Robustness of alternative non‐linearity tests for SETAR models

In recent years there has been a growing interest in exploiting potential forecast gains from the non‐linear structure of self‐exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR‐type non‐linearities in an observed time series. It is important to study the power and robustness properties of these tests since erroneous test results might lead to misspecified prediction problems. In this paper we investigate the robustness properties of several commonly used non‐linearity tests. Both the robustness with respect to outlying observations and the robustness with respect to model specification are considered. The power comparison of these testing procedures is carried out using Monte Carlo simulation. The results indicate that all of the existing tests are not robust to outliers and model misspecification. Finally, an empirical application applies the statistical tests to stock market returns of the four little dragons (Hong Kong, South Korea, Singapore and Taiwan) in East Asia. The non‐linearity tests fail to provide consistent conclusions most of the time. The results in this article stress the need for a more robust test for SETAR‐type non‐linearity in time series analysis and forecasting. Copyright © 2004 John Wiley & Sons, Ltd.     

森林生物技术走出实验室举步艰难

新的、高密度树木种植正在给林业生物技术带来迅速的变化。但是如果不能克服生态风险和经济障碍．这些新的方法或许永远也无法使用——     

Historical review and redescription of three poorly known species of the catfish genus Trichomycterus from south-eastern Brazil (Siluriformes: Trichomycteridae)

ABSTRACT

This study is primarily directed to the most poorly known species of the genus Trichomycterus, comprising five nominal species (T. florensis, T. immaculatus, T. nigricans, T. paquequerensis and T. santaeritae) endemic to south-eastern Brazil. One of them, T. nigricans, is the type species of the genus, involved in taxonomic problems for over 150 years. A detailed historical review, accompanied by examination of type specimens and recent collections, revealed that the correct type locality of T. nigricans is in the vicinity of Rio de Janeiro, not Santa Catarina as commonly appears in the literature; specimens previously misidentified as T. nigricans from Santa Catarina belong to a possibly undescribed species of the genus Cambeva; T. paquequerensis is a synonym of T. immaculatus, and T. florensis is a synonym of T. santaeritae; and the hypothesis that T. santaeritae is closely related to the Amazon Sarcoglanidinae is refuted. The three valid species are redescribed. These species are members of a clade also including T. caipora that is highly supported by molecular data, diagnosed by a pronounced posterior maxillary process and caudal fin emarginate at least in larger specimens. A subclade comprising T. caipora, T. nigricans and T. santaeritae is diagnosed by a long maxilla and a bifid anterior extremity of hypobranchial 3.     

A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates

Observing that a sequence of negative logarithms of 1‐year survival probabilities displays a linear relationship with the sequence of corresponding terms with a time lag of a certain number of years, we propose a simple linear regression to model and forecast mortality rates. Our model assuming the linearity between two mortality sequences with a time lag each other does not need to formulate the time trends of mortality rates across ages for mortality prediction. Moreover, the parameters of our model for a given age depend on the mortality rates for that age only. Therefore, whether the span of the study ages with the age included is widened or shortened will not affect the results of mortality fitting and forecasting for that age. In the empirical testing, the regression results using the mortality data for the UK, USA and Japan show a satisfactory goodness of fit, which convinces us of the appropriateness of the linear assumption. Empirical illustrations further show that our model's performances of fitting and forecasting mortality rates are quite satisfactory compared with the existing well‐known mortality models. Copyright © 2015 John Wiley & Sons, Ltd.     

WTI crude oil option implied VaR and CVaR: An empirical application

Using option market data we derive naturally forward‐looking, nonparametric and model‐free risk estimates, three desired characteristics hardly obtainable using historical returns. The option‐implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option‐implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results show that the option‐implied risk metrics are valid alternatives to the statistically based historical models.     

Strong dipolar effects in a quantum ferrofluid

Symmetry-breaking interactions have a crucial role in many areas of physics, ranging from classical ferrofluids to superfluid (3)He and d-wave superconductivity. For superfluid quantum gases, a variety of new physical phenomena arising from the symmetry-breaking interaction between electric or magnetic dipoles are expected. Novel quantum phases in optical lattices, such as chequerboard or supersolid phases, are predicted for dipolar bosons. Dipolar interactions can also enrich considerably the physics of quantum gases with internal degrees of freedom. Arrays of dipolar particles could be used for efficient quantum information processing. Here we report the realization of a chromium Bose-Einstein condensate with strong dipolar interactions. By using a Feshbach resonance, we reduce the usual isotropic contact interaction, such that the anisotropic magnetic dipole-dipole interaction between 52Cr atoms becomes comparable in strength. This induces a change of the aspect ratio of the atom cloud; for strong dipolar interactions, the inversion of ellipticity during expansion (the usual 'smoking gun' evidence for a Bose-Einstein condensate) can be suppressed. These effects are accounted for by taking into account the dipolar interaction in the superfluid hydrodynamic equations governing the dynamics of the gas, in the same way as classical ferrofluids can be described by including dipolar terms in the classical hydrodynamic equations. Our results are a first step in the exploration of the unique properties of quantum ferrofluids.     

