ShearLab: A Rational Design of a Digital Parabolic Scaling Algorithm

Multivariate problems are typically governed by anisotropic features such as edges in images. A common bracket of most of the various directional representation systems which have been proposed to deliver sparse approximations of such features is the utilization of parabolic scaling. One prominent example is the shearlet system. Our objective in this paper is three-fold: We firstly develop a digital shearlet theory which is rationally designed in the sense that it is the digitization of the existing shearlet theory for continuous data. This implicates that shearlet theory provides a unified treatment of both the continuum and digital realm. Secondly, we analyze the utilization of pseudo-polar grids and the pseudo-polar Fourier transform for digital implementations of parabolic scaling algorithms. We derive an isometric pseudo-polar Fourier transform by careful weighting of the pseudo-polar grid, allowing exploitation of its adjoint for the inverse transform. This leads to a digital implementation of the shearlet transform; an accompanying Matlab toolbox called ShearLab is provided. And, thirdly, we introduce various quantitative measures for digital parabolic scaling algorithms in general, allowing one to tune parameters and objectively improve the implementation as well as compare different directional transform implementations. The usefulness of such measures is exemplarily demonstrated for the digital shearlet transform.Comment: submitted to SIAM J. Multiscale Model. Simu

An Algorithm for Precise Aperture Photometry of Critically Sampled Images

We present an algorithm for performing precise aperture photometry on critically sampled astrophysical images. The method is intended to overcome the small-aperture limitations imposed by point-sampling. Aperture fluxes are numerically integrated over the desired aperture, with sinc-interpolation used to reconstruct values between pixel centers. Direct integration over the aperture is computationally intensive, but the integrals in question are shown to be convolution integrals and can be computed ~10000x faster as products in the wave-number domain. The method works equally well for annular and elliptical apertures and could be adapted for any geometry. A sample of code is provided to demonstrate the method.Comment: Accepted MNRA

Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index

In extant financial market models, including the Black-Scholes’ contruct, the dramatic events of October 1987 and August 2007 are totally unexpected, because these models are based on the assumptions of ‘independent price fluctuations’ and the existence of some ‘fixed-point equilibrium’. This paper argues that the convolution of a generalized fractional Brownian motion (into an array in frequency or time domain) and their corresponding amplitude spectra describes the surface of the attractor driving the evolution of prices. This more realistic approach shows that the SP-500 Index is characterized by a high long term Hurst exponent and hence by a ‘black noise’ with a power spectrum proportional to f-b (b > 2). In that set up, the above dramatic events are expected and their frequencies are determined. The paper also constructs an exhaustive frequency-variation relationship which can be used as practical guide to assess the ‘value at risk’.Market Collapse; Fractional Brownian Motion; Fractal Attractors; Maximum Hausdorff Dimension of Markets and Affine Profiles; Hurst Exponent; Power Spectrum Exponent; Value at Risk

Nonparametric tests of structure for high angular resolution diffusion imaging in Q-space

High angular resolution diffusion imaging data is the observed characteristic function for the local diffusion of water molecules in tissue. This data is used to infer structural information in brain imaging. Nonparametric scalar measures are proposed to summarize such data, and to locally characterize spatial features of the diffusion probability density function (PDF), relying on the geometry of the characteristic function. Summary statistics are defined so that their distributions are, to first-order, both independent of nuisance parameters and also analytically tractable. The dominant direction of the diffusion at a spatial location (voxel) is determined, and a new set of axes are introduced in Fourier space. Variation quantified in these axes determines the local spatial properties of the diffusion density. Nonparametric hypothesis tests for determining whether the diffusion is unimodal, isotropic or multi-modal are proposed. More subtle characteristics of white-matter microstructure, such as the degree of anisotropy of the PDF and symmetry compared with a variety of asymmetric PDF alternatives, may be ascertained directly in the Fourier domain without parametric assumptions on the form of the diffusion PDF. We simulate a set of diffusion processes and characterize their local properties using the newly introduced summaries. We show how complex white-matter structures across multiple voxels exhibit clear ellipsoidal and asymmetric structure in simulation, and assess the performance of the statistics in clinically-acquired magnetic resonance imaging data.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS441 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org