Parametric & nonparametric approaches to event studies: an application to a hotel’s market value

The main objective of this paper is twofold: on the one hand, to analyse the impact that the announcement of the opening of a new hotel has on the performance of its chain by carrying out an event study, and on the other hand, to compare the results of two different approaches to this method: a parametric specification based on the autoregressive conditional heteroskedasticity models to estimate the market model, and a nonparametric approach, which implies employing Theil’s nonparametric regression technique, which in turn, leads to the so-called complete nonparametric approach to event studies. The results that the empirical application arrives at are noteworthy as, on average, the reaction to such news releases is highly positive, both approaches reaching the same level of significance. However, a word of caution must be said when one is not only interested in detecting whether the market reacts, but also in obtaining an exhaustive calculation of the abnormal returns to further examine its determining factors.

Detection and mapping of burnt areas from time series of MODIS-derived NDVI data in a Mediterranean region

Moderate resolution remote sensing data, as provided by MODIS, can be used to detect and map active or past wildfires from daily records of suitable combinations of reflectance bands. The objective of the present work was to develop and test simple algorithms and variations for automatic or semiautomatic detection of burnt areas from time series data of MODIS biweekly vegetation indices for a Mediterranean region. MODIS-derived NDVI 250m time series data for the Valencia region, East Spain, were subjected to a two-step process for the detection of candidate burnt areas, and the results compared with available fire event records from the Valencia Regional Government. For each pixel and date in the data series, a model was fitted to both the previous and posterior time series data. Combining drops between two consecutive points and 1-year average drops, we used discrepancies or jumps between the pre and post models to identify seed pixels, and then delimitated fire scars for each potential wildfire using an extension algorithm from the seed pixels. The resulting maps of the detected burnt areas showed a very good agreement with the perimeters registered in the database of fire records used as reference. Overall accuracies and indices of agreement were very high, and omission and commission errors were similar or lower than in previous studies that used automatic or semiautomatic fire scar detection based on remote sensing. This supports the effectiveness of the method for detecting and mapping burnt areas in the Mediterranean region.

Algorithm for the detection of outliers based on the theory of rough sets

Outliers are objects that show abnormal behavior with respect to their context or that have unexpected values in some of their parameters. In decision-making processes, information quality is of the utmost importance. In specific applications, an outlying data element may represent an important deviation in a production process or a damaged sensor. Therefore, the ability to detect these elements could make the difference between making a correct and an incorrect decision. This task is complicated by the large sizes of typical databases. Due to their importance in search processes in large volumes of data, researchers pay special attention to the development of efficient outlier detection techniques. This article presents a computationally efficient algorithm for the detection of outliers in large volumes of information. This proposal is based on an extension of the mathematical framework upon which the basic theory of detection of outliers, founded on Rough Set Theory, has been constructed. From this starting point, current problems are analyzed; a detection method is proposed, along with a computational algorithm that allows the performance of outlier detection tasks with an almost-linear complexity. To illustrate its viability, the results of the application of the outlier-detection algorithm to the concrete example of a large database are presented.