Exploratory semiparametric analysis of two-dimensional diffusions in finance

We examine bivariate extensions of Aït-Sahalia’s approach to the estimation of univariate diffusions. Our message is that extending his idea to a bivariate setting is not straightforward. In higher dimensions, as opposed to the univariate case, the elements of the Itô and Fokker-Planck representations do not coincide; and, even imposing sensible assumptions on the marginal drifts and volatilities is not sufficient to obtain direct generalisations. We develop exploratory estimation and testing procedures, by parametrizing the drifts of both component processes and setting restrictions on the terms of either the Itô or the Fokker-Planck covariance matrices. This may lead to highly nonlinear ordinary differential equations, where the definition of boundary conditions is crucial. For the methods developed, the Fokker-Planck representation seems more tractable than the Itô’s. Questions for further research include the design of regularity conditions on the time series dependence in the data, the kernels actually used and the bandwidths, to obtain asymptotic properties for the estimators proposed. A particular case seems promising: “causal bivariate models” in which only one of the diffusions contributes to the volatility of the other. Hedging strategies which estimate separately the univariate diffusions at stake may thus be improved.

Comparison of factor-analytic and reduced rank models for test-day milk yield in Gyr dairy cattle (Bos indicus)

We analyzed 46,161 monthly test-day records of milk production from 7453 first lactations of crossbred dairy Gyr (Bos indicus) x Holstein cows. The following seven models were compared: standard multivariate model (M10), three reduced rank models fitting the first 2, 3, or 4 genetic principal components, and three models considering a 2-, 3-, or 4-factor structure for the genetic covariance matrix. Full rank residual covariance matrices were considered for all models. The model fitting the first two principal components (PC2) was the best according to the model selection criteria. Similar phenotypic, genetic, and residual variances were obtained with models M10 and PC2. The heritability estimates ranged from 0.14 to 0.21 and from 0.13 to 0.21 for models M10 and PC2, respectively. The genetic correlations obtained with model PC2 were slightly higher than those estimated with model M10. PC2 markedly reduced the number of parameters estimated and the time spent to reach convergence. We concluded that two principal components are sufficient to model the structure of genetic covariances between test-day milk yields. © FUNPEC-RP.

Modelos para estimação de componentes de (co)variância para pesos do nascimento à idade adulta de animais da raça Nelore

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Decomposição em valores singulares aplicada a dados de campo magnético

Neste trabalho, a decomposição em valores singulares (DVS) de uma matriz A, n x m, que representa a anomalia magnética, é vista como um método de filtragem bidimensional de coerência que separa informações correlacionáveis e não correlacionáveis contidas na matriz de dados magnéticos A. O filtro DVS é definido através da expansão da matriz A em autoimagens e valores singulares. Cada autoimagem é dada pelo produto escalar dos vetores de base, autovetores, associados aos problemas de autovalor e autovetor das matrizes de covariância A^TA e AA^T. Este método de filtragem se baseia no fato de que as autoimagens associadas a grandes valores singulares concentram a maior parte da informação correlacionável presente nos dados, enquanto que a parte não correlacionada, presumidamente constituída de ruídos causados por fontes magnéticas externas, ruídos introduzidos pelo processo de medida, estão concentrados nas autoimagens restantes. Utilizamos este método em diferentes exemplos de dados magnéticos sintéticos. Posteriormente, o método foi aplicado a dados do aerolevantamento feito pela PETROBRÁS no Projeto Carauari-Norte (Bacia do Solimões), para analisarmos a potencialidade deste na identificação, eliminação ou atenuação de ruídos e como um possível método de realçar feições particulares da anomalia geradas por fontes profundas e rasas. Este trabalho apresenta também a possibilidade de introduzir um deslocamento estático ou dinâmico nos perfis magnéticos, com a finalidade de aumentar a correlação (coerência) entre eles, permitindo assim concentrar o máximo possível do sinal correlacionável nas poucas primeiras autoimagens. Outro aspecto muito importante desta expansão da matriz de dados em autoimagens e valores singulares foi o de mostrar, sob o ponto de vista computacional, que a armazenagem dos dados contidos na matriz, que exige uma quantidade n x m de endereços de memória, pode ser diminuída consideravelmente utilizando p autoimagens. Assim o número de endereços de memória cai para p x (n + m + 1), sem alterar a anomalia, na reprodução praticamente perfeita. Dessa forma, concluímos que uma escolha apropriada do número e dos índices das autoimagens usadas na decomposição mostra potencialidade do método no processamento de dados magnéticos.

