Prior specification for binary Markov mesh models

We propose prior distributions for all parts of the specification of a Markov mesh model. In the formulation we define priors for the sequential neighborhood, for the parametric form of the conditional distributions and for the parameter values. By simulating from the resulting posterior distribution when conditioning on an observed scene, we thereby obtain an automatic model selection procedure for Markov mesh models. To sample from such a posterior distribution, we construct a reversible jump Markov chain Monte Carlo algorithm (RJMCMC). We demonstrate the usefulness of our prior formulation and the limitations of our RJMCMC algorithm in two examples

Minkowski tensor density formulas for Boolean models

A stationary Boolean model is the union set of random compact particles which are attached to the points of a stationary Poisson point process. For a stationary Boolean model with convex grains we consider a recently developed collection of shape descriptors, the so called Minkowski tensors. By combining spatial and probabilistic averaging we define Minkowski tensor densities of a Boolean model. These densities are global characteristics of the union set which can be estimated from observations. In contrast local characteristics like the mean Minkowski tensor of a single random particle cannot be observed directly, since the particles overlap. We relate the global to the local properties by density formulas for the Minkowski tensors. These density formulas generalize the well known formulas for intrinsic volume densities and are obtained by applying results from translative integral geometry. For an isotropic Boolean model we observe that the Minkowski tensor densities are proportional to the intrinsic volume densities, whereas for a non-isotropic Boolean model this is usually not the case. Our results support the idea that the degree of anisotropy of a Boolean model may be expressed in terms of the Minkowski tensor densities. Furthermore we observe that for smooth grains the mean curvature radius function of a particle can be reconstructed from the Minkowski tensor densities. In a simulation study we determine numerically Minkowski tensor densities for non-isotropic Boolean models based on ellipses and on rectangles in two dimensions and find excellent agreement with the derived analytic density formulas. The tensor densities can be used to characterize the orientational distribution of the grains and to estimate model parameters for non-isotropic distributions.Comment: 36 pages, 6 figure

Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling

This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance from the total process quadratic variation is confirmed by both simulated and empirical tests. For practical purposes, we introduce an iterative algorithm to estimate the time-varying volatility and the occurred jumps of log-return time series. Such estimates enable the definition of a new market risk model for the Value at Risk forecasting. We show empirically that this procedure outperforms the standard historical simulation method applying standard back-testing approach.Comment: 31 pages, 29 figures, source code available at https://github.com/sigmaquadro/VolatilityEstimato

Statistical Mechanics of Online Learning of Drifting Concepts : A Variational Approach

We review the application of Statistical Mechanics methods to the study of online learning of a drifting concept in the limit of large systems. The model where a feed-forward network learns from examples generated by a time dependent teacher of the same architecture is analyzed. The best possible generalization ability is determined exactly, through the use of a variational method. The constructive variational method also suggests a learning algorithm. It depends, however, on some unavailable quantities, such as the present performance of the student. The construction of estimators for these quantities permits the implementation of a very effective, highly adaptive algorithm. Several other algorithms are also studied for comparison with the optimal bound and the adaptive algorithm, for different types of time evolution of the rule.Comment: 24 pages, 8 figures, to appear in Machine Learning Journa

Quantum Mechanics from Symmetry and Statistical Modelling

A version of quantum theory is derived from a set of plausible assumptions related to the following general setting: For a given system there is a set of experiments that can be performed, and for each such experiment an ordinary statistical model is defined. The parameters of the single experiments are functions of a hyperparameter, which defines the state of the system. There is a symmetry group acting on the hyperparameters, and for the induced action on the parameters of the single experiment a simple consistency property is assumed, called permissibility of the parametric function. The other assumptions needed are rather weak. The derivation relies partly on quantum logic, partly on a group representation of the hyperparameter group, where the invariant spaces are shown to be in 1-1 correspondence with the equivalence classes of permissible parametric functions. Planck's constant only plays a role connected to generators of unitary group representations.Comment: The paper has been withdrawn because it is outdate

