Aggregations and Marginalization of GARCH and Stochastic Volatility Models

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set without invalidating the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable conditioning information (in the state-space spirit) is irrelevant. In this paper, we stress a square-root autoregressive stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but weakens the GARCH structure in order to obtain required robustness properties with respect to various kinds of aggregation. It is shown that the lack of robustness of the usual GARCH setting is due to two very restrictive assumptions : perfect linear correlation between squared innovations and conditional variance on the one hand and linear relationship between the conditional variance of the future conditional variance and the squared conditional variance on the other hand. By relaxing these assumptions, thanks to a state-space setting, we obtain aggregation results without renouncing to the conditional variance concept (and related leverage effects), as it is the case for the recently suggested weak GARCH model which gets aggregation results by replacing conditional expectations by linear projections on symmetric past innovations. Moreover, unlike the weak GARCH literature, we are able to define multivariate models, including higher order dynamics and risk premiums (in the spirit of GARCH (p,p) and GARCH in mean) and to derive conditional moment restrictions well suited for statistical inference. Finally, we are able to characterize the exact relationships between our SR-SARV models (including higher order dynamics, leverage effect and in-mean effect), usual GARCH models and continuous time stochastic volatility models, so that previous results about aggregation of weak GARCH and continuous time GARCH modeling can be recovered in our framework.

An introduction to compressive sensing and its potential applications in structural engineering

The Shannon/Nyquist sampling theorem specifies that to avoid losing information when capturing a signal, one must sample at least two times faster than the signal bandwidth. In order to capture and represent compressible signals at a rate significantly below the Nyquist rate, a new method, called compressive sensing (CS), is therefore proposed. CS theory asserts that one can recover certain signals from far fewer samples or measurements than traditional methods use. It employs non-adaptive linear projections that preserve the structure of the sparse signal; the signal is then reconstructed from these projections using an optimization process. It is believed that CS has far reaching implications, while most publications concentrate on signal processing fields (especially for images). In this paper, we provide a concise introduction of CS and then discuss some of its potential applications in structural engineering. The recorded vibration time history of a steel beam and the wave propagation result on a steel rebar are studied in detail. CS is adopted to reconstruct the time histories by using only parts of the signals. The results under different conditions are compared, which confirm that CS will be a promising tool for structural engineering.

Supervised subspace learning with multi-class Lagrangian SVM on the Grassmann manifold

Learning robust subspaces to maximize class discrimination is challenging, and most current works consider a weak connection between dimensionality reduction and classifier design. We propose an alternate framework wherein these two steps are combined in a joint formulation to exploit the direct connection between dimensionality reduction and classification. Specifically, we learn an optimal subspace on the Grassmann manifold jointly minimizing the classification error of an SVM classifier. We minimize the regularized empirical risk over both the hypothesis space of functions that underlies this new generalized multi-class Lagrangian SVM and the Grassmann manifold such that a linear projection is to be found. We propose an iterative algorithm to meet the dual goal of optimizing both the classifier and projection. Extensive numerical studies on challenging datasets show robust performance of the proposed scheme over other alternatives in contexts wherein limited training data is used, verifying the advantage of the joint formulation.

Image reconstruction with laterally truncated projections in helical cone-beam CT: Linear prediction based projection completion techniques

Lateral or transaxial truncation of cone-beam data can occur either due to the field of view limitation of the scanning apparatus or iregion-of-interest tomography. In this paper, we Suggest two new methods to handle lateral truncation in helical scan CT. It is seen that reconstruction with laterally truncated projection data, assuming it to be complete, gives severe artifacts which even penetrates into the field of view. A row-by-row data completion approach using linear prediction is introduced for helical scan truncated data. An extension of this technique known as windowed linear prediction approach is introduced. Efficacy of the two techniques are shown using simulation with standard phantoms. A quantitative image quality measure of the resulting reconstructed images are used to evaluate the performance of the proposed methods against an extension of a standard existing technique.

Projections in a normed linear space and a generalization of the pseudo-inverse

The concept of a "projection function" in a finite-dimensional real or complex normed linear space H (the function P_M which carries every element into the closest element of a given subspace M) is set forth and examined.

