to 4.9 pc in the respective clusters. Additionally, towards Praesepe the Na I D interstellar variation only is probed towards 13 sightlines and transverse scales of similar to 0.16-10.7 pc at R = 70 000. Towards IC 2391 variations are found in Ti II, Ca II K and Na I D column density in different sightlines of up to 0.7, 1.0 and 1.8 dex (excluding one star), respectively. This kind of variability correlates well with the Hipparcos parallax of the objects, and probes structure within the Local Bubble. For cluster-only objects the variations are 0.3, 0.3 and 0.5 dex, respectively. For the field of view towards NGC6475 the corresponding maximum variations are somewhat smaller, being 0.5, 0.3, 0.8 and 1.0 dex for Ti II, Ca II K, Na I and K I, respectively, for all objects and 0.4, 0.2, 0.6 and 0.7 dex for the cluster-only objects. These are uncorrelated with parallax, and again demonstrate that Ca II K tends to be more smoothly distributed than Na I D. A few likely cluster sightlines show evidence for CH+ and variations in this molecular species of a factor of 10 in equivalent width over sub-pc scales. Towards Praesepe variation in interstellar Na I D is small, being a maximum of only similar to 0.4 dex (including measurement errors), but with fewer sightlines studied. Overall, the scatter in the data is similar for the singly ionized species Ti II and Ca II, lending more support to the hypothesis that these two species sample similar parts of the interstellar medium (ISM). This also appears to be the case for the neutral species Na I D and K I in the one cluster studied. Finally, multiple-epoch observations from a variety of archive sources are used to search for astronomical unit (au) scale structure in the ISM towards 46 sightlines. There are tentative indications of structure on scales of tens to thousands of au for three sightlines. Future observations will confirm the veracity or otherwise of the time-variable components and others presented.

Hydrothermal synthesis and characterization of ZSM-5 coatings on a molybdenum support and scale-up for application in micro reactors

A procedure has been developed to grow ZSM-5 crystals in situ on a molybdenum (Mo) support. The high heat conductivity (138 W/mK) and high mechanical stability at elevated temperatures of the Mo support allow the application of ZSM-5 coatings in micro reactors for high temperature processes involving large heat effects. The effect of the synthesis mixture composition on ZSM-5 coverage and on the uniformity of the ZSNI-5 coatings was investigated on plates of 10 X 10 mm(2). Ratios of H2O/Si = 50, SUAI = 25, and TPA/Al = 2.0 were found to be optimal for the formation of uniform coatings of 6 g/m(2) at a temperature of 150 degrees C and a synthesis time of 48 h. Scaling up of the synthesis procedure on 72 Mo plates of 40 x 9.8 x 0.1 mm 3 resulted in a uniform coverage of 14.8 +/- 0.4 g/m(2). The low deviation per individual plate (

Fast and accurate multi-scale keypoints based on end-stopped cells

Increasingly more applications in computer vision employ interest points. Algorithms like SIFT and SURF are all based on partial derivatives of images smoothed with Gaussian filter kemels. These algorithrns are fast and therefore very popular.

Multi-scale support vector algorithms for hot spot detection and modelling

The algorithmic approach to data modelling has developed rapidly these last years, in particular methods based on data mining and machine learning have been used in a growing number of applications. These methods follow a data-driven methodology, aiming at providing the best possible generalization and predictive abilities instead of concentrating on the properties of the data model. One of the most successful groups of such methods is known as Support Vector algorithms. Following the fruitful developments in applying Support Vector algorithms to spatial data, this paper introduces a new extension of the traditional support vector regression (SVR) algorithm. This extension allows for the simultaneous modelling of environmental data at several spatial scales. The joint influence of environmental processes presenting different patterns at different scales is here learned automatically from data, providing the optimum mixture of short and large-scale models. The method is adaptive to the spatial scale of the data. With this advantage, it can provide efficient means to model local anomalies that may typically arise in situations at an early phase of an environmental emergency. However, the proposed approach still requires some prior knowledge on the possible existence of such short-scale patterns. This is a possible limitation of the method for its implementation in early warning systems. The purpose of this paper is to present the multi-scale SVR model and to illustrate its use with an application to the mapping of Cs137 activity given the measurements taken in the region of Briansk following the Chernobyl accident.

