A simple approach to the generation of uniformly distributed random variables with prescribed correlations
In a simulation study we encountered the problem of generating uniformly on (0,1) distributed random variables with a prescribed correlation matrix. This article reports our solution to this problem.We show that the following simple device leads to uniformly on (0,1)distributed random variables, which have a correlation matrix that isfor practical purposes sufficiently close to the prescribed one: Let(X1.., Xm) be a normal vector with theprescribed correlation matrix S = (pij:). Such a vector caneasily be generated. Suppose for simplicity that each Xi is standard normal and denote by Φ the standard normal distribution function. It turns out that the vector(V1:…,Vm:):= (φ(X1),…,φ(Xm)) with uniformly on (0,1)distributed components Vi; then has a correlation matrix S′, whose entries are for practical purposes sufficiently close to that of the target matrix S. This is a consequence of the grade correlation (or Spearman's rho) of normal vectors. Suppose, in addition, that the matrix is positive semidefinite. T...

title: Local asymptotic normality of truncated empirical processes
abstract: Given n iid copies X 1 ,..., X n of a random element X in some arbitrary measurable space S, we are only interested in those observations that fall into some subset D having but a small probability of occurrence. It is assumed that the distribution P x of X belongs on D to a parametric family P x (.  D) = P V , V ∈ Θ ⊂ R d . Nonlinear regression analysis and the peaks-over-threshold (POT) approach in extreme value analysis are prominent examples. For the POT approach on S = R and P V being a generalized Pareto distribution, it is known that the complete information about the underlying parameter V 0 is asymptotically contained in the number τ(n) of observations in D among X 1 ,..., X n , but not in their actual values. This result is formulated in terms of local asymptotic normality of the log-likelihood ratio of the point process of exceedances with τ(n) being the central sequence. In this paper we establish a necessary and sufficient condition such that τ(n) has this property for a general truncated empirical process in an arbitrary sample space and for an arbitrary parametric family. The known results are then consequences of this result. We can, moreover, characterize the influence of the actual observations in D on the central sequence, if this condition is violated. Immediate applications are asymptotically optimal tests for testing V 0 and, if Θ ⊂ R, asymptotic efficiency of the ML-estimator? n satisfying P Vn (D) = τ(n)/n, where these statistics are based on τ(n) only.

title: A Note on the Comedian for Elliptical Distributions
abstract: The comedianCOM(X,Y) of random variablesX,Yis a median based robust alternative to the covariance ofXofY. For the bivariate normal case it is known thatCOM(X,Y), standardized by the median absolute deviations ofXandY, is a symmetric, strictly increasing and continuous function of the correlation coefficient?with range ?] and can therefore serve as a robust alternative to?. We show that this result, which is not true in general, extends to elliptical distributions even in the case where moments ofX,Ydo not exist.

title: Local asymptotic normality of intermediate and central order statistics
abstract: Consider n independent random variables Zi,…, Zn on R with common distribution function F, whose upper tail belongs to a parametric family F(t) = Fθ(t),t ≥ x0, where θ ∈ ⊝ ⊂ R d. A necessary and sufficient condition for the family Fθ, θ ∈ ⊝, is established such that the k-th largest order statistic Zn−k+1:n alone constitutes the central sequence yielding local asymptotic normality ( LAN ) of the loglikelihood ratio of the vector (Zn−i+1:n)1 i=kof the k largest order statistics. This is achieved for k = k(n)→n→∞∞ with k/n→n→∞ 0. In the case of vectors of central order statistics ( Zr:n, Zr+1:n,…, Zs:n ), with r/n and s/n both converging to q ∈ ( 0,1 ), it turns out that under fairly general conditions any order statistic Zm:n with r ≤ m ≤s builds the central sequence in a pertaining LAN expansion.These results lead to asymptotically optimal tests and estimators of the underlying parameter, which depend on single order statistics only

title: Asymptotic independence of median and MAD
abstract: The asymptotic joint normality of the sample median and the median absolute deviation from the median (MAD) as robust counterparts of sample mean and standard deviation is established. This characterizes their asymptotic independence, paralleling the asymptotic independence of mean and standard deviation. Analogous results are established for the median and the interquartile range.

title: A note on the inverse bootstrap process for large quantiles
abstract: It is shown that for qn = 1 - j(n)/n with j(n) --> n-->[infinity] [infinity], j(n)/n --> n-->[infinity] 0, the resulting bootstrap estimate of the quantile function of the sample qn-quantile has exact accuracy Op(1/j(n)1/4). This is a consequence of a functional central limit theorem for the corresponding inverse bootstrap processes.

title: bases for cohomology of local systems on hyperplane complements
abstract: We study cohomology with coefficients in a rank one local system on the complement of an arrangement of hyperplanes A. The cohomology plays an important role for the theory of generalized hy- pergeometric functions. We combine several known results to construct explicit bases of logarithmic forms for the only non-vanishing cohomol- ogy group, under some nonresonance conditions on the local system, for any arrangement A. The bases are determined by a linear ordering of the hyperplanes, and are indexed by certain "no-broken-circuits" bases of A. The basic forms depend on the local system, but any two bases con- structed in this way are related by a matrix of integer constants which depend only on the linear orders and not on the local system. In certain special cases we show the existence of bases of monomial logarithmic forms.

