Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.

Vehicle Routing Problem with Load Compatibility Constraints

The major contribution of this paper is to introduce load compatibility constraints in the mathematical model for the capacitated vehicle routing problem with pickup and deliveries. The employee transportation problem in the Indian call centers and transportation of hazardous materials provided the motivation for this variation. In this paper we develop a integer programming model for the vehicle routing problem with load compatibility constraints. Specifically two types of load compatability constraints are introduced, namely mutual exclusion and conditional exclusion. The model is demonstrated with an application from the employee transportation problem in the Indian call centers.

Mapping Closure Approximation for Reactive Scalars in Random Flows

The Mapping Closure Approximation (MCA) approach is developed to describe the statistics of both conserved and reactive scalars in random flows. The statistics include Probability Density Function (PDF), Conditional Dissipation Rate (CDR) and Conditional Laplacian (CL). The statistical quantities are calculated using the MCA and compared with the results of the Direct Numerical Simulation (DNS). The results obtained from the MCA are in agreement with those from the DNS. It is shown that the MCA approach can predict the statistics of reactive scalars in random flows.

Quantum information processing with superconducting qubits in a microwave field

We investigate the quantum dynamics of a Cooper-pair box with a superconducting loop in the presence of a nonclassical microwave field. We demonstrate the existence of Rabi oscillations for both single- and multiphoton processes and, moreover, we propose a new quantum computing scheme (including one-bit and conditional two-bit gates) based on Josephson qubits coupled through microwaves.

黄土沟壑区小流域土壤pH值的空间分布及条件模拟

土壤pH值是影响土壤养分有效性和化学物质在土壤中行为的主要因素,研究土壤pH值的空间分布特征对于土壤养分管理和土壤污染预测具有重要意义。该文用地统计学方法研究了环境因素复杂的黄土高原小流域土壤pH值空间分布特征。结果表明,黄土沟壑区小流域土壤pH值具有球形—指数套合模型的空间结构特征,其空间异质性主要来源于流域内土地利用和土壤侵蚀等随机因素。与有机质协同的Kriging法能较好地对土壤pH值进行估值,其估值范围小于实测数据,估值误差来源于复杂的环境因素。序贯高斯条件模拟的土壤pH值范围与实测数据接近,模拟的平均值低于实测数据,模拟误差来源于模拟过程中独特的Kriging算法及高斯特性。

