Mixed effect model for absolute log returns of ultra high frequency data

The influence of covariates on absolute log returns of ultra high frequency data is analysed. Therefore we construct a mixed effect model for the absolute log returns. The parameters are estimated in a state space approach. To analyse the correlation in these irregularly spaced data empirically, the variogram, known mainly from spatial statistics, will be used. In a small simulation study the performance of the estimators will be analysed. In the end we apply the model to IBM trade data and analyse the influence of the covariates

Interpolating point spread function anisotropy

Planned wide-field weak lensing surveys are expected to reduce the statistical errors on the shear field to unprecedented levels. In contrast, systematic errors like those induced by the convolution with the point spread function (PSF) will not benefit from that scaling effect and will require very accurate modeling and correction. While numerous methods have been devised to carry out the PSF correction itself, modeling of the PSF shape and its spatial variations across the instrument field of view has, so far, attracted much less attention. This step is nevertheless crucial because the PSF is only known at star positions while the correction has to be performed at any position on the sky. A reliable interpolation scheme is therefore mandatory and a popular approach has been to use low-order bivariate polynomials. In the present paper, we evaluate four other classical spatial interpolation methods based on splines (B-splines), inverse distance weighting (IDW), radial basis functions (RBF) and ordinary Kriging (OK). These methods are tested on the Star-challenge part of the GRavitational lEnsing Accuracy Testing 2010 (GREAT10) simulated data and are compared with the classical polynomial fitting (Polyfit). We also test all our interpolation methods independently of the way the PSF is modeled, by interpolating the GREAT10 star fields themselves (i.e., the PSF parameters are known exactly at star positions). We find in that case RBF to be the clear winner, closely followed by the other local methods, IDW and OK. The global methods, Polyfit and B-splines, are largely behind, especially in fields with (ground-based) turbulent PSFs. In fields with non-turbulent PSFs, all interpolators reach a variance on PSF systematics $\sigma_{sys}^2$ better than the $1\times10^{-7}$ upper bound expected by future space-based surveys, with the local interpolators performing better than the global ones

Empirical stationary correlations for semi-supervised learning on graphs

In semi-supervised learning on graphs, response variables observed at one node are used to estimate missing values at other nodes. The methods exploit correlations between nearby nodes in the graph. In this paper we prove that many such proposals are equivalent to kriging predictors based on a fixed covariance matrix driven by the link structure of the graph. We then propose a data-driven estimator of the correlation structure that exploits patterns among the observed response values. By incorporating even a small fraction of observed covariation into the predictions, we are able to obtain much improved prediction on two graph data sets.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS293 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org