Case study:shipping trend estimation and prediction via multiscale variance stabilisation

<p>Shipping and shipping services are a key industry of great importance to the economy of Cyprus and the wider European Union. Assessment, management and future steering of the industry, and its associated economy, is carried out by a range of organisations and is of direct interest to a number of stakeholders. This article presents an analysis of shipping credit flow data: an important and archetypal series whose analysis is hampered by rapid changes of variance. Our analysis uses the recently developed data-driven Haar–Fisz transformation that enables accurate trend estimation and successful prediction in these kinds of situation. Our trend estimation is augmented by bootstrap confidence bands, new in this context. The good performance of the data-driven Haar–Fisz transform contrasts with the poor performance exhibited by popular and established variance stabilisation alternatives: the Box–Cox, logarithm and square root transformations.</p

Uniform in bandwidth exact rates for a class of kernel estimators

Given an i.i.d sample $(Y_i,Z_i)$, taking values in \RRR^{d'}\times \RRR^d, we consider a collection Nadarya-Watson kernel estimators of the conditional expectations \EEE(+d_g(z)\mid Z=z), where $z$ belongs to a compact set H\subset \RRR^d, $g$ a Borel function on \RRR^{d'} and $c_g(\cdot),d_g(\cdot)$ are continuous functions on \RRR^d. Given two bandwidth sequences h_n<\wth_n fulfilling mild conditions, we obtain an exact and explicit almost sure limit bounds for the deviations of these estimators around their expectations, uniformly in g\in\GG,\;z\in H and h_n\le h\le \wth_n under mild conditions on the density $f_Z$, the class \GG, the kernel $K$ and the functions $c_g(\cdot),d_g(\cdot)$. We apply this result to prove that smoothed empirical likelihood can be used to build confidence intervals for conditional probabilities \PPP(Y\in C\mid Z=z), that hold uniformly in z\in H,\; C\in \CC,\; h\in [h_n,\wth_n]. Here \CC is a Vapnik-Chervonenkis class of sets.Comment: Published in the Annals of the Institute of Statistical Mathematics Volume 63, p. 1077-1102 (2011

Dynamic Critical Behavior of the Chayes-Machta Algorithm for the Random-Cluster Model. I. Two Dimensions

We study, via Monte Carlo simulation, the dynamic critical behavior of the Chayes-Machta dynamics for the Fortuin-Kasteleyn random-cluster model, which generalizes the Swendsen-Wang dynamics for the q-state Potts ferromagnet to non-integer q \ge 1. We consider spatial dimension d=2 and 1.25 \le q \le 4 in steps of 0.25, on lattices up to 1024^2, and obtain estimates for the dynamic critical exponent z_{CM}. We present evidence that when 1 \le q \lesssim 1.95 the Ossola-Sokal conjecture z_{CM} \ge \beta/\nu is violated, though we also present plausible fits compatible with this conjecture. We show that the Li-Sokal bound z_{CM} \ge \alpha/\nu is close to being sharp over the entire range 1 \le q \le 4, but is probably non-sharp by a power. As a byproduct of our work, we also obtain evidence concerning the corrections to scaling in static observables.Comment: LaTeX2e, 75 pages including 26 Postscript figure

Synthesis of accelerograms compatible with the Chinese GB 50011-2001 design spectrum via harmonic wavelets: artificial and historic records

A versatile approach is employed to generate artificial accelerograms which satisfy the compatibility criteria prescribed by the Chinese aseismic code provisions GB 50011-2001. In particular, a frequency dependent peak factor derived by means of appropriate Monte Carlo analyses is introduced to relate the GB 50011-2001 design spectrum to a parametrically defined evolutionary power spectrum (EPS). Special attention is given to the definition of the frequency content of the EPS in order to accommodate the mathematical form of the aforementioned design spectrum. Further, a one-to-one relationship is established between the parameter controlling the time-varying intensity of the EPS and the effective strong ground motion duration. Subsequently, an efficient auto-regressive moving-average (ARMA) filtering technique is utilized to generate ensembles of non-stationary artificial accelerograms whose average response spectrum is in a close agreement with the considered design spectrum. Furthermore, a harmonic wavelet based iterative scheme is adopted to modify these artificial signals so that a close matching of the signals’ response spectra with the GB 50011-2001 design spectrum is achieved on an individual basis. This is also done for field recorded accelerograms pertaining to the May, 2008 Wenchuan seismic event. In the process, zero-phase high-pass filtering is performed to accomplish proper baseline correction of the acquired spectrum compatible artificial and field accelerograms. Numerical results are given in a tabulated format to expedite their use in practice

N-body simulations of gravitational dynamics

We describe the astrophysical and numerical basis of N-body simulations, both of collisional stellar systems (dense star clusters and galactic centres) and collisionless stellar dynamics (galaxies and large-scale structure). We explain and discuss the state-of-the-art algorithms used for these quite different regimes, attempt to give a fair critique, and point out possible directions of future improvement and development. We briefly touch upon the history of N-body simulations and their most important results.Comment: invited review (28 pages), to appear in European Physics Journal Plu