INFERENCE FOR EIGENVALUES AND EIGENVECTORS OF GAUSSIAN SYMMETRIC MATRICES

This article presents maximum likelihood estimators (MLEs) and log-likelihood ratio (LLR) tests for the eigenvalues and eigenvectors of Gaussian random symmetric matrices of arbitrary dimension, where the observations are independent repeated samples from one or two populations. These inference problems are relevant in the analysis of diffusion tensor imaging data and polarized cosmic background radiation data, where the observations are, respectively, 3 x 3 and 2 x 2 symmetric positive definite matrices. The parameter sets involved in the inference problems for eigenvalues and eigenvectors are subsets of Euclidean space that are either affine subspaces, embedded submanifolds that are invariant under orthogonal transformations or polyhedral convex cones. We show that for a class of sets that includes the ones considered in this paper, the MLEs of the mean parameter do not depend on the covariance parameters if and only if the covariance structure is orthogonally invariant. Closed-form expressions for the MLEs and the associated LLRs are derived for this covariance structure.

Genetic covariance between indices of body condition and immunocompetence in a passerine bird

Background: Condition-dependence is a ubiquitous feature of animal life histories and has important implications for both natural and sexual selection. Mate choice, for instance, is typically based on condition-dependent signals. Theory predicts that one reason why condition-dependent signals may be special is that they allow females to scan for genes that confer high parasite resistance. Such explanations require a genetic link between immunocompetence and body condition, but existing evidence is limited to phenotypic associations. It remains unknown, therefore, whether females selecting males with good body condition simply obtain a healthy mate, or if they acquire genes for their offspring that confer high immunocompetence. Results: Here we use a cross-foster experimental design to partition the phenotypic covariance in indices of body condition and immunocompetence into genetic, maternal and environmental effects in a passerine bird, the zebra finch Taeniopygia guttata. We show that there is significant positive additive genetic covariance between an index of body condition and an index of cell-mediated immune response. In this case, genetic variance in the index of immune response explained 56% of the additive genetic variance in the index of body condition. Conclusion: Our results suggest that, in the context of sexual selection, females that assess males on the basis of condition-dependent signals may gain genes that confer high immunocompetence for their offspring. More generally, a genetic correlation between indices of body condition and imuunocompetence supports the hypothesis that parasite resistance may be an important target of natural selection. Additional work is now required to test whether genetic covariance exists among other aspects of both condition and immunocompetence.

Covariance functions for body weight from birth to maturity in Nellore cows

The objective of this study was to estimate (co)variance functions using random regression models on Legendre polynomials for the analysis of repeated measures of BW from birth to adult age. A total of 82,064 records from 8,145 females were analyzed. Different models were compared. The models included additive direct and maternal effects, and animal and maternal permanent environmental effects as random terms. Contemporary group and dam age at calving (linear and quadratic effect) were included as fixed effects, and orthogonal Legendre polynomials of animal age (cubic regression) were considered as random co-variables. Eight models with polynomials of third to sixth order were used to describe additive direct and maternal effects, and animal and maternal permanent environmental effects. Residual effects were modeled using 1 (i.e., assuming homogeneity of variances across all ages) or 5 age classes. The model with 5 classes was the best to describe the trajectory of residuals along the growth curve. The model including fourth- and sixth-order polynomials for additive direct and animal permanent environmental effects, respectively, and third-order polynomials for maternal genetic and maternal permanent environmental effects were the best. Estimates of (co) variance obtained with the multi-trait and random regression models were similar. Direct heritability estimates obtained with the random regression models followed a trend similar to that obtained with the multi-trait model. The largest estimates of maternal heritability were those of BW taken close to 240 d of age. In general, estimates of correlation between BW from birth to 8 yr of age decreased with increasing distance between ages.

On the heritability of inspection time and its covariance with IQ: A twin study

Using the classical twin design, this study investigates the influence of genetic factors on the large phenotypic variance in inspection time (IT), and whether the well established IT-IQ association can be explained by a common genetic factor. Three hundred ninety pairs of twins (184 monozygotic, MZ; 206 dizygotic, DZ) with a mean age of 16 years participated, and 49 pairs returned approximately 3 months, later for retesting. As in many IT studies, the pi figure stimulus was used and IT was estimated from the cumulative normal ogive. IT ranged from 39.4 to 774.1 ms (159 +/- 110.1 ms) with faster ITs (by an average of 26.9 ms) found in the retest session from which a reliability of .69 was estimated. Full-scale IQ (FIQ) was assessed by the Multidimensional Aptitude Battery (MAB) and ranged from 79 to 145 (111 +/- 13). The phenotypic association between IT and FIQ was confirmed (- .35) and bivariate results showed that a common genetic factor accounted for 36% of the variance in IT and 32% of the variance in FIQ. The maximum likelihood estimate of the genetic correlation was - .63. When performance and verbal IQ (PIQ & VIQ) were analysed with IT, a stronger phenotypic and genetic relationship was found between PIQ and IT than with VIQ. A large part of the IT variance (64%) was accounted for by a unique environmental factor. Further genetic factors were needed to explain the remaining variance in IQ with a small component of unique environmental variance present. The separability of a shared genetic factor influencing IT and IQ from the total genetic variance in IQ suggests that IT affects a specific subcomponent of intelligence rather than a generalised efficiency. (C) 2001 Elsevier Science Inc. All rights reserved.

