Large Dimensional Analysis and Optimization of Robust Shrinkage Covariance Matrix Estimators

This article studies two regularized robust estimators of scatter matrices proposed (and proved to be well defined) in parallel in (Chen et al., 2011) and (Pascal et al., 2013), based on Tyler's robust M-estimator (Tyler, 1987) and on Ledoit and Wolf's shrinkage covariance matrix estimator (Ledoit and Wolf, 2004). These hybrid estimators have the advantage of conveying (i) robustness to outliers or impulsive samples and (ii) small sample size adequacy to the classical sample covariance matrix estimator. We consider here the case of i.i.d. elliptical zero mean samples in the regime where both sample and population sizes are large. We demonstrate that, under this setting, the estimators under study asymptotically behave similar to well-understood random matrix models. This characterization allows us to derive optimal shrinkage strategies to estimate the population scatter matrix, improving significantly upon the empirical shrinkage method proposed in (Chen et al., 2011).Comment: Journal of Multivariate Analysi

A Monte Carlo Study of Growth Regressions

Using Monte Carlo simulations, this paper evaluates the bias properties of common estimators used in growth regressions derived from the Solow model. We explicitly allow for measurement error in the right-hand side variables, as well as country-specific effects that are correlated with the regressors. Our results suggest that using an OLS estimator applied to a single cross-section of variables averaged over time (the between estimator) performs best in terms of the extent of bias on each of the estimated coefficients. The fixed-effects estimator and the Arellano-Bond estimator greatly overstate the speed of convergence under a wide variety of assumptions concerning the type and extent of measurement error, while between understates it somewhat. Finally, fixed effects and Arellano-Bond bias towards zero the slope estimates on the human and physical capital accumulation variables.

A Robust Statistics Approach to Minimum Variance Portfolio Optimization

We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of available market returns is often of similar order to the number of assets, so that the sample covariance matrix performs poorly as a covariance estimator. Additionally, financial market data often contain outliers which, if not correctly handled, may further corrupt the covariance estimation. We address these shortcomings by studying the performance of a hybrid covariance matrix estimator based on Tyler's robust M-estimator and on Ledoit-Wolf's shrinkage estimator while assuming samples with heavy-tailed distribution. Employing recent results from random matrix theory, we develop a consistent estimator of (a scaled version of) the realized portfolio risk, which is minimized by optimizing online the shrinkage intensity. Our portfolio optimization method is shown via simulations to outperform existing methods both for synthetic and real market data

PROSPECTS FOR THE CANADIAN DAIRY SECTOR FOLLOWING THE UPCOMING NAFTA PANEL RULING

International Relations/Trade,

Sequential resonant tunneling in quantum cascade lasers

A model of sequential resonant tunneling transport between two-dimensional subbands that takes into account explicitly elastic scattering is investigated. It is compared to transport measurements performed on quantum cascade lasers where resonant tunneling processes are known to be dominating. Excellent agreement is found between experiment and theory over a large range of current, temperature and device structures

Ring-opening copolymerization (ROCOP): synthesis and properties of polyesters and polycarbonates

Controlled routes to prepare polyesters and polycarbonates are of interest due to the widespread application of these materials and the opportunities provided to prepare new copolymers. Furthermore, ring-opening copolymerization may enable new poly(ester–carbonate) materials to be prepared which are inaccessible using alternative polymerizations. This review highlights recent advances in the ring-opening copolymerization catalysis, using epoxides coupled with anhydrides or CO2, to produce polyesters and polycarbonates. In particular, the structures and performances of various homogeneous catalysts are presented for the epoxide–anhydride copolymerization. The properties of the resultant polyesters and polycarbonates are presented and future opportunities highlighted for developments of both the materials and catalysts

A cognitive approach to the expected value of work integration social enterprises

Research Summary Oftentimes, social enterprises simultaneously pursue competing organizational goals. For example, this can mean having a social goal (e.g., integrating vulnerable populations into the labor market) and a commercial goal (e.g., being profitable). I propose a theory according to which for such social enterprises, how they are perceived depends on how their goals are presented and on the type of categorization process used by their evaluating audience. These two factors together impact a venture's legitimacy and expected value. I also show that these effects vary with the level of knowledgeability of the audience performing the evaluation. Taken together, the results of this paper have implications for the cognitive perspective on strategic entrepreneurship as well as the literature on categories in markets and on hybrid organizations. Managerial Summary I study the different category primings that influence the customer's perception of work integration social enterprises (WISEs). These social enterprises can either direct their customers' attention toward comparability with a category prototype (prototype-based categorization), or toward a customer goal (goal-based categorization). I find support for the idea that, depending on which organizational goal is emphasized first and foremost by a WISE (e.g., social or commercial), the activation of either category priming impacts the venture's capacity to create value. Ultimately, this work establishes the cognitive foundations of social enterprises' competitive advantage by showing the type of category priming (goal-based vs. prototype-based categorization) that positively impacts a WISE's expected value as a function of “who” the targeted customers (less vs. more knowledgeable customers) are

Synchronization of Bloch oscillations by a ring cavity

We consider Bloch oscillations of ultracold atoms stored in a one-dimensional vertical optical lattice and simultaneously interacting with a unidirectionally pumped optical ring cavity whose vertical arm is collinear with the optical lattice. We find that the feedback provided by the cavity field on the atomic motion synchronizes Bloch oscillations via a mode-locking mechanism, steering the atoms to the lowest Bloch band. It also stabilizes Bloch oscillations against noise, and even suppresses dephasing due to atom-atom interactions. Furthermore, it generates periodic bursts of light emitted into the counter-propagating cavity mode, providing a non-destructive monitor of the atomic dynamics. All these features may be crucial for future improvements of the design of atomic gravimeters based on recording Bloch oscillations.Comment: 14 pages, 7 figure

Rotational intermittency and turbulence induced lift experienced by large particles in a turbulent flow

The motion of a large, neutrally buoyant, particle, freely advected by a turbulent flow is determined experimentally. We demonstrate that both the translational and angular accelerations exhibit very wide probability distributions, a manifestation of intermittency. The orientation of the angular velocity with respect to the trajectory, as well as the translational acceleration conditioned on the spinning velocity provide evidence of a lift force acting on the particle.Comment: 4 page, 4 figure

Non equilibrium thermodynamics and cosmological pancakes formation

We investigate the influence of non equilibrium thermodynamics on cosmological structure formation. In this paper, we consider the collapse of planar perturbations usually called "Zel'dovich pancakes". We have developed for that purpose a new two fluids (gas and dark matter) hydrodynamical code, with three different thermodynamical species: electrons, ions and neutral particles (T_e\ne T_i \ne T_n). We describe in details the complex structure of accretion shock waves. We include several relevant processes for a low density, high temperature, collisional plasma such as non-equilibrium chemical reactions, cooling, shock heating, thermal energy equipartition between electrons, ions and neutral particles and electronic conduction. We find two different regions in the pancake structure: a thermal precursor ahead of the compression front and an equipartition wave after the compression front where electrons and ions temperatures differ significantly. This complex structure may have two interesting consequences: pre-heating of unshocked regions in the vicinity of massive X-ray clusters and ions and electrons temperatures differences in the outer regions of X-rays clusters.Comment: 30 pages, including 8 figures, accepted for publication in The Astrophysical Journa