两种超微细矿物粉体材料的制备及应用研究

Superfine mineral materials are mainly resulted from the pulverization of natural mineral resources, and are a type of new materials that can replace traditional materials and enjoy the most extensive application and the highest degree of consumption in the present day market. As a result, superfine mineral materials have a very broad and promising prospect in terms of market potential. Superfine pulverization technology is the only way for the in-depth processing of most of the traditional materials, and is also one of the major means for which mineral materials can realize their application. China is rich in natural resources such as heavy calcite, kaolin, wollastonite, etc., which enjoy a very wide market of application in paper making, rubber, plastics, painting, coating, medicine, environment-friendly recycle paper and fine chemical industries, for example. However, because the processing of these resources is generally at the low level, economic benefit and scale for the processing of these resources have not been realized to their full potential even up to now. Big difference in product indices and superfine processing equipment and technologies between China and advanced western countries still exists. Based on resource assessment and market potential analysis, an in-depth study was carried out in this paper about the superfine pulverization technology and superfine pulverized mineral materials from the point of mineralogical features, determination of processing technologies, analytical methods and applications, by utilizing a variety of modern analytical methods in mineralogy, superfine pulverization technology, macromolecular chemistry, material science and physical chemistry together with computer technology and so on. The focus was placed on the innovative study about the in-depth processing technology and the processing apparatus for kaolin and heavy calcite as well as the application of superfine products. The main contents and the major achievements of this study are listed as follows: 1. Superfine pulverization processing of mineral materials shall be integrated with the study of their crystal structures and chemical composition. And special attention shall be put on the post-processing technologies, rather than on the indices for particle size, of these materials, based on their fields of application. Both technical feasibility and economic feasibility shall be taken into account for the study about superfine pulverization technologies, since these two kinds of feasibilities serve as the premise for the industrialized application of superfine pulverized mineral materials. Based on this principle, preposed chemical treatment method, technology of synchronized superfine pulverization and gradation, processing technology and apparatus of integrated modification and depolymerization were utilized in this study, and narrow distribution in terms of particle size, good dispersibility, good application effects, low consumption as well as high effectiveness of superfine products were achieved in this study. Heavy calcite and kaolin are two kinds of superfine mineral materials that enjoy the highest consumption in the industry. Heavy calcite is mainly applied in paper making, coating and plastics industries, the hard kaolin in northern China is mainly used in macromolecular materials and chemical industries, while the soft kaolin in southern China is mainly used for paper making. On the other hand, superfine pulverized heavy calcite and kaolin can both be used as the functional additives to cement, a kind of material that enjoys the biggest consumption in the world. A variety of analytical methods and instruments such as transmission and scanning electron microscopy, X-ray diffraction analysis, infrared analysis, laser particle size analysis and so on were applied for the elucidation of the properties and the mechanisms for the functions of superfine mineral materials as used in plastics and high-performance cement. Detection of superfine mineral materials is closely related to the post-processing and application of these materials. Traditional detection and analytical methods for superfine mineral materials include optical microscopy, infrared spectral analysis and a series of microbeam techniques such as transmission and scanning electron microscopy, X-ray diffraction analysis, and so on. In addition to these traditional methods, super-weak luminescent photon detection technology of high precision, high sensitivity and high signal to noise ratio was also utilized by the author for the first time in the study of superfine mineral materials, in an attempt to explore a completely new method and means for the study of the characterization of superfine materials. The experimental results are really exciting! The innovation of this study is represented in the following aspects: 1. In this study, preposed chemical treatment method, technology of synchronized superfine pulverization and gradation, processing technology and apparatus of integrated modification and depolymerization were utilized in an innovative way, and narrow distribution in terms of particle size, good dispersibility, good application effects, low consumption as well as high effectiveness of superfine products were achieved in the industrialized production process*. Moreover, a new modification technology and related directions for producing the chemicals were invented, and the modification technology was even awarded a patent. 2. The detection technology of super-weak luminescent photon of high precision, high sensitivity and high signal to noise ratio was utilized for the first time in this study to explore the superfine mineral materials, and the experimental results can be compared with those acquired with scanning electron microscopy and has demonstrated its unique advantages. It can be expected that further study may possibly help to result in a completely new method and means for the characterization of superfine materials. 3. During the heating of kaolinite and its decomposition into pianlinite, the diffraction peaks disappear gradually. First comes the disappearance of the reflection of the basal plane (001), and then comes the slow disappearance of the (hkl) diffraction peaks. And this was first discovered during the experiments by the author, and it has never before reported by other scholars. 4. The first discovery of the functions that superfine mineral materials can be used as dispersants in plastics, and the first discovery of the comprehensive functions that superfine mineral materials can also be used as activators, water-reducing agents and aggregates in high-performance cement were made in this study, together with a detailed discussion. This study was jointly supported by two key grants from Guangdong Province for Scientific and Technological Research in the 10th Five-year Plan Period (1,200,000 yuan for Preparation technology, apparatus and post-processing research by using sub-micron superfine pulverization machinery method, and 300,000 yuan for Method and instruments for biological photon technology in the characterization of nanometer materials), and two grants from Guangdong Province for 100 projects for scientific and technological innovation (700,000 yuan for Pilot experimentation of superfine and modified heavy calcite used in paper-making, rubber and plastics industry, and 400,000 yuan for Study of superfine, modified wollastonite of large length-to-diameter ratio).

Generalized Markov branching processes

A generalized Markov Brnching Process (GMBP) is a Markov branching model where the infinitesimal branching rates are modified with an interaction index. It is proved that there always exists only one GMBP. An associated differential-integral equation is derived. The extinction probalility and the mean and conditional mean extinction times are obtained. Ergodicity and stability of GMBP with resurrection are also considered. Easy checking criteria are established for ordinary and strong ergodicty. The equilibrium distribution is given in an elegant closed form. The probability meaning of our results is clear and thus explained.

Probabilistic approach in weighted Markov branching processes

This note provides a new probabilistic approach in discussing the weighted Markov branching process (WMBP) which is a natural generalisation of the ordinary Markov branching process. Using this approach, some important characteristics regarding the hitting times of such processes can be easily obtained. In particular, the closed forms for the mean extinction time and conditional mean extinction time are presented. The explosion behaviour of the process is investigated and the mean explosion time is derived. The mean global holding time and the mean total survival time are also obtained. The close link between these newly developed processes and the well-known compound Poisson processes is investigated. It is revealed that any weighted Markov branching process (WMBP) is a random time change of a compound Poisson process.