Distinct representations of olfactory information in different cortical centres

Sensory information is transmitted to the brain where it must be processed to translate stimulus features into appropriate behavioural output. In the olfactory system, distributed neural activity in the nose is converted into a segregated map in the olfactory bulb. Here we investigate how this ordered representation is transformed in higher olfactory centres in mice. We have developed a tracing strategy to define the neural circuits that convey information from individual glomeruli in the olfactory bulb to the piriform cortex and the cortical amygdala. The spatial order in the bulb is discarded in the piriform cortex; axons from individual glomeruli project diffusely to the piriform without apparent spatial preference. In the cortical amygdala, we observe broad patches of projections that are spatially stereotyped for individual glomeruli. These projections to the amygdala are overlapping and afford the opportunity for spatially localized integration of information from multiple glomeruli. The identification of a distributive pattern of projections to the piriform and stereotyped projections to the amygdala provides an anatomical context for the generation of learned and innate behaviours.     

Metabolic priming by a secreted fungal effector

Maize smut caused by the fungus Ustilago maydis is a widespread disease characterized by the development of large plant tumours. U. maydis is a biotrophic pathogen that requires living plant tissue for its development and establishes an intimate interaction zone between fungal hyphae and the plant plasma membrane. U. maydis actively suppresses plant defence responses by secreted protein effectors. Its effector repertoire comprises at least 386 genes mostly encoding proteins of unknown function and expressed exclusively during the biotrophic stage. The U. maydis secretome also contains about 150 proteins with probable roles in fungal nutrition, fungal cell wall modification and host penetration as well as proteins unlikely to act in the fungal-host interface like a chorismate mutase. Chorismate mutases are key enzymes of the shikimate pathway and catalyse the conversion of chorismate to prephenate, the precursor for tyrosine and phenylalanine synthesis. Root-knot nematodes inject a secreted chorismate mutase into plant cells likely to affect development. Here we show that the chorismate mutase Cmu1 secreted by U. maydis is a virulence factor. The enzyme is taken up by plant cells, can spread to neighbouring cells and changes the metabolic status of these cells through metabolic priming. Secreted chorismate mutases are found in many plant-associated microbes and might serve as general tools for host manipulation.     

Role of sulphuric acid, ammonia and galactic cosmic rays in atmospheric aerosol nucleation

Atmospheric aerosols exert an important influence on climate through their effects on stratiform cloud albedo and lifetime and the invigoration of convective storms. Model calculations suggest that almost half of the global cloud condensation nuclei in the atmospheric boundary layer may originate from the nucleation of aerosols from trace condensable vapours, although the sensitivity of the number of cloud condensation nuclei to changes of nucleation rate may be small. Despite extensive research, fundamental questions remain about the nucleation rate of sulphuric acid particles and the mechanisms responsible, including the roles of galactic cosmic rays and other chemical species such as ammonia. Here we present the first results from the CLOUD experiment at CERN. We find that atmospherically relevant ammonia mixing ratios of 100 parts per trillion by volume, or less, increase the nucleation rate of sulphuric acid particles more than 100-1,000-fold. Time-resolved molecular measurements reveal that nucleation proceeds by a base-stabilization mechanism involving the stepwise accretion of ammonia molecules. Ions increase the nucleation rate by an additional factor of between two and more than ten at ground-level galactic-cosmic-ray intensities, provided that the nucleation rate lies below the limiting ion-pair production rate. We find that ion-induced binary nucleation of H(2)SO(4)-H(2)O can occur in the mid-troposphere but is negligible in the boundary layer. However, even with the large enhancements in rate due to ammonia and ions, atmospheric concentrations of ammonia and sulphuric acid are insufficient to account for observed boundary-layer nucleation.     

Testing for the usefulness of forecasts

Ashley (Journal of Forecasting 1983; 2 (3): 211–223) proposes a criterion (known as Ashley's index) to judge whether the external macroeconomic variables are well forecast to serve as explanatory variables in forecasting models, which is crucial for policy makers. In this article, we try to extend Ashley's work by providing three testing procedures, including a ratio‐based test, a difference‐based test, and the Bayesian approach. The Bayesian approach has the advantage of allowing the flexibility of adapting all possible information content within a decision‐making environment such as the change of variable's definition due to the evolving system of national accounts. We demonstrate the proposed methods by applying six macroeconomic forecasts in the Survey of Professional Forecasters. Researchers or practitioners can thus formally test whether the external information is helpful. Copyright © 2010 John Wiley & Sons, Ltd.