96,649 research outputs found
New likelihoods for shape analysis
We introduce a new kind of likelihood function based on the sequence of
moments of the data distribution. Both binned and unbinned data samples are
discussed, and the multivariate case is also derived. Building on this approach
we lay out the formalism of shape analysis for signal searches. In addition to
moment-based likelihoods, standard likelihoods and approximate statistical
tests are provided. Enough material is included to make the paper
self-contained from the perspective of shape analysis. We argue that the
moment-based likelihoods can advantageously replace unbinned standard
likelihoods for the search of non-local signals, by avoiding the step of
fitting Monte-Carlo generated distributions. This benefit increases with the
number of variables simultaneously analyzed. The moment-based signal search is
exemplified and tested in various 1D toy models mimicking typical high-energy
signal--background configurations. Moment-based techniques should be
particularly appropriate for the searches for effective operators at the LHC.Comment: 23 pages, 5 figure
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
Estimation of mean form and mean form difference under elliptical laws
The matrix variate elliptical generalization of [30] is presented in this work. The published Gaussian case is revised and modified. Then, new aspects of identifiability and consistent estimation of mean form and mean form difference are considered under elliptical laws. For example, instead of using the Euclidean distance matrix for the consistent estimates, exact formulae are derived for the moments of the matrix B = Xc(Xc)T; where Xcis the centered landmark matrix. Finally, a complete application in Biology is provided; it includes estimation, model selection and hypothesis testing. Š 2017, Institute of Mathematical Statistics. All rights reserved
Operational Risk Management and Implications for Bankâs Economic Capital â a Case Study
In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (âEVTâ). Within the EVT analysis, two estimation methods were applied; the standard maximum likelihood estimation method and the probability weighted method (âPWMâ). Our results proved a heavy-tailed pattern of operational risk data consistent with the results documented by other researchers in this field. Additionally, our research demonstrates that the PWM is quite consistent even when the data is limited since our results provide reasonable and consistent capital estimates. From a policy perspective, it should be noted that banks from emerging markets such as Central Europe are exposed to these operational risk events and that successful estimates of the likely distribution of these risk events can be derived from more mature markets.operational risk, economic capital, Basel II, extreme value theory, probability weighted method
Shape from periodic texture using the eigenvectors of local affine distortion
This paper shows how the local slant and tilt angles of regularly textured curved surfaces can be estimated directly, without the need for iterative numerical optimization, We work in the frequency domain and measure texture distortion using the affine distortion of the pattern of spectral peaks. The key theoretical contribution is to show that the directions of the eigenvectors of the affine distortion matrices can be used to estimate local slant and tilt angles of tangent planes to curved surfaces. In particular, the leading eigenvector points in the tilt direction. Although not as geometrically transparent, the direction of the second eigenvector can be used to estimate the slant direction. The required affine distortion matrices are computed using the correspondences between spectral peaks, established on the basis of their energy ordering. We apply the method to a variety of real-world and synthetic imagery
Use of the geometric mean as a statistic for the scale of the coupled Gaussian distributions
The geometric mean is shown to be an appropriate statistic for the scale of a
heavy-tailed coupled Gaussian distribution or equivalently the Student's t
distribution. The coupled Gaussian is a member of a family of distributions
parameterized by the nonlinear statistical coupling which is the reciprocal of
the degree of freedom and is proportional to fluctuations in the inverse scale
of the Gaussian. Existing estimators of the scale of the coupled Gaussian have
relied on estimates of the full distribution, and they suffer from problems
related to outliers in heavy-tailed distributions. In this paper, the scale of
a coupled Gaussian is proven to be equal to the product of the generalized mean
and the square root of the coupling. From our numerical computations of the
scales of coupled Gaussians using the generalized mean of random samples, it is
indicated that only samples from a Cauchy distribution (with coupling parameter
one) form an unbiased estimate with diminishing variance for large samples.
Nevertheless, we also prove that the scale is a function of the geometric mean,
the coupling term and a harmonic number. Numerical experiments show that this
estimator is unbiased with diminishing variance for large samples for a broad
range of coupling values.Comment: 17 pages, 5 figure
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