Optimal rates of convergence for persistence diagrams in Topological Data Analysis

Computational topology has recently known an important development toward data analysis, giving birth to the field of topological data analysis. Topological persistence, or persistent homology, appears as a fundamental tool in this field. In this paper, we study topological persistence in general metric spaces, with a statistical approach. We show that the use of persistent homology can be naturally considered in general statistical frameworks and persistence diagrams can be used as statistics with interesting convergence properties. Some numerical experiments are performed in various contexts to illustrate our results

A selective overview of nonparametric methods in financial econometrics

This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline main techniques and main results. Some useful probabilistic aspects of diffusion processes are also briefly summarized to facilitate our presentation and applications.Comment: 32 pages include 7 figure

Non-Parametric Approximations for Anisotropy Estimation in Two-dimensional Differentiable Gaussian Random Fields

Spatially referenced data often have autocovariance functions with elliptical isolevel contours, a property known as geometric anisotropy. The anisotropy parameters include the tilt of the ellipse (orientation angle) with respect to a reference axis and the aspect ratio of the principal correlation lengths. Since these parameters are unknown a priori, sample estimates are needed to define suitable spatial models for the interpolation of incomplete data. The distribution of the anisotropy statistics is determined by a non-Gaussian sampling joint probability density. By means of analytical calculations, we derive an explicit expression for the joint probability density function of the anisotropy statistics for Gaussian, stationary and differentiable random fields. Based on this expression, we obtain an approximate joint density which we use to formulate a statistical test for isotropy. The approximate joint density is independent of the autocovariance function and provides conservative probability and confidence regions for the anisotropy parameters. We validate the theoretical analysis by means of simulations using synthetic data, and we illustrate the detection of anisotropy changes with a case study involving background radiation exposure data. The approximate joint density provides (i) a stand-alone approximate estimate of the anisotropy statistics distribution (ii) informed initial values for maximum likelihood estimation, and (iii) a useful prior for Bayesian anisotropy inference.Comment: 39 pages; 8 figure