Accounting for outliers and calendar effects in surrogate simulations of stock return sequences

Surrogate Data Analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity, seasonal effects and outliers. In this paper we suggest a modification of the SDA framework, based on the robust estimation of location and scale parameters of mean-stationary time series and a probabilistic framework which deals with outliers. A demonstration on the NASDAQ Composite index daily returns shows that the proposed approach produces surrogates that faithfully reproduce the structure of the original series while being manifestations of linear-random dynamics.Comment: 21 pages, 7 figure

Forecasting seasonality in prices of potatoes and onions: challenge between geostatistical models, neuro fuzzy approach and Winter method

This paper, we studied the ability of geostatistical models (ordinary kriging (OK) and Inverse distance weighting (IDW)), adaptive neuro-fuzzy inference system (ANFIS) and Winter method for prediction of seasonality in prices of potatoes and onions in Iran over the seasonal period 1986_2001. Results show that the best estimators in order are winter method, ANFIS and geostatistical methods. The results indicate that Winter and ANFIS had powerful results for prediction the prices while geostatistical models were not useful in this respect.Price; Geostatistical model; Kiriging; Inverse distance weighting; Winter’s method; Adaptive neuro fuzzy inference system; Potatoes; Onions; Iran

Forecasting seasonality in prices of potatoes and onions: challenge between geostatistical models, neuro fuzzy approach and Winter method

Price, Geostatistical model, Kiriging, Inverse distance weighting, Winter’s method, Adaptive neuro fuzzy inference system, Potatoes, Onions, Iran, Crop Production/Industries, Demand and Price Analysis,

Modeling Stroke Diagnosis with the Use of Intelligent Techniques

The purpose of this work is to test the efficiency of specific intelligent classification algorithms when dealing with the domain of stroke medical diagnosis. The dataset consists of patient records of the ”Acute Stroke Unit”, Alexandra Hospital, Athens, Greece, describing patients suffering one of 5 different stroke types diagnosed by 127 diagnostic attributes / symptoms collected during the first hours of the emergency stroke situation as well as during the hospitalization and recovery phase of the patients. Prior to the application of the intelligent classifier the dimensionality of the dataset is further reduced using a variety of classic and state of the art dimensionality reductions techniques so as to capture the intrinsic dimensionality of the data. The results obtained indicate that the proposed methodology achieves prediction accuracy levels that are comparable to those obtained by intelligent classifiers trained on the original feature space

Statistical Mechanics and Information-Theoretic Perspectives on Complexity in the Earth System

Peer reviewedPublisher PD

Nonlinear shrinkage estimation of large-dimensional covariance matrices

Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension is large compared to the sample size, which happens frequently, the sample covariance matrix is known to perform poorly and may suffer from ill-conditioning. There already exists an extensive literature concerning improved estimators in such situations. In the absence of further knowledge about the structure of the true covariance matrix, the most successful approach so far, arguably, has been shrinkage estimation. Shrinking the sample covariance matrix to a multiple of the identity, by taking a weighted average of the two, turns out to be equivalent to linearly shrinking the sample eigenvalues to their grand mean, while retaining the sample eigenvectors. Our paper extends this approach by considering nonlinear transformations of the sample eigenvalues. We show how to construct an estimator that is asymptotically equivalent to an oracle estimator suggested in previous work. As demonstrated in extensive Monte Carlo simulations, the resulting bona fide estimator can result in sizeable improvements over the sample covariance matrix and also over linear shrinkage.Comment: Published in at http://dx.doi.org/10.1214/12-AOS989 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Three-structured smooth transition regression models based on CART algorithm

In the present work, a tree-based model that combines aspects of CART (Classification and Regression Trees) and STR (Smooth Transition Regression) is proposed. The main idea relies on specifying a parametric nonlinear model through a tree-growing procedure. The resulting model can be analysed either as a fuzzy regression or as a smooth transition regression with multiple regimes. Decisions about splits are entirely based on statistical tests of hypotheses and confidence intervals are constructed for the parameters within the terminal nodes as well as the final predictions. A Monte Carlo Experiment shows the estimators’ properties and the ability of the proposed algorithm to identify correctly several tree architectures. An application to the famous Boston Housing dataset shows that the proposed model provides better explanation with the same number of leaves as the one obtained with the CART algorithm.