MODULARITY, NOISE, AND NATURAL SELECTION

Most biological systems are formed by component parts that are to some degree interrelated. Groups of parts that are more associated among themselves and are relatively autonomous from others are called modules. One of the consequences of modularity is that biological systems usually present an unequal distribution of the genetic variation among traits. Estimating the covariance matrix that describes these systems is a difficult problem due to a number of factors such as poor sample sizes and measurement errors. We show that this problem will be exacerbated whenever matrix inversion is required, as in directional selection reconstruction analysis. We explore the consequences of varying degrees of modularity and signal-to-noise ratio on selection reconstruction. We then present and test the efficiency of available methods for controlling noise in matrix estimates. In our simulations, controlling matrices for noise vastly improves the reconstruction of selection gradients. We also perform an analysis of selection gradients reconstruction over a New World Monkeys skull database to illustrate the impact of noise on such analyses. Noise-controlled estimates render far more plausible interpretations that are in full agreement with previous results.

Short communication: Principal components and factor analytic models for test-day milk yield in Brazilian Holstein cattle

A total of 46,089 individual monthly test-day (TD) milk yields (10 test-days), from 7,331 complete first lactations of Holstein cattle were analyzed. A standard multivariate analysis (MV), reduced rank analyses fitting the first 2, 3, and 4 genetic principal components (PC2, PC3, PC4), and analyses that fitted a factor analytic structure considering 2, 3, and 4 factors (FAS2, FAS3, FAS4), were carried out. The models included the random animal genetic effect and fixed effects of the contemporary groups (herd-year-month of test-day), age of cow (linear and quadratic effects), and days in milk (linear effect). The residual covariance matrix was assumed to have full rank. Moreover, 2 random regression models were applied. Variance components were estimated by restricted maximum likelihood method. The heritability estimates ranged from 0.11 to 0.24. The genetic correlation estimates between TD obtained with the PC2 model were higher than those obtained with the MV model, especially on adjacent test-days at the end of lactation close to unity. The results indicate that for the data considered in this study, only 2 principal components are required to summarize the bulk of genetic variation among the 10 traits.

Assimilation of Meteosat Second Generation (MSG) satellite data in a regional numerical weather prediction model using a one-dimensional variational approach

The quality of temperature and humidity retrievals from the infrared SEVIRI sensors on the geostationary Meteosat Second Generation (MSG) satellites is assessed by means of a one dimensional variational algorithm. The study is performed with the aim of improving the spatial and temporal resolution of available observations to feed analysis systems designed for high resolution regional scale numerical weather prediction (NWP) models. The non-hydrostatic forecast model COSMO (COnsortium for Small scale MOdelling) in the ARPA-SIM operational configuration is used to provide background fields. Only clear sky observations over sea are processed. An optimised 1D–VAR set-up comprising of the two water vapour and the three window channels is selected. It maximises the reduction of errors in the model backgrounds while ensuring ease of operational implementation through accurate bias correction procedures and correct radiative transfer simulations. The 1D–VAR retrieval quality is firstly quantified in relative terms employing statistics to estimate the reduction in the background model errors. Additionally the absolute retrieval accuracy is assessed comparing the analysis with independent radiosonde and satellite observations. The inclusion of satellite data brings a substantial reduction in the warm and dry biases present in the forecast model. Moreover it is shown that the retrieval profiles generated by the 1D–VAR are well correlated with the radiosonde measurements. Subsequently the 1D–VAR technique is applied to two three–dimensional case–studies: a false alarm case–study occurred in Friuli–Venezia–Giulia on the 8th of July 2004 and a heavy precipitation case occurred in Emilia–Romagna region between 9th and 12th of April 2005. The impact of satellite data for these two events is evaluated in terms of increments in the integrated water vapour and saturation water vapour over the column, in the 2 meters temperature and specific humidity and in the surface temperature. To improve the 1D–VAR technique a method to calculate flow–dependent model error covariance matrices is also assessed. The approach employs members from an ensemble forecast system generated by perturbing physical parameterisation schemes inside the model. The improved set–up applied to the case of 8th of July 2004 shows a substantial neutral impact.

Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

M-Functionals of Multivariate Scatter

This survey provides a self-contained account of M-estimation of multivariate scatter. In particular, we present new proofs for existence of the underlying M-functionals and discuss their weak continuity and differentiability. This is done in a rather general framework with matrix-valued random variables. By doing so we reveal a connection between Tyler's (1987) M-functional of scatter and the estimation of proportional covariance matrices. Moreover, this general framework allows us to treat a new class of scatter estimators, based on symmetrizations of arbitrary order. Finally these results are applied to M-estimation of multivariate location and scatter via multivariate t-distributions.