If dim M = dim H - 1, then P_M is linear. If P_N is linear for all k-dimensional subspaces N, where 1 ≤ k < dim M, then P_M is linear.

The projective bound Q, defined to be the supremum of the operator norm of P_M for all subspaces, is in the range 1 ≤ Q < 2, and these limits are the best possible. For norms with Q = 1, P_M is always linear, and a characterization of those norms is given.

If H also has an inner product (defined independently of the norm), so that a dual norm can be defined, then when P_M is linear its adjoint P_M^H is the projection on (kernel P_M)^⊥ by the dual norm. The projective bounds of a norm and its dual are equal.

The notion of a pseudo-inverse F⁺ of a linear transformation F is extended to non-Euclidean norms. The distance from F to the set of linear transformations G of lower rank (in the sense of the operator norm ∥F - G∥) is c/∥F⁺∥, where c = 1 if the range of F fills its space, and 1 ≤ c < Q otherwise. The norms on both domain and range spaces have Q = 1 if and only if (F⁺)⁺ = F for every F. This condition is also sufficient to prove that we have (F⁺)^H = (F^H)⁺, where the latter pseudo-inverse is taken using dual norms.

In all results, the real and complex cases are handled in a completely parallel fashion.

Aspects of atomic decompositions and Bergman projections

The concept of an atomic decomposition was introduced by Coifman and Rochberg (1980) for weighted Bergman spaces on the unit disk. By the Riemann mapping theorem, functions in every simply connected domain in the complex plane have an atomic decomposition. However, a decomposition resulting from a conformal mapping of the unit disk tends to be very implicit and often lacks a clear connection to the geometry of the domain that it has been mapped into. The lattice of points, where the atoms of the decomposition are evaluated, usually follows the geometry of the original domain, but after mapping the domain into another this connection is easily lost and the layout of points becomes seemingly random. In the first article we construct an atomic decomposition directly on a weighted Bergman space on a class of regulated, simply connected domains. The construction uses the geometric properties of the regulated domain, but does not explicitly involve any conformal Riemann map from the unit disk. It is known that the Bergman projection is not bounded on the space L-infinity of bounded measurable functions. Taskinen (2004) introduced the locally convex spaces LV-infinity consisting of measurable and HV-infinity of analytic functions on the unit disk with the latter being a closed subspace of the former. They have the property that the Bergman projection is continuous from LV-infinity onto HV-infinity and, in some sense, the space HV-infinity is the smallest possible substitute to the space H-infinity of analytic functions. In the second article we extend the above result to a smoothly bounded strictly pseudoconvex domain. Here the related reproducing kernels are usually not known explicitly, and thus the proof of continuity of the Bergman projection is based on generalised Forelli-Rudin estimates instead of integral representations. The minimality of the space LV-infinity is shown by using peaking functions first constructed by Bell (1981). Taskinen (2003) showed that on the unit disk the space HV-infinity admits an atomic decomposition. This result is generalised in the third article by constructing an atomic decomposition for the space HV-infinity on a smoothly bounded strictly pseudoconvex domain. In this case every function can be presented as a linear combination of atoms such that the coefficient sequence belongs to a suitable Köthe co-echelon space.

Detection of edges from projections

In a number of applications of computerized tomography, the ultimate goal is to detect and characterize objects within a cross section. Detection of edges of different contrast regions yields the required information. The problem of detecting edges from projection data is addressed. It is shown that the class of linear edge detection operators used on images can be used for detection of edges directly from projection data. This not only reduces the computational burden but also avoids the difficulties of postprocessing a reconstructed image. This is accomplished by a convolution backprojection operation. For example, with the Marr-Hildreth edge detection operator, the filtering function that is to be used on the projection data is the Radon transform of the Laplacian of the 2-D Gaussian function which is combined with the reconstruction filter. Simulation results showing the efficacy of the proposed method and a comparison with edges detected from the reconstructed image are presented

Estimation of missing data using windowed linear prediction in laterally truncated projection & in cone beam CT