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.

Probe-level linear model fitting and mixture modeling results in high accuracy detection of differential gene expression

Affiliation: Institut de recherche en immunologie et en cancérologie, Université de Montréal

On Convergence Properties of the EM Algorithm for Gaussian Mixtures

"Expectation-Maximization'' (EM) algorithm and gradient-based approaches for maximum likelihood learning of finite Gaussian mixtures. We show that the EM step in parameter space is obtained from the gradient via a projection matrix $P$, and we provide an explicit expression for the matrix. We then analyze the convergence of EM in terms of special properties of $P$ and provide new results analyzing the effect that $P$ has on the likelihood surface. Based on these mathematical results, we present a comparative discussion of the advantages and disadvantages of EM and other algorithms for the learning of Gaussian mixture models.

Preferred structures in large-scale circulation and the effect of doubling greenhouse gas concentration in HadCM3

Preferred structures in the surface pressure variability are investigated in and compared between two 100-year simulations of the Hadley Centre climate model HadCM3. In the first (control) simulation, the model is forced with pre-industrial carbon dioxide concentration (1×CO2) and in the second simulation the model is forced with doubled CO2 concentration (2×CO2). Daily winter (December-January-February) surface pressures over the Northern Hemisphere are analysed. The identification of preferred patterns is addressed using multivariate mixture models. For the control simulation, two significant flow regimes are obtained at 5% and 2.5% significance levels within the state space spanned by the leading two principal components. They show a high pressure centre over the North Pacific/Aleutian Islands associated with a low pressure centre over the North Atlantic, and its reverse. For the 2×CO2 simulation, no such behaviour is obtained. At higher-dimensional state space, flow patterns are obtained from both simulations. They are found to be significant at the 1% level for the control simulation and at the 2.5% level for the 2×CO2 simulation. Hence under CO2 doubling, regime behaviour in the large-scale wave dynamics weakens. Doubling greenhouse gas concentration affects both the frequency of occurrence of regimes and also the pattern structures. The less frequent regime becomes amplified and the more frequent regime weakens. The largest change is observed over the Pacific where a significant deepening of the Aleutian low is obtained under CO2 doubling.

Effects of seed mixture and management on beetle assemblages of arable field margins

Beetle assemblages and their response to plant community composition and architectural structure were monitored from 2002 to 2006 within arable field margins. Field margins were sown with either tussock grass and forbs, fine grass and forbs or grass only seed mixtures. After an establishment year, field margins were managed using standard sward cuts, scarification, or graminicide application. For predatory beetles, overall density was greatest where tussock grasses were included within the seed mixtures, while the densities of phytophagous beetles were greatest where forbs were present. Unexpectedly, species rarefaction curves suggested that phytophagous beetle species richness was greatest where field margins were established using a grass only seed mixture. The structure of the beetle assemblages, i.e., the relative abundances of individual species, was largely dependent on seed mixture, although margin management also played an important role. The results suggest that field margins established using seed mixtures containing tussock grasses and forbs would be expected to provide the greatest resources for beetles, at least at local scales. However, the use of a single standardised seed mixture for margin establishment would result in a homogenisation of beetle assemblages at a regional scale. (C) 2008 Elsevier B.V. All rights reserved.

Bayesian analysis of an inverse Gaussian correlated frailty model

In survival analysis frailty is often used to model heterogeneity between individuals or correlation within clusters. Typically frailty is taken to be a continuous random effect, yielding a continuous mixture distribution for survival times. A Bayesian analysis of a correlated frailty model is discussed in the context of inverse Gaussian frailty. An MCMC approach is adopted and the deviance information criterion is used to compare models. As an illustration of the approach a bivariate data set of corneal graft survival times is analysed. (C) 2006 Elsevier B.V. All rights reserved.

