4,494 research outputs found
Statistical applications of the multivariate skew-normal distribution
Azzalini & Dalla Valle (1996) have recently discussed the multivariate
skew-normal distribution which extends the class of normal distributions by the
addition of a shape parameter. The first part of the present paper examines
further probabilistic properties of the distribution, with special emphasis on
aspects of statistical relevance. Inferential and other statistical issues are
discussed in the following part, with applications to some multivariate
statistics problems, illustrated by numerical examples. Finally, a further
extension is described which introduces a skewing factor of an elliptical
density.Comment: full-length version of the published paper, 32 pages, with 7 figures,
uses psfra
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
Identifying Mixtures of Mixtures Using Bayesian Estimation
The use of a finite mixture of normal distributions in model-based clustering
allows to capture non-Gaussian data clusters. However, identifying the clusters
from the normal components is challenging and in general either achieved by
imposing constraints on the model or by using post-processing procedures.
Within the Bayesian framework we propose a different approach based on sparse
finite mixtures to achieve identifiability. We specify a hierarchical prior
where the hyperparameters are carefully selected such that they are reflective
of the cluster structure aimed at. In addition this prior allows to estimate
the model using standard MCMC sampling methods. In combination with a
post-processing approach which resolves the label switching issue and results
in an identified model, our approach allows to simultaneously (1) determine the
number of clusters, (2) flexibly approximate the cluster distributions in a
semi-parametric way using finite mixtures of normals and (3) identify
cluster-specific parameters and classify observations. The proposed approach is
illustrated in two simulation studies and on benchmark data sets.Comment: 49 page
Enabling New Functionally Embedded Mechanical Systems Via Cutting, Folding, and 3D Printing
Traditional design tools and fabrication methods implicitly prevent mechanical engineers from encapsulating full functionalities such as mobility, transformation, sensing and actuation in the early design concept prototyping stage. Therefore, designers are forced to design, fabricate and assemble individual parts similar to conventional manufacturing, and iteratively create additional functionalities. This results in relatively high design iteration times and complex assembly strategies
Estimating growth at risk with skewed stochastic volatility models
This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying,
asymmetric forecast distributions to estimate Growth at Risk as introduced in
Adrian, Boyarchenko, and Giannone’s (2019) seminal paper ”Vulnerable Growth”.
In contrary to their semi-parametric approach, the SSV model enables researchers
to capture the evolution of the densities parametrically to conduct statistical tests
and compare different models. The SSV-model forms a non-linear, non-gaussian
state space model that can be estimated using Particle Filtering and MCMC algorithms.
To remedy drawbacks of standard Bootstrap Particle Filters, I modify the
Tempered Particle Filter of Herbst and Schorfheide’s (2019) to account for stochastic
volatility and asymmetric measurement densities. Estimating the model based
on US data yields conditional forecast densities that closely resemble the findings by
Adrian et al. (2019). Exploiting the advantages of the proposed model, I find that
the estimated parameter values for the effect of financial conditions on the variance
and skewness of the conditional distributions are statistically significant and in line
with the intuition of the results found in the existing literature
Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets
This paper poses a few fundamental questions regarding the attributes of the
volume profile of a Limit Order Books stochastic structure by taking into
consideration aspects of intraday and interday statistical features, the impact
of different exchange features and the impact of market participants in
different asset sectors. This paper aims to address the following questions:
1. Is there statistical evidence that heavy-tailed sub-exponential volume
profiles occur at different levels of the Limit Order Book on the bid and ask
and if so does this happen on intra or interday time scales ?
2.In futures exchanges, are heavy tail features exchange (CBOT, CME, EUREX,
SGX and COMEX) or asset class (government bonds, equities and precious metals)
dependent and do they happen on ultra-high (<1sec) or mid-range (1sec -10min)
high frequency data?
3.Does the presence of stochastic heavy-tailed volume profile features evolve
in a manner that would inform or be indicative of market participant behaviors,
such as high frequency algorithmic trading, quote stuffing and price discovery
intra-daily?
4. Is there statistical evidence for a need to consider dynamic behavior of
the parameters of models for Limit Order Book volume profiles on an intra-daily
time scale ?
Progress on aspects of each question is obtained via statistically rigorous
results to verify the empirical findings for an unprecedentedly large set of
futures market LOB data. The data comprises several exchanges, several futures
asset classes and all trading days of 2010, using market depth (Type II) order
book data to 5 levels on the bid and ask
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