Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory

Nonlinear functions of multivariate financial time series can exhibit longmemory and fractional cointegration. However, tools for analysingthese phenomena have principally been justified under assumptionsthat are invalid in this setting. Determination of asymptotic theoryunder more plausible assumptions can be complicated and lengthy.We discuss these issues and present a Monte Carlo study, showingthat asymptotic theory should not necessarily be expected to provide agood approximation to finite-sample behaviour.Fractional cointegration, memory estimation,stochastic volatility.

Fractional Cointegration In StochasticVolatility Models

Asset returns are frequently assumed to be determined by one or more commonfactors. We consider a bivariate factor model, where the unobservable commonfactor and idiosyncratic errors are stationary and serially uncorrelated, but havestrong dependence in higher moments. Stochastic volatility models for the latentvariables are employed, in view of their direct application to asset pricing models.Assuming the underlying persistence is higher in the factor than in the errors, afractional cointegrating relationship can be recovered by suitable transformation ofthe data. We propose a narrow band semiparametric estimate of the factorloadings, which is shown to be consistent with a rate of convergence, and its finitesample properties are investigated in a Monte Carlo experiment.Fractional cointegration, stochastic volatility, narrow band leastsquares, semiparametric analysis.

A BAYESIAN ANALYSIS OF THE AGES OF FOUR OPEN CLUSTERS

In this paper we apply a Bayesian technique to determine the best fit of stellar evolution models to find the main sequence turn off age and other cluster parameters of four intermediate-age open clusters: NGC 2360, NGC 2477, NGC 2660, and NGC 3960. Our algorithm utilizes a Markov chain Monte Carlo technique to fit these various parameters, objectively finding the best fit isochrone for each cluster. The result is a high precision isochrone fit. We compare these results with the those of traditional “by eye” isochrone fitting methods. By applying this Bayesian technique to NGC 2360, NGC 2477, NGC 2660, and NGC 3960 we determine the ages of these clusters to be 1.35 ± 0.05, 1.02 ± 0.02, 1.64 ± 0.04, and 0.860 ± 0.04 Gyr, respectively. The results of this paper continue our effort to determine cluster ages to higher precision than that offered by these traditional methods of isochrone fitting

Is the Lambda CDM Model Consistent with Observations of Large-Scale Structure?

The claim that large-scale structure data independently prefers the Lambda Cold Dark Matter model is a myth. However, an updated compilation of large-scale structure observations cannot rule out Lambda CDM at 95% confidence. We explore the possibility of improving the model by adding Hot Dark Matter but the fit becomes worse; this allows us to set limits on the neutrino mass.Comment: To appear in Proceedings of "Sources and Detection of Dark Matter/Energy in the Universe", ed. D. B. Cline. 6 pages, including 2 color figure

Identifying spatial and temporal dynamics of proglacial groundwater-surface-water exchange using combined temperature-tracing methods

The effect of proglacial groundwater systems on surface hydrology and ecology in cold regions often is neglected when assessing the ecohydrological implications of climate change. We present a novel approach in which we combined 2 temperature-tracing techniques to assess the spatial patterns and short-term temporal dynamics of groundwater–surface-water exchange in the proglacial zone of Skaftafellsjökull, a retreating glacier in southeastern Iceland. Our study focuses on localized groundwater discharge to a surface-water environment, where high temporal- and spatial-resolution mapping of sediment surface and subsurface temperatures (10–15 cm depth) were obtained by Fiber-Optic Distributed Temperature Sensing (FO-DTS). The FO-DTS survey identified temporally consistent locations of temperature anomalies at the sediment–water interface, indicating distinct zones of cooler groundwater upwelling. The high-resolution FO-DTS surveys were combined with calculations of 1-dimensional groundwater seepage fluxes based on 3 vertical sediment temperature profiles, covering depths of 10, 25, and 40 cm below the lake bed. The calculated groundwater seepage rates ranged between 1.02 to 6.10 m/d. We used the combined techniques successfully to identify substantial temporal and spatial heterogeneities in groundwater–surface exchange fluxes that have relevance for the ecohydrological functioning of the investigated system and its potential resilience to environmental change