Measures of observation impact in non-Gaussian data assimilation

ABSTRACT Non-Gaussian/non-linear data assimilation is becoming an increasingly important area of research in the Geosciences as the resolution and non-linearity of models are increased and more and more non-linear observation operators are being used. In this study, we look at the effect of relaxing the assumption of a Gaussian prior on the impact of observations within the data assimilation system. Three different measures of observation impact are studied: the sensitivity of the posterior mean to the observations, mutual information and relative entropy. The sensitivity of the posterior mean is derived analytically when the prior is modelled by a simplified Gaussian mixture and the observation errors are Gaussian. It is found that the sensitivity is a strong function of the value of the observation and proportional to the posterior variance. Similarly, relative entropy is found to be a strong function of the value of the observation. However, the errors in estimating these two measures using a Gaussian approximation to the prior can differ significantly. This hampers conclusions about the effect of the non-Gaussian prior on observation impact. Mutual information does not depend on the value of the observation and is seen to be close to its Gaussian approximation. These findings are illustrated with the particle filter applied to the Lorenz ’63 system. This article is concluded with a discussion of the appropriateness of these measures of observation impact for different situations.

Smoothness of scale functions for spectrally negative Lévy processes

Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes and often appear in the context of martingale relations. These relations are often require excursion theory rather than Itô calculus. The reason for the latter is that standard Itô calculus is only applicable to functions with a sufficient degree of smoothness and knowledge of the precise degree of smoothness of scale functions is seemingly incomplete. The aim of this article is to offer new results concerning properties of scale functions in relation to the smoothness of the underlying Lévy measure. We place particular emphasis on spectrally negative Lévy processes with a Gaussian component and processes of bounded variation. An additional motivation is the very intimate relation of scale functions to renewal functions of subordinators. The results obtained for scale functions have direct implications offering new results concerning the smoothness of such renewal functions for which there seems to be very little existing literature on this topic.

Isomap nonlinear dimensionality reduction and bimodality of Asian monsoon convection

It is known that the empirical orthogonal function method is unable to detect possible nonlinear structure in climate data. Here, isometric feature mapping (Isomap), as a tool for nonlinear dimensionality reduction, is applied to 1958–2001 ERA-40 sea-level pressure anomalies to study nonlinearity of the Asian summer monsoon intraseasonal variability. Using the leading two Isomap time series, the probability density function is shown to be bimodal. A two-dimensional bivariate Gaussian mixture model is then applied to identify the monsoon phases, the obtained regimes representing enhanced and suppressed phases, respectively. The relationship with the large-scale seasonal mean monsoon indicates that the frequency of monsoon regime occurrence is significantly perturbed in agreement with conceptual ideas, with preference for enhanced convection on intraseasonal time scales during large-scale strong monsoons. Trend analysis suggests a shift in concentration of monsoon convection, with less emphasis on South Asia and more on the East China Sea.

20th century intraseasonal Asian monsoon dynamics viewed from Isomap

The Asian summer monsoon is a high dimensional and highly nonlinear phenomenon involving considerable moisture transport towards land from the ocean, and is critical for the whole region. We have used daily ECMWF reanalysis (ERA-40) sea-level pressure (SLP) anomalies to the seasonal cycle, over the region 50-145°E, 20°S-35°N to study the nonlinearity of the Asian monsoon using Isomap. We have focused on the two-dimensional embedding of the SLP anomalies for ease of interpretation. Unlike the unimodality obtained from tests performed in empirical orthogonal function space, the probability density function, within the two-dimensional Isomap space, turns out to be bimodal. But a clustering procedure applied to the SLP data reveals support for three clusters, which are identified using a three-component bivariate Gaussian mixture model. The modes are found to appear similar to active and break phases of the monsoon over South Asia in addition to a third phase, which shows active conditions over the Western North Pacific. Using the low-level wind field anomalies the active phase over South Asia is found to be characterised by a strengthening and an eastward extension of the Somali jet whereas during the break phase the Somali jet is weakened near southern India, while the monsoon trough in northern India also weakens. Interpretation is aided using the APHRODITE gridded land precipitation product for monsoon Asia. The effect of large-scale seasonal mean monsoon and lower boundary forcing, in the form of ENSO, is also investigated and discussed. The outcome here is that ENSO is shown to perturb the intraseasonal regimes, in agreement with conceptual ideas.