1,720,996 research outputs found
A UNIFYING APPROACH TO FRACTIONAL LEVY PROCESSES
No full textStarting from the moving average representation of fractional Brownian motion, there are two different approaches to constructing fractional Levy processes in the literature. Applying L-2-integration theory, one can keep the same moving average kernel and replace the driving Brownian motion by a pure jump Levy process with finite second moments. Alternatively, in the framework of alpha-stable random measures, the Brownian motion is replaced by an alpha-stable Levy process and the exponent in the kernel is reparametrized by H - 1/alpha. We now provide a unified approach taking kernels of the form a((t - s)(+)(gamma) - (-s)(+)(gamma)) + b((t - s)(-)(gamma) -(-s)(-)(gamma)), where gamma can be chosen according to the existing moments and the Blumenthal-Getoor index of the underlying Levy process. These processes may exhibit both long and short range dependence. In addition we will examine further properties of the processes, e. g., regularity of the sample paths and the semimartingale property.Deutsche Telekom Stiftung; Deutsche Forschungsgemeinschaft [SFB 823
Modeling panels of extremes
Full text linkExtreme value applications commonly employ regression techniques to capture
cross-sectional heterogeneity or time-variation in the data. Estimation of the
parameters of an extreme value regression model is notoriously challenging due
to the small number of observations that are usually available in applications.
When repeated extreme measurements are collected on the same individuals, i.e.,
a panel of extremes is available, pooling the observations in groups can
improve the statistical inference. We study three data sets related to risk
assessment in finance, climate science, and hydrology. In all three cases, the
problem can be formulated as an extreme value panel regression model with a
latent group structure and group-specific parameters. We propose a new
algorithm that jointly assigns the individuals to the latent groups and
estimates the parameters of the regression model inside each group. Our method
efficiently recovers the underlying group structure without prior information,
and for the three data sets it provides improved return level estimates and
helps answer important domain-specific questions
STATISTICAL INFERENCE FOR MAX-STABLE PROCESSES BY CONDITIONING ON EXTREME EVENTS
No full textIn this paper we provide the basis for new methods of inference for max-stable processes xi on general spaces that admit a certain incremental representation, which, in important cases, has a much simpler structure than the max-stable process itself. A corresponding peaks-over-threshold approach will incorporate all single events that are extreme in some sense and will therefore rely on a substantially larger amount of data in comparison to estimation procedures based on block maxima. Conditioning a process eta in the max-domain of attraction of xi on being extremal, several convergence results for the increments of eta are proved. In a similar way, the shape functions of mixed moving maxima (M3) processes can be extracted from suitably conditioned single events eta. Connecting the two approaches, transformation formulae for processes that admit both an incremental and an M3 representation are identified
Concentration-dependent effects of the esterase inhibitor BNPP on macrophage migration and myelin phagocytosis
No full textWallerian degeneration of a peripheral nerve is mainly characterized by axon and myelin degradation and is paralleled by a massive invasion of peripheral macrophages into the nerve. These cells enter the nerve attracted by a cascade of chemokines and cytokines but require proteolytic and enzymatic factors which enables them to cross the blood-nerve barrier. Here we investigated whether U-naphthyl (alpha -NA) esterases - which have been shown to be exclusively expressed in human monocytes - play a role during Wallerian degeneration. These enzymes were blocked by the specific inhibitor bis(4-nitrophenyl)-phosphate (BNPP) in an established in vitro model of Wallerian degeneration. Sciatic nerve segments of mice were co-cultured with peritoneal macrophages and BNPP was added to the cultures in various concentrations and at different timepoints. The macrophage numbers and myelin density in the nerve segments and the myelin load of macrophages were evaluated. After BNPP treatment the macrophage number within the nerve was significantly diminished and the myelin load within the macrophages was decreased, resulting in elevated levels of preserved myelin within the nerves. These experiments clearly showed a double effect of the UNA esterase inhibitor BNPP on macrophages, First, it suggests a role for UNA esterases on the migratory potential of macrophages since their invasion into the nerves was diminished. Second, the reduced myelin uptake is due to the inhibition of phagocytic capacity of these cells by BNPP. The therapeutical use of this inhibitor for treatment of autoimmune diseases such as multiple sclerosis or Guillain-Barre syndrome remains to be investigated. (C) 2001 Elsevier Science B.V. All rights reserved
Estimation of Hüsler-Reiss distributions and Brown-Resnick processes
No full textEstimation of extreme value parameters from observations in the max-domain of attraction of a multivariate max-stable distribution commonly uses aggregated data such as block maxima. Multivariate peaks-over-threshold methods, in contrast, exploit additional information from the non-aggregated 'large' observations. We introduce an approach based on peaks over thresholds that provides several new estimators for processes eta in the max-domain of attraction of the frequently used Husler-Reiss model and its spatial extension: Brown-Resnick processes. The method relies on increments eta(.) - eta t(0)/conditional on eta t(0)/exceeding a high threshold, where t(0) is a fixed location. When the marginals are standardized to the Gumbel distribution, these increments asymptotically form a Gaussian process resulting in computationally simple estimates of the Husler-Reiss parameter matrix and particularly enables parametric inference for Brown-Resnick processes based on (high dimensional) multivariate densities. This is a major advantage over composite likelihood methods that are commonly used in spatial extreme value statistics since they rely only on bivariate densities. A simulation study compares the performance of the new estimators with other commonly used methods. As an application, we fit a non-isotropic Brown-Resnick process to the extremes of 12-year data of daily wind speed measurements
Maxima of independent non-identically distributed Gaussian vectors
No full textLet Xi,n, n ∈ N, 1 ≤ i ≤ n, be a triangular array of independent Rd-valued Gaussian random vectors with covariance matrices Σi,n. We give necessary conditions under which the row-wise maxima converge to some max-stable distribution which generalizes the class of Hüsler-Reiss distributions. In the bivariate case the conditions will also be sufficient. Using these results, new models for bivariate extremes are derived explicitly. Moreover, we define a new class of stationary, max-stable processes as limits of suitably normalized and randomly rescaled maxima of n independent Gaussian processes whose finite dimensional margins coincide with the above limit distributions. As an application, we show that these processes realize a large set of extremal correlation functions, a natural dependence measure for max-stable processes. This set includes all functions ψ( γ(h)), h ∈ Rd, where ψ is a completely monotone function and γ is an arbitrary variogram
An equivalent representation of the Brown-Resnick process
No full textBrown and Resnick (1977) introduce a max-stable process that is obtained as a limit of maxima of independent Ornstein–Uhlenbeck processes. As shown in Kabluchko et al. (2009) this process is dissipative and it therefore admits a mixed moving maxima representation. We show that the distribution of the spectral functions in this representation equals a well-known diffusion, namely a standard Brownian motion with drift conditional on taking negative values only. This can be used for fast simulation methods
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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