Digital elevation model error in terrain analysis

Digital elevation models (DEMs) have been an important topic in geography and surveying sciences for decades due to their geomorphological importance as the reference surface for gravita-tion-driven material flow, as well as the wide range of uses and applications. When DEM is used in terrain analysis, for example in automatic drainage basin delineation, errors of the model collect in the analysis results. Investigation of this phenomenon is known as error propagation analysis, which has a direct influence on the decision-making process based on interpretations and applications of terrain analysis. Additionally, it may have an indirect influence on data acquisition and the DEM generation. The focus of the thesis was on the fine toposcale DEMs, which are typically represented in a 5-50m grid and used in the application scale 1:10 000-1:50 000. The thesis presents a three-step framework for investigating error propagation in DEM-based terrain analysis. The framework includes methods for visualising the morphological gross errors of DEMs, exploring the statistical and spatial characteristics of the DEM error, making analytical and simulation-based error propagation analysis and interpreting the error propagation analysis results. The DEM error model was built using geostatistical methods. The results show that appropriate and exhaustive reporting of various aspects of fine toposcale DEM error is a complex task. This is due to the high number of outliers in the error distribution and morphological gross errors, which are detectable with presented visualisation methods. In ad-dition, the use of global characterisation of DEM error is a gross generalisation of reality due to the small extent of the areas in which the decision of stationarity is not violated. This was shown using exhaustive high-quality reference DEM based on airborne laser scanning and local semivariogram analysis. The error propagation analysis revealed that, as expected, an increase in the DEM vertical error will increase the error in surface derivatives. However, contrary to expectations, the spatial au-tocorrelation of the model appears to have varying effects on the error propagation analysis depend-ing on the application. The use of a spatially uncorrelated DEM error model has been considered as a 'worst-case scenario', but this opinion is now challenged because none of the DEM derivatives investigated in the study had maximum variation with spatially uncorrelated random error. Sig-nificant performance improvement was achieved in simulation-based error propagation analysis by applying process convolution in generating realisations of the DEM error model. In addition, typology of uncertainty in drainage basin delineations is presented.

On probability-based inference under data missing by design

Whether a statistician wants to complement a probability model for observed data with a prior distribution and carry out fully probabilistic inference, or base the inference only on the likelihood function, may be a fundamental question in theory, but in practice it may well be of less importance if the likelihood contains much more information than the prior. Maximum likelihood inference can be justified as a Gaussian approximation at the posterior mode, using flat priors. However, in situations where parametric assumptions in standard statistical models would be too rigid, more flexible model formulation, combined with fully probabilistic inference, can be achieved using hierarchical Bayesian parametrization. This work includes five articles, all of which apply probability modeling under various problems involving incomplete observation. Three of the papers apply maximum likelihood estimation and two of them hierarchical Bayesian modeling. Because maximum likelihood may be presented as a special case of Bayesian inference, but not the other way round, in the introductory part of this work we present a framework for probability-based inference using only Bayesian concepts. We also re-derive some results presented in the original articles using the toolbox equipped herein, to show that they are also justifiable under this more general framework. Here the assumption of exchangeability and de Finetti's representation theorem are applied repeatedly for justifying the use of standard parametric probability models with conditionally independent likelihood contributions. It is argued that this same reasoning can be applied also under sampling from a finite population. The main emphasis here is in probability-based inference under incomplete observation due to study design. This is illustrated using a generic two-phase cohort sampling design as an example. The alternative approaches presented for analysis of such a design are full likelihood, which utilizes all observed information, and conditional likelihood, which is restricted to a completely observed set, conditioning on the rule that generated that set. Conditional likelihood inference is also applied for a joint analysis of prevalence and incidence data, a situation subject to both left censoring and left truncation. Other topics covered are model uncertainty and causal inference using posterior predictive distributions. We formulate a non-parametric monotonic regression model for one or more covariates and a Bayesian estimation procedure, and apply the model in the context of optimal sequential treatment regimes, demonstrating that inference based on posterior predictive distributions is feasible also in this case.

Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Preoperative visual acuity of cataract patients. Repeatability of visual acuity and refractive error measurements in clinical settings

