An information theoretic approach to statistical dependence: copula information

We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and dependence components, with the latter quantified by the mutual information. We define the information excess as a measure of deviation from a maximum entropy distribution. The idea of marginal invariant dependence measures is also discussed and used to show that empirical linear correlation underestimates the amplitude of the actual correlation in the case of non-Gaussian marginals. The mutual information is shown to provide an upper bound for the asymptotic empirical log-likelihood of a copula. An analytical expression for the information excess of T-copulas is provided, allowing for simple model identification within this family. We illustrate the framework in a financial data set.Comment: to appear in Europhysics Letter

Carbon monoxide detector

A sensitive carbon monoxide detector, developed specifically for spacecraft use, is described. An instrument range of 0 to 60 ppm CO in air was devised. The fuel cell type detector is used as a highly sensitive electrolysis cell for electrochemically detecting gases. The concept of an electrochemical CO detector is discussed and the CO oxidation behavior in phosphoric and sulfuric acid electrolytes is reported

Distorted Copulas: Constructions and Tail Dependence

Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1] the distortion C ψ: [0, 1]2 → [0, 1], C ψ(x, y) = ψ{C[ψ−1(x), ψ−1(y)]} is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on ψ that ensures that any distortion of C by means of ψ is again a copula. The presented results allow us to introduce in a more flexible way families of copulas exhibiting different behavior in the tails

Signal Processing

Contains research objectives and reports on two research projects.Joint Services Electronics Programs (U. S. Army, U. S. Navy, and U. S. Air Force) under Contract DA 28-043-AMC-02536(E

Strong Approximation of Empirical Copula Processes by Gaussian Processes

We provide the strong approximation of empirical copula processes by a Gaussian process. In addition we establish a strong approximation of the smoothed empirical copula processes and a law of iterated logarithm

The Bivariate Normal Copula

We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula, we compute Gini's gamma, and we provide improved bounds and approximations on the diagonal.Comment: 24 page

Implied volatility of basket options at extreme strikes

In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dynamics of asset prices are described by the multidimensional Black-Scholes model. Next, we find the leading term of asymptotics of the implied volatility in the case where the asset prices follow the multidimensional Black-Scholes model with time change by an independent increasing stochastic process. Finally, we deal with a general situation in which the dependence between the assets is described by a given copula function. In this setting, we obtain a model-free tail-wing formula that links the implied volatility to a special characteristic of the copula called the weak lower tail dependence function

Effects of seed lots and seed production time on growth, flowering and cut flower quality in Bupleurum rotundifolium L.

Effects of three planting patterns; two-row-planting high density (25 plants·m(-2)), two-row-planting low density (12.5 plants·m(-2)), and four-row-planting (25 plants·m(-2)) on the cut flower number and quality of spray carnation (Dianthus caryophyllus L.) cv. ‘Barbara’ and ‘Cherry Tessino’ grown by fertigation cultivation were investigated. In ‘Barbara’, there was no difference in total cut flower number between two-row-planting high density and four-row-planting. Total cut flower number of two-row-planting low density decreased to 60% of two-row-planting high density or four-row-planting. In ‘Cherry Tessino’, the total cut flower number of two-row-planting high density was 15% more than that of four-row-planting. The total cut flower number of two-row-planting low density decreased to 60~70% of two-row-planting high density or four-row-planting. There was no difference in cut flower quality between two-row-planting high density and four-row-planting in both cultivars. Cut flower weight and stem diameter of two-row-planting low density increased compared to those of two-row-planting high density or four-row-planting. Thus, the result indicates that two-row-planting high density may be suitable for fertigation cultivation in carnation

Polariton Condensation and Lasing

The similarities and differences between polariton condensation in microcavities and standard lasing in a semiconductor cavity structure are reviewed. The recent experiments on "photon condensation" are also reviewed.Comment: 23 pages, 6 figures; Based on the book chapter in Exciton Polaritons in Microcavities, (Springer Series in Solid State Sciences vol. 172), V. Timofeev and D. Sanvitto, eds., (Springer, 2012

Observation of Parity Nonconservation in Moller Scattering

We report a measurement of the parity-violating asymmetry in fixed target electron-electron (Moller) scattering: A_PV = -175 +/- 30 (stat.) +/- 20 (syst.) parts per billion. This first direct observation of parity nonconservation in Moller scattering leads to a measurement of the electron's weak charge at low energy Q^e_W = -0.053 +/- 0.011. This is consistent with the Standard Model expectation at the current level of precision: sin^2\theta_W(M_Z)_MSbar = 0.2293 +/- 0.0024 (stat.) +/- 0.0016 (syst.) +/- 0.0006 (theory).Comment: Version 3 is the same as version 2. These versions contain minor text changes from referee comments and a change in the extracted value of Q^e_W and sin^2\theta_W due to a change in the theoretical calculation of the bremsstrahulung correction (ref. 16