title: The minimal model of the complement of an arrangement of hyperplanes
abstract: In this paper the methods of rational homotopy theory are applied to a family of examples from singularity theory. Let A be a finite collection of hyperplanes in Cl, and let M = Cl-UHEA H. We say A is a rational K(w, 1) arrangement if the rational completion of M is aspherical. For these arrangements an identity (the LCS formula) is established relating the lower central series of 7r1 (M) to the cohomology of M. This identity was established by group-theoretic means for the class of fiber-type arrangements in previous work. We reproduce this result by showing that the class of rational K(w, 1) arrangements contains all fiber-type arrangements. This class includes the reflection arrangements of types Al and Bl. There is much interest in arrangements for which M is a K(w, 1) space. The methods developed here do not apply directly because M is rarely a nilpotent space. We give examples of K(w, 1) arrangements which are not rational K(w, 1) for which the LCS formula fails, and K(w, 1) arrangements which are not rational K(w, 1) where the LCS formula holds. It remains an open question whether rational K(w, 1) arrangements are necessarily K(w, 1). l.  An arrangement of hyperplanes is a finite collection of Clinear subspaces of dimension (1-l) in C1. To such an arrangement A is associated an open 21-manifold, the complement M = Cl-U{HIH E A}. The connections between the topology of M and the combinatorial geometry of A are the source of much current research in this area. The most successful investigations concern the cohomology of M [13, 15], whereas the most difficult unsolved problems involve the homotopy groups of M [5]. In this paper we study the link between cohomology and homotopy provided by Sullivan's theory of minimal models . In , a numerical relationship was established between 1(M) and H*(M) for the class of fiber-type arrangements. This LCS formula reads as follows: rI ( 1-tn ) Y7n (M) = PM (-t) n>l where the (>n(M) are the ranks of successive quotients in the lower central series of 1(M)) and PM(t) is the Poincare polynomial of H*(M). Because the sequence (>n(M) is related to the l-minimal model y of M, we conjecture in  that the LdS formula holds precisely when R determines H* (M). With the methods developed in this paper we can resolve this conjecture. Specifically, we show (Corollary 3.8) that the LCS formula holds when H*(5°) is isomorphic to H*(M). Arrangements satisfying the latter condition are called rational K(7r, l). Corollary 3.8 may be Received by the editors June 1, 1987.  (1985 Revitsion).

title: Arrangements and cohomology
abstract: To a matroidM is associated a graded commutative algebraA=A(M), the Orlik-Solomon algebra ofM. Motivated by its role in the construction of generalized hypergeometric functions, we study the cohomologyH* (A, dω) ofA(M) with coboundary mapdω given by multiplication by a fixed element ω ofA1. Using a description of decomposable relations inA, we construct new examples of “resonant” values of ω, and give a precise calculation ofH1 (A, dω) as a function of ω. We describe the setR1(A={ω|H1(A(M,dω)≠}, and use it as a tool in the classification of Orlik-Solomon algebras, with applications to the topology of complex hyperplane complements. We show thatR1(A) is a complete invariant of the quadratic closure ofA, and show under various hypotheses that one can reconstruct the matroidM, or at least its Tutte polynomial, from the varietyR1(A). We demonstrate with several examples thatR1 is easily calculable, may contain nonlocal components, and that combinatorial properties ofR1(A) are often sufficient to distinguish nonisomorphic rank three Orlik-Solomon algebras.

title: A note on discriminantal arrangements
abstract: Let v O be a fixed affine arrangement of n hyperplanes in general position in Kk . Let U(n, k) denote the set of general position arrangements whose elements are parallel translates of the hyperplanes of v o . Then U(n, k) is the complement of a central arrangement R (n, k). These are the well-known discriminantal arrangements introduced by Y. I. Manin and V. V. Schechtman. In this note we give an explicit description of R (n, k) in terms of the original arrangement v o . In terms of the underlying matroids, _q (n, k) realizes an adjoint of the dual of the matroid associated with v o . Using this description we show that, contrary to the conventional wisdom, neither the intersection lattice of S7 (n, k) nor the topology of U(n, k) is independent of the original arrangement v o .

title: A geometric duality for order complexes and hyperplane complements
abstract: The top cohomology of the complement of an arrangement of complex hyperplanes is canonically isomorphic to the order homology of the associated intersection lattice. We put this result into a geometric framework by constructing a realization of the order complex of the intersection lattice inside the link of the arrangement. The canonical isomorphism is shown to coincide with the restriction of the classical Alexander duality mapping. Thus the isomorphism is a consequence of the linking of ( l − 2)-spheres and l -tori in the (2 l − 1)-sphere.