Brownian semistationary processes and conditional full support

In this note, we study the infinite-dimensional conditional laws of Brownian semistationary processes. Motivated by the fact that these processes are typically not semimartingales, we present sufficient conditions ensuring that a Brownian semistationary process has conditional full support, a property introduced by Guasoni, R\'asonyi, and Schachermayer [Ann. Appl. Probab., 18 (2008) pp. 491--520]. By the results of Guasoni, R\'asonyi, and Schachermayer, this property has two important implications. It ensures, firstly, that the process admits no free lunches under proportional transaction costs, and secondly, that it can be approximated pathwise (in the sup norm) by semimartingales that admit equivalent martingale measures.Comment: 7 page

Ambrose Bierce Describes Swinburne

Significant holdings of both Ambrose Bierce and Algernon Charles Swinburne are in the George Arents Research Library for Special Collections at Syracuse University (thanks in large part to John S. Mayfield). It is of particular interest when information about the two together is discovered in a single contemporary source. This article remarks on a simultaneously unflattering and reverant description of Swinburne that Bierce offered in a Californian periodical

Non existence of a phase transition for the Penetrable Square Wells in one dimension

Penetrable Square Wells in one dimension were introduced for the first time in [A. Santos et. al., Phys. Rev. E, 77, 051206 (2008)] as a paradigm for ultra-soft colloids. Using the Kastner, Schreiber, and Schnetz theorem [M. Kastner, Rev. Mod. Phys., 80, 167 (2008)] we give strong evidence for the absence of any phase transition for this model. The argument can be generalized to a large class of model fluids and complements the van Hove's theorem.Comment: 14 pages, 7 figures, 1 tabl

A note on a Mar\v{c}enko-Pastur type theorem for time series

In this note we develop an extension of the Mar\v{c}enko-Pastur theorem to time series model with temporal correlations. The limiting spectral distribution (LSD) of the sample covariance matrix is characterised by an explicit equation for its Stieltjes transform depending on the spectral density of the time series. A numerical algorithm is then given to compute the density functions of these LSD's

Strong consistency of the maximum likelihood estimator for finite mixtures of location-scale distributions when penalty is imposed on the ratios of the scale parameters

In finite mixtures of location-scale distributions, if there is no constraint or penalty on the parameters, then the maximum likelihood estimator does not exist because the likelihood is unbounded. To avoid this problem, we consider a penalized likelihood, where the penalty is a function of the minimum of the ratios of the scale parameters and the sample size. It is shown that the penalized maximum likelihood estimator is strongly consistent. We also analyze the consistency of a penalized maximum likelihood estimator where the penalty is imposed on the scale parameters themselves.Comment: 29 pages, 2 figure

Hypothesis testing for Gaussian states on bosonic lattices

The asymptotic state discrimination problem with simple hypotheses is considered for a cubic lattice of bosons. A complete solution is provided for the problems of the Chernoff and the Hoeffding bounds and Stein's lemma in the case when both hypotheses are gauge-invariant Gaussian states with translation-invariant quasi-free parts.Comment: 22 pages, submitted versio

Entanglement and criticality in translational invariant harmonic lattice systems with finite-range interactions

We discuss the relation between entanglement and criticality in translationally invariant harmonic lattice systems with non-randon, finite-range interactions. We show that the criticality of the system as well as validity or break-down of the entanglement area law are solely determined by the analytic properties of the spectral function of the oscillator system, which can easily be computed. In particular for finite-range couplings we find a one-to-one correspondence between an area-law scaling of the bi-partite entanglement and a finite correlation length. This relation is strict in the one-dimensional case and there is strog evidence for the multi-dimensional case. We also discuss generalizations to couplings with infinite range. Finally, to illustrate our results, a specific 1D example with nearest and next-nearest neighbor coupling is analyzed.Comment: 4 pages, one figure, revised versio

Semiparametric sieve-type generalized least squares inference

This article considers the problem of statistical inference in linear regression models with dependent errors. A sieve-type generalized least squares (GLS) procedure is proposed based on an autoregressive approximation to the generating mechanism of the errors. The asymptotic properties of the sieve-type GLS estimator are established under general conditions, including mixingale-type conditions as well as conditions which allow for long-range dependence in the stochastic regressors and/or the errors. A Monte Carlo study examines the finite-sample properties of the method for testing regression hypotheses