Genetic influence on the variance in P3 amplitude and latency

The P3(00) event-related potential (ERP) component is widely used as a measure of cognitive functioning and provides a sensitive electrophysiological index of the attentional and working memory demands of a task. This study investigated what proportion of the variance in the amplitude and latency of the P3, elicited in a delayed response working memory task, could be attributed to genetic factors. In 335 adolescent twin pairs and 48 siblings, the amplitude and latency of the P3 were examined at frontal, central, and parietal sites. Additive genetic factors accounted for 48% to 61% of the variance in P3 amplitude. Approximately one-third of the genetic variation at frontal sites was mediated by a common genetic factor that also influenced the genetic variation at parietal and central sites. Familial resemblance in P3 latency was due to genetic influence that accounted for 44% to 50% of the variance. Genetic covariance in P3 latency across sites was substantial, with a large part of the variance found at parietal, central, and frontal sites attributed to a common genetic factor. The findings provide further evidence that the P3 is a promising phenotype of neural activity of the brain and has the potential to be used in linkage and association analysis in the search for quantitative trait loci (QTLs) influencing cognition.

Genetic covariance among measures of information processing speed, working memory, and IQ

The genetic relationship between lower (information processing speed), intermediate (working memory), and higher levels (complex cognitive processes as indexed by IQ) of mental ability was studied in a classical twin design comprising 166 monozygotic and 190 dizygotic twin pairs. Processing speed was measured by a choice reaction time (RT) task (2-, 4-, and 8-choice), working memory by a visual-spatial delayed response task, and IQ by the Multidimensional Aptitude Battery. Multivariate analysis, adjusted for test-retest reliability, showed the presence of a genetic factor influencing all variables and a genetic factor influencing 4- and 8-choice RTs, working memory, and IQ. There were also genetic factors specific to 8-choice RT, working memory, and IQ. The results confirmed a strong relationship between choice RT and IQ (phenotypic correlations: -0.31 to -0.53 in females, -0.32 to -0.56 in males; genotypic correlations: -0.45 to -0.70) and a weaker but significant association between working memory and IQ (phenotypic: 0.26 in females, 0.13 in males; genotypic: 0.34). A significant part of the genetic variance (43%) in IQ was not related to either choice RT or delayed response performance, and may represent higher order cognitive processes.

The additive genetic variance after bottlenecks is affected by the number of loci involved in epistatic interactions.

We investigated the role of the number of loci coding for a neutral trait on the release of additive variance for this trait after population bottlenecks. Different bottleneck sizes and durations were tested for various matrices of genotypic values, with initial conditions covering the allele frequency space. We used three different types of matrices. First, we extended Cheverud and Routman's model by defining matrices of "pure" epistasis for three and four independent loci; second, we used genotypic values drawn randomly from uniform, normal, and exponential distributions; and third we used two models of simple metabolic pathways leading to physiological epistasis. For all these matrices of genotypic values except the dominant metabolic pathway, we find that, as the number of loci increases from two to three and four, an increase in the release of additive variance is occurring. The amount of additive variance released for a given set of genotypic values is a function of the inbreeding coefficient, independently of the size and duration of the bottleneck. The level of inbreeding necessary to achieve maximum release in additive variance increases with the number of loci. We find that additive-by-additive epistasis is the type of epistasis most easily converted into additive variance. For a wide range of models, our results show that epistasis, rather than dominance, plays a significant role in the increase of additive variance following bottlenecks.

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach

We propose new spanning tests that assess if the initial and additional assets share theeconomically meaningful cost and mean representing portfolios. We prove their asymptoticequivalence to existing tests under local alternatives. We also show that unlike two-step oriterated procedures, single-step methods such as continuously updated GMM yield numericallyidentical overidentifyng restrictions tests, so there is arguably a single spanning test.To prove these results, we extend optimal GMM inference to deal with singularities in thelong run second moment matrix of the influence functions. Finally, we test for spanningusing size and book-to-market sorted US stock portfolios.