Visual acuities at the time of referral and on the day before surgery were compared in 124 patients operated on for cataract in Vaasa Central Hospital, Finland. Preoperative visual acuity and the occurrence of ocular and general disease were compared in samples of consecutive cataract extractions performed in 1982, 1985, 1990, 1995 and 2000 in two hospitals in the Vaasa region in Finland. The repeatability and standard deviation of random measurement error in visual acuity and refractive error determination in a clinical environment in cataractous, pseudophakic and healthy eyes were estimated by re-examining visual acuity and refractive error of patients referred to cataract surgery or consultation by ophthalmic professionals. Altogether 99 eyes of 99 persons (41 cataractous, 36 pseudophakic and 22 healthy eyes) with a visual acuity range of Snellen 0.3 to 1.3 (0.52 to -0.11 logMAR) were examined. During an average waiting time of 13 months, visual acuity in the study eye decreased from 0.68 logMAR to 0.96 logMAR (from 0.2 to 0.1 in Snellen decimal values). The average decrease in vision was 0.27 logMAR per year. In the fastest quartile, visual acuity change per year was 0.75 logMAR, and in the second fastest 0.29 logMAR, the third and fourth quartiles were virtually unaffected. From 1982 to 2000, the incidence of cataract surgery increased from 1.0 to 7.2 operations per 1000 inhabitants per year in the Vaasa region. The average preoperative visual acuity in the operated eye increased by 0.85 logMAR (in decimal values from 0.03to 0.2) and in the better eye 0.27 logMAR (in decimal values from 0.23 to 0.43) over this period. The proportion of patients profoundly visually handicapped (VA in the better eye <0.1) before the operation fell from 15% to 4%, and that of patients less profoundly visually handicapped (VA in the better eye 0.1 to <0.3) from 47% to 15%. The repeatability visual acuity measurement estimated as a coefficient of repeatability for all 99 eyes was ±0.18 logMAR, and the standard deviation of measurement error was 0.06 logMAR. Eyes with the lowest visual acuity (0.3-0.45) had the largest variability, the coefficient of repeatability values being ±0.24 logMAR and eyes with a visual acuity of 0.7 or better had the smallest, ±0.12 logMAR. The repeatability of refractive error measurement was studied in the same patient material as the repeatability of visual acuity. Differences between measurements 1 and 2 were calculated as three-dimensional vector values and spherical equivalents and expressed by coefficients of repeatability. Coefficients of repeatability for all eyes for vertical, torsional and horisontal vectors were ±0.74D, ±0.34D and ±0.93D, respectively, and for spherical equivalent for all eyes ±0.74D. Eyes with lower visual acuity (0.3-0.45) had larger variability in vector and spherical equivalent values (±1.14), but the difference between visual acuity groups was not statistically significant. The difference in the mean defocus equivalent between measurements 1 and 2 was, however, significantly greater in the lower visual acuity group. If a change of ±0.5D (measured in defocus equivalents) is accepted as a basis for change of spectacles for eyes with good vision, the basis for eyes in the visual acuity range of 0.3 - 0.65 would be ±1D. Differences in repeated visual acuity measurements are partly explained by errors in refractive error measurements.

Generalised regression estimation for domain class frequencies

This study examines the properties of Generalised Regression (GREG) estimators for domain class frequencies and proportions. The family of GREG estimators forms the class of design-based model-assisted estimators. All GREG estimators utilise auxiliary information via modelling. The classic GREG estimator with a linear fixed effects assisting model (GREG-lin) is one example. But when estimating class frequencies, the study variable is binary or polytomous. Therefore logistic-type assisting models (e.g. logistic or probit model) should be preferred over the linear one. However, other GREG estimators than GREG-lin are rarely used, and knowledge about their properties is limited. This study examines the properties of L-GREG estimators, which are GREG estimators with fixed-effects logistic-type models. Three research questions are addressed. First, I study whether and when L-GREG estimators are more accurate than GREG-lin. Theoretical results and Monte Carlo experiments which cover both equal and unequal probability sampling designs and a wide variety of model formulations show that in standard situations, the difference between L-GREG and GREG-lin is small. But in the case of a strong assisting model, two interesting situations arise: if the domain sample size is reasonably large, L-GREG is more accurate than GREG-lin, and if the domain sample size is very small, estimation of assisting model parameters may be inaccurate, resulting in bias for L-GREG. Second, I study variance estimation for the L-GREG estimators. The standard variance estimator (S) for all GREG estimators resembles the Sen-Yates-Grundy variance estimator, but it is a double sum of prediction errors, not of the observed values of the study variable. Monte Carlo experiments show that S underestimates the variance of L-GREG especially if the domain sample size is minor, or if the assisting model is strong. Third, since the standard variance estimator S often fails for the L-GREG estimators, I propose a new augmented variance estimator (A). The difference between S and the new estimator A is that the latter takes into account the difference between the sample fit model and the census fit model. In Monte Carlo experiments, the new estimator A outperformed the standard estimator S in terms of bias, root mean square error and coverage rate. Thus the new estimator provides a good alternative to the standard estimator.

