Change detection in the Cox-Ingersoll-Ross model

We propose a change detection method for the famous Cox--Ingersoll--Ross model. This model is widely used in financial mathematics and therefore detecting a change in its parameters is of crucial importance. We develop one- and two-sided testing procedures for both drift parameters of the process. The test process is based on estimators that are motivated by the discrete time least-squares estimators, and its asymptotic distribution under the no-change hypothesis is that of a Brownian bridge. We prove the asymptotic weak consistence of the test, and derive the asymptotic properties of the change-point estimator under the alternative hypothesis of change at one point in time.Comment: 30 page

Parameter estimation for the subcritical Heston model based on discrete time observations

We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified parameters.Comment: 22 pages, mistakes in the proof of Theorem 3.2 are correcte

Change detection in INAR(p) processes against various alternative hypotheses

Change in the coefficients or in the mean of the innovation distribution of an INAR(p) process is a sign of disturbance that is important to detect. The methods of this paper can test for change in any one of these quantities separately, or in any collection of them. They are available in forms that make one-sided tests possible, furthermore, they can be used to test for a temporary change. The tests are based on a CUSUM process using conditional least squares estimators of the parameters. Under alternative hypotheses consistency of the tests is proved and the large sample properties of the change-point estimator are also explored.Comment: 42 pages; minor correction

Surname Repetition and Isonymy in Northeastern Hungarian Marriages

This is the published version. Copyright 1990 Wayne State University Press.The repeated-pair (RP) approach to surnames in married couples is a measure of population subdivision resulting from the influence of lineagelike behavior in mate choice. An excess of RP over random RP implies limitations in mate choice and a reduction of genetic variability. Here we apply the RP method to data from the rural populations of Csaroda, Tiszaadony, and Tiszavid in northeastern Hungary. The results indicate small differences between RP and random RP for Tiszavid and somewhat larger differences for Tiszaadony and Csaroda. The excess of RP over random RP in Tiszavid, however, derives primarily from marriages simultaneously isonymous and repeating in only one lineage. The discrepancy between RP and random RP implies a small reduction in genetic variability

Synovial fibroblasts: key players in rheumatoid arthritis

Rheumatoid arthritis (RA) is a chronic autoimmune-disease of unknown origin that primarily affects the joints and ultimately leads to their destruction. The involvement of immune cells is a general hallmark of autoimmune-related disorders. In this regard, macrophages, T cells and their respective cytokines play a pivotal role in RA. However, the notion that RA is a primarily T-cell-dependent disease has been strongly challenged during recent years. Rather, it has been understood that resident, fibroblast-like cells contribute significantly to the perpetuation of disease, and that they may even play a role in its initiation. These rheumatoid arthritis synovial fibroblasts (RASFs) constitute a quite unique cell type that distinguishes RA from other inflammatory conditions of the joints. A number of studies have demonstrated that RASFs show alterations in morphology and behaviour, including molecular changes in signalling cascades, apoptosis responses and in the expression of adhesion molecules as well as matrix-degrading enzymes. These changes appear to reflect a stable activation of RASFs, which occurs independently of continuous exogenous stimulation. As a consequence, RASFs are no longer considered passive bystanders but active players in the complex intercellular network of R

Antibody-mediated inhibition of syndecan-4 dimerisation reduces interleukin (IL)-1 receptor trafficking and signalling.

OBJECTIVE: Syndecan-4 (sdc4) is a cell-anchored proteoglycan that consists of a transmembrane core protein and glucosaminoglycan (GAG) side chains. Binding of soluble factors to the GAG chains of sdc4 may result in the dimerisation of sdc4 and the initiation of downstream signalling cascades. However, the question of how sdc4 dimerisation and signalling affects the response of cells to inflammatory stimuli is unknown. METHODS: Sdc4 immunostaining was performed on rheumatoid arthritis (RA) tissue sections. Interleukin (IL)-1 induced extracellular signal-regulated kinases (ERK) phosphorylation and matrix metalloproteinase-3 production was investigated. Il-1 binding to sdc4 was investigated using immunoprecipitation. IL-1 receptor (IL1R1) staining on wild-type, sdc4 and IL1R1 knockout fibroblasts was performed in fluorescence-activated cell sorting analyses. A blocking sdc4 antibody was used to investigate sdc4 dimerisation, IL1R1 expression and the histological paw destruction in the human tumour necrosis factor-alpha transgenic mouse. RESULTS: We show that in fibroblasts, the loss of sdc4 or the antibody-mediated inhibition of sdc4 dimerisation reduces the cell surface expression of the IL-1R and regulates the sensitivity of fibroblasts to IL-1. We demonstrate that IL-1 directly binds to sdc4 and in an IL-1R-independent manner leads to its dimerisation. IL-1-induced dimerisation of sdc4 regulates caveolin vesicle-mediated trafficking of the IL1R1, which in turn determines the responsiveness to IL-1. Administration of antibodies (Ab) against the dimerisation domain of sdc4, thus, strongly reduces the expression IL1R1 on arthritic fibroblasts both in vitro and an animal model of human RA. CONCLUSION: Collectively, our data suggest that Ab that specifically inhibit sdc4 dimerisation may support anti-IL-1 strategies in diseases such as inflammatory arthritis

Solution of gauge theories induced by fundamental representation scalars

Gauge theories induced by scalars in the fundamental representation of the $U(N_c)_{gauge}\times U(N_f)_{global}$ group are investigated in the large $N_c$ and $N_f$ limit. A master field is defined from bilinears of the scalar field following an Eguchi-Kawai type reduction of spacetime. The density function for the master field satisfies an integral equation that can be solved exactly in two dimensions (D=2) and in a convergent series of approximations at $D>2$. While at D=2 the system is in the same phase at all $\epsilon=N_c/N_f$, it undergoes a phase transition at a critical value, $\epsilon_c(D)$, for $D>2$.Comment: 12 pages, LaTe