Modified Whittle Estimation of Multilateral Models on a Lattice

In the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d >= 2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more generally, with standard convergence rate, faces two obstacles. One is the "edge effect", which worsens with increasing d. The other is the possible difficulty of computing a continuous-frequency form of Whittle estimate or a time domain Gaussian maximum likelihood estimate, due mainly to the Jacobian term. This is especially a problem in "multilateral" models, which are naturally expressed in terms of lagged values in both directions for one or more of the d dimensions. An extension of the discrete-frequency Whittle estimate from the time series literature deals conveniently with the computational problem, but when subjected to a standard device for avoiding the edge effect has disastrous asymptotic performance, along with finite sample numerical drawbacks, the objective function lacking a minimum-distance interpretation and losing any global convexity properties. We overcome these problems by first optimizing a standard, guaranteed non-negative, discrete-frequency, Whittle function, without edge-effect correction, providing an estimate with a slow convergence rate, then improving this by a sequence of computationally convenient approximate Newton iterations using a modified, almost-unbiased periodogram, the desired asymptotic properties being achieved after finitely many steps. The asymptotic regime allows increase in both directions of all d dimensions, with the central limit theorem established after re-ordering as a triangular array. However our work offers something new for "unilateral" models also. When the data are non-Gaussian, asymptotic variances of all parameter estimates may be affected, and we propose consistent, non-negative definite estimates of the asymptotic variance matrix.spatial data, multilateral modelling, Whittle estimation, edge effect, consistent variance estimation

Cavitation damage characteristics in water and mercury from studies in a cavitating Venturi Technical report no. 17

Cavitating damage characteristics in water and mercury studied in cavitating Ventur

Moral hazard and Texas banking in the 1920s.

Using recently collected examination data from a sample of Texas state-chartered banks over the period 1919-26, the role of moral hazard in increasing ex-ante asset risk is analyzed. During this period, a state-run deposit insurance system was in place that was mandatory for all state-chartered banks in Texas. Nationally chartered banks were not allowed to participate in the insurance program. Analyzing individual bank-level data, we find evidence that declines in capitalization were positively correlated with increases in loan concentrations at insured banks. We argue that this is consistent with a moral-hazard effect at work. No such relationship is found between capitalization and risk at uninsured banks.Banks and banking - Texas

The star-formation history of the universe - an infrared perspective

A simple and versatile parameterized approach to the star formation history allows a quantitative investigation of the constraints from far infrared and submillimetre counts and background intensity measurements. The models include four spectral components: infrared cirrus (emission from interstellar dust), an M82-like starburst, an Arp220-like starburst and an AGN dust torus. The 60 $\mu$m luminosity function is determined for each chosen rate of evolution using the PSCz redshift data for 15000 galaxies. The proportions of each spectral type as a function of 60 $\mu$m luminosity are chosen for consistency with IRAS and SCUBA colour-luminosity relations, and with the fraction of AGN as a function of luminosity found in 12 $\mu$m samples. The luminosity function for each component at any wavelength can then be calculated from the assumed spectral energy distributions. With assumptions about the optical seds corresponding to each component and, for the AGN component, the optical and near infrared counts can be accurately modelled. A good fit to the observed counts at 0.44, 2.2, 15, 60, 90, 175 and 850 $\mu$m can be found with pure luminosity evolution in all 3 cosmological models investigated: $\Omega_o$ = 1, $\Omega_o$ = 0.3 ($\Lambda$ = 0), and $\Omega_o$ = 0.3, $\Lambda$ = 0.7. All 3 models also give an acceptable fit to the integrated background spectrum. Selected predictions of the models, for example redshift distributions for each component at selected wavelengths and fluxes, are shown. The total mass-density of stars generated is consistent with that observed, in all 3 cosmological models.Comment: 20 pages, 25 figures. Accepted for publication in ApJ. Full details of models can be found at http://astro.ic.ac.uk/~mrr/countmodel