Long Run Covariance Matrices for Fractionally Integrated Processes

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0Asymptotic expansion, Autocovariance function, Fourier integral, Long memory, Long run variance, Spectral density

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

This paper develops an asymptotic theory for a general class of nonlinear nonstationary regressions, extending earlier work by Phillips and Hansen (1990) on linear cointegrating regressions. The model considered accommodates a linear time trend and stationary regressors, as well as multiple I(1) regressors. We establish consistency and derive the limit distribution of the nonlinear least squares estimator. The estimator is consistent under fairly general conditions but the convergence rate and the limiting distribution are critically dependent upon the type of the regression function. For integrable regression functions, the parameter estimates converge at a reduced n^{1/4} rate and have mixed normal limit distributions. On the other hand, if the regression functions are homogeneous at infinity, the convergence rates are determined by the degree of the asymptotic homogeneity and the limit distributions are non-Gaussian. It is shown that nonlinear least squares generally yields inefficient estimators and invalid tests, just as in linear nonstationary regressions. The paper proposes a methodology to overcome such difficulties. The approach is simple to implement, produces efficient estimates and leads to tests that are asymptotically chi-square. It is implemented in empirical applications in much the same way as the fully modified estimator of Phillips and Hansen.Nonlinear regressions, integrated time series, nonlinear least squares, Brownian motion, Brownian local time

Log Periodogram Regression: The Nonstationary Case

Estimation of the memory parameter ( d ) is considered for models of nonstationary fractionally integrated time series with d \u3e (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 \u3c d \u3c 2 and is consistent when (1/2) \u3c d = 1. For d \u3e 1, the estimator is shown to converge in probability to unity

Long Run Covariance Matrices for Fractionally Integrated Processes

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 \u3c d \u3c 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory

Interação Entre Xilanase, Glicose Oxidase E ácido Ascórbico Na Qualidade Tecnológica De Pão Elaborado Com Farinha Do Trigo Integral

This study aimed to verify the performance of xylanase and its interaction with oxidants agents (glucose oxidase and ascorbic acid) on the quality of whole wheat bread. The experiment was based on a central composite rotational design and the Response Surface Methodology was used to analyze the results. None of the xylanase, glucose oxidase or ascorbic acid concentrations within the studied range led to a significant difference in the specific volume. The highest moisture content and the lowest firmness values were reported in the bread with lower and intermediate levels of xylanase and larger amounts of glucose oxidase and ascorbic acid. This effect was observed mainly at the end of the storage period. A minimum amount of xylanase (from 33 to 63 EDX kg-1 flour) showed to be essential for obtaining best results. Levels of ascorbic acid above 63mg kg-1 and glucose oxidase above 91 SRU kg-1 proved to be necessary to offer the beneficial effect of xylanase. © 2016, Universidade Federal de Santa Maria. All rights reserved.46122249225

Spatially variable fault friction derived from dynamic modeling of aseismic afterslip due to the 2004 Parkfield earthquake

We investigate fault friction from dynamic modeling of fault slip prior to and following the Mw 6.0 earthquake which ruptured the Parkfield segment of the San Andreas Fault in 2004. The dynamic modeling assumes a purely rate-strengthening friction law, with a logarithmic dependency on sliding rate: μ=μ *+a-blnvv*. The initial state of stress is explicitly taken into account, and afterslip is triggered by the stress change induced by the earthquake source model given a priori. We consider different initial stress states and two coseismic models, and invert for the other model parameters using a nonlinear inversion scheme. The model parameters include the reference friction μ*, the friction rate dependency characterized by the quantity a-b, assumed to be either uniform or depth dependent. The model parameters are determined from fitting the transient postseismic geodetic signal measured at continuous GPS stations. Our study provides a view of frictional properties at the kilometers scale over the 0-15 km depth illuminated by the coseismic stress change induced by the Parkfield earthquake. The reference friction is estimated to be between 0.1 and 0.5. With independent a priori constraints on the amplitude of differential stress, the range of possible values narrows down to 0.1-0.17. The friction rate coefficient a-b is estimated to be � 10- 3 - 10- 2 with a hint that it increases upward from about 1-3 � 10-3 at 3-7 km depth to about 4-7 � 10-3 at 0-1 km depth. It is remarkable that our results are consistent with frictional properties measured on rock samples recovered from the fault zone thanks to the San Andreas Fault Observatory at Depth experiment. ©2013. American Geophysical Union. All Rights Reserved

TIPS AND TRICKS FOR CHARACTERIZING SHAPE MEMORY ALLOY WIRE: PART 1—DIFFERENTIAL SCANNING CALORIMETRY AND BASIC PHENOMENA

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/73961/1/j.1747-1567.2008.00410.x.pd

Nonlinear Instrumental Variable Estimation of Autoregression

Instrumental variable (IV) estimation methods that allow for certain nonlinear functions of the data as instruments are studied. The context of the discussion is the simple unit root model where certain advantages to the use of nonlinear instruments are revealed. In particular, certain classes of IV estimators and associated t -tests are shown to have simpler (standard) limit theory in contrast to the least squares estimator, providing an opportunity for the study of optimal estimation in certain IV classes and furnishing tests and confidence intervals that allow for unit root and stationary alternatives. The Cauchy estimator studied in recent work by So and Shin (1999) is shown to have such an optimality property in the class of certain IV procedures with bounded instruments

Effect of membrane character and solution chemistry on microfiltration performance

To help understand and predict the role of natural organic matter (NOM) in the fouling of low-pressure membranes, experiments were carried out with an apparatus that incorporates automatic backwashing and long filtration runs. Three hollow fibre membranes of varying character were included in the study, and the filtration of two different surface waters was compared. The hydrophilic membrane had greater flux recovery after backwashing than the hydrophobic membranes, but the efficiency of backwashing decreased at extended filtration times. NOM concentration of these waters (7.9 and 9.1 mg/L) had little effect on the flux of the membranes at extended filtration times, as backwashing of the membrane restored the flux to similar values regardless of the NOM concentration. The solution pH also had little effect at extended filtration times. The backwashing efficiency of the hydrophilic membrane was dramatically different for the two waters, and the presence of colloid NOM alone could not explain these differences. It is proposed that colloidal NOM forms a filter cake on the surface of the membranes and that small molecular weight organics that have an adsorption peak at 220 nm but not 254 nm were responsible for “gluing” the colloids to the membrane surface. Alum coagulation improved membrane performance in all instances, and this was suggested to be because coagulation reduced the concentration of “glue” that holds the organic colloids to the membrane surface