Explaining variation in cancer survival between 11 jurisdictions in the International Cancer Benchmarking Partnership: a primary care vignette survey

OBJECTIVES: The International Cancer Benchmarking Partnership (ICBP) is a collaboration between 6 countries and 12 jurisdictions with similar primary care-led health services. This study investigates primary care physician (PCP) behaviour and systems that may contribute to the timeliness of investigating for cancer and subsequently, international survival differences.

DESIGN: A validated survey administered to PCPs via the internet set out in two parts: direct questions on primary care structure and practice relating to cancer diagnosis, and clinical vignettes, assessing management of scenarios relating to the diagnosis of lung, colorectal or ovarian cancer.

PARTICIPANTS: 2795 PCPs in 11 jurisdictions: New South Wales and Victoria (Australia), British Columbia, Manitoba, Ontario (Canada), England, Northern Ireland, Wales (UK), Denmark, Norway and Sweden.

PRIMARY AND SECONDARY OUTCOME MEASURES: Analysis compared the cumulative proportion of PCPs in each jurisdiction opting to investigate or refer at each phase for each vignette with 1-year survival, and conditional 5-year survival rates for the relevant cancer and jurisdiction. Logistic regression was used to explore whether PCP characteristics or system differences in each jurisdiction affected the readiness to investigate.

RESULTS: 4 of 5 vignettes showed a statistically significant correlation (p<0.05 or better) between readiness to investigate or refer to secondary care at the first phase of each vignette and cancer survival rates for that jurisdiction. No consistent associations were found between readiness to investigate and selected PCP demographics, practice or health system variables.

CONCLUSIONS: We demonstrate a correlation between the readiness of PCPs to investigate symptoms indicative of cancer and cancer survival rates, one of the first possible explanations for the variation in cancer survival between ICBP countries. No specific health system features consistently explained these findings. Some jurisdictions may consider lowering thresholds for PCPs to investigate for cancer-either directly, or by specialist referral, to improve outcomes.

Unveiling the Influence of Consumer Wine Appreciation Dimension on Purchasing Behavior

Consumption values and different usage situations have received extensive interest from scholars; however, there is a lack of understanding regarding how these two constructs interact when it comes to the purchase decisions of consumers. This study examines the relationship between consumption values, consumption situations, and consumers’ purchasing decisions in terms of their willingness to pay and the purchase quantity. First of all, my model proposes that all four consumption values and different situations have a positive effect on consumers’ willingness to pay as well as the quantity they purchase. It also proposes that varying usage situations moderate the effect of consumption values on consumers’ purchasing decisions. In my conceptual model, I have also integrated the epistemic and conditional values where there is a gap in the existing literature. Prior literature has isolated the consumption values when studying how they affect consumer behavior and has not examined how consumption situations moderate the relationship between consumption values and purchasing decisions. Also, the existing literature has mostly focused on how consumption values affect purchase intentions, brand loyalty, or satisfaction, whereas my study focuses on purchasing decisions. For my study, the participants were randomly chosen from the general wine consumer population and the age range was between 20 and 75, which included 83 male respondents and 119 female respondents. The data received from my respondents support my hypotheses for the model. In my final chapter, I discuss the theoretical and managerial implications as well as suggestions for future research.

ASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADA

Emerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.

Group-invariant solutions of semilinear Schrodinger equations in multi-dimensions

Symmetry group methods are applied to obtain all explicit group-invariant radial solutions to a class of semilinear Schr¨odinger equations in dimensions n = 1. Both focusing and defocusing cases of a power nonlinearity are considered, including the special case of the pseudo-conformal power p = 4/n relevant for critical dynamics. The methods involve, first, reduction of the Schr¨odinger equations to group-invariant semilinear complex 2nd order ordinary differential equations (ODEs) with respect to an optimal set of one-dimensional point symmetry groups, and second, use of inherited symmetries, hidden symmetries, and conditional symmetries to solve each ODE by quadratures. Through Noether’s theorem, all conservation laws arising from these point symmetry groups are listed. Some group-invariant solutions are found to exist for values of n other than just positive integers, and in such cases an alternative two-dimensional form of the Schr¨odinger equations involving an extra modulation term with a parameter m = 2−n = 0 is discussed.

