Exact Simulation of Wishart Multidimensional Stochastic Volatility Model

In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model, which was recently introduced by Da Fonseca et al. \cite{DGT08}. Our method is based onanalysis of the conditional characteristic function of the log-price given volatility level. In particular, we found an explicit expression for the conditional characteristic function for the Heston model. We perform numerical experiments to demonstrate the performance and accuracy of our method. As a result of numerical experiments, it is shown that our new method is much faster and reliable than Euler discretization method.Comment: 27 page

Random fields of multivariate test statistics, with applications to shape analysis

Our data are random fields of multivariate Gaussian observations, and we fit a multivariate linear model with common design matrix at each point. We are interested in detecting those points where some of the coefficients are nonzero using classical multivariate statistics evaluated at each point. The problem is to find the $P$-value of the maximum of such a random field of test statistics. We approximate this by the expected Euler characteristic of the excursion set. Our main result is a very simple method for calculating this, which not only gives us the previous result of Cao and Worsley [Ann. Statist. 27 (1999) 925--942] for Hotelling's $T^2$, but also random fields of Roy's maximum root, maximum canonical correlations [Ann. Appl. Probab. 9 (1999) 1021--1057], multilinear forms [Ann. Statist. 29 (2001) 328--371], $\bar{\chi}^2$ [Statist. Probab. Lett 32 (1997) 367--376, Ann. Statist. 25 (1997) 2368--2387] and $\chi^2$ scale space [Adv. in Appl. Probab. 33 (2001) 773--793]. The trick involves approaching the problem from the point of view of Roy's union-intersection principle. The results are applied to a problem in shape analysis where we look for brain damage due to nonmissile trauma.Comment: Published in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Systematics of Aligned Axions

We describe a novel technique that renders theories of $N$ axions tractable, and more generally can be used to efficiently analyze a large class of periodic potentials of arbitrary dimension. Such potentials are complex energy landscapes with a number of local minima that scales as $\sqrt{N!}$, and so for large $N$ appear to be analytically and numerically intractable. Our method is based on uncovering a set of approximate symmetries that exist in addition to the $N$ periods. These approximate symmetries, which are exponentially close to exact, allow us to locate the minima very efficiently and accurately and to analyze other characteristics of the potential. We apply our framework to evaluate the diameters of flat regions suitable for slow-roll inflation, which unifies, corrects and extends several forms of "axion alignment" previously observed in the literature. We find that in a broad class of random theories, the potential is smooth over diameters enhanced by $N^{3/2}$ compared to the typical scale of the potential. A Mathematica implementation of our framework is available online.Comment: 68 pages, 17 figure