Multiplicative local linear hazard estimation and best one-sided cross-validation

This paper develops detailed mathematical statistical theory of a new class of cross-validation techniques of local linear kernel hazards and their multiplicative bias corrections. The new class of cross-validation combines principles of local information and recent advances in indirect cross-validation. A few applications of cross-validating multiplicative kernel hazard estimation do exist in the literature. However, detailed mathematical statistical theory and small sample performance are introduced via this paper and further upgraded to our new class of best one-sided cross-validation. Best one-sided cross-validation turns out to have excellent performance in its practical illustrations, in its small sample performance and in its mathematical statistical theoretical performance

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return distribution, implemented by an asymmetric version of the Pearson type VII distribution for random innovations. By providing a method of moments for its parameter estimation and a connection to the Student-t distribution we offer the framework for a factor-based VaR approach. The approximation quality of the non-stationary model is supported by simulation studies. --heteroscedastic asset returns,non-stationarity,nonparametric regression,volatility,innovation modelling,asymmetric heavy-tails,distributional forecast,Value at Risk (VaR)

The Local Fractional Bootstrap

We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first order validity of the bootstrap method and in simulations we observe that the bootstrap-based hypothesis test provides considerable finite-sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data; we illustrate this by applying the bootstrap method to two empirical data sets: we assess the roughness of a time series of high-frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data

Smoothed Particle Hydrodynamics in cosmology: a comparative study of implementations

We analyse the performance of twelve different implementations of Smoothed Particle Hydrodynamics (SPH) using seven tests designed to isolate key hydrodynamic elements of cosmological simulations which are known to cause the SPH algorithm problems. In order, we consider a shock tube, spherical adiabatic collapse, cooling flow model, drag, a cosmological simulation, rotating cloud-collapse and disc stability. In the implementations special attention is given to the way in which force symmetry is enforced in the equations of motion. We study in detail how the hydrodynamics are affected by different implementations of the artificial viscosity including those with a shear-correction modification. We present an improved first-order smoothing-length update algorithm that is designed to remove instabilities that are present in the Hernquist and Katz (1989) algorithm. For all tests we find that the artificial viscosity is the most important factor distinguishing the results from the various implementations. The second most important factor is the way force symmetry is achieved in the equation of motion. Most results favour a kernel symmetrization approach. The exact method by which SPH pressure forces are included has comparatively little effect on the results. Combining the equation of motion presented in Thomas and Couchman (1992) with a modification of the Monaghan and Gingold (1983) artificial viscosity leads to an SPH scheme that is both fast and reliable.Comment: 30 pages, 26 figures and 9 tables included. Submitted to MNRAS. Postscript version available at ftp://phobos.astro.uwo.ca/pub/etittley/papers/sphtest.ps.g

Hybrid scheme for Brownian semistationary processes

We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kernel function of the process is regularly varying at zero. The novel feature of the scheme is to approximate the kernel function by a power function near zero and by a step function elsewhere. The resulting approximation of the process is a combination of Wiener integrals of the power function and a Riemann sum, which is why we call this method a hybrid scheme. Our main theoretical result describes the asymptotics of the mean square error of the hybrid scheme and we observe that the scheme leads to a substantial improvement of accuracy compared to the ordinary forward Riemann-sum scheme, while having the same computational complexity. We exemplify the use of the hybrid scheme by two numerical experiments, where we examine the finite-sample properties of an estimator of the roughness parameter of a Brownian semistationary process and study Monte Carlo option pricing in the rough Bergomi model of Bayer et al. [Quant. Finance 16(6), 887-904, 2016], respectively.Comment: 33 pages, 4 figures, v4: minor revision, in particular we have derived a new expression (3.5), equivalent to the previous one but numerically more convenient, for the off-diagonal elements of the covariance matrix Sigm

Practical Statistics for the LHC

This document is a pedagogical introduction to statistics for particle physics. Emphasis is placed on the terminology, concepts, and methods being used at the Large Hadron Collider. The document addresses both the statistical tests applied to a model of the data and the modeling itself.Comment: presented at the 2011 European School of High-Energy Physics, Cheile Gradistei, Romania, 7-20 September 2011 I expect to release updated versions of this document in the futur