Teaching Reading to ESL Adult Literacy Learners: The Development of an Instructor’s Handbook

The purpose of this project was to develop an instructors’ handbook that provides the declarative, procedural, and conditional knowledge associated with the interactive instructional approach, differentiated instruction, and the gradual release of responsibility framework for teaching reading to English as a second language adult literacy learners. The need for this handbook was determined by conducting a critical analysis of existing handbooks and concluding that no handbook completely addressed the 3 types of knowledge for the 3 instructional processes. A literature review was conducted to examine the nature, use, and effectiveness of the 3 instructional processes when teaching reading to ESL adult literacy learners. The literature review also examined teachers’ preferences for reading research and found that texts that were relevant, practical, and accessible were favoured. Hence, these 3 elements were incorporated as part of the handbook design. Three peer reviewers completed a 35-item 5-point Likert scale evaluation form that also included 5 open-ended questions. Their feedback about the handbook’s relevancy, practicality, accessibility, and face validity were incorporated into the final version of the handbook presented here. Reference to the handbook by ESL adult literacy instructors has the potential to support evidence-informed lesson planning which can support the ESL adult literacy learners in achieving their goals and contributing to their societies in multiple and meaningful ways.

Quadratic M-Estimators for ARCH-Type Processes

This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the variance and the variance of the variance, that is, the skewness and kurtosis. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M-estimation. The ususal univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms the relevance of our approach, in particular, the importance of skewness.

Effects of transformation processes in 'jubraka' agroforestry systems of the Nuba Mountains, Sudan, on nutrient fluxes

Intensification processes in homegardens of the Nuba Mountains, Sudan, raise concerns about strongly positive carbon (C) and nutrient balances which are expected to lead to substantial element losses from these agroecosystems, in particular via soil gaseous emissions. Therefore, this thesis aimed at the quantification of C, nitrogen (N), phosphorus (P) and potassium (K) input and output fluxes with a special focus on soil gaseous losses, and the calculation of respective element balances. A further focus in this thesis was rainfall, a valuable resource for rain-fed agriculture in the Nuba Mountains. To minimize negative consequences of the high variability of rainfall, risk reducing mechanisms were developed by rain-fed farmers that may lose their efficacy in the course of climate change effects predicted for East Africa. Therefore, the second objective of this study was to examine possible changes in rainfall amounts during the last 60 years and to provide reliable risk and probability statements of rainfall-induced events of agricultural importance to rain-fed farmers in the Nuba Mountains. Soil gaseous emissions of C (in form of CO2) and N (in form of NH3 and N2O) of two traditional and two intensified homegardens were determined with a portable dynamic closed chamber system. For C gaseous emission rates reached their peak at the onset of the rainy season (2,325 g CO2-C ha-1 h-1 in an intensified garden type) and for N during the rainy season (16 g NH3-N ha-1 h-1 and 11.3 g N2O-N ha-1 h-1, in a traditional garden type). Data indicated cumulative annual emissions of 5,893 kg CO2-C ha-1, 37 kg NH3-N ha-1, and 16 kg N2O-N ha-1. For the assessment of the long-term productivity of the two types of homegardens and the identification of pathways of substantial element losses, a C and nutrient budget approach was used. In three traditional and three intensified homegardens observation plots were selected. The following variables were quantified on each plot between June and December in 2010: soil amendments, irrigation, biomass removal, symbiotic N2 fixation, C fixation by photosynthesis, atmospheric wet and dry deposition, leaching and soil gaseous emissions. Annual balances for C and nutrients amounted to -21 kg C ha-1, -70 kg N ha-1, 9 kg P ha-1 and -117 kg K ha-1 in intensified homegardens and to -1,722 kg C ha-1, -167 kg N ha-1, -9 kg P ha-1 and -74 kg K ha-1 in traditional homegardens. For the analysis of rainfall data, the INSTAT+ software allowed to aggregate long-term daily rainfall records from the Kadugli and Rashad weather stations into daily, monthly and annual intervals and to calculate rainfall-induced events of agricultural importance. Subsequently, these calculated values and events were checked for possible monotonic trends by Mann-Kendall tests. Over the period from 1970 to 2009, annual rainfall did not change significantly for either station. However, during this period an increase of low rainfall events coinciding with a decline in the number of medium daily rainfall events was observed in Rashad. Furthermore, the availability of daily rainfall data enabled frequency and conditional probability calculations that showed either no statistically significant changes or trends resulting only in minor changes of probabilities.