Level crossings and other level functionals of stationary Gaussian processes

This paper presents a synthesis on the mathematical work done on level crossings of stationary Gaussian processes, with some extensions. The main results [(factorial) moments, representation into the Wiener Chaos, asymptotic results, rate of convergence, local time and number of crossings] are described, as well as the different approaches [normal comparison method, Rice method, Stein-Chen method, a general $m$-dependent method] used to obtain them; these methods are also very useful in the general context of Gaussian fields. Finally some extensions [time occupation functionals, number of maxima in an interval, process indexed by a bidimensional set] are proposed, illustrating the generality of the methods. A large inventory of papers and books on the subject ends the survey.Comment: Published at http://dx.doi.org/10.1214/154957806000000087 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org

On the second moment of the number of crossings by a stationary Gaussian process

Cram\'{e}r and Leadbetter introduced in 1967 the sufficient condition $$\frac{r''(s)-r''(0)}{s}\in L^1([0,\delta],dx),\qquad \delta>0,$$ to have a finite variance of the number of zeros of a centered stationary Gaussian process with twice differentiable covariance function $r$. This condition is known as the Geman condition, since Geman proved in 1972 that it was also a necessary condition. Up to now no such criterion was known for counts of crossings of a level other than the mean. This paper shows that the Geman condition is still sufficient and necessary to have a finite variance of the number of any fixed level crossings. For the generalization to the number of a curve crossings, a condition on the curve has to be added to the Geman condition.Comment: Published at http://dx.doi.org/10.1214/009117906000000142 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Numerical study of homogeneous dynamo based on experimental von Karman type flows

A numerical study of the magnetic induction equation has been performed on von Karman type flows. These flows are generated by two co-axial counter-rotating propellers in cylindrical containers. Such devices are currently used in the von Karman sodium (VKS) experiment designed to study dynamo action in an unconstrained flow. The mean velocity fields have been measured for different configurations and are introduced in a periodic cylindrical kinematic dynamo code. Depending on the driving configuration, on the poloidal to toroidal flow ratio and on the conductivity of boundaries, some flows are observed to sustain growing magnetic fields for magnetic Reynolds numbers accessible to a sodium experiment. The response of the flow to an external magnetic field has also been studied: The results are in excellent agreement with experimental results in the single propeller case but can differ in the two propellers case.Comment: 20 pages, 32 figure

Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis

We use a multivariate generalized autoregressive heteroskedasticity model (M-GARCH) to examine three stock indexes and their associated futures prices: the New York Stock Exchange Composite, Standard and Poor's 500, and Toronto 35. The North American context is significant because markets in Canada and the United States share similar structures and regulatory environments. Our model allows examination of dependence in volatility as it captures time variation in volatility and cross-market influences. Estimated time-variation in volatility is significant, and the volatilities are highly positively correlated. Yet, we find that the correlation in North American index and futures markets has declined over time.Financial markets ; Futures ; Stock market

Assessing LGUs' Health Service Delivery Performance: the Cases of Agusan del Sur and Dumaguete City

With the devolution of health service delivery from the Department of Health to local government units (LGUs) as mandated in the 1991 Local Government Code, how have the LGUs performed in their new task? And how have the local constituents responded to the new set-up? Read more on these...local government unit, health facilities, health service delivery, local government code, local service delivery