Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted likelihood or censored normal likelihood favor density forecasts with more probability mass in the given region, rendering predictive accuracy tests biased towards such densities. Our novel partial likelihood-based scoring rules do not suffer from this problem, as illustrated by means of Monte Carlo simulations and an empirical application to daily S\&P 500 index returns.

Out-of-sample comparison of copula specifications in multivariate density forecasts

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student's t copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized by symmetric tail dependence.

A general lower bound for collaborative tree exploration

We consider collaborative graph exploration with a set of $k$ agents. All agents start at a common vertex of an initially unknown graph and need to collectively visit all other vertices. We assume agents are deterministic, vertices are distinguishable, moves are simultaneous, and we allow agents to communicate globally. For this setting, we give the first non-trivial lower bounds that bridge the gap between small ($k \leq \sqrt n$) and large ($k \geq n$) teams of agents. Remarkably, our bounds tightly connect to existing results in both domains. First, we significantly extend a lower bound of $\Omega(\log k / \log\log k)$ by Dynia et al. on the competitive ratio of a collaborative tree exploration strategy to the range $k \leq n \log^c n$ for any $c \in \mathbb{N}$. Second, we provide a tight lower bound on the number of agents needed for any competitive exploration algorithm. In particular, we show that any collaborative tree exploration algorithm with $k = Dn^{1+o(1)}$ agents has a competitive ratio of $\omega(1)$, while Dereniowski et al. gave an algorithm with $k = Dn^{1+\varepsilon}$ agents and competitive ratio $O(1)$, for any $\varepsilon > 0$ and with $D$ denoting the diameter of the graph. Lastly, we show that, for any exploration algorithm using $k = n$ agents, there exist trees of arbitrarily large height $D$ that require $\Omega(D^2)$ rounds, and we provide a simple algorithm that matches this bound for all trees

Divergence Measure Between Chaotic Attractors

We propose a measure of divergence of probability distributions for quantifying the dissimilarity of two chaotic attractors. This measure is defined in terms of a generalized entropy. We illustrate our procedure by considering the effect of additive noise in the well known H\'enon attractor. Comparison of two H\'enon attractors for slighly different parameter values, has shown that the divergence has complex scaling structure. Finally, we show how our approach allows to detect non-stationary events in a time series.Comment: 9 pages, 6 figure

Resampling methods for parameter-free and robust feature selection with mutual information

Combining the mutual information criterion with a forward feature selection strategy offers a good trade-off between optimality of the selected feature subset and computation time. However, it requires to set the parameter(s) of the mutual information estimator and to determine when to halt the forward procedure. These two choices are difficult to make because, as the dimensionality of the subset increases, the estimation of the mutual information becomes less and less reliable. This paper proposes to use resampling methods, a K-fold cross-validation and the permutation test, to address both issues. The resampling methods bring information about the variance of the estimator, information which can then be used to automatically set the parameter and to calculate a threshold to stop the forward procedure. The procedure is illustrated on a synthetic dataset as well as on real-world examples

Anonymous Graph Exploration with Binoculars

International audienceWe investigate the exploration of networks by a mobile agent. It is long known that, without global information about the graph, it is not possible to make the agent halts after the exploration except if the graph is a tree. We therefore endow the agent with binoculars, a sensing device that can show the local structure of the environment at a constant distance of the agent current location.We show that, with binoculars, it is possible to explore and halt in a large class of non-tree networks. We give a complete characterization of the class of networks that can be explored using binoculars using standard notions of discrete topology. This class is much larger than the class of trees: it contains in particular chordal graphs, plane triangulations and triangulations of the projective plane. Our characterization is constructive, we present an Exploration algorithm that is universal; this algorithm explores any network explorable with binoculars, and never halts in non-explorable networks

Estimating the distribution of dynamic invariants: illustrated with an application to human photo-plethysmographic time series

Dynamic invariants are often estimated from experimental time series with the aim of differentiating between different physical states in the underlying system. The most popular schemes for estimating dynamic invariants are capable of estimating confidence intervals, however, such confidence intervals do not reflect variability in the underlying dynamics. We propose a surrogate based method to estimate the expected distribution of values under the null hypothesis that the underlying deterministic dynamics are stationary. We demonstrate the application of this method by considering four recordings of human pulse waveforms in differing physiological states and show that correlation dimension and entropy are insufficient to differentiate between these states. In contrast, algorithmic complexity can clearly differentiate between all four rhythms

Time series irreversibility: a visibility graph approach

We propose a method to measure real-valued time series irreversibility which combines two differ- ent tools: the horizontal visibility algorithm and the Kullback-Leibler divergence. This method maps a time series to a directed network according to a geometric criterion. The degree of irreversibility of the series is then estimated by the Kullback-Leibler divergence (i.e. the distinguishability) between the in and out degree distributions of the associated graph. The method is computationally effi- cient, does not require any ad hoc symbolization process, and naturally takes into account multiple scales. We find that the method correctly distinguishes between reversible and irreversible station- ary time series, including analytical and numerical studies of its performance for: (i) reversible stochastic processes (uncorrelated and Gaussian linearly correlated), (ii) irreversible stochastic pro- cesses (a discrete flashing ratchet in an asymmetric potential), (iii) reversible (conservative) and irreversible (dissipative) chaotic maps, and (iv) dissipative chaotic maps in the presence of noise. Two alternative graph functionals, the degree and the degree-degree distributions, can be used as the Kullback-Leibler divergence argument. The former is simpler and more intuitive and can be used as a benchmark, but in the case of an irreversible process with null net current, the degree-degree distribution has to be considered to identifiy the irreversible nature of the series.Comment: submitted for publicatio

Robot-assisted laparoscopic surgery of the infrarenal aorta: The early learning curve

Background Recently introduced robot-assisted laparoscopic surgery (RALS) facilitates endoscopic surgical manipulation and thereby reduces the learning curve for (advanced) laparoscopic surgery. We present our learning curve with RALS for aortobifemoral bypass grafting as a treatment for aortoiliac occlusive disease. Methods Between February 2002 and May 2005, 17 patients were treated in our institution with robot-assisted laparoscopic aorto-bifemoral bypasses. Dissection was performed laparoscopically and the robot was used to make the aortic anastomosis. Operative time, clamping time, and anastomosis time, as well as blood loss and hospital stay, were used as parameters to evaluate the results and to compare the first eight (group 1) and the last nine patients (group2). Results Total median operative, clamping, and anastomosis times were 365 min (range: 225–589 min), 86 min (range: 25–205 min), and 41 min (range: 22–110 min), respectively. Total median blood loss was 1,000 ml (range: 100–5,800 ml). Median hospital stay was 4 days (range: 3–57 days). In this series 16/18 anastomoses were completed with the use of the robotic system. Three patients were converted (two in group 1, one in group 2), and one patient died postoperatively (group 1). Median clamping and anastomosis times were significantly different between groups 1 and 2 (111 min [range: 85–205 min] versus 57.5 min [range: 25–130 min], p < 0.01 and 74 min [range: 40–110 min] versus 36 min [range: 22–69 min], p < 0.01, respectively) Total operative time, blood loss, and hospital stay showed no significant difference between groups 1 and 2. Conclusions Robot-assisted aortic anastomosis was shown to have a steep learning curve with considerable reduction of clamping and anastomosis times. However, due to a longer learning curve for laparoscopic dissection of the abdominal aorta, operation times were not significantly shortened. Even with robotic assistance, laparoscopic aortoiliac surgery remains a complex procedure