Multivariate Copula Analysis Toolbox (MvCAT): Describing Dependence and Underlying Uncertainty Using a Bayesian Framework

We present a newly developed Multivariate Copula Analysis Toolbox (MvCAT) which includes a wide range of copula families with different levels of complexity. MvCAT employs a Bayesian framework with a residual-based Gaussian likelihood function for inferring copula parameters and estimating the underlying uncertainties. The contribution of this paper is threefold: (a) providing a Bayesian framework to approximate the predictive uncertainties of fitted copulas, (b) introducing a hybrid-evolution Markov Chain Monte Carlo (MCMC) approach designed for numerical estimation of the posterior distribution of copula parameters, and (c) enabling the community to explore a wide range of copulas and evaluate them relative to the fitting uncertainties. We show that the commonly used local optimization methods for copula parameter estimation often get trapped in local minima. The proposed method, however, addresses this limitation and improves describing the dependence structure. MvCAT also enables evaluation of uncertainties relative to the length of record, which is fundamental to a wide range of applications such as multivariate frequency analysis

Statistical Consequences of Devroye Inequality for Processes. Applications to a Class of Non-Uniformly Hyperbolic Dynamical Systems

In this paper, we apply Devroye inequality to study various statistical estimators and fluctuations of observables for processes. Most of these observables are suggested by dynamical systems. These applications concern the co-variance function, the integrated periodogram, the correlation dimension, the kernel density estimator, the speed of convergence of empirical measure, the shadowing property and the almost-sure central limit theorem. We proved in \cite{CCS} that Devroye inequality holds for a class of non-uniformly hyperbolic dynamical systems introduced in \cite{young}. In the second appendix we prove that, if the decay of correlations holds with a common rate for all pairs of functions, then it holds uniformly in the function spaces. In the last appendix we prove that for the subclass of one-dimensional systems studied in \cite{young} the density of the absolutely continuous invariant measure belongs to a Besov space.Comment: 33 pages; companion of the paper math.DS/0412166; corrected version; to appear in Nonlinearit

DIAGNOSTIC AND THERAPEUTIC DILEMMAS IN MALIGNANT LYMPHOMAS

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Parameters of the fractional Fokker-Planck equation

We study the connection between the parameters of the fractional Fokker-Planck equation, which is associated with the overdamped Langevin equation driven by noise with heavy-tailed increments, and the transition probability density of the noise generating process. Explicit expressions for these parameters are derived both for finite and infinite variance of the rescaled transition probability density.Comment: 5 page

Effects of Iodine upon the Structure and Function of Mitochondria

Abstract The influence of iodine in its positive and negative monovalent form upon the oxygen consumption in euthyroid and thyroidectomized rats and the oxidative phosphorylation in liver mitochondria isolated from both groups of animals, as well as the spontaneous swelling and total ATPase activity of mitochondria have been studied. It was established that the administration of ICI increased the oxygen consumption of normal and thyroidectomized rats while under the same conditions no effect was found with NaI .IBr stimulated the oxygen consumption in vitro in liver mitochondria isolated both from normal and thyroidectomized rats and decreased the P/O ratio while NaI had no effect. I2 and IBr increased the swelling and inhibited the ATPase activity of isolated rat liver mitochondria, while these effects were not observed when KI was used. The thyroidstatic 1-methyl-2-mercaptoimidazol decreased the stimulating effect of iodine upon the swelling of mitochondria and to a certain extent lowered its inhibiting effect upon the ATPase activity. It is concluded that iodine in its positive monovalent form has a thyroxine-like effect upon the structure and function of isolated rat liver mitochondria, as well as in vivo upon the respiration of euthyroid and thyroidectomized rats

Extremal flows in Wasserstein space

We develop an intrinsic geometric approach to the calculus of variations in theWasserstein space. We show that the flows associated with the Schr\ua8odinger bridge with general prior, with optimal mass transport, and with the Madelung fluid can all be characterized as annihilating the first variation of a suitable action. We then discuss the implications of this unified framework for stochastic mechanics: It entails, in particular, a sort of fluid-dynamic reconciliation between Bohm\u2019s and Nelson\u2019s stochastic mechanics

Entropies of Negative Incomes, Pareto-Distributed Loss, and Financial Crises

Health monitoring of world economy is an important issue, especially in a time of profound economic difficulty world-wide. The most important aspect of health monitoring is to accurately predict economic downturns. To gain insights into how economic crises develop, we present two metrics, positive and negative income entropy and distribution analysis, to analyze the collective “spatial” and temporal dynamics of companies in nine sectors of the world economy over a 19 year period from 1990–2008. These metrics provide accurate predictive skill with a very low false-positive rate in predicting downturns. The new metrics also provide evidence of phase transition-like behavior prior to the onset of recessions. Such a transition occurs when negative pretax incomes prior to or during economic recessions transition from a thin-tailed exponential distribution to the higher entropy Pareto distribution, and develop even heavier tails than those of the positive pretax incomes. These features propagate from the crisis initiating sector of the economy to other sectors