S-estimation of hidden Markov models

A method for robust estimation of dynamic mixtures of multivariate distributions is proposed. The EM algorithm is modified by replacing the classical M-step with high breakdown S-estimation of location and scatter, performed by using the bisquare multivariate S-estimator. Estimates are obtained by solving a system of estimating equations that are characterized by component specific sets of weights, based on robust Mahalanobis-type distances. Convergence of the resulting algorithm is proved and its finite sample behavior is investigated by means of a brief simulation study and n application to a multivariate time series of daily returns for seven stock markets

Sparse covariance estimation in heterogeneous samples

Standard Gaussian graphical models (GGMs) implicitly assume that the conditional independence among variables is common to all observations in the sample. However, in practice, observations are usually collected form heterogeneous populations where such assumption is not satisfied, leading in turn to nonlinear relationships among variables. To tackle these problems we explore mixtures of GGMs; in particular, we consider both infinite mixture models of GGMs and infinite hidden Markov models with GGM emission distributions. Such models allow us to divide a heterogeneous population into homogenous groups, with each cluster having its own conditional independence structure. The main advantage of considering infinite mixtures is that they allow us easily to estimate the number of number of subpopulations in the sample. As an illustration, we study the trends in exchange rate fluctuations in the pre-Euro era. This example demonstrates that the models are very flexible while providing extremely interesting interesting insights into real-life applications

A Nonparametric Bayesian Approach to Uncovering Rat Hippocampal Population Codes During Spatial Navigation

Rodent hippocampal population codes represent important spatial information about the environment during navigation. Several computational methods have been developed to uncover the neural representation of spatial topology embedded in rodent hippocampal ensemble spike activity. Here we extend our previous work and propose a nonparametric Bayesian approach to infer rat hippocampal population codes during spatial navigation. To tackle the model selection problem, we leverage a nonparametric Bayesian model. Specifically, to analyze rat hippocampal ensemble spiking activity, we apply a hierarchical Dirichlet process-hidden Markov model (HDP-HMM) using two Bayesian inference methods, one based on Markov chain Monte Carlo (MCMC) and the other based on variational Bayes (VB). We demonstrate the effectiveness of our Bayesian approaches on recordings from a freely-behaving rat navigating in an open field environment. We find that MCMC-based inference with Hamiltonian Monte Carlo (HMC) hyperparameter sampling is flexible and efficient, and outperforms VB and MCMC approaches with hyperparameters set by empirical Bayes

Recent advances in directional statistics

Mainstream statistical methodology is generally applicable to data observed in Euclidean space. There are, however, numerous contexts of considerable scientific interest in which the natural supports for the data under consideration are Riemannian manifolds like the unit circle, torus, sphere and their extensions. Typically, such data can be represented using one or more directions, and directional statistics is the branch of statistics that deals with their analysis. In this paper we provide a review of the many recent developments in the field since the publication of Mardia and Jupp (1999), still the most comprehensive text on directional statistics. Many of those developments have been stimulated by interesting applications in fields as diverse as astronomy, medicine, genetics, neurology, aeronautics, acoustics, image analysis, text mining, environmetrics, and machine learning. We begin by considering developments for the exploratory analysis of directional data before progressing to distributional models, general approaches to inference, hypothesis testing, regression, nonparametric curve estimation, methods for dimension reduction, classification and clustering, and the modelling of time series, spatial and spatio-temporal data. An overview of currently available software for analysing directional data is also provided, and potential future developments discussed.Comment: 61 page