BAYESIAN ANALYSIS OF TWO STELLAR POPULATIONS IN GALACTIC GLOBULAR CLUSTERS I: STATISTICAL AND COMPUTATIONAL METHODS

We develop a Bayesian model for globular clusters composed of multiple stellar populations, extending earlier statistical models for open clusters composed of simple (single) stellar populations (e.g., van Dyk et al. 2009; Stein et al. 2013). Specifically, we model globular clusters with two populations that differ in helium abundance. Our model assumes a hierarchical structuring of the parameters in which physical properties—age, metallicity, helium abundance, distance, absorption, and initial mass—are common to (i) the cluster as a whole or to (ii) individual populations within a cluster, or are unique to (iii) individual stars. An adaptive Markov chain Monte Carlo (MCMC) algorithm is devised for model fitting that greatly improves convergence relative to its precursor non-adaptive MCMC algorithm. Our model and computational tools are incorporated into an open-source software suite known as BASE-9. We use numerical studies to demonstrate that our method can recover parameters of two-population clusters, and also show model misspecification can potentially be identified. As a proof of concept, we analyze the two stellar populations of globular cluster NGC 5272 using our model and methods. (BASE-9 is available from GitHub: https://github.com/argiopetech/base/releases)

On Automorphisms and Focal Subgroups of Blocks

Given a p-block B of a finite group with defect group P and fusion system on P, we show that the rank of the group is invariant under stable equivalences of Morita type. The main ingredients are the construction, due to Broué and Puig, a theorem of Weiss on linear source modules, arguments of Hertweck and Kimmerle applying Weiss’ theorem to blocks, and connections with integrable derivations in the Hochschild cohomology of block algebras

Divergent mathematical treatments in utility theory

In this paper I study how divergent mathematical treatments affect mathematical modelling, with a special focus on utility theory. In particular I examine recent work on the ranking of information states and the discounting of future utilities, in order to show how, by replacing the standard analytical treatment of the models involved with one based on the framework of Nonstandard Analysis, diametrically opposite results are obtained. In both cases, the choice between the standard and nonstandard treatment amounts to a selection of set-theoretical parameters that cannot be made on purely empirical grounds. The analysis of this phenomenon gives rise to a simple logical account of the relativity of impossibility theorems in economic theory, which concludes the paper

Kinematics of the Local Universe XIII. 21-cm line measurements of 452 galaxies with the Nan\c{c}ay radiotelescope, JHK Tully-Fisher relation and preliminary maps of the peculiar velocity field

This paper presents 452 new 21-cm neutral hydrogen line measurements carried out with the FORT receiver of the meridian transit Nan\c{c}ay radiotelescope (NRT) in the period April 2003 -- March 2005. This observational programme is part of a larger project aiming at collecting an exhaustive and magnitude-complete HI extragalactic catalogue for Tully-Fisher applications (the so-called KLUN project, for Kinematics of the Local Universe studies, end in 2008). The whole on-line HI archive of the NRT contains today reduced HI-profiles for ~4500 spiral galaxies of declination delta > -40° (http://klun.obs-nancay.fr). As an example of application, we use direct Tully-Fisher relation in three (JHK) bands in deriving distances to a large catalog of 3126 spiral galaxies distributed through the whole sky and sampling well the radial velocity range between 0 and 8000 km/s. Thanks to an iterative method accounting for selection bias and smoothing effects, we show as a preliminary output a detailed and original map of the velocity field in the Local Universe

Extrasolar planet population synthesis IV. Correlations with disk metallicity, mass and lifetime

Context. This is the fourth paper in a series showing the results of planet population synthesis calculations. Aims. Our goal in this paper is to systematically study the effects of important disk properties, namely disk metallicity, mass and lifetime on fundamental planetary properties. Methods. For a large number of protoplanetary disks we calculate a population of planets with our core accretion formation model including planet migration and disk evolution. Results. We find a large number of correlations: Regarding the planetary initial mass function, metallicity, disk mass and disk lifetime have different roles: For high [Fe/H], giant planets are more frequent. For high disk masses, giant planets are more massive. For long disk lifetimes, giant planets are both more frequent and massive. At low metallicities, very massive giant planets cannot form, but otherwise giant planet mass and metallicity are uncorrelated. In contrast, planet masses and disk gas masses are correlated. The sweet spot for giant planet formation is at 5 AU. In- and outside this distance, higher planetesimals surface densities are necessary. Low metallicities can be compensated by high disk masses, and vice versa, but not ad infinitum. At low metallicities, giant planets only form outside the ice line, while at high metallicities, giant planet formation occurs throughout the disk. The extent of migration increases with disk mass and lifetime and usually decreases with metallicity. No clear correlation of metallicity and the semimajor axis of giant planets exists because in low [Fe/H] disks, planets start further out, but migrate more, whereas for high [Fe/H] they start further in, but migrate less. Close-in low mass planets have a lower mean metallicity than Hot Jupiters. Conclusions. The properties of protoplanetary disks are decisive for the properties of planets, and leave many imprints.Comment: 23 pages, 16 figures. Accepted for A&