In this paper, we address the reconstruction problem from laterally truncated helical cone-beam projections. The reconstruction problem from lateral truncation, though similar to that of interior radon problem, is slightly different from it as well as the local (lambda) tomography and pseudo-local tomography in the sense that we aim to reconstruct the entire object being scanned from a region-of-interest (ROI) scan data. The method proposed in this paper is a projection data completion approach followed by the use of any standard accurate FBP type reconstruction algorithm. In particular, we explore a windowed linear prediction (WLP) approach for data completion and compare the quality of reconstruction with the linear prediction (LP) technique proposed earlier.

3D Image Reconstruction From Truncated Helical Cone Beam Projection Data - A Linear Prediction Approach

With the introduction of 2D flat-panel X-ray detectors, 3D image reconstruction using helical cone-beam tomography is fast replacing the conventional 2D reconstruction techniques. In 3D image reconstruction, the source orbit or scanning geometry should satisfy the data sufficiency or completeness condition for exact reconstruction. The helical scan geometry satisfies this condition and hence can give exact reconstruction. The theoretically exact helical cone-beam reconstruction algorithm proposed by Katsevich is a breakthrough and has attracted interest in the 3D reconstruction using helical cone-beam Computed Tomography.In many practical situations, the available projection data is incomplete. One such case is where the detector plane does not completely cover the full extent of the object being imaged in lateral direction resulting in truncated projections. This result in artifacts that mask small features near to the periphery of the ROI when reconstructed using the convolution back projection (CBP) method assuming that the projection data is complete. A number of techniques exist which deal with completion of missing data followed by the CBP reconstruction. In 2D, linear prediction (LP)extrapolation has been shown to be efficient for data completion, involving minimal assumptions on the nature of the data, producing smooth extensions of the missing projection data.In this paper, we propose to extend the LP approach for extrapolating helical cone beam truncated data. The projection on the multi row flat panel detectors has missing columns towards either ends in the lateral direction in truncated data situation. The available data from each detector row is modeled using a linear predictor. The available data is extrapolated and this completed projection data is backprojected using the Katsevich algorithm. Simulation results show the efficacy of the proposed method.

An Alternating l(p) - l(2) Projections Algorithm (ALPA) for Speech Modeling using Sparsity Constraints

We address the problem of separating a speech signal into its excitation and vocal-tract filter components, which falls within the framework of blind deconvolution. Typically, the excitation in case of voiced speech is assumed to be sparse and the vocal-tract filter stable. We develop an alternating l(p) - l(2) projections algorithm (ALPA) to perform deconvolution taking into account these constraints. The algorithm is iterative, and alternates between two solution spaces. The initialization is based on the standard linear prediction decomposition of a speech signal into an autoregressive filter and prediction residue. In every iteration, a sparse excitation is estimated by optimizing an l(p)-norm-based cost and the vocal-tract filter is derived as a solution to a standard least-squares minimization problem. We validate the algorithm on voiced segments of natural speech signals and show applications to epoch estimation. We also present comparisons with state-of-the-art techniques and show that ALPA gives a sparser impulse-like excitation, where the impulses directly denote the epochs or instants of significant excitation.

Discriminative Orthogonal Neighborhood-Preserving Projections for Classification

Orthogonal neighborhood-preserving projection (ONPP) is a recently developed orthogonal linear algorithm for overcoming the out-of-sample problem existing in the well-known manifold learning algorithm, i.e., locally linear embedding. It has been shown that ONPP is a strong analyzer of high-dimensional data. However, when applied to classification problems in a supervised setting, ONPP only focuses on the intraclass geometrical information while ignores the interaction of samples from different classes. To enhance the performance of ONPP in classification, a new algorithm termed discriminative ONPP (DONPP) is proposed in this paper. DONPP 1) takes into account both intraclass and interclass geometries; 2) considers the neighborhood information of interclass relationships; and 3) follows the orthogonality property of ONPP. Furthermore, DONPP is extended to the semisupervised case, i.e., semisupervised DONPP (SDONPP). This uses unlabeled samples to improve the classification accuracy of the original DONPP. Empirical studies demonstrate the effectiveness of both DONPP and SDONPP.

