High-jet relations of the heat kernel embedding map and applications

For any compact Riemannian manifold $(M,g)$ and its heat kernel embedding map $psi_t$ from M into $l^2$ constructed in [BBG], we study the higher derivatives of $psi_t$ with respect to an orthonormal basis at $x$ on $M$. As the heat flow time $t$ goes to 0, it turns out the limiting angles between these derivative vectors are universal constants independent on $g$, $x$ and the choice of orthonormal basis. Geometric applications to the mean curvature and the Riemannian curvature are given. Some algebraic structures of the infinite jet space of $psi_t$ are explored.Comment: 28 pages, related references on random functions are adde

Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA--GARCH/IGARCH models

This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA--GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this self-weighted QMELE, the local QMELE is showed to be asymptotically normal for the ARMA model with GARCH (finite variance) and IGARCH errors. A formal comparison of two estimators is given for some cases. A simulation study is carried out to assess the performance of these estimators, and a real example on the world crude oil price is given.Comment: Published in at http://dx.doi.org/10.1214/11-AOS895 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org