A comment on the article “A collinearity diagnosis of the GNSS geocenter determination” by P. Rebischung, Z. Altamimi, and T. Springer

Meindl et al. (Adv Space Res 51(7):1047–1064, 2013) showed that the geocenter z -component estimated from observations of global navigation satellite systems (GNSS) is strongly correlated to a particular parameter of the solar radiation pressure (SRP) model developed by Beutler et al. (Manuscr Geod 19:367–386, 1994). They analyzed the forces caused by SRP and the impact on the satellites’ orbits. The authors achieved their results using perturbation theory and celestial mechanics. Rebischung et al. (J Geod doi:10.1016/j.asr.2012.10.026, 2013) also deal with the geocenter determination with GNSS. The authors carried out a collinearity diagnosis of the associated parameter estimation problem. They conclude “without much exaggerating that current GNSS are insensitive to any component of geocenter motion”. They explain this inability by the high degree of collinearity of the geocenter coordinates mainly with satellite clock corrections. Based on these results and additional experiments, they state that the conclusions drawn by Meindl et al. (Adv Space Res 51(7):1047–1064, 2013) are questionable. We do not agree with these conclusions and present our arguments in this article. In the first part, we review and highlight the main characteristics of the studies performed by Meindl et al. (Adv Space Res 51(7):1047–1064, 2013) to show that the experiments are quite different from those performed by Rebischung et al. (J Geod doi:10.1016/j.asr.2012.10.026,2013) . In the second part, we show that normal equation (NEQ) systems are regular when estimating geocenter coordinates, implying that the covariance matrices associated with the NEQ systems may be used to assess the sensitivity to geocenter coordinates in a standard way. The sensitivity of GNSS to the components of the geocenter is discussed. Finally, we comment on the arguments raised by Rebischung et al. (J Geod doi:10.1016/j.asr.2012.10.026, 2013) against the results of Meindl et al. (Adv Space Res 51(7):1047–1064, 2013).

Interrelationships between the structural and functional aspects of social relationships, comorbidity and health related quality of life in breast cancer survivors

It is widely acknowledged in theoretical and empirical literature that social relationships, comprising of structural measures (social networks) and functional measures (perceived social support) have an undeniable effect on health outcomes. However, the actual mechanism of this effect has yet to be clearly understood or explicated. In addition, comorbidity is found to adversely affect social relationships and health related quality of life (a valued outcome measure in cancer patients and survivors). ^ This cross sectional study uses selected baseline data (N=3088) from the Women's Healthy Eating and Living (WHEL) study. Lisrel 8.72 was used for the latent variable structural equation modeling. Due to the ordinal nature of the data, Weighted Least Squares (WLS) method of estimation using Asymptotic Distribution Free covariance matrices was chosen for this analysis. The primary exogenous predictor variables are Social Networks and Comorbidity; Perceived Social Support is the endogenous predictor variable. Three dimensions of HRQoL, physical, mental and satisfaction with current quality of life were the outcome variables. ^ This study hypothesizes and tests the mechanism and pathways between comorbidity, social relationships and HRQoL using latent variable structural equation modeling. After testing the measurement models of social networks and perceived social support, a structural model hypothesizing associations between the latent exogenous and endogenous variables was tested. The results of the study after listwise deletion (N=2131) mostly confirmed the hypothesized relationships (TLI, CFI >0.95, RMSEA = 0.05, p=0.15). Comorbidity was adversely associated with all three HRQoL outcomes. Strong ties were negatively associated with perceived social support; social network had a strong positive association with perceived social support, which served as a mediator between social networks and HRQoL. Mental health quality of life was the most adversely affected by the predictor variables. ^ This study is a preliminary look at the integration of structural and functional measures of social relationships, comorbidity and three HRQoL indicators using LVSEM. Developing stronger social networks and forming supportive relationships is beneficial for health outcomes such as HRQoL of cancer survivors. Thus, the medical community treating cancer survivors as well as the survivor's social networks need to be informed and cognizant of these possible relationships. ^

Automatic Bandwidth Estimation Strategy for High-Quality Non-Parametric Modeling based Moving Object Detection

Here, a novel and efficient moving object detection strategy by non-parametric modeling is presented. Whereas the foreground is modeled by combining color and spatial information, the background model is constructed exclusively with color information, thus resulting in a great reduction of the computational and memory requirements. The estimation of the background and foreground covariance matrices, allows us to obtain compact moving regions while the number of false detections is reduced. Additionally, the application of a tracking strategy provides a priori knowledge about the spatial position of the moving objects, which improves the performance of the Bayesian classifier