Graph Sampling for Covariance Estimation

In this paper the focus is on subsampling as well as reconstructing the second-order statistics of signals residing on nodes of arbitrary undirected graphs. Second-order stationary graph signals may be obtained by graph filtering zero-mean white noise and they admit a well-defined power spectrum whose shape is determined by the frequency response of the graph filter. Estimating the graph power spectrum forms an important component of stationary graph signal processing and related inference tasks such as Wiener prediction or inpainting on graphs. The central result of this paper is that by sampling a significantly smaller subset of vertices and using simple least squares, we can reconstruct the second-order statistics of the graph signal from the subsampled observations, and more importantly, without any spectral priors. To this end, both a nonparametric approach as well as parametric approaches including moving average and autoregressive models for the graph power spectrum are considered. The results specialize for undirected circulant graphs in that the graph nodes leading to the best compression rates are given by the so-called minimal sparse rulers. A near-optimal greedy algorithm is developed to design the subsampling scheme for the non-parametric and the moving average models, whereas a particular subsampling scheme that allows linear estimation for the autoregressive model is proposed. Numerical experiments on synthetic as well as real datasets related to climatology and processing handwritten digits are provided to demonstrate the developed theory.Comment: Under peer review for Jour. of Sel. Topics in Signal Proc. (special issue on graph signal processing), Nov. 201

Assessing the Performance of Question-and-Answer Communities Using Survival Analysis

Question-&-Answer (QA) websites have emerged as efficient platforms for knowledge sharing and problem solving. In particular, the Stack Exchange platform includes some of the most popular QA communities to date, such as Stack Overflow. Initial metrics used to assess the performance of these communities include summative statistics like the percentage of resolved questions or the average time to receive and validate correct answers. However, more advanced methods for longitudinal data analysis can provide further insights on the QA process, by enabling identification of key predictive factors and systematic comparison of performance across different QA communities. In this paper, we apply survival analysis to a selection of communities from the Stack Exchange platform. We illustrate the advantages of using the proposed methodology to characterize and evaluate the performance of QA communities, and then point to some implications for the design and management of QA platforms.Comment: 10 pages, 3 figures, example cod

On Spatial Transition Probabilities as Continuity Measures in Categorical Fields

Models of spatial transition probabilities, or equivalently, transiogram models have been recently proposed as spatial continuity measures in categorical fields. In this paper, properties of transiogram models are examined analytically, and three important findings are reported. Firstly, connections between the behaviors of auto-transiogram models near the origin and the spatial distribution of the corresponding category are carefully investigated. Secondly, it is demonstrated that for the indicators of excursion sets of Gaussian random fields, most of the commonly used basic mathematical forms of covariogram models are not eligible for transiograms in most cases; an exception is the exponential distance-decay function and models that are constructed from it. Finally, a kernel regression method is proposed for efficient, non-parametric joint modeling of auto- and cross-transiograms, which is particularly useful for situations where the number of categories is large

Tropical Geometry of Statistical Models

This paper presents a unified mathematical framework for inference in graphical models, building on the observation that graphical models are algebraic varieties. From this geometric viewpoint, observations generated from a model are coordinates of a point in the variety, and the sum-product algorithm is an efficient tool for evaluating specific coordinates. The question addressed here is how the solutions to various inference problems depend on the model parameters. The proposed answer is expressed in terms of tropical algebraic geometry. A key role is played by the Newton polytope of a statistical model. Our results are applied to the hidden Markov model and to the general Markov model on a binary tree.Comment: 14 pages, 3 figures. Major revision. Applications now in companion paper, "Parametric Inference for Biological Sequence Analysis

Sensor Selection for Estimation with Correlated Measurement Noise

In this paper, we consider the problem of sensor selection for parameter estimation with correlated measurement noise. We seek optimal sensor activations by formulating an optimization problem, in which the estimation error, given by the trace of the inverse of the Bayesian Fisher information matrix, is minimized subject to energy constraints. Fisher information has been widely used as an effective sensor selection criterion. However, existing information-based sensor selection methods are limited to the case of uncorrelated noise or weakly correlated noise due to the use of approximate metrics. By contrast, here we derive the closed form of the Fisher information matrix with respect to sensor selection variables that is valid for any arbitrary noise correlation regime, and develop both a convex relaxation approach and a greedy algorithm to find near-optimal solutions. We further extend our framework of sensor selection to solve the problem of sensor scheduling, where a greedy algorithm is proposed to determine non-myopic (multi-time step ahead) sensor schedules. Lastly, numerical results are provided to illustrate the effectiveness of our approach, and to reveal the effect of noise correlation on estimation performance.Comment: IEEE Transactions on Signal Processing (accepted