Object Recognition By Alignment Using Invariant Projections of Planar Surfaces

In order to recognize an object in an image, we must determine the best transformation from object model to the image. In this paper, we show that for features from coplanar surfaces which undergo linear transformations in space, there exist projections invariant to the surface motions up to rotations in the image field. To use this property, we propose a new alignment approach to object recognition based on centroid alignment of corresponding feature groups. This method uses only a single pair of 2D model and data. Experimental results show the robustness of the proposed method against perturbations of feature positions.

Ranges of bimodule projections and reflexivity

We develop a general framework for reflexivity in dual Banach
spaces, motivated by the question of when the weak* closed linear
span of two reflexive masa-bimodules is automatically reflexive. We
establish an affirmative answer to this question in a number of
cases by examining two new classes of masa-bimodules, defined in
terms of ranges of masa-bimodule projections. We give a number of
corollaries of our results concerning operator and spectral
synthesis, and show that the classes of masa-bimodules we study are
operator synthetic if and only if they are strong operator Ditkin.

Ensemble projections for wine production in the Douro Valley of Portugal

Wine production is largely governed by atmospheric conditions, such as air temperature and precipitation, together with soil management and viticultural/enological practices. Therefore, anthropogenic climate change is likely to have important impacts on the winemaking sector worldwide. An important winemaking region is the Portuguese Douro Valley, which is known by its world-famous Port Wine. The identification of robust relationships between atmospheric factors and wine parameters is of great relevance for the region. A multivariate linear regression analysis of a long wine production series (1932–2010) reveals that high rainfall and cool temperatures during budburst, shoot and inflorescence development (February-March) and warm temperatures during flowering and berry development (May) are generally favourable to high production. The probabilities of occurrence of three production categories (low, normal and high) are also modelled using multinomial logistic regression. Results show that both statistical models are valuable tools for predicting the production in a given year with a lead time of 3–4 months prior to harvest. These statistical models are applied to an ensemble of 16 regional climate model experiments following the SRES A1B scenario to estimate possible future changes. Wine production is projected to increase by about 10 % by the end of the 21st century, while the occurrence of high production years is expected to increase from 25 % to over 60 %. Nevertheless, further model development will be needed to include other aspects that may shape production in the future. In particular, the rising heat stress and/or changes in ripening conditions could limit the projected production increase in future decades.

Projections of global warming-induced impacts on winter storm losses in the German private household sector

We present projections of winter storm-induced insured losses in the German residential building sector for the 21st century. With this aim, two structurally most independent downscaling methods and one hybrid downscaling method are applied to a 3-member ensemble of ECHAM5/MPI-OM1 A1B scenario simulations. One method uses dynamical downscaling of intense winter storm events in the global model, and a transfer function to relate regional wind speeds to losses. The second method is based on a reshuffling of present day weather situations and sequences taking into account the change of their frequencies according to the linear temperature trends of the global runs. The third method uses statistical-dynamical downscaling, considering frequency changes of the occurrence of storm-prone weather patterns, and translation into loss by using empirical statistical distributions. The A1B scenario ensemble was downscaled by all three methods until 2070, and by the (statistical-) dynamical methods until 2100. Furthermore, all methods assume a constant statistical relationship between meteorology and insured losses and no developments other than climate change, such as in constructions or claims management. The study utilizes data provided by the German Insurance Association encompassing 24 years and with district-scale resolution. Compared to 1971–2000, the downscaling methods indicate an increase of 10-year return values (i.e. loss ratios per return period) of 6–35 % for 2011–2040, of 20–30 % for 2041–2070, and of 40–55 % for 2071–2100, respectively. Convolving various sources of uncertainty in one confidence statement (data-, loss model-, storm realization-, and Pareto fit-uncertainty), the return-level confidence interval for a return period of 15 years expands by more than a factor of two. Finally, we suggest how practitioners can deal with alternative scenarios or possible natural excursions of observed losses.