Inference for nonparametric high-frequency estimators with an application to time variation in betas

We consider the problem of conducting inference on nonparametric high-frequency estimators without knowing their asymptotic variances. We prove that a multivariate subsampling method achieves this goal under general conditions that were not previously available in the literature. We suggest a procedure for a data-driven choice of the bandwidth parameters. Our simulation study indicates that the subsampling method is much more robust than the plug-in method based on the asymptotic expression for the variance. Importantly, the subsampling method reliably estimates the variability of the Two Scale estimator even when its parameters are chosen to minimize the finite sample Mean Squared Error; in contrast, the plugin estimator substantially underestimates the sampling uncertainty. By construction, the subsampling method delivers estimates of the variance-covariance matrices that are always positive semi-definite. We use the subsampling method to study the dynamics of financial betas of six stocks on the NYSE. We document significant variation in betas within year 2006, and find that tick data captures more variation in betas than the data sampled at moderate frequencies such as every five or twenty minutes. To capture this variation we estimate a simple dynamic model for betas. The variance estimation is also important for the correction of the errors-in-variables bias in such models. We find that the bias corrections are substantial, and that betas are more persistent than the naive estimators would lead one to believe.

Analysis of scoliosis trunk deformities using ICA

This paper describes a method for analyzing scoliosis trunk deformities using Independent Component Analysis (ICA). Our hypothesis is that ICA can capture the scoliosis deformities visible on the trunk. Unlike Principal Component Analysis (PCA), ICA gives local shape variation and assumes that the data distribution is not normal. 3D torso images of 56 subjects including 28 patients with adolescent idiopathic scoliosis and 28 healthy subjects are analyzed using ICA. First, we remark that the independent components capture the local scoliosis deformities as the shoulder variation, the scapula asymmetry and the waist deformation. Second, we note that the different scoliosis curve types are characterized by different combinations of specific independent components.