Inhomogeneous Dependence Modeling with Time-Varying Copulae

Measuring dependence in multivariate time series is tantamount to modeling its dynamic structure in space and time. In risk management, the nonnormal behavior of most financial time series calls for non-Gaussian dependences. The correct modeling of non-Gaussian dependences is, therefore, a key issue in the analysis of multivariate time series. In this article we use copula functions with adaptively estimated time-varying parameters for modeling the distribution of returns. Furthermore, we apply copulae to the estimation of Value-at-Risk of portfolios and show their better performance over the RiskMetrics approach

An adaptive estimation of dimension reduction space, with discussion

Searching for an effective dimension reduction space is an important problem in regression, especially for high dimensional data. We propose an adaptive approach based on semiparametric models, which we call the (conditional) minimum average variance estimation (MAVE) method, within quite a general setting. The MAVE method has the following advantages. Most existing methods must "undersmooth" the nonparametric link function estimator to achieve a faster rate of consistency for the estimator of the parameters (than for that of the nonparametric function). In contrast, a faster consistency rate can be achieved by the MAVE method even without undersmoothing the nonparametric link function estimator. The MAVE method is applicable to a wide range of models, with fewer restrictions on the distribution of the covariates, to the extent that even time series can be included. Because of the faster rate of consistency for the parameter estimators, it is possible for us to estimate the dimension of the space consistently. The relationship of the MAVE method with other methods is also investigated. In particular, a simple outer product gradient estimator is proposed as an initial estimator. In addition to theoretical results, we demonstrate the efficacy of the MAVE method for high dimensional data sets through simulation. Two real data sets are analysed by using the MAVE approach. Copyright 2002 Royal Statistical Society.

Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes

Multivariate Gaussian hidden Markov models with an unknown number of regimes are introduced here in the Bayesian setting and new efficient reversible jump Markov chain Monte Carlo algorithms for estimating both the dimension and the unknown parameters of the model are presented. Hidden Markov models are an extension of mixture models that can be applied to time series so as to classify the observations in a small number of groups, to understand when change points occur in the dynamics of the series and to model data heterogeneity through the switching among subseries with different means and covariance matrices. These aims can be achieved by assuming that the observed phenomenon is driven by a latent, or hidden, Markov chain. The methodology is illustrated through two different examples of multivariate time series. Copyright Copyright 2009 Blackwell Publishing Ltd

Inference of human affective states from psychophysiological measurements extracted under ecologically valid conditions

Compared to standard laboratory protocols, the measurement of psychophysiological signals in real world experiments poses technical and methodological challenges due to external factors that cannot be directly controlled. To address this problem, we propose a hybrid approach based on an immersive and human accessible space called the eXperience Induction Machine (XIM), that incorporates the advantages of a laboratory within a life-like setting. The XIM integrates unobtrusive wearable sensors for the acquisition of psychophysiological signals suitable for ambulatory emotion research. In this paper, we present results from two different studies conducted to validate the XIM as a general-purpose sensing infrastructure for the study of human affective states under ecologically valid conditions. In the first investigation, we recorded and classified signals from subjects exposed to pictorial stimuli corresponding to a range of arousal levels, while they were free to walk and gesticulate. In the second study, we designed an experiment that follows the classical conditioning paradigm, a well-known procedure in the behavioral sciences, with the additional feature that participants were free to move in the physical space, as opposed to similar studies measuring physiological signals in constrained laboratory settings. Our results indicate that, by using our sensing infrastructure, it is indeed possible to infer human event-elicited affective states through measurements of psychophysiological signals under ecological conditions.The research leading to these results has received funding from the European Community's Seventh Framework Programme (FP7-ICT-2009-5) under grant agreement n. 258749 [CEEDS]. The Generalitat de Catalunya (CUR, DIUE) and the European Social Fund are supporting this research