Improved estimation of the covariance matrix of stock returns with an application to portofolio selection

This paper proposes to estimate the covariance matrix of stock returnsby an optimally weighted average of two existing estimators: the samplecovariance matrix and single-index covariance matrix. This method isgenerally known as shrinkage, and it is standard in decision theory andin empirical Bayesian statistics. Our shrinkage estimator can be seenas a way to account for extra-market covariance without having to specifyan arbitrary multi-factor structure. For NYSE and AMEX stock returns from1972 to 1995, it can be used to select portfolios with significantly lowerout-of-sample variance than a set of existing estimators, includingmulti-factor models.

Les tests de causalité en variance entre deux séries chronologiques multivariées

Les modèles de séries chronologiques avec variances conditionnellement hétéroscédastiques sont devenus quasi incontournables afin de modéliser les séries chronologiques dans le contexte des données financières. Dans beaucoup d'applications, vérifier l'existence d'une relation entre deux séries chronologiques représente un enjeu important. Dans ce mémoire, nous généralisons dans plusieurs directions et dans un cadre multivarié, la procédure dévéloppée par Cheung et Ng (1996) conçue pour examiner la causalité en variance dans le cas de deux séries univariées. Reposant sur le travail de El Himdi et Roy (1997) et Duchesne (2004), nous proposons un test basé sur les matrices de corrélation croisée des résidus standardisés carrés et des produits croisés de ces résidus. Sous l'hypothèse nulle de l'absence de causalité en variance, nous établissons que les statistiques de test convergent en distribution vers des variables aléatoires khi-carrées. Dans une deuxième approche, nous définissons comme dans Ling et Li (1997) une transformation des résidus pour chaque série résiduelle vectorielle. Les statistiques de test sont construites à partir des corrélations croisées de ces résidus transformés. Dans les deux approches, des statistiques de test pour les délais individuels sont proposées ainsi que des tests de type portemanteau. Cette méthodologie est également utilisée pour déterminer la direction de la causalité en variance. Les résultats de simulation montrent que les tests proposés offrent des propriétés empiriques satisfaisantes. Une application avec des données réelles est également présentée afin d'illustrer les méthodes

A linear CDMA detector based on minimum variance distortionless response (MVDR)

A bit-level processing (BLP) based linear CDMA detector is derived following the principle of minimum variance distortionless response (MVDR). The combining taps for the MVDR detector are determined from (1) the covariance matrix of the matched filter output, and (2) the corresponding row (or column) of the user correlation matrix. Due to the interference suppression capability of MVDR and the fact that no inversion of the user correlation matrix is involved, the influence of the synchronisation errors is greatly reduced. The detector performance is demonstrated via computer simulations (both synchronisation errors and intercell interference are considered).

Covariance matrix formula for Birnbaum-Saunders regression models

The Birnbaum-Saunders regression model is commonly used in reliability studies. We derive a simple matrix formula for second-order covariances of maximum-likelihood estimators in this class of models. The formula is quite suitable for computer implementation, since it involves only simple operations on matrices and vectors. Some simulation results show that the second-order covariances can be quite pronounced in small to moderate sample sizes. We also present empirical applications.

Testing covariance stationarity

In this paper, we show that the widely used stationarity tests such as the KPSS test have power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments show that the proposed test possesses the following characteristics: (i) In the presence of unit root or a structural change in the mean, the proposed test is as powerful as the KPSS and other tests; (ii) In the presence a changing variance, the traditional tests perform badly whereas the proposed test has high power comparing to the existing tests; (iii) The proposed test has the same size as traditional stationarity tests under the null hypothesis of stationarity. An application to daily observations of return on US Dollar/Euro exchange rate reveals the existence of instability in the unconditional variance when the entire sample is considered, but stability is found in subsamples.

Testing covariance stationarity

In this paper, we show that the widely used stationarity tests such as the KPSS test has power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments show that the proposed test possesses the following characteristics: (i) In the presence of unit root or a structural change in the mean, the proposed test is as powerful as the KPSS and other tests; (ii) In the presence a changing variance, the traditional tests perform badly whereas the proposed test has high power comparing to the existing tests; (iii) The proposed test has the same size as traditional stationarity tests under the null hypothesis of covariance stationarity. An application to daily observations of return on US Dollar/Euro exchange rate reveals the existence of instability in the unconditional variance when the entire sample is considered, but stability is found in sub-samples.

Covariance functions for body weight from birth to maturity in Nellore cows

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)