Regularization for sparsity in statistical analysis and machine learning

Pragmatism is the leading motivation of regularization. We can understand regularization as a modification of the maximum-likelihood estimator so that a reasonable answer could be given in an unstable or ill-posed situation. To mention some typical examples, this happens when fitting parametric or non-parametric models with more parameters than data or when estimating large covariance matrices. Regularization is usually used, in addition, to improve the bias-variance tradeoff of an estimation. Then, the definition of regularization is quite general, and, although the introduction of a penalty is probably the most popular type, it is just one out of multiple forms of regularization. In this dissertation, we focus on the applications of regularization for obtaining sparse or parsimonious representations, where only a subset of the inputs is used. A particular form of regularization, L1-regularization, plays a key role for reaching sparsity. Most of the contributions presented here revolve around L1-regularization, although other forms of regularization are explored (also pursuing sparsity in some sense). In addition to present a compact review of L1-regularization and its applications in statistical and machine learning, we devise methodology for regression, supervised classification and structure induction of graphical models. Within the regression paradigm, we focus on kernel smoothing learning, proposing techniques for kernel design that are suitable for high dimensional settings and sparse regression functions. We also present an application of regularized regression techniques for modeling the response of biological neurons. Supervised classification advances deal, on the one hand, with the application of regularization for obtaining a na¨ıve Bayes classifier and, on the other hand, with a novel algorithm for brain-computer interface design that uses group regularization in an efficient manner. Finally, we present a heuristic for inducing structures of Gaussian Bayesian networks using L1-regularization as a filter. El pragmatismo es la principal motivación de la regularización. Podemos entender la regularización como una modificación del estimador de máxima verosimilitud, de tal manera que se pueda dar una respuesta cuando la configuración del problema es inestable. A modo de ejemplo, podemos mencionar el ajuste de modelos paramétricos o no paramétricos cuando hay más parámetros que casos en el conjunto de datos, o la estimación de grandes matrices de covarianzas. Se suele recurrir a la regularización, además, para mejorar el compromiso sesgo-varianza en una estimación. Por tanto, la definición de regularización es muy general y, aunque la introducción de una función de penalización es probablemente el método más popular, éste es sólo uno de entre varias posibilidades. En esta tesis se ha trabajado en aplicaciones de regularización para obtener representaciones dispersas, donde sólo se usa un subconjunto de las entradas. En particular, la regularización L1 juega un papel clave en la búsqueda de dicha dispersión. La mayor parte de las contribuciones presentadas en la tesis giran alrededor de la regularización L1, aunque también se exploran otras formas de regularización (que igualmente persiguen un modelo disperso). Además de presentar una revisión de la regularización L1 y sus aplicaciones en estadística y aprendizaje de máquina, se ha desarrollado metodología para regresión, clasificación supervisada y aprendizaje de estructura en modelos gráficos. Dentro de la regresión, se ha trabajado principalmente en métodos de regresión local, proponiendo técnicas de diseño del kernel que sean adecuadas a configuraciones de alta dimensionalidad y funciones de regresión dispersas. También se presenta una aplicación de las técnicas de regresión regularizada para modelar la respuesta de neuronas reales. Los avances en clasificación supervisada tratan, por una parte, con el uso de regularización para obtener un clasificador naive Bayes y, por otra parte, con el desarrollo de un algoritmo que usa regularización por grupos de una manera eficiente y que se ha aplicado al diseño de interfaces cerebromáquina. Finalmente, se presenta una heurística para inducir la estructura de redes Bayesianas Gaussianas usando regularización L1 a modo de filtro.

Application of a Bayesian/Generalised Least-Squares method to generate correlations between independent neutron fission yield data

Fission product yields are fundamental parameters for several nuclear engineering calculations and in particular for burn-up/activation problems. The impact of their uncertainties was widely studied in the past and valuations were released, although still incomplete. Recently, the nuclear community expressed the need for full fission yield covariance matrices to produce inventory calculation results that take into account the complete uncertainty data. In this work, we studied and applied a Bayesian/generalised least-squares method for covariance generation, and compared the generated uncertainties to the original data stored in the JEFF-3.1.2 library. Then, we focused on the effect of fission yield covariance information on fission pulse decay heat results for thermal fission of 235U. Calculations were carried out using different codes (ACAB and ALEPH-2) after introducing the new covariance values. Results were compared with those obtained with the uncertainty data currently provided by the library. The uncertainty quantification was performed with the Monte Carlo sampling technique. Indeed, correlations between fission yields strongly affect the statistics of decay heat. Introduction Nowadays, any engineering calculation performed in the nuclear field should be accompanied by an uncertainty analysis. In such an analysis, different sources of uncertainties are taken into account. Works such as those performed under the UAM project (Ivanov, et al., 2013) treat nuclear data as a source of uncertainty, in particular cross-section data for which uncertainties given in the form of covariance matrices are already provided in the major nuclear data libraries. Meanwhile, fission yield uncertainties were often neglected or treated shallowly, because their effects were considered of second order compared to cross-sections (Garcia-Herranz, et al., 2010). However, the Working Party on International Nuclear Data Evaluation Co-operation (WPEC)