Self-similar prior and wavelet bases for hidden incompressible turbulent motion

This work is concerned with the ill-posed inverse problem of estimating turbulent flows from the observation of an image sequence. From a Bayesian perspective, a divergence-free isotropic fractional Brownian motion (fBm) is chosen as a prior model for instantaneous turbulent velocity fields. This self-similar prior characterizes accurately second-order statistics of velocity fields in incompressible isotropic turbulence. Nevertheless, the associated maximum a posteriori involves a fractional Laplacian operator which is delicate to implement in practice. To deal with this issue, we propose to decompose the divergent-free fBm on well-chosen wavelet bases. As a first alternative, we propose to design wavelets as whitening filters. We show that these filters are fractional Laplacian wavelets composed with the Leray projector. As a second alternative, we use a divergence-free wavelet basis, which takes implicitly into account the incompressibility constraint arising from physics. Although the latter decomposition involves correlated wavelet coefficients, we are able to handle this dependence in practice. Based on these two wavelet decompositions, we finally provide effective and efficient algorithms to approach the maximum a posteriori. An intensive numerical evaluation proves the relevance of the proposed wavelet-based self-similar priors.Comment: SIAM Journal on Imaging Sciences, 201

Asymptotic equivalence for regression under fractional noise

Consider estimation of the regression function based on a model with equidistant design and measurement errors generated from a fractional Gaussian noise process. In previous literature, this model has been heuristically linked to an experiment, where the anti-derivative of the regression function is continuously observed under additive perturbation by a fractional Brownian motion. Based on a reformulation of the problem using reproducing kernel Hilbert spaces, we derive abstract approximation conditions on function spaces under which asymptotic equivalence between these models can be established and show that the conditions are satisfied for certain Sobolev balls exceeding some minimal smoothness. Furthermore, we construct a sequence space representation and provide necessary conditions for asymptotic equivalence to hold.Comment: Published in at http://dx.doi.org/10.1214/14-AOS1262 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Statistical Inference for Complex Time Series Data

During recent years the focus of scientific interest has turned from low dimensional stationary time series to nonstationary time series and high dimensional time series. In addition new methodological challenges are coming from high frequency finance where data are recorded and analyzed on a millisecond basis. The three topics “nonstationarity”, “high dimensionality” and “high frequency” are on the forefront of present research in time series analysis. The topics also have some overlap in that there already exists work on the intersection of these three topics, e.g. on locally stationary diffusion models, on high dimensional covariance matrices for high frequency data, or on multivariate dynamic factor models for nonstationary processes. The aim of the workshop was to bring together researchers from time series analysis, nonparametric statistics, econometrics and empirical finance to work on these topics. This aim was successfully achieved and the workshops was very well attended

Self-Similar Vector Fields

We propose statistically self-similar and rotation-invariant models for vector fields, study some of the more significant properties of these models, and suggest algorithms and methods for reconstructing vector fields from numerical observations, using the same notions of self-similarity and invariance that give rise to our stochastic models. We illustrate the efficacy of the proposed schemes by applying them to the problems of denoising synthetic flow phantoms and enhancing flow-sensitive magnetic resonance imaging (MRI) of blood flow in the aorta. In constructing our models and devising our applied schemes and algorithms, we rely on two fundamental notions. The first of these, referred to as "innovation modelling" in the thesis, is the principle —applicable both analytically and synthetically— of reducing complex phenomena to combinations of simple independent components or "innovations". The second fundamental idea is that of "invariance", which indicates that in the absence of any distinguishing factor, two equally valid models or solutions should be given equal consideration

Efficient hierarchical approximation of high-dimensional option pricing problems

A major challenge in computational finance is the pricing of options that depend on a large number of risk factors. Prominent examples are basket or index options where dozens or even hundreds of stocks constitute the underlying asset and determine the dimensionality of the corresponding degenerate parabolic equation. The objective of this article is to show how an efficient discretisation can be achieved by hierarchical approximation as well as asymptotic expansions of the underlying continuous problem. The relation to a number of state-of-the-art methods is highlighted

Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency

An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time observation model where a local generalised method of moments in the spectral domain turns out to be optimal. Asymptotic semi-parametric efficiency is established in the Cram\'{e}r-Rao sense. Main findings are that nonsynchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation. Simulations illustrate the finite-sample behaviour.Comment: Published in at http://dx.doi.org/10.1214/14-AOS1224 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Bayesian estimation of the parameters of the joint multifractal spectrum of signals and images

Multifractal analysis has become a reference tool for signal and image processing. Grounded in the quantification of local regularity fluctuations, it has proven useful in an increasing range of applications, yet so far involving only univariate data (scalar-valued time series or single channel images). Recently the theoretical ground for multivariate multifractal analysis has been devised, showing potential for quantifying transient higher-order dependence beyond linear correlation among collections of data. However, the accurate estimation of the parameters associated with a multivariate multifractal model remains challenging, severely limiting their actual use in applications. The main goal of this thesis is to propose and study practical contributions on multivariate multifractal analysis of signals and images. Specifically, the proposed approach relies on a novel and original joint Gaussian model for the logarithm of wavelet leaders and leverages on a Whittle-based likelihood approximation and data augmentation for the matrix-valued parameters of interest. This careful design enables efficient estimation procedures to be constructed for two relevant choices of priors using Bayesian inference. Algorithms based on Monte Carlo Markov Chain and Expectation Maximization strategies are designed and used to approximate the Bayesian estimators. Monte Carlo simulations, conducted on synthetic multivariate signals and images with various sample sizes, numbers of components and multifractal parameter settings, demonstrate significant performance improvements over the state of the art. In addition, theoretical lower bounds on the variance of the estimators are designed to study their asymptotic behavior. Finally, the relevance of the proposed multivariate multifractal estimation framework is shown for two real-world data examples: drowsiness detection from multichannel physiological signals and potential remote sensing applications in multispectral satellite imagery