Essays on Risk Modeling. Applications to Portfolio and Risk Management (summary section only)

In this thesis we deal with the concept of risk. The objective is to bring together and conclude on some normative information regarding quantitative portfolio management and risk assessment. The first essay concentrates on return dependency. We propose an algorithm for classifying markets into rising and falling. Given the algorithm, we derive a statistic: the Trend Switch Probability, for detection of long-term return dependency in the first moment. The empirical results suggest that the Trend Switch Probability is robust over various volatility specifications. The serial dependency in bear and bull markets behaves however differently. It is strongly positive in rising market whereas in bear markets it is closer to a random walk. Realized volatility, a technique for estimating volatility from high frequency data, is investigated in essays two and three. In the second essay we find, when measuring realized variance on a set of German stocks, that the second moment dependency structure is highly unstable and changes randomly. Results also suggest that volatility is non-stationary from time to time. In the third essay we examine the impact from market microstructure on the error between estimated realized volatility and the volatility of the underlying process. With simulation-based techniques we show that autocorrelation in returns leads to biased variance estimates and that lower sampling frequency and non-constant volatility increases the error variation between the estimated variance and the variance of the underlying process. From these essays we can conclude that volatility is not easily estimated, even from high frequency data. It is neither very well behaved in terms of stability nor dependency over time. Based on these observations, we would recommend the use of simple, transparent methods that are likely to be more robust over differing volatility regimes than models with a complex parameter universe. In analyzing long-term return dependency in the first moment we find that the Trend Switch Probability is a robust estimator. This is an interesting area for further research, with important implications for active asset allocation.

Bootstrapping the Error Correction Model Cointegration Test

This paper is concerned with using the bootstrap to obtain improved critical values for the error correction model (ECM) cointegration test in dynamic models. In the paper we investigate the effects of dynamic specification on the size and power of the ECM cointegration test with bootstrap critical values. The results from a Monte Carlo study show that the size of the bootstrap ECM cointegration test is close to the nominal significance level. We find that overspecification of the lag length results in a loss of power. Underspecification of the lag length results in size distortion. The performance of the bootstrap ECM cointegration test deteriorates if the correct lag length is not used in the ECM. The bootstrap ECM cointegration test is therefore not robust to model misspecification.

Nonlinear mixture autoregressive model: economic applications

The aim of this dissertation is to model economic variables by a mixture autoregressive (MAR) model. The MAR model is a generalization of linear autoregressive (AR) model. The MAR -model consists of K linear autoregressive components. At any given point of time one of these autoregressive components is randomly selected to generate a new observation for the time series. The mixture probability can be constant over time or a direct function of a some observable variable. Many economic time series contain properties which cannot be described by linear and stationary time series models. A nonlinear autoregressive model such as MAR model can a plausible alternative in the case of these time series. In this dissertation the MAR model is used to model stock market bubbles and a relationship between inflation and the interest rate. In the case of the inflation rate we arrived at the MAR model where inflation process is less mean reverting in the case of high inflation than in the case of normal inflation. The interest rate move one-for-one with expected inflation. We use the data from the Livingston survey as a proxy for inflation expectations. We have found that survey inflation expectations are not perfectly rational. According to our results information stickiness play an important role in the expectation formation. We also found that survey participants have a tendency to underestimate inflation. A MAR model has also used to model stock market bubbles and crashes. This model has two regimes: the bubble regime and the error correction regime. In the error correction regime price depends on a fundamental factor, the price-dividend ratio, and in the bubble regime, price is independent of fundamentals. In this model a stock market crash is usually caused by a regime switch from a bubble regime to an error-correction regime. According to our empirical results bubbles are related to a low inflation. Our model also imply that bubbles have influences investment return distribution in both short and long run.

Understorey vegetation as an indicator of forest site potential in Southern Finland.

The relationship between site characteristics and understorey vegetation composition was analysed with quantitative methods, especially from the viewpoint of site quality estimation. Theoretical models were applied to an empirical data set collected from the upland forests of southern Finland comprising 104 sites dominated by Scots pine (Pinus sylvestris L.), and 165 sites dominated by Norway spruce (Picea abies (L.) Karsten). Site index H100 was used as an independent measure of site quality. A new model for the estimation of site quality at sites with a known understorey vegetation composition was introduced. It is based on the application of Bayes' theorem to the density function of site quality within the study area combined with the species-specific presence-absence response curves. The resulting posterior probability density function may be used for calculating an estimate for the site variable. Using this method, a jackknife estimate of site index H100 was calculated separately for pine- and spruce-dominated sites. The results indicated that the cross-validation root mean squared error (RMSEcv) of the estimates improved from 2.98 m down to 2.34 m relative to the "null" model (standard deviation of the sample distribution) in pine-dominated forests. In spruce-dominated forests RMSEcv decreased from 3.94 m down to 3.16 m. In order to assess these results, four other estimation methods based on understorey vegetation composition were applied to the same data set. The results showed that none of the methods was clearly superior to the others. In pine-dominated forests, RMSEcv varied between 2.34 and 2.47 m, and the corresponding range for spruce-dominated forests was from 3.13 to 3.57 m.

Finite-State Spell-Checking with Weighted Language and Error Models

In this paper we present simple methods for construction and evaluation of finite-state spell-checking tools using an existing finite-state lexical automaton, freely available finite-state tools and Internet corpora acquired from projects such as Wikipedia. As an example, we use a freely available open-source implementation of Finnish morphology, made with traditional finite-state morphology tools, and demonstrate rapid building of Northern Sámi and English spell checkers